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 Ratio1	Fund Return	Beginning Account Value March 31, 2022	Ending Account Value September 30, 2022	Expenses Paid During Period2
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 Ratio1	Fund Return	Beginning Account Value March 31, 2022	Ending Account Value September 30, 2022	Expenses Paid During Period2
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

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Custom Basket Swap Agreements**	$	—	$	1,723,056	$	—	$	1,723,056
Total Liabilities	$	—	$	1,723,056	$	—	$	1,723,056

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

ALPHA OPPORTUNITY FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments, at value (cost $31,116,321)	$	27,310,578
Unrealized appreciation on OTC swap agreements		4,982,106
Prepaid expenses		29,674
Receivables:
Dividends		32,136
Interest		2,744
Fund shares sold		884
Total assets		32,358,122
Liabilities:
Overdraft due to custodian bank		4,228
Unrealized depreciation on OTC swap agreements		1,723,056
Payable for:
Swap settlement		456,733
Management fees		21,065
Trustees’ fees*		4,775
Transfer agent/maintenance fees		4,449
Fund accounting/administration fees		4,447
Due to Investment Adviser		1,054
Distribution and service fees		1,046
Fund shares redeemed		2
Miscellaneous		50,107
Total liabilities		2,270,962
Net assets	$	30,087,160
Net assets consist of:
Paid in capital	$	59,769,241
Total distributable earnings (loss)		(29,682,081	)
Net assets	$	30,087,160
A-Class:
Net assets	$	2,610,235
Capital shares outstanding		155,985
Net asset value per share	$	16.73
Maximum offering price per share (Net asset value divided by 95.25%)	$	17.56
C-Class:
Net assets	$	195,220
Capital shares outstanding		13,380
Net asset value per share	$	14.59
P-Class:
Net assets	$	1,650,139
Capital shares outstanding		97,818
Net asset value per share	$	16.87
Institutional Class:
Net assets	$	25,631,566
Capital shares outstanding		1,042,258
Net asset value per share	$	24.59

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends	$	731,726
Interest		8,213
Total investment income		739,939
Expenses:
Management fees		310,045
Distribution and service fees:
A-Class		7,410
C-Class		2,473
P-Class		4,602
Transfer agent/maintenance fees:
A-Class		6,635
C-Class		796
P-Class		2,382
Institutional Class		20,607
Registration fees		62,698
Professional fees		41,470
Fund accounting/administration fees		30,736
Trustees’ fees*		12,857
Custodian fees		11,597
Line of credit fees		1,025
Miscellaneous		14,585
Recoupment of previously waived fees:
A-Class		738
C-Class		68
P-Class		572
Institutional Class		17,352
Total expenses		548,648
Less:
Expenses reimbursed by Adviser:
A-Class		(4,358	)
C-Class		(596	)
P-Class		(1,078	)
Institutional Class		(8,066	)
Expenses waived by Adviser		(541	)
Total waived/reimbursed expenses		(14,639	)
Net expenses		534,009
Net investment income		205,930
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(567,224	)
Swap agreements		(774,197	)
Net realized loss		(1,341,421	)
Net change in unrealized appreciation (depreciation) on:
Investments		(4,362,603	)
Swap agreements		3,531,961
Net change in unrealized appreciation (depreciation)		(830,642	)
Net realized and unrealized loss		(2,172,063	)
Net decrease in net assets resulting from operations	$	(1,966,133	)

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

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

ALPHA OPPORTUNITY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	205,930		$	282,314
Net realized gain (loss) on investments		(1,341,421	)		923,696
Net change in unrealized appreciation (depreciation) on investments		(830,642	)		1,826,972
Net increase (decrease) in net assets resulting from operations		(1,966,133	)		3,032,982
Distributions to shareholders:
A-Class		(25,810	)		(41,923	)
C-Class		(554	)		(666	)
P-Class		(17,637	)		(18,203	)
Institutional Class		(238,313	)		(351,160	)
Total distributions to shareholders		(282,314	)		(411,952	)
Capital share transactions:
Proceeds from sale of shares
A-Class		166,738			168,044
C-Class		980			3,300
P-Class		150,241			941,686
Institutional Class		458,517			434,959
Distributions reinvested
A-Class		22,964			39,965
C-Class		525			628
P-Class		17,637			18,203
Institutional Class		234,219			345,735
Cost of shares redeemed
A-Class		(413,839	)		(814,018	)
C-Class		(70,209	)		(102,868	)
P-Class		(245,270	)		(351,042	)
Institutional Class		(2,939,045	)		(5,557,148	)
Net decrease from capital share transactions		(2,616,542	)		(4,872,556	)
Net decrease in net assets		(4,864,989	)		(2,251,526	)
Net assets:
Beginning of year		34,952,149			37,203,675
End of year	$	30,087,160		$	34,952,149
Capital share activity:
Shares sold
A-Class		8,794			9,329
C-Class		61			215
P-Class		8,039			52,371
Institutional Class		16,552			16,972
Shares issued from reinvestment of distributions
A-Class		1,171			2,300
C-Class		31			41
P-Class		892			1,038
Institutional Class		8,141			13,612
Shares redeemed
A-Class		(22,446	)		(46,125	)
C-Class		(4,318	)		(6,688	)
P-Class		(12,977	)		(19,588	)
Institutional Class		(108,537	)		(212,990	)
Net decrease in shares		(104,597	)		(189,513	)

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

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	18.05		$	16.89		$	17.42		$	19.15		$	21.10
Income (loss) from investment operations:
Net investment income (loss)a		.07			.10			.11			.12			.10
Net gain (loss) on investments (realized and unrealized)		(1.23	)		1.27			(.48	)		(1.64	)		(.60	)
Total from investment operations		(1.16	)		1.37			(.37	)		(1.52	)		(.50	)
Less distributions from:
Net investment income		(.16	)		(.21	)		(.16	)		(.21	)		—
Net realized gains		—			—			—			—			(1.45	)
Total distributions		(.16	)		(.21	)		(.16	)		(.21	)		(1.45	)
Net asset value, end of period	$	16.73		$	18.05		$	16.89		$	17.42		$	19.15
Total Returnb		(6.55	%)		8.17	%		(2.15	%)		(7.97	%)		(2.90	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,610		$	3,042		$	3,429		$	7,326		$	11,243
Ratios to average net assets:
Net investment income (loss)		0.39	%		0.56	%		0.65	%		0.64	%		0.51	%
Total expensesc		1.91	%		1.94	%		1.73	%		1.65	%		1.54	%
Net expensesd,e,f		1.76	%		1.76	%		1.69	%		1.64	%		1.54	%
Portfolio turnover rate		283	%		169	%		209	%		126	%		255	%

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	15.76		$	14.71		$	15.16		$	16.61		$	18.62
Income (loss) from investment operations:
Net investment income (loss)a		(.06	)		(.03	)		(.02	)		(.03	)		(.05	)
Net gain (loss) on investments (realized and unrealized)		(1.08	)		1.11			(.43	)		(1.42	)		(.51	)
Total from investment operations		(1.14	)		1.08			(.45	)		(1.45	)		(.56	)
Less distributions from:
Net investment income		(.03	)		(.03	)		—			—			—
Net realized gains		—			—			—			—			(1.45	)
Total distributions		(.03	)		(.03	)		—			—			(1.45	)
Net asset value, end of period	$	14.59		$	15.76		$	14.71		$	15.16		$	16.61
Total Returnb		(7.25	%)		7.37	%		(2.97	%)		(8.73	%)		(3.65	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	195		$	277		$	354		$	702		$	1,036
Ratios to average net assets:
Net investment income (loss)		(0.37	%)		(0.19	%)		(0.15	%)		(0.20	%)		(0.31	%)
Total expensesc		2.75	%		2.75	%		2.72	%		2.55	%		2.34	%
Net expensesd,e,f		2.51	%		2.51	%		2.51	%		2.48	%		2.31	%
Portfolio turnover rate		283	%		169	%		209	%		126	%		255	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	18.21		$	17.06		$	17.56		$	19.23		$	21.19
Income (loss) from investment operations:
Net investment income (loss)a		.07			.10			.12			.11			.10
Net gain (loss) on investments (realized and unrealized)		(1.24	)		1.28			(.49	)		(1.64	)		(.61	)
Total from investment operations		(1.17	)		1.38			(.37	)		(1.53	)		(.51	)
Less distributions from:
Net investment income		(.17	)		(.23	)		(.13	)		(.14	)		—
Net realized gains		—			—			—			—			(1.45	)
Total distributions		(.17	)		(.23	)		(.13	)		(.14	)		(1.45	)
Net asset value, end of period	$	16.87		$	18.21		$	17.06		$	17.56		$	19.23
Total Return		(6.54	%)		8.17	%		(2.11	%)		(7.99	%)		(2.93	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,650		$	1,855		$	1,161		$	1,905		$	4,525
Ratios to average net assets:
Net investment income (loss)		0.39	%		0.54	%		0.70	%		0.59	%		0.47	%
Total expensesc		1.82	%		1.96	%		1.67	%		1.67	%		1.58	%
Net expensesd,e,f		1.76	%		1.76	%		1.64	%		1.66	%		1.57	%
Portfolio turnover rate		283	%		169	%		209	%		126	%		255	%

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

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	26.44		$	24.65		$	25.37		$	27.77		$	29.86
Income (loss) from investment operations:
Net investment income (loss)a		.17			.22			.25			.28			.27
Net gain (loss) on investments (realized and unrealized)		(1.81	)		1.85			(.72	)		(2.37	)		(.91	)
Total from investment operations		(1.64	)		2.07			(.47	)		(2.09	)		(.64	)
Less distributions from:
Net investment income		(.21	)		(.28	)		(.25	)		(.31	)		—
Net realized gains		—			—			—			—			(1.45	)
Total distributions		(.21	)		(.28	)		(.25	)		(.31	)		(1.45	)
Net asset value, end of period	$	24.59		$	26.44		$	24.65		$	25.37		$	27.77
Total Return		(6.31	%)		8.46	%		(1.87	%)		(7.57	%)		(2.50	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	25,632		$	29,778		$	32,260		$	79,318		$	181,095
Ratios to average net assets:
Net investment income (loss)		0.64	%		0.82	%		1.00	%		1.05	%		0.94	%
Total expensesc		1.54	%		1.58	%		1.36	%		1.22	%		1.12	%
Net expensesd,e,f		1.51	%		1.50	%		1.36	%		1.21	%		1.12	%
Portfolio turnover rate		283	%		169	%		209	%		126	%		255	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	0.02%	0.01%	0.02%	0.09%	0.02%
C-Class	0.03%	0.01%	0.01%	0.04%	0.07%
P-Class	0.03%	0.01%	0.01%	0.03%	0.04%
Institutional Class	0.06%	0.02%	0.00%*	0.00%*	—

* Less than 0.01%.

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	1.76%	1.76%	1.69%	1.64%	1.52%
C-Class	2.51%	2.51%	2.51%	2.48%	2.30%
P-Class	1.76%	1.76%	1.64%	1.66%	1.56%
Institutional Class	1.50%	1.50%	1.36%	1.21%	1.11%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Large Cap Value Fund (the “Fund”). The Fund is managed by a team of seasoned professionals, led by David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; James Schier, CFA, Senior Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, 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 -6.43%¹,outperforming the Russell 1000 Value Index (“Index”), the Fund’s benchmark, which returned -11.36% for the same period.

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

After a positive start during the early months of the Reporting Period, the market as a whole came under pressure as the Fed strove to contain inflation by raising rates at the same time that the market had to deal with the uncertainty over the Ukraine invasion. The Fund’s general focus towards quality companies (those with better balance sheets than peers) that meet our valuation parameters tended to position the holdings well in most sectors. In fact, the Fund experienced significant positive contributions from our security selection and sector allocation.

The Fund had an overweight to the Energy sector throughout the period, which contributed the most to the Fund’s outperformance versus its benchmark. The Fund’s holdings within the Energy sector returned over 40% during the period while the overall benchmark recorded an -11.4% loss. EQT Corp., a natural gas producer, was up over 80% as natural gas prices spiked as a result of the Russian Ukraine War and Europe’s supply of natural gas being curtailed. Marathon Oil and ConocoPhillips, both oil producers, performed extremely well as oil prices improved and the companies exercised capital discipline throughout 2022. Another positive contributor to performance was the Fund’s overweight to the Utilities sector. Constellation Energy, a spin-off from Exelon Corp., fared well as passage of the Inflation Reduction Act favored companies with nuclear power generation assets. One of the best performers in the Fund was McKesson Corp., within the Health Care sector, as it continued to grow revenue and earnings in its U.S. businesses and divested some of its European businesses.

The Fund’s largest detractor from performance was PVH Corp., a clothing and apparel company. The company’s European exposure held back sales and profitability throughout the year. Two other poor performers for the Fund were in the Technology sector, Qorvo, Inc. and Skyworks Solutions. Both companies have products that sell to the smartphone and mobile infrastructure industries which have experienced reduced demand post-pandemic.

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

The market outlook is unusually cloudy. In addition to the geopolitical uncertainty that appears to be potentially significant, the market must contend with a hawkish Federal Reserve. Together, this provides a challenging environment for economic growth. All of this, however, does not change our process which is heavily bottom-up driven.

At the end of the Reporting Period, the Fund held an overweight to the Utilities sector and a similar size underweight to the REITs sector. Both sectors are interest rate-sensitive, but we favor Utilities because of the valuations, profitability, and regulatory nature of the businesses within this sector. We are also overweight the Energy and Materials sectors, two sectors that are expected to trade at attractive valuations and have ample free cash flow to re-invest in their businesses and return capital to shareholders. The Fund is underweight to the Financials and Health Care sectors. Higher interest rates may benefit the Financials sector, but a possible looming recession could increase credit costs and depress earnings. Within the Health Care sector, the Fund is primarily underweight to the Pharmaceuticals sector, which has performed well, but which may provide disappointing earnings and cash flow post-pandemic.

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.

30 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

LARGE CAP VALUE 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	August 7, 1944
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	June 7, 2013

Ten Largest Holdings (% of Total Net Assets)
iShares Russell 1000 Value ETF	3.8%
Berkshire Hathaway, Inc. — Class B	2.6%
Chevron Corp.	2.6%
JPMorgan Chase & Co.	2.6%
Johnson & Johnson	2.6%
Humana, Inc.	2.3%
Bank of America Corp.	2.1%
Alphabet, Inc. — Class A	2.0%
Tyson Foods, Inc. — Class A	1.9%
OGE Energy Corp.	1.9%
Top Ten Total	24.4%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 31

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	(6.43%)	5.82%	9.10%
A-Class Shares with sales charge‡	(10.88%)	4.80%	8.57%
C Class Shares	(7.13%)	5.03%	8.28%
C-Class Shares with CDSC§	(7.99%)	5.03%	8.28%
Russell 1000 Value Index	(11.36%)	5.29%	9.17%

	1 Year	5 Year	Since Inception (05/01/15)
P Class Shares	(6.44%)	5.82%	6.72%
Russell 1000 Value Index	(11.36%)	5.29%	6.17%

	1 Year	5 Year	Since Inception (06/07/13)
Institutional Class Shares	(6.20%)	6.08%	8.03%
Russell 1000 Value Index	(11.36%)	5.29%	7.78%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 1000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. 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 February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year average annual returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

32 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2022
LARGE CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 93.2%
Consumer, Non-cyclical - 20.9%
Johnson & Johnson		5,891	$	962,354
Humana, Inc.		1,783		865,094
Tyson Foods, Inc. — Class A		11,064		729,449
Quest Diagnostics, Inc.		4,551		558,362
Medtronic plc		6,416		518,092
Merck & Company, Inc.		5,702		491,056
Ingredion, Inc.		5,963		480,141
J M Smucker Co.		3,422		470,217
McKesson Corp.		1,287		437,413
Archer-Daniels-Midland Co.		4,742		381,494
Bunge Ltd.		4,570		377,345
Henry Schein, Inc.*		5,653		371,798
Amgen, Inc.		1,276		287,610
Pfizer, Inc.		5,946		260,197
HCA Healthcare, Inc.		1,346		247,381
Bristol-Myers Squibb Co.		3,336		237,156
Encompass Health Corp.		4,969		224,748
Total Consumer, Non-cyclical				7,899,907
Financial - 16.3%
Berkshire Hathaway, Inc. — Class B*		3,695		986,639
JPMorgan Chase & Co.		9,211		962,549
Bank of America Corp.		26,040		786,408
Wells Fargo & Co.		12,050		484,651
Charles Schwab Corp.		6,546		470,461
Voya Financial, Inc.		5,223		315,991
Goldman Sachs Group, Inc.		1,059		310,340
Mastercard, Inc. — Class A		1,017		289,174
KeyCorp		13,579		217,536
American Tower Corp. — Class A REIT		971		208,474
BOK Financial Corp.		2,309		205,178
Medical Properties Trust, Inc. REIT		17,169		203,624
STAG Industrial, Inc. REIT		6,837		194,376
Gaming and Leisure Properties, Inc. REIT		4,284		189,524
T. Rowe Price Group, Inc.		1,638		172,006
Park Hotels & Resorts, Inc. REIT		13,080		147,281
Total Financial				6,144,212
Utilities - 9.6%
OGE Energy Corp.		19,951		727,413
Edison International		8,141		460,618
Exelon Corp.		11,707		438,544
Constellation Energy Corp.		4,983		414,536
Pinnacle West Capital Corp.		6,376		411,316
Duke Energy Corp.		3,752		349,011
Black Hills Corp.		5,047		341,833
NiSource, Inc.		12,480		314,371
PPL Corp.		6,676		169,237
Total Utilities				3,626,879
Energy - 9.6%
Chevron Corp.		6,700		962,589
ConocoPhillips		6,696		685,269
Coterra Energy, Inc. — Class A		17,152		448,010
Pioneer Natural Resources Co.		1,695		367,018
Kinder Morgan, Inc.		18,532		308,372
Diamondback Energy, Inc.		2,535		305,366
Marathon Oil Corp.		12,079		272,744
Equities Corp.		5,018		204,484
Patterson-UTI Energy, Inc.		6,056		70,734
Total Energy				3,624,586
Communications - 8.5%
Alphabet, Inc. — Class A*		8,073		772,183
Verizon Communications, Inc.		18,704		710,191
T-Mobile US, Inc.*		2,887		387,349
Comcast Corp. — Class A		12,661		371,347
Cisco Systems, Inc.		8,837		353,480
Fox Corp. — Class B		9,888		281,808
Juniper Networks, Inc.		8,031		209,769
Walt Disney Co.*		1,396		131,685
Total Communications				3,217,812
Consumer, Cyclical - 7.5%
Walmart, Inc.		4,802		622,819
DR Horton, Inc.		6,046		407,198
PACCAR, Inc.		3,884		325,052
Delta Air Lines, Inc.*		11,162		313,206
Whirlpool Corp.		2,259		304,536
Southwest Airlines Co.*		9,056		279,287
Home Depot, Inc.		947		261,315
Ralph Lauren Corp. — Class A		2,214		188,035
PVH Corp.		2,805		125,664
Total Consumer, Cyclical				2,827,112
Industrial - 7.5%
Curtiss-Wright Corp.		3,913		544,533
Knight-Swift Transportation Holdings, Inc.		9,555		467,526
L3Harris Technologies, Inc.		2,153		447,458
Johnson Controls International plc		8,932		439,633
Valmont Industries, Inc.		1,520		408,302
FedEx Corp.		2,144		318,320
Advanced Energy Industries, Inc.		2,506		193,990
Total Industrial				2,819,762
Technology - 7.4%
Micron Technology, Inc.		13,267		664,677
KLA Corp.		1,291		390,695
Leidos Holdings, Inc.		4,450		389,242
Microsoft Corp.		1,608		374,503
Teradyne, Inc.		4,240		318,636
Fiserv, Inc.*		3,397		317,857
Amdocs Ltd.		3,001		238,429
MACOM Technology Solutions Holdings, Inc.*		1,783		92,342
Total Technology				2,786,381
Basic Materials - 5.9%
Westlake Corp.		6,132		532,748
Huntsman Corp.		20,921		513,401
Reliance Steel & Aluminum Co.		1,872		326,496

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
LARGE CAP VALUE FUND

	Shares		Value
Nucor Corp.		2,686	$	287,375
Freeport-McMoRan, Inc.		9,948		271,879
International Flavors & Fragrances, Inc.		1,327		120,531
Dow, Inc.		2,118		93,044
DuPont de Nemours, Inc.		1,392		70,157
Total Basic Materials				2,215,631
Total Common Stocks
(Cost $32,291,103)				35,162,282
EXCHANGE-TRADED FUNDS† - 3.8%
iShares Russell 1000 Value ETF		10,524		1,431,159
Total Exchange-Traded Funds
(Cost $1,527,010)				1,431,159
MONEY MARKET FUND† - 3.8%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%1		1,435,633		1,435,633
Total Money Market Fund
(Cost $1,435,633)				1,435,633
Total Investments - 100.8%
(Cost $35,253,746)			$	38,029,074
Other Assets & Liabilities, net - (0.8)%				(301,142	)
Total Net Assets - 100.0%			$	37,727,932

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
1	Rate indicated is the 7-day yield as of September 30, 2022.
	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	$	35,162,282	$	—	$	—	$	35,162,282
Exchange-Traded Funds		1,431,159		—		—		1,431,159
Money Market Fund		1,435,633		—		—		1,435,633
Total Assets	$	38,029,074	$	—	$	—	$	38,029,074

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

LARGE CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments, at value (cost $35,253,746)	$	38,029,074
Prepaid expenses		32,184
Receivables:
Dividends		45,734
Interest		3,125
Total assets		38,110,117
Liabilities:
Overdraft due to custodian bank		4,333
Payable for:
Securities purchased		309,763
Professional fees		28,425
Management fees		11,550
Distribution and service fees		8,298
Trustees’ fees*		6,254
Fund accounting/administration fees		4,571
Transfer agent/maintenance fees		3,927
Fund shares redeemed		1,802
Miscellaneous		3,262
Total liabilities		382,185
Net assets	$	37,727,932
Net assets consist of:
Paid in capital	$	31,369,253
Total distributable earnings (loss)		6,358,679
Net assets	$	37,727,932
A-Class:
Net assets	$	30,732,691
Capital shares outstanding		702,436
Net asset value per share	$	43.75
Maximum offering price per share (Net asset value divided by 95.25%)	$	45.93
C-Class:
Net assets	$	1,652,716
Capital shares outstanding		41,903
Net asset value per share	$	39.44
P-Class:
Net assets	$	96,977
Capital shares outstanding		2,225
Net asset value per share	$	43.59
Institutional Class:
Net assets	$	5,245,548
Capital shares outstanding		121,691
Net asset value per share	$	43.11

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends	$	907,126
Interest		9,968
Total investment income		917,094
Expenses:
Management fees		264,776
Distribution and service fees:
A-Class		91,224
C-Class		14,589
P-Class		375
Transfer agent/maintenance fees:
A-Class		36,922
C-Class		3,127
P-Class		539
Institutional Class		1,807
Registration fees		77,320
Professional fees		34,941
Fund accounting/administration fees		32,956
Trustees’ fees*		11,678
Custodian fees		3,074
Line of credit fees		1,155
Miscellaneous		7,255
Total expenses		581,738
Less:
Expenses reimbursed by Adviser:
A-Class		(39,584	)
C-Class		(3,273	)
P-Class		(547	)
Institutional Class		(2,197	)
Expenses waived by Adviser		(69,790	)
Total waived/reimbursed expenses		(115,391	)
Net expenses		466,347
Net investment income		450,747
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		3,580,356
Net realized gain		3,580,356
Net change in unrealized appreciation (depreciation) on:
Investments		(6,500,785	)
Net change in unrealized appreciation (depreciation)		(6,500,785	)
Net realized and unrealized loss		(2,920,429	)
Net decrease in net assets resulting from operations	$	(2,469,682	)

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

LARGE CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	450,747		$	321,913
Net realized gain on investments		3,580,356			2,617,799
Net change in unrealized appreciation (depreciation) on investments		(6,500,785	)		8,907,008
Net increase (decrease) in net assets resulting from operations		(2,469,682	)		11,846,720
Distributions to shareholders:
A-Class		(2,507,851	)		(2,193,216	)
C-Class		(71,394	)		(62,032	)
P-Class		(14,229	)		(10,031	)
Institutional Class		(104,499	)		(41,693	)
Total distributions to shareholders		(2,697,973	)		(2,306,972	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,652,023			1,547,889
C-Class		1,012,743			798,269
P-Class		97,002			52,916
Institutional Class		5,240,686			809,667
Distributions reinvested
A-Class		2,467,309			2,145,743
C-Class		71,394			62,032
P-Class		13,975			10,031
Institutional Class		104,499			41,693
Cost of shares redeemed
A-Class		(5,675,420	)		(4,617,822	)
C-Class		(398,244	)		(856,471	)
P-Class		(195,391	)		(79,066	)
Institutional Class		(922,034	)		(132,982	)
Net increase (decrease) from capital share transactions		3,468,542			(218,101	)
Net increase (decrease) in net assets		(1,699,113	)		9,321,647
Net assets:
Beginning of year		39,427,045			30,105,398
End of year	$	37,727,932		$	39,427,045
Capital share activity:
Shares sold
A-Class		33,081			32,527
C-Class		22,757			18,265
P-Class		1,910			1,148
Institutional Class		111,528			16,692
Shares issued from reinvestment of distributions
A-Class		50,292			51,016
C-Class		1,605			1,616
P-Class		286			239
Institutional Class		2,166			1,007
Shares redeemed
A-Class		(113,292	)		(99,103	)
C-Class		(8,672	)		(19,854	)
P-Class		(3,856	)		(1,957	)
Institutional Class		(19,629	)		(2,711	)
Net increase (decrease) in shares		78,176			(1,115	)

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

LARGE CAP VALUE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	50.08		$	38.17		$	43.56		$	48.08		$	46.96
Income (loss) from investment operations:
Net investment income (loss)a		.56			.41			.97			.62			.48
Net gain (loss) on investments (realized and unrealized)		(3.40	)		14.51			(2.97	)		(2.66	)		4.46
Total from investment operations		(2.84	)		14.92			(2.00	)		(2.04	)		4.94
Less distributions from:
Net investment income		(.43	)		(1.30	)		(.70	)		(.36	)		(.51	)
Net realized gains		(3.06	)		(1.71	)		(2.69	)		(2.12	)		(3.31	)
Total distributions		(3.49	)		(3.01	)		(3.39	)		(2.48	)		(3.82	)
Net asset value, end of period	$	43.75		$	50.08		$	38.17		$	43.56		$	48.08
Total Returnb		(6.43	%)		40.59	%		(5.58	%)		(3.59	%)		10.82	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	30,733		$	36,678		$	28,548		$	53,248		$	56,369
Ratios to average net assets:
Net investment income (loss)		1.11	%		0.88	%		2.40	%		1.42	%		1.03	%
Total expensesc		1.41	%		1.47	%		1.46	%		1.31	%		1.31	%
Net expensesd,e,f		1.13	%		1.15	%		1.15	%		1.15	%		1.15	%
Portfolio turnover rate		33	%		19	%		25	%		37	%		24	%

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	45.43		$	34.79		$	39.77		$	44.03		$	43.29
Income (loss) from investment operations:
Net investment income (loss)a		.18			.05			.62			.26			.12
Net gain (loss) on investments (realized and unrealized)		(3.07	)		13.23			(2.74	)		(2.40	)		4.09
Total from investment operations		(2.89	)		13.28			(2.12	)		(2.14	)		4.21
Less distributions from:
Net investment income		(.04	)		(.93	)		(.17	)		—			(.16	)
Net realized gains		(3.06	)		(1.71	)		(2.69	)		(2.12	)		(3.31	)
Total distributions		(3.10	)		(2.64	)		(2.86	)		(2.12	)		(3.47	)
Net asset value, end of period	$	39.44		$	45.43		$	34.79		$	39.77		$	44.03
Total Returnb		(7.13	%)		39.55	%		(6.30	%)		(4.28	%)		9.97	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,653		$	1,191		$	911		$	1,533		$	2,632
Ratios to average net assets:
Net investment income (loss)		0.39	%		0.12	%		1.69	%		0.66	%		0.28	%
Total expensesc		2.29	%		2.36	%		2.43	%		2.18	%		2.10	%
Net expensesd,e,f		1.88	%		1.89	%		1.90	%		1.90	%		1.90	%
Portfolio turnover rate		33	%		19	%		25	%		37	%		24	%

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

LARGE CAP VALUE FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	49.91		$	38.06		$	43.46		$	48.00		$	46.91
Income (loss) from investment operations:
Net investment income (loss)a		.53			.41			.83			.61			.49
Net gain (loss) on investments (realized and unrealized)		(3.34	)		14.46			(2.82	)		(2.64	)		4.44
Total from investment operations		(2.81	)		14.87			(1.99	)		(2.03	)		4.93
Less distributions from:
Net investment income		(.45	)		(1.31	)		(.72	)		(.39	)		(.53	)
Net realized gains		(3.06	)		(1.71	)		(2.69	)		(2.12	)		(3.31	)
Total distributions		(3.51	)		(3.02	)		(3.41	)		(2.51	)		(3.84	)
Net asset value, end of period	$	43.59		$	49.91		$	38.06		$	43.46		$	48.00
Total Return		(6.44	%)		40.60	%		(5.58	%)		(3.58	%)		10.80	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	97		$	194		$	170		$	155		$	147
Ratios to average net assets:
Net investment income (loss)		1.05	%		0.87	%		2.12	%		1.41	%		1.03	%
Total expensesc		1.67	%		1.71	%		1.72	%		1.60	%		1.59	%
Net expensesd,e,f		1.14	%		1.15	%		1.15	%		1.15	%		1.15	%
Portfolio turnover rate		33	%		19	%		25	%		37	%		24	%

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

LARGE CAP VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	49.39		$	37.71		$	43.08		$	47.60		$	46.56
Income (loss) from investment operations:
Net investment income (loss)a		.71			.52			.98			.71			.64
Net gain (loss) on investments (realized and unrealized)		(3.38	)		14.31			(2.84	)		(2.63	)		4.35
Total from investment operations		(2.67	)		14.83			(1.86	)		(1.92	)		4.99
Less distributions from:
Net investment income		(.55	)		(1.44	)		(.82	)		(.48	)		(.64	)
Net realized gains		(3.06	)		(1.71	)		(2.69	)		(2.12	)		(3.31	)
Total distributions		(3.61	)		(3.15	)		(3.51	)		(2.60	)		(3.95	)
Net asset value, end of period	$	43.11		$	49.39		$	37.71		$	43.08		$	47.60
Total Return		(6.20	%)		40.93	%		(5.35	%)		(3.33	%)		11.04	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,246		$	1,364		$	477		$	798		$	5,946
Ratios to average net assets:
Net investment income (loss)		1.46	%		1.10	%		2.50	%		1.65	%		1.39	%
Total expensesc		1.15	%		1.24	%		1.35	%		1.14	%		1.00	%
Net expensesd,e,f		0.88	%		0.89	%		0.90	%		0.90	%		0.90	%
Portfolio turnover rate		33	%		19	%		25	%		37	%		24	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	—	—	0.00%*	0.00%*	0.00%*
C-Class	—	—	0.00%*	—	0.00%*
P-Class	—	—	—	—	—
Institutional Class	—	—	—	—	—

* Less than 0.01%.

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	1.13%	1.14%	1.15%	1.15%	1.15%
C-Class	1.88%	1.89%	1.90%	1.90%	1.90%
P-Class	1.13%	1.14%	1.15%	1.15%	1.15%
Institutional Class	0.88%	0.89%	0.90%	0.90%	0.90%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Market Neutral Real Estate Fund (the “Fund”). The Fund is managed by a team of seasoned professionals led by Michael Chong, CFA, Director and Portfolio Manager, and Samir Sanghani, CFA, Managing 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 -2.81%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?

The Reporting Period was significantly impacted by challenging macroeconomics, highlighted by inflation not seen in generations and the Federal Reserve’s efforts to reign in the economy through a series of ongoing interest rate hikes. Given the rapid ascent in interest rates, market participants worried that the Fed’s actions would tip the economy into a recession. Outside the U.S., the ongoing war in Ukraine as well as the related energy price volatility also added to the outstanding risks.

The Fund continues to be driven by a fundamental approach to stock-picking, integrating macro and sector outlooks as appropriate. The Fund pursues a generally beta neutral approach to portfolio construction such that alpha is primarily driven by company and sector views.

During the Reporting Period, the biggest positive contributor to Fund performance was the Net Lease sector, which benefitted from a sector underweight positioning into a rising interest rate environment. Industrial REITs also contributed, driven by shorts in Stag Industrial, Inc. and Industrial Logistics Properties Trust. Data Center REITs were buoyed by positive contribution from CyrusOne (long), which was taken private.

The biggest negative contributor to Fund performance was the Health Care sector, principally hurt by short positions in LTC Properties, Inc. and Omega Healthcare Investors, Inc., two skilled nursing facility owners that rallied despite ongoing tenant and credit issues. The Self-Storage sector was also a negative contributor, led by National Storage Affiliates Trust, whose attractive relative valuation did not translate into outperformance. Lastly, the Strip Retail sector was another negative contributor as concerns around tenant health weighed on a typically defensive sector.

How did the Fund use derivatives during the Reporting Period?

The derivatives in which the Fund invests include, among other derivatives, swap agreements (some of these instruments may be traded in the over-the-counter market). These investments will be used to obtain the Fund’s short exposure and may also be used to hedge the Fund’s portfolio, to maintain long exposure to the equity markets, to increase returns, to generate income, or to seek to manage volatility of the portfolio.

During the Reporting Period, swaps were utilized to hedge the long sleeve of the portfolio. The usage of these swaps contributed positively to Fund performance. However, given the hedged nature of the portfolio, the swap contribution is more muted to overall total return.

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

Management expects the Fund will continue to add potential high-alpha pairs (a trade involving both a long and short holding with the objective of realizing a strong positive return) to seek to generate returns consistent with the Fund’s strategy. Given the current macroeconomic environment, the Fund is more conservative in its asset allocation than is typical. However, the Fund is capable of adding exposure as conditions warrant.

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.

40 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

MARKET NEUTRAL REAL ESTATE FUND

OBJECTIVE: Seeks to provide capital appreciation, while limiting exposure to general stock market risk.

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	February 26, 2016
C-Class	February 26, 2016
P-Class	February 26, 2016
Institutional Class	February 26, 2016

Ten Largest Holdings (% of Total Net Assets)
Sun Communities, Inc.	3.7%
Equity Residential	3.1%
AvalonBay Communities, Inc.	3.1%
National Storage Affiliates Trust	2.7%
Ryman Hospitality Properties, Inc.	2.6%
Alexandria Real Estate Equities, Inc.	2.5%
Agree Realty Corp.	2.3%
Gaming and Leisure Properties, Inc.	2.3%
NETSTREIT Corp.	2.3%
Rexford Industrial Realty, Inc.	2.1%
Top Ten Total	26.7%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

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	Since Inception (02/26/16)
A Class Shares	(2.81%)	2.51%	2.80%
A-Class Shares with sales charge‡	(7.44%)	1.52%	2.04%
C Class Shares	(3.53%)	1.72%	2.02%
C-Class Shares with CDSC§	(4.50%)	1.72%	2.02%
P Class Shares	(2.83%)	2.42%	2.73%
Institutional Class Shares	(2.57%)	2.72%	3.02%
ICE BofA 3-Month U.S. Treasury Bill Index	0.62%	1.15%	1.00%

*	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 is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. 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 February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year average annual returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

42 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2022
MARKET NEUTRAL REAL ESTATE FUND

	Shares		Value
COMMON STOCKS† - 43.8%
REITs - 43.8%
REITs-Apartments - 6.2%
Equity Residential		21,456	$	1,442,272
AvalonBay Communities, Inc.		7,729		1,423,605
Total REITs-Apartments				2,865,877
REITs-Diversified - 5.5%
Gaming and Leisure Properties, Inc.		23,790		1,052,470
SBA Communications Corp.		1,395		397,087
Crown Castle, Inc.		2,654		383,636
American Tower Corp. — Class A		1,762		378,301
InvenTrust Properties Corp.		15,807		337,163
Total REITs-Diversified				2,548,657
REITs-Office Property - 5.0%
Alexandria Real Estate Equities, Inc.		8,144		1,141,707
Boston Properties, Inc.		5,359		401,764
Piedmont Office Realty Trust, Inc. — Class A		37,190		392,726
Cousins Properties, Inc.		16,102		375,982
Total REITs-Office Property				2,312,179
REITs-Health Care - 5.0%
CareTrust REIT, Inc.		52,574		952,115
Ventas, Inc.		23,284		935,318
Healthcare Realty Trust, Inc.		20,131		419,731
Total REITs-Health Care				2,307,164
REITs-Shopping Centers - 4.8%
NETSTREIT Corp.		58,900		1,049,009
SITE Centers Corp.		61,259		656,084
Brixmor Property Group, Inc.		28,886		533,525
Total REITs-Shopping Centers				2,238,618
REITs-Hotels - 4.6%
Ryman Hospitality Properties, Inc.		16,429		1,209,010
Xenia Hotels & Resorts, Inc.		67,520		931,101
Total REITs-Hotels				2,140,111
REITs-Single Tenant - 4.2%
Agree Realty Corp.		15,809		1,068,372
Four Corners Property Trust, Inc.		37,239		900,811
Total REITs-Single Tenant				1,969,183
REITs-Manufactured Homes - 3.7%
Sun Communities, Inc.		12,668		1,714,361
REITs-Storage - 2.7%
National Storage Affiliates Trust		29,979		1,246,527
REITs-Warehouse/Industries - 2.1%
Rexford Industrial Realty, Inc.		18,708		972,816
Total REITs				20,315,493
Total Common Stocks
(Cost $22,565,030)				20,315,493
MONEY MARKET FUND† - 53.0%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 2.49%1		24,594,293		24,594,293
Total Money Market Fund
(Cost $24,594,293)				24,594,293
Total Investments - 96.8%
(Cost $47,159,323)			$	44,909,786
Other Assets & Liabilities, net - 3.2%				1,507,054
Total Net Assets - 100.0%			$	46,416,840

Custom Basket Swap Agreements
Counterparty	Reference Obligation	Type	Financing Rate	Payment Frequency			Maturity Date	Notional Amount		Value and Unrealized Appreciation
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	07/22/24		$	10,049,317	$	2,368,814
Goldman Sachs International	GS Equity Custom Basket	Receive	2.86% (Federal Funds Rate - 0.22%)		At Maturity	05/06/24			9,989,549		2,344,011
								$	20,038,866	$	4,712,825

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MARKET NEUTRAL REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
MS EQUITY SHORT CUSTOM BASKET
Financial
Douglas Emmett, Inc.		25,800		(4.62	)%	$	353,289
Office Properties Income Trust		28,387		(3.97	)%		351,121
Broadstone Net Lease, Inc.		30,303		(4.68	)%		302,099
Necessity Retail REIT, Inc.		47,866		(2.80	)%		147,892
Phillips Edison & Company, Inc.		29,432		(8.22	)%		132,427
Realty Income Corp.		13,725		(7.95	)%		130,961
Host Hotels & Resorts, Inc.		47,628		(7.53	)%		89,707
Essex Property Trust, Inc.		2,503		(6.03	)%		86,758
Equity Commonwealth		23,107		(5.60	)%		75,550
Washington Real Estate Investment Trust		26,792		(4.68	)%		73,360
Omega Healthcare Investors, Inc.		9,898		(2.90	)%		69,722
Camden Property Trust		2,303		(2.74	)%		65,746
STAG Industrial, Inc.		18,148		(5.13	)%		63,178
Apartment Income REIT Corp.		7,258		(2.79	)%		57,578
Public Storage		1,515		(4.41	)%		45,394
Apple Hospitality REIT, Inc.		35,127		(4.91	)%		41,730
LTC Properties, Inc.		2,307		(0.86	)%		10,835
Extra Space Storage, Inc.		2,836		(4.87	)%		(4,205	)
Mid-America Apartment Communities, Inc.		2,966		(4.58	)%		(36,029	)
Total Financial							2,057,113
Exchange-Traded Funds
Vanguard Real Estate ETF		13,454		(10.73	)%		311,701
Total MS Equity Short Custom Basket						$	2,368,814
GS EQUITY SHORT CUSTOM BASKET
Financial
Douglas Emmett, Inc.		25,800		(4.66	)%		354,707
Office Properties Income Trust		28,387		(3.99	)%		352,125
Broadstone Net Lease, Inc.		30,303		(4.71	)%		294,415
Necessity Retail REIT, Inc.		47,866		(2.82	)%		148,728
Realty Income Corp.		13,725		(8.00	)%		129,982
Phillips Edison & Company, Inc.		29,432		(8.26	)%		125,856
Host Hotels & Resorts, Inc.		47,628		(7.57	)%		90,236
Essex Property Trust, Inc.		2,503		(6.07	)%		83,342
Equity Commonwealth		23,107		(5.63	)%		75,842
Washington Real Estate Investment Trust		26,792		(4.71	)%		73,794
Camden Property Trust		2,303		(2.75	)%		65,663
STAG Industrial, Inc.		18,148		(5.16	)%		63,594
Apartment Income REIT Corp.		7,258		(2.81	)%		57,201
Omega Healthcare Investors, Inc.		7,871		(2.32	)%		56,781
Public Storage		1,515		(4.44	)%		45,546
Apple Hospitality REIT, Inc.		35,127		(4.94	)%		41,604
LTC Properties, Inc.		2,307		(0.86	)%		10,902
Extra Space Storage, Inc.		2,836		(4.90	)%		(4,150	)
Mid-America Apartment Communities, Inc.		2,966		(4.60	)%		(35,847	)
Total Financial							2,030,321
Exchange-Traded Funds
Vanguard Real Estate ETF		13,454		(10.80	)%		313,690
Total GS Equity Short Custom Basket						$	2,344,011

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
MARKET NEUTRAL REAL ESTATE FUND

†	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
	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	$	20,315,493	$	—	$	—	$	20,315,493
Money Market Fund		24,594,293		—		—		24,594,293
Equity Custom Basket Swap Agreements**		—		4,712,825		—		4,712,825
Total Assets	$	44,909,786	$	4,712,825	$	—	$	49,622,611

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

MARKET NEUTRAL REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments, at value (cost $47,159,323)	$	44,909,786
Unrealized appreciation on OTC swap agreements		4,712,825
Prepaid expenses		31,313
Receivables:
Securities sold		477,535
Dividends		121,200
Interest		41,256
Fund shares sold		23,794
Total assets		50,317,709
Liabilities:
Overdraft due to custodian bank		4,405
Segregated cash due to broker		2,726,303
Payable for:
Swap settlement		949,553
Securities purchased		72,606
Fund shares redeemed		51,511
Management fees		28,242
Transfer agent/maintenance fees		13,373
Fund accounting/administration fees		4,616
Trustees’ fees*		975
Distribution and service fees		660
Miscellaneous		48,625
Total liabilities		3,900,869
Net assets	$	46,416,840
Net assets consist of:
Paid in capital	$	47,763,759
Total distributable earnings (loss)		(1,346,919	)
Net assets	$	46,416,840
A-Class:
Net assets	$	441,111
Capital shares outstanding		16,338
Net asset value per share	$	27.00
Maximum offering price per share (Net asset value divided by 95.25%)	$	28.35
C-Class:
Net assets	$	230,685
Capital shares outstanding		8,988
Net asset value per share	$	25.67
P-Class:
Net assets	$	1,698,544
Capital shares outstanding		65,153
Net asset value per share	$	26.07
Institutional Class:
Net assets	$	44,046,500
Capital shares outstanding		1,645,146
Net asset value per share	$	26.77

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends	$	720,408
Interest		126,358
Total investment income		846,766
Expenses:
Management fees		584,420
Distribution and service fees:
A-Class		2,307
C-Class		2,158
P-Class		5,580
Transfer agent/maintenance fees:
A-Class		6,816
C-Class		501
P-Class		5,099
Institutional Class		77,199
Registration fees		70,440
Professional fees		49,676
Fund accounting/administration fees		40,623
Trustees’ fees*		13,216
Custodian fees		6,153
Interest expense		1,866
Line of credit fees		1,464
Miscellaneous		15,422
Recoupment of previously waived fees:
P-Class		152
Institutional Class		4,789
Total expenses		887,881
Less:
Expenses reimbursed by Adviser:
A-Class		(6,592	)
C-Class		(490	)
P-Class		(5,010	)
Institutional Class		(77,727	)
Expenses waived by Adviser		(50,575	)
Total waived/reimbursed expenses		(140,394	)
Net expenses		747,487
Net investment income		99,279
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		1,846,225
Swap agreements		(3,943,961	)
Net realized loss		(2,097,736	)
Net change in unrealized appreciation (depreciation) on:
Investments		(6,180,766	)
Swap agreements		6,860,125
Net change in unrealized appreciation (depreciation)		679,359
Net realized and unrealized loss		(1,418,377	)
Net decrease in net assets resulting from operations	$	(1,319,098	)

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

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

MARKET NEUTRAL REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	99,279		$	115,196
Net realized loss on investments		(2,097,736	)		(1,509,328	)
Net change in unrealized appreciation (depreciation) on investments		679,359			868,339
Net decrease in net assets resulting from operations		(1,319,098	)		(525,793	)
Distributions to shareholders:
A-Class		—			(14,892	)
C-Class		—			(844	)
P-Class		—			(22,565	)
Institutional Class		(161,651	)		(194,416	)
Total distributions to shareholders		(161,651	)		(232,717	)
Capital share transactions:
Proceeds from sale of shares
A-Class		120,328			1,051,983
C-Class		50,203			8,148
P-Class		298,054			2,478,276
Institutional Class		11,581,110			41,746,970
Distributions reinvested
A-Class		—			11,281
C-Class		—			844
P-Class		—			22,118
Institutional Class		161,357			194,309
Cost of shares redeemed
A-Class		(1,539,819	)		(10,852,445	)
C-Class		(53,438	)		(92,256	)
P-Class		(1,266,443	)		(7,967,944	)
Institutional Class		(19,898,533	)		(25,212,495	)
Net increase (decrease) from capital share transactions		(10,547,181	)		1,388,789
Net increase (decrease) in net assets		(12,027,930	)		630,279
Net assets:
Beginning of year		58,444,770			57,814,491
End of year	$	46,416,840		$	58,444,770
Capital share activity:
Shares sold
A-Class		4,326			37,951
C-Class		1,906			299
P-Class		11,128			92,383
Institutional Class		424,223			1,518,199
Shares issued from reinvestment of distributions
A-Class		—			409
C-Class		—			32
P-Class		—			830
Institutional Class		5,876			7,103
Shares redeemed
A-Class		(55,191	)		(387,212	)
C-Class		(2,020	)		(3,473	)
P-Class		(47,625	)		(298,618	)
Institutional Class		(729,644	)		(919,986	)
Net increase (decrease) in shares		(387,021	)		47,917

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

MARKET NEUTRAL REAL ESTATE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	27.78		$	28.18		$	26.95		$	25.16		$	26.47
Income (loss) from investment operations:
Net investment income (loss)a		(.07	)		(.08	)		(.02	)		.25			.50
Net gain (loss) on investments (realized and unrealized)		(.71	)		(.24	)		2.30			1.78			(.41	)
Total from investment operations		(.78	)		(.32	)		2.28			2.03			.09
Less distributions from:
Net investment income		—			(.02	)		(.25	)		(.01	)		—
Net realized gains		—			(.06	)		(.80	)		(.23	)		(1.40	)
Total distributions		—			(.08	)		(1.05	)		(.24	)		(1.40	)
Net asset value, end of period	$	27.00		$	27.78		$	28.18		$	26.95		$	25.16
Total Returnb		(2.81	%)		(1.14	%)		8.81	%		8.12	%		0.13	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	441		$	1,867		$	11,723		$	2,766		$	2,482
Ratios to average net assets:
Net investment income (loss)		(0.25	%)		(0.29	%)		(0.06	%)		0.96	%		2.00	%
Total expensesc		2.42	%		2.08	%		2.38	%		3.99	%		5.01	%
Net expensesd,e,f		1.64	%		1.64	%		1.65	%		1.62	%		1.65	%
Portfolio turnover rate		49	%		264	%		355	%		180	%		216	%

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	26.61		$	27.20		$	26.07		$	24.67		$	26.16
Income (loss) from investment operations:
Net investment income (loss)a		(.19	)		(.22	)		(.15	)		.05			.12
Net gain (loss) on investments (realized and unrealized)		(.75	)		(.29	)		2.16			1.70			(.21	)
Total from investment operations		(.94	)		(.51	)		2.01			1.75			(.09	)
Less distributions from:
Net investment income		—			(.02	)		(.08	)		(.12	)		—
Net realized gains		—			(.06	)		(.80	)		(.23	)		(1.40	)
Total distributions		—			(.08	)		(.88	)		(.35	)		(1.40	)
Net asset value, end of period	$	25.67		$	26.61		$	27.20		$	26.07		$	24.67
Total Returnb		(3.53	%)		(1.88	%)		7.99	%		7.15	%		(0.59	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	231		$	242		$	333		$	135		$	134
Ratios to average net assets:
Net investment income (loss)		(0.72	%)		(0.83	%)		(0.56	%)		0.18	%		0.47	%
Total expensesc		2.72	%		2.71	%		3.17	%		4.66	%		5.72	%
Net expensesd,e,f		2.39	%		2.39	%		2.40	%		2.40	%		2.38	%
Portfolio turnover rate		49	%		264	%		355	%		180	%		216	%

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

MARKET NEUTRAL REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	26.83		$	27.23		$	26.10		$	25.14		$	26.48
Income (loss) from investment operations:
Net investment income (loss)a		(.03	)		(.04	)		—			.20			.33
Net gain (loss) on investments (realized and unrealized)		(.73	)		(.28	)		2.20			1.71			(.27	)
Total from investment operations		(.76	)		(.32	)		2.20			1.91			.06
Less distributions from:
Net investment income		—			(.02	)		(.27	)		(.72	)		—
Net realized gains		—			(.06	)		(.80	)		(.23	)		(1.40	)
Total distributions		—			(.08	)		(1.07	)		(.95	)		(1.40	)
Net asset value, end of period	$	26.07		$	26.83		$	27.23		$	26.10		$	25.14
Total Return		(2.83	%)		(1.17	%)		8.79	%		7.80	%		0.09	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,699		$	2,727		$	8,360		$	332		$	488
Ratios to average net assets:
Net investment income (loss)		(0.11	%)		(0.16	%)		0.00	%		0.77	%		1.26	%
Total expensesc		1.95	%		1.91	%		2.00	%		4.05	%		4.93	%
Net expensesd,e,f		1.64	%		1.64	%		1.65	%		1.65	%		1.65	%
Portfolio turnover rate		49	%		264	%		355	%		180	%		216	%

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

MARKET NEUTRAL REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	27.57		$	27.92		$	26.74		$	25.32		$	26.57
Income (loss) from investment operations:
Net investment income (loss)a		.06			.07			.09			.31			.36
Net gain (loss) on investments (realized and unrealized)		(.78	)		(.31	)		2.23			1.73			(.21	)
Total from investment operations		(.72	)		(.24	)		2.32			2.04			.15
Less distributions from:
Net investment income		(.08	)		(.05	)		(.34	)		(.39	)		—
Net realized gains		—			(.06	)		(.80	)		(.23	)		(1.40	)
Total distributions		(.08	)		(.11	)		(1.14	)		(.62	)		(1.40	)
Net asset value, end of period	$	26.77		$	27.57		$	27.92		$	26.74		$	25.32
Total Return		(2.57	%)		(0.87	%)		9.06	%		8.19	%		0.36	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	44,047		$	53,609		$	37,399		$	5,479		$	5,083
Ratios to average net assets:
Net investment income (loss)		0.21	%		0.27	%		0.32	%		1.18	%		1.39	%
Total expensesc		1.64	%		1.58	%		1.85	%		3.57	%		4.59	%
Net expensesd,e,f		1.39	%		1.39	%		1.40	%		1.40	%		1.40	%
Portfolio turnover rate		49	%		264	%		355	%		180	%		216	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	—	—	0.00%*	0.00%*	—
C-Class	0.00%*	—	0.00%*	0.02%	—
P-Class	0.01%	—	0.00%*	0.01%	—
Institutional Class	0.01%	—	0.00%*	0.03%	—

* Less than 0.01%.

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	1.63%	1.63%	1.65%	1.62%	1.65%
C-Class	2.38%	2.38%	2.40%	2.40%	2.37%
P-Class	1.63%	1.63%	1.64%	1.65%	1.65%
Institutional Class	1.38%	1.39%	1.40%	1.40%	1.38%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Risk Managed Real Estate Fund (the “Fund”). The Fund is managed by a team of seasoned professionals led by Michael Chong, CFA, Director and Portfolio Manager, and Samir Sanghani, CFA, Managing 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 -15.31%¹, outperforming the FTSE NAREIT Equity REITs Index (“Index”), the Fund’s benchmark, which returned -16.41% for the same period.

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

The Reporting Period was significantly impacted by challenging macroeconomics, highlighted by inflation not seen in decades and the Federal Reserve’s efforts to reign in the economy through a series of ongoing interest rate hikes. Given the rapid ascent in interest rates, market participants worried that the Fed’s actions would tip the economy into a recession. Outside the U.S., the ongoing war in Ukraine as well as the related energy price volatility also added to the outstanding risks.

The Fund continues to be driven by a fundamental approach to stock-picking, integrating macro and sector outlooks as appropriate. In addition, the Fund may dynamically adjust its level of long and short exposure to the real estate markets by adjusting allocations monthly between its long-only REIT strategy sleeve and market-neutral long/short strategy sleeve over time based on macroeconomic, industry-specific, and other factors. However, Management expects the Fund’s net exposure over time will be long biased.

During the Reporting Period, the biggest positive contributor to Fund performance was the Net Lease sector, which benefitted from a sector underweight positioning into a rising interest rate environment. Industrial REITs also contributed, driven by shorts/underweight in Stag Industrial, Inc. and Industrial Logistics Properties Trust. Office REITs were buoyed by an underweight sector position.

The biggest negative contributor to Fund performance was the Healthcare sector, principally hurt by short/underweight positions in LTC Properties, Inc. and Omega Healthcare Investors, Inc., two skilled nursing facility owners that rallied despite ongoing tenant and credit issues. The Self-Storage sector was also a negative contributor, led by National Storage Affiliates Trust, whose attractive relative valuation did not translate into outperformance. Lastly, Lodging was another negative contributor as the sector outperformed despite concerns around a potential recession.

How did the Fund use derivatives during the Reporting Period?

The Fund may obtain exposure to long and short positions by entering into swap agreements (including, but not limited to, total return swap agreements). Short positions may be used either to hedge long positions or to seek positive returns where Management believes the security will depreciate.

The Fund may reinvest the proceeds of its short sales by taking additional long positions, or it may use leverage to maintain long positions in excess of 100% of net assets. To enhance the Fund’s exposure to real estate markets and to seek to increase the Fund’s returns, at the discretion of Management, the Fund’s long and short positions in equities may be combined with investments in derivatives, which may include, among other derivatives: swap agreements (including, among other types of swaps, total return swaps); options on securities, futures contracts, and stock indices; and stock index futures contracts (some of these instruments may be traded in the over-the-counter market). These investments may be used to hedge the Fund’s portfolio, to maintain exposure to the equity markets, to increase returns, to generate income, or to seek to manage volatility of the portfolio.

During the Reporting Period, swaps were utilized to both gain exposure and to hedge the long side of the portfolio within the long-short sleeve. The usage of these swaps contributed negatively to Fund performance. However, when considered in the context of total fund performance, the impact of swap contribution was minimal.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 51

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2022

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

Management expects the Fund will continue to both manage benchmark exposure as well as add potential high-alpha pairs to seek to generate returns consistent with the Fund’s strategy. Currently, balancing the underperformance of the REIT market against future prospects for this market, the Fund is running at a beta allocation, consistent with historical norms. However, the Fund is capable of adding beta exposure as conditions warrant.

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.

52 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

RISK MANAGED REAL ESTATE FUND

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

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	March 28, 2014
C-Class	March 28, 2014
P-Class	May 1, 2015
Institutional Class	March 28, 2014

Ten Largest Holdings (% of Total Net Assets)
Prologis, Inc.	6.9%
Equinix, Inc.	4.7%
AvalonBay Communities, Inc.	4.0%
Public Storage	3.9%
Equity Residential	3.9%
Alexandria Real Estate Equities, Inc.	3.2%
Sun Communities, Inc.	2.8%
VICI Properties, Inc.	2.8%
Simon Property Group, Inc.	2.7%
Digital Realty Trust, Inc.	2.3%
Top Ten Total	37.2%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 53

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	Since Inception (03/28/14)
A Class Shares	(15.31%)	5.36%	8.02%
A-Class Shares with sales charge‡	(19.33%)	4.34%	7.40%
C Class Shares	(15.93%)	4.55%	7.19%
C-Class Shares with CDSC§	(16.73%)	4.55%	7.19%
Institutional Class Shares	(15.05%)	5.66%	8.33%
FTSE NAREIT Equity REITs Total Return Index	(16.41%)	2.93%	5.67%

	1 Year	5 Year	Since Inception (05/01/15)
P Class Shares	(15.35%)	5.31%	6.01%
FTSE NAREIT Equity REITs Total Return Index	(16.41%)	2.93%	4.07%

*	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 FTSE NAREIT Equity REITs Total Return Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. 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.
‡	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.

54 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2022
RISK MANAGED REAL ESTATE FUND

	Shares		Value
COMMON STOCKS† - 87.8%
REITs - 87.8%
REITs-Diversified - 17.2%
Equinix, Inc.		36,292	$	20,644,342
VICI Properties, Inc.1		406,168		12,124,115
Digital Realty Trust, Inc.		95,402		9,461,970
Duke Realty Corp.1		191,457		9,228,227
Gaming and Leisure Properties, Inc.1		201,432		8,911,352
WP Carey, Inc.		78,886		5,506,243
American Tower Corp. — Class A1		12,079		2,593,361
SBA Communications Corp.		8,775		2,497,804
Crown Castle, Inc.		17,155		2,479,755
EPR Properties		27,816		997,482
InvenTrust Properties Corp.		25,061		534,551
Total REITs-Diversified				74,979,202
REITs-Apartments - 13.9%
AvalonBay Communities, Inc.		93,756		17,268,918
Equity Residential1		251,411		16,899,847
Invitation Homes, Inc.1		244,918		8,270,881
Essex Property Trust, Inc.1		20,645		5,000,838
UDR, Inc.		99,532		4,151,480
Mid-America Apartment Communities, Inc.		24,557		3,808,054
American Homes 4 Rent — Class A1		113,005		3,707,694
Camden Property Trust		16,950		2,024,678
Total REITs-Apartments				61,132,390
REITs-Warehouse/Industries - 10.2%
Prologis, Inc.		295,119		29,984,090
Rexford Industrial Realty, Inc.		158,724		8,253,648
Americold Realty Trust, Inc.1		104,313		2,566,100
First Industrial Realty Trust, Inc.1		50,417		2,259,186
Terreno Realty Corp.		29,338		1,554,621
Total REITs-Warehouse/Industries				44,617,645
REITs-Storage - 9.8%
Public Storage1		57,806		16,926,175
Extra Space Storage, Inc.		51,939		8,970,385
National Storage Affiliates Trust		154,359		6,418,247
Life Storage, Inc.		49,114		5,439,811
Iron Mountain, Inc.		115,178		5,064,377
Total REITs-Storage				42,818,995
REITs-Health Care - 9.3%
Ventas, Inc.		251,525		10,103,759
Welltower, Inc.		152,992		9,840,445
Healthcare Realty Trust, Inc.1		283,149		5,903,657
Healthpeak Properties, Inc.		233,400		5,349,528
CareTrust REIT, Inc.		220,318		3,989,959
Medical Properties Trust, Inc.1		241,875		2,868,638
Sabra Health Care REIT, Inc.		185,372		2,432,081
Total REITs-Health Care				40,488,067
REITs-Office Property - 6.8%
Alexandria Real Estate Equities, Inc.1		99,731		13,981,289
Boston Properties, Inc.		84,795		6,357,081
Cousins Properties, Inc.		125,114		2,921,412
Piedmont Office Realty Trust, Inc. — Class A		195,455		2,064,005
Kilroy Realty Corp.		48,027		2,022,417
Highwoods Properties, Inc.1		41,725		1,124,906
Hudson Pacific Properties, Inc.		60,414		661,533
Empire State Realty Trust, Inc. — Class A1		57,154		374,930
Total REITs-Office Property				29,507,573
REITs-Shopping Centers - 6.0%
NETSTREIT Corp.		255,741		4,554,747
SITE Centers Corp.		424,216		4,543,353
Kimco Realty Corp.		244,049		4,492,942
Brixmor Property Group, Inc.1		238,074		4,397,227
Regency Centers Corp.		68,890		3,709,727
Kite Realty Group Trust		175,701		3,025,571
Federal Realty Investment Trust1		11,952		1,077,114
Acadia Realty Trust		37,378		471,710
Total REITs-Shopping Centers				26,272,391
REITs-Single Tenant - 5.3%
Realty Income Corp.		161,902		9,422,696
Agree Realty Corp.		98,654		6,667,037
Four Corners Property Trust, Inc.1		201,386		4,871,527
National Retail Properties, Inc.1		54,547		2,174,243
Total REITs-Single Tenant				23,135,503
REITs-Manufactured Homes - 3.8%
Sun Communities, Inc.		91,293		12,354,682
Equity LifeStyle Properties, Inc.		70,411		4,424,627
Total REITs-Manufactured Homes				16,779,309
REITs-Hotels - 2.8%
Ryman Hospitality Properties, Inc.		69,926		5,145,854
Xenia Hotels & Resorts, Inc.		277,490		3,826,587
DiamondRock Hospitality Co.1		174,664		1,311,727
Park Hotels & Resorts, Inc.		91,590		1,031,303
Pebblebrook Hotel Trust		51,721		750,472
Total REITs-Hotels				12,065,943
REITs-Regional Malls - 2.7%
Simon Property Group, Inc.1		132,999		11,936,660
Total REITs				383,733,678
Total Common Stocks
(Cost $426,221,957)				383,733,678
MONEY MARKET FUND† - 10.1%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%2		44,066,311		44,066,311
Total Money Market Fund
(Cost $44,066,311)				44,066,311
Total Investments - 97.9%
(Cost $470,288,268)			$	427,799,989

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 55

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
RISK MANAGED REAL ESTATE FUND

	Shares		Value
COMMON STOCKS SOLD SHORT† - (5.4)%
REITs - (5.4)%
REITs-Health Care - (0.2)%
LTC Properties, Inc.		6,004	$	(224,850	)
Omega Healthcare Investors, Inc.		23,196		(684,050	)
Total REITs-Health Care				(908,900	)
REITs-Warehouse/Industries - (0.3)%
STAG Industrial, Inc.		47,381		(1,347,042	)
REITs-Single Tenant - (0.5)%
Realty Income Corp.1		35,834		(2,085,539	)
REITs-Shopping Centers - (0.5)%
Phillips Edison & Company, Inc.		76,843		(2,155,478	)
REITs-Storage - (0.6)%
Public Storage		3,956		(1,158,356	)
Extra Space Storage, Inc.		7,405		(1,278,917	)
Total REITs-Storage				(2,437,273	)
REITs-Hotels - (0.7)%
Apple Hospitality REIT, Inc.		91,408		(1,285,196	)
Host Hotels & Resorts, Inc.		124,348		(1,974,646	)
Total REITs-Hotels				(3,259,842	)
REITs-Office Property - (0.9)%
Office Properties Income Trust		74,114		(1,041,302	)
Douglas Emmett, Inc.		67,359		(1,207,747	)
Equity Commonwealth		60,329		(1,469,614	)
Total REITs-Office Property				(3,718,663	)
REITs-Diversified - (0.7)%
Necessity Retail REIT, Inc.		124,970		(734,824	)
Washington Real Estate Investment Trust		69,949		(1,228,304	)
Broadstone Net Lease, Inc.		79,116		(1,228,671	)
Total REITs-Diversified				(3,191,799	)
REITs-Apartments - (1.0)%
Camden Property Trust1		6,013		(718,253	)
Apartment Income REIT Corp.		18,950		(731,849	)
Mid-America Apartment Communities, Inc.		7,744		(1,200,862	)
Essex Property Trust, Inc.		6,535		(1,582,973	)
Total REITs-Apartments				(4,233,937	)
Total REITs				(23,338,473	)
Total Common Stocks Sold Short
(Proceeds $29,578,932)				(23,338,473	)
EXCHANGE-TRADED FUNDS SOLD SHORT† - (0.6)%
Vanguard Real Estate ETF		35,126		(2,816,051	)
Total Exchange-Traded Funds Sold Short
(Proceeds $3,441,795)				(2,816,051	)
Total Securities Sold Short - (6.0)%
(Proceeds $33,020,727)			$	(26,154,524	)
Other Assets & Liabilities, net - 8.1%				35,214,101
Total Net Assets - 100.0%			$	436,859,566

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††

Morgan Stanley Capital Services LLC

MS Equity Custom Basket

Pay

3.48% (Federal Funds Rate + 0.40%)

At Maturity

10/22/25

$

4,211,022

$

(61,833

)

Goldman Sachs International

GS Equity Custom Basket

Pay

3.53% (Federal Funds Rate + 0.45%)

At Maturity

05/06/24

4,211,022

(63,821

)

Morgan Stanley Capital Services LLC

MS Equity Custom Basket

Pay

3.48% (Federal Funds Rate + 0.40%)

At Maturity

06/12/24

27,293,016

(3,345,299

)

Goldman Sachs International

GS Equity Custom Basket

Pay

3.53% (Federal Funds Rate + 0.45%)

At Maturity

05/06/24

27,322,338

(3,352,907

)

$

63,037,398

$

(6,823,860

)

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

06/12/24

$

27,068,303

$

7,755,096

Goldman Sachs International

GS Equity Custom Basket

Receive

2.86% (Federal Funds Rate - 0.22%)

At Maturity

05/06/24

26,909,244

7,661,256

$

53,977,547

$

15,416,352

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
MS EQUITY LONG CUSTOM BASKET
Financial
Gaming and Leisure Properties, Inc.		31,765		5.13	%	$	189,035
AvalonBay Communities, Inc.		10,320		6.96	%		51,546
CareTrust REIT, Inc.		70,199		4.66	%		9,012
Equity Residential		28,649		7.06	%		(8,762	)
Agree Realty Corp.		21,108		5.23	%		(22,643	)
InvenTrust Properties Corp.		21,624		1.69	%		(56,371	)
SBA Communications Corp.		1,862		1.94	%		(74,615	)
Brixmor Property Group, Inc.		38,570		2.61	%		(80,278	)
Ryman Hospitality Properties, Inc.		22,516		6.07	%		(85,589	)
Healthcare Realty Trust, Inc.		26,879		2.05	%		(94,793	)
American Tower Corp. — Class A		2,352		1.85	%		(94,884	)
Crown Castle, Inc.		3,543		1.88	%		(101,341	)
Boston Properties, Inc.		7,155		1.97	%		(108,473	)
Ventas, Inc.		31,787		4.68	%		(138,418	)
Piedmont Office Realty Trust, Inc. — Class A		49,657		1.92	%		(143,758	)
Four Corners Property Trust, Inc.		49,178		4.36	%		(169,296	)
Rexford Industrial Realty, Inc.		24,979		4.76	%		(230,317	)
Alexandria Real Estate Equities, Inc.		10,874		5.59	%		(233,114	)
Cousins Properties, Inc.		21,500		1.84	%		(247,094	)
NETSTREIT Corp.		78,646		5.13	%		(255,393	)
SITE Centers Corp.		83,906		3.29	%		(284,401	)
Sun Communities, Inc.		16,914		8.39	%		(349,582	)
Xenia Hotels & Resorts, Inc.		93,001		4.70	%		(376,446	)
National Storage Affiliates Trust		40,927		6.24	%		(439,324	)
Total Financial							(3,345,299	)
Total MS Equity Long Custom Basket						$	(3,345,299	)
MS EQUITY SHORT CUSTOM BASKET
Financial
Douglas Emmett, Inc.		68,899		(4.57	)%	$	1,004,432
Office Properties Income Trust		75,808		(3.93	)%		978,029
Broadstone Net Lease, Inc.		83,463		(4.79	)%		806,828
Realty Income Corp.		37,802		(8.13	)%		415,562
Washington Real Estate Investment Trust		71,549		(4.64	)%		410,442
STAG Industrial, Inc.		48,637		(5.11	)%		404,102
Necessity Retail REIT, Inc.		127,827		(2.78	)%		397,560
Phillips Edison & Company, Inc.		78,599		(8.14	)%		395,004
Host Hotels & Resorts, Inc.		127,191		(7.46	)%		269,659
Apartment Income REIT Corp.		19,383		(2.77	)%		248,852
Essex Property Trust, Inc.		6,685		(5.98	)%		244,991
Apple Hospitality REIT, Inc.		95,910		(4.98	)%		237,339
Camden Property Trust		6,151		(2.71	)%		199,286
Equity Commonwealth		61,708		(5.55	)%		198,310
Omega Healthcare Investors, Inc.		27,044		(2.95	)%		196,643
Mid-America Apartment Communities, Inc.		7,921		(4.54	)%		179,642
Public Storage		4,046		(4.38	)%		129,203
LTC Properties, Inc.		6,299		(0.87	)%		32,627
Extra Space Storage, Inc.		7,574		(4.83	)%		(512	)
Total Financial							6,747,999
Exchange Traded Funds
Vanguard Real Estate ETF		36,765		(10.89	)%		1,007,097
Total MS Equity Short Custom Basket						$	7,755,096
MS EQUITY LONG CUSTOM BASKET
Financial
Public Storage		677		4.69	%	$	48,570
Extra Space Storage, Inc.		609		2.50	%		39,072
VICI Properties, Inc.		4,773		3.38	%		28,505
Duke Realty Corp.		2,260		2.59	%		18,522
Prologis, Inc.		3,489		8.42	%		18,508
Iron Mountain, Inc.		1,359		1.42	%		18,184
AvalonBay Communities, Inc.		989		4.33	%		17,849
Life Storage, Inc.		577		1.52	%		15,706
Invitation Homes, Inc.		2,896		2.32	%		14,146
Equity Residential		2,638		4.21	%		13,416
Mid-America Apartment Communities, Inc.		288		1.06	%		7,996
Regency Centers Corp.		807		1.03	%		7,072
Rexford Industrial Realty, Inc.		1,583		1.95	%		6,650
UDR, Inc.		1,167		1.16	%		4,843
Gaming and Leisure Properties, Inc.		2,008		2.11	%		4,818
Kimco Realty Corp.		2,859		1.25	%		3,844
Camden Property Trust		201		0.57	%		3,621
American Homes 4 Rent — Class A		1,323		1.03	%		2,713
Essex Property Trust, Inc.		244		1.40	%		2,542
Equity LifeStyle Properties, Inc.		826		1.23	%		1,970
Welltower, Inc.		1,792		2.74	%		1,938
Agree Realty Corp.		919		1.47	%		1,846

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Sabra Health Care REIT, Inc.		2,195		0.68	%	$	1,820
WP Carey, Inc.		931		1.54	%		1,491
National Retail Properties, Inc.		639		0.60	%		355
Ryman Hospitality Properties, Inc.		569		0.99	%		(364	)
CareTrust REIT, Inc.		1,797		0.77	%		(475	)
Park Hotels & Resorts, Inc.		1,074		0.29	%		(542	)
Terreno Realty Corp.		346		0.44	%		(902	)
DiamondRock Hospitality Co.		2,049		0.37	%		(1,934	)
Empire State Realty Trust, Inc. — Class A		676		0.11	%		(2,660	)
Pebblebrook Hotel Trust		607		0.21	%		(2,681	)
Brixmor Property Group, Inc.		2,365		1.04	%		(2,976	)
National Storage Affiliates Trust		1,394		1.38	%		(2,984	)
Realty Income Corp.		1,914		2.65	%		(3,236	)
Acadia Realty Trust		441		0.13	%		(3,531	)
EPR Properties		330		0.28	%		(3,739	)
American Tower Corp. — Class A		114		0.58	%		(4,333	)
Federal Realty Investment Trust		141		0.30	%		(4,882	)
Piedmont Office Realty Trust, Inc. — Class A		1,735		0.44	%		(5,012	)
Highwoods Properties, Inc.		494		0.32	%		(5,418	)
SBA Communications Corp.		84		0.57	%		(5,759	)
Four Corners Property Trust, Inc.		1,800		1.03	%		(6,108	)
Crown Castle, Inc.		162		0.56	%		(6,335	)
First Industrial Realty Trust, Inc.		594		0.63	%		(6,480	)
Simon Property Group, Inc.		1,567		3.34	%		(6,776	)
Kite Realty Group Trust		2,124		0.87	%		(7,025	)
NETSTREIT Corp.		2,116		0.89	%		(7,356	)
Americold Realty Trust, Inc.		1,223		0.71	%		(7,590	)
Xenia Hotels & Resorts, Inc.		2,232		0.73	%		(7,772	)
Kilroy Realty Corp.		562		0.56	%		(8,965	)
Hudson Pacific Properties, Inc.		714		0.19	%		(9,179	)
Sun Communities, Inc.		884		2.84	%		(10,664	)
Healthcare Realty Trust, Inc.		3,024		1.50	%		(12,365	)
SITE Centers Corp.		4,045		1.03	%		(12,414	)
Cousins Properties, Inc.		1,230		0.68	%		(14,644	)
Healthpeak Properties, Inc.		2,734		1.49	%		(14,953	)
Boston Properties, Inc.		919		1.64	%		(15,915	)
Alexandria Real Estate Equities, Inc.		1,053		3.51	%		(17,936	)
Medical Properties Trust, Inc.		2,864		0.81	%		(21,205	)
Ventas, Inc.		2,611		2.49	%		(22,365	)
Digital Realty Trust, Inc.		1,118		2.63	%		(38,322	)
Equinix, Inc.		429		5.80	%		(42,033	)
Total Financial							(61,833	)
Total MS Equity Long Custom Basket						$	(61,833	)
GS EQUITY LONG CUSTOM BASKET
Financial
Gaming and Leisure Properties, Inc.		31,765		5.16	%	$	189,604
AvalonBay Communities, Inc.		10,320		6.96	%		49,476
CareTrust REIT, Inc.		70,199		4.65	%		8,495
Equity Residential		28,649		7.05	%		(12,615	)
Agree Realty Corp.		21,108		5.22	%		(30,401	)
InvenTrust Properties Corp.		22,322		1.74	%		(50,189	)
SBA Communications Corp.		1,862		1.94	%		(74,013	)
Brixmor Property Group, Inc.		38,570		2.61	%		(80,022	)
Ryman Hospitality Properties, Inc.		22,516		6.06	%		(84,915	)
Healthcare Realty Trust, Inc.		26,879		2.05	%		(94,329	)
American Tower Corp. — Class A		2,352		1.85	%		(95,128	)
Crown Castle, Inc.		3,543		1.87	%		(100,459	)
Boston Properties, Inc.		7,155		1.96	%		(110,828	)
Piedmont Office Realty Trust, Inc. — Class A		49,657		1.92	%		(134,827	)
Ventas, Inc.		31,787		4.67	%		(137,792	)
Four Corners Property Trust, Inc.		50,388		4.46	%		(172,446	)
Rexford Industrial Realty, Inc.		24,979		4.75	%		(231,924	)
Alexandria Real Estate Equities, Inc.		10,874		5.58	%		(242,034	)
Cousins Properties, Inc.		21,500		1.84	%		(245,663	)
NETSTREIT Corp.		78,646		5.13	%		(252,536	)
SITE Centers Corp.		82,520		3.23	%		(288,772	)
Sun Communities, Inc.		16,914		8.38	%		(348,971	)
Xenia Hotels & Resorts, Inc.		93,001		4.69	%		(376,111	)
National Storage Affiliates Trust		40,927		6.23	%		(436,507	)
Total Financial							(3,352,907	)
Total GS Equity Long Custom Basket						$	(3,352,907	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
GS EQUITY SHORT CUSTOM BASKET
Financial
Douglas Emmett, Inc.		68,899		(4.59	)%	$	1,007,556
Office Properties Income Trust		75,808		(3.96	)%		982,487
Broadstone Net Lease, Inc.		83,463		(4.82	)%		787,834
Realty Income Corp.		37,802		(8.18	)%		416,314
Washington Real Estate Investment Trust		71,549		(4.67	)%		411,422
STAG Industrial, Inc.		48,637		(5.14	)%		404,749
Necessity Retail REIT, Inc.		127,827		(2.79	)%		399,373
Phillips Edison & Company, Inc.		78,599		(8.19	)%		381,113
Host Hotels & Resorts, Inc.		127,191		(7.51	)%		270,212
Apartment Income REIT Corp.		19,383		(2.78	)%		248,473
Essex Property Trust, Inc.		6,685		(6.02	)%		235,135
Camden Property Trust		6,151		(2.73	)%		199,479
Equity Commonwealth		61,708		(5.59	)%		198,701
Apple Hospitality REIT, Inc.		95,910		(5.01	)%		197,897
Mid-America Apartment Communities, Inc.		7,921		(4.56	)%		180,688
Omega Healthcare Investors, Inc.		21,650		(2.37	)%		160,727
Public Storage		4,046		(4.40	)%		129,583
LTC Properties, Inc.		6,299		(0.88	)%		32,745
Extra Space Storage, Inc.		7,574		(4.86	)%		(248	)
Total Financial							6,644,240
Exchange Traded Funds
Vanguard Real Estate ETF		36,765		(10.95	)%		1,017,016
Total GS Equity Short Custom Basket						$	7,661,256
GS EQUITY LONG CUSTOM BASKET
Financial
Public Storage		677		4.69	%	$	48,420
Extra Space Storage, Inc.		609		2.50	%		39,036
VICI Properties, Inc.		4,773		3.38	%		28,464
Duke Realty Corp.		2,260		2.59	%		18,467
Prologis, Inc.		3,489		8.42	%		18,339
Iron Mountain, Inc.		1,359		1.42	%		18,181
AvalonBay Communities, Inc.		989		4.33	%		17,810
Life Storage, Inc.		577		1.52	%		15,729
Invitation Homes, Inc.		2,896		2.32	%		14,151
Equity Residential		2,638		4.21	%		13,356
Mid-America Apartment Communities, Inc.		288		1.06	%		8,043
Regency Centers Corp.		807		1.03	%		7,063
Rexford Industrial Realty, Inc.		1,583		1.95	%		6,617
UDR, Inc.		1,167		1.16	%		4,819
Gaming and Leisure Properties, Inc.		2,008		2.11	%		4,688
Kimco Realty Corp.		2,859		1.25	%		3,812
Camden Property Trust		201		0.57	%		3,602
American Homes 4 Rent — Class A		1,323		1.03	%		2,717
Essex Property Trust, Inc.		244		1.40	%		2,547
Equity LifeStyle Properties, Inc.		826		1.23	%		1,997
Agree Realty Corp.		919		1.47	%		1,843
Sabra Health Care REIT, Inc.		2,195		0.68	%		1,832
Welltower, Inc.		1,792		2.74	%		1,800
WP Carey, Inc.		931		1.54	%		1,433
National Retail Properties, Inc.		639		0.60	%		213
Ryman Hospitality Properties, Inc.		569		0.99	%		(364	)
CareTrust REIT, Inc.		1,797		0.77	%		(492	)
Park Hotels & Resorts, Inc.		1,074		0.29	%		(546	)
Terreno Realty Corp.		346		0.44	%		(898	)
DiamondRock Hospitality Co.		2,049		0.37	%		(1,959	)
Empire State Realty Trust, Inc. — Class A		676		0.11	%		(2,652	)
Pebblebrook Hotel Trust		607		0.21	%		(2,693	)
Brixmor Property Group, Inc.		2,365		1.04	%		(2,938	)
National Storage Affiliates Trust		1,394		1.38	%		(2,964	)
Realty Income Corp.		1,914		2.65	%		(3,211	)
Acadia Realty Trust		441		0.13	%		(3,537	)
EPR Properties		330		0.28	%		(3,738	)
American Tower Corp. — Class A		114		0.58	%		(4,355	)
Piedmont Office Realty Trust, Inc. — Class A		1,735		0.44	%		(4,854	)
Federal Realty Investment Trust		141		0.30	%		(4,878	)
Highwoods Properties, Inc.		494		0.32	%		(5,443	)
SBA Communications Corp.		84		0.57	%		(5,712	)
Four Corners Property Trust, Inc.		1,800		1.03	%		(5,972	)
Crown Castle, Inc.		162		0.56	%		(6,359	)
First Industrial Realty Trust, Inc.		594		0.63	%		(6,503	)
Simon Property Group, Inc.		1,567		3.34	%		(6,878	)
Kite Realty Group Trust		2,124		0.87	%		(7,067	)
NETSTREIT Corp.		2,116		0.89	%		(7,300	)
Americold Realty Trust, Inc.		1,223		0.71	%		(7,571	)
Xenia Hotels & Resorts, Inc.		2,232		0.73	%		(8,143	)

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Kilroy Realty Corp.		562		0.56	%	$	(8,991	)
Hudson Pacific Properties, Inc.		714		0.19	%		(9,191	)
Sun Communities, Inc.		884		2.84	%		(10,799	)
Healthcare Realty Trust, Inc.		3,024		1.50	%		(12,304	)
SITE Centers Corp.		4,045		1.03	%		(12,772	)
Cousins Properties, Inc.		1,230		0.68	%		(14,621	)
Healthpeak Properties, Inc.		2,734		1.49	%		(14,968	)
Boston Properties, Inc.		919		1.64	%		(15,980	)
Alexandria Real Estate Equities, Inc.		1,053		3.51	%		(17,939	)
Medical Properties Trust, Inc.		2,864		0.81	%		(21,336	)
Ventas, Inc.		2,611		2.49	%		(22,484	)
Digital Realty Trust, Inc.		1,118		2.63	%		(38,355	)
Equinix, Inc.		429		5.80	%		(42,033	)
Total Financial							(63,821	)
Total GS Equity Long Custom Basket						$	(63,821	)

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	All or a portion of this security is pledged as equity custom basket swap collateral at September 30, 2022.
2	Rate indicated is the 7-day yield as of September 30, 2022.
	GS — Goldman Sachs International
	MS — Morgan Stanley Capital Services LLC
	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	$	383,733,678	$	—	$	—	$	383,733,678
Money Market Fund		44,066,311		—		—		44,066,311
Equity Custom Basket Swap Agreements**		—		15,416,352		—		15,416,352
Total Assets	$	427,799,989	$	15,416,352	$	—	$	443,216,341

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks Sold Short	$	23,338,473	$	—	$	—	$	23,338,473
Exchange-Traded Funds Sold Short		2,816,051		—		—		2,816,051
Equity Custom Basket Swap Agreements**		—		6,823,860		—		6,823,860
Total Liabilities	$	26,154,524	$	6,823,860	$	—	$	32,978,384

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

RISK MANAGED REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments, at value (cost $470,288,268)	$	427,799,989
Cash		30,699,289
Unrealized appreciation on OTC swap agreements		15,416,352
Prepaid expenses		45,470
Receivables:
Dividends		1,500,062
Securities sold		849,758
Fund shares sold		286,809
Interest		76,811
Other assets		91,547
Total assets		476,766,087
Liabilities:
Securities sold short, at value (proceeds $33,020,727)		26,154,524
Segregated cash due to broker		3,803,030
Unrealized depreciation on OTC swap agreements		6,823,860
Payable for:
Fund shares redeemed		792,661
Securities purchased		755,636
Swap settlement		630,534
Distributions to shareholders		403,577
Management fees		294,123
Transfer agent/maintenance fees		21,382
Distribution and service fees		9,810
Fund accounting/administration fees		7,836
Trustees’ fees*		3,382
Due to Investment Adviser		9
Miscellaneous		206,157
Total liabilities		39,906,521
Net assets	$	436,859,566
Net assets consist of:
Paid in capital	$	461,518,734
Total distributable earnings (loss)		(24,659,168	)
Net assets	$	436,859,566
A-Class:
Net assets	$	9,042,765
Capital shares outstanding		306,691
Net asset value per share	$	29.48
Maximum offering price per share (Net asset value divided by 95.25%)	$	30.95
C-Class:
Net assets	$	5,382,146
Capital shares outstanding		184,157
Net asset value per share	$	29.23
P-Class:
Net assets	$	12,715,945
Capital shares outstanding		429,102
Net asset value per share	$	29.63
Institutional Class:
Net assets	$	409,718,710
Capital shares outstanding		13,711,801
Net asset value per share	$	29.88

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

RISK MANAGED REAL ESTATE FUND

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends	$	11,435,804
Interest		248,020
Total investment income		11,683,824
Expenses:
Management fees		3,982,655
Distribution and service fees:
A-Class		27,771
C-Class		59,035
P-Class		41,315
Transfer agent/maintenance fees:
A-Class		12,969
C-Class		4,888
P-Class		28,103
Institutional Class		310,439
Short sale dividend expense		1,864,652
Fund accounting/administration fees		324,510
Professional fees		92,771
Interest expense		35,337
Trustees’ fees*		19,201
Custodian fees		15,676
Line of credit fees		15,632
Miscellaneous		159,015
Recoupment of previously waived fees:
A-Class		2,545
C-Class		1,565
P-Class		7,501
Institutional Class		62,645
Total expenses		7,068,225
Less:
Expenses reimbursed by Adviser:
A-Class		(3,655	)
C-Class		(1,621	)
P-Class		(7,963	)
Institutional Class		(86,966	)
Expenses waived by Adviser		(418	)
Earnings credits applied		(77	)
Total waived/reimbursed expenses		(100,700	)
Net expenses		6,967,525
Net investment income		4,716,299
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	24,414,771
Investments sold short		1,409,614
Swap agreements		(5,588,929	)
Net realized gain		20,235,456
Net change in unrealized appreciation (depreciation) on:
Investments		(114,784,105	)
Investments sold short		6,649,782
Swap agreements		(310,260	)
Net change in unrealized appreciation (depreciation)		(108,444,583	)
Net realized and unrealized loss		(88,209,127	)
Net decrease in net assets resulting from operations	$	(83,492,828	)

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

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

RISK MANAGED REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	4,716,299		$	4,849,203
Net realized gain on investments		20,235,456			36,168,078
Net change in unrealized appreciation (depreciation) on investments		(108,444,583	)		70,710,201
Net increase (decrease) in net assets resulting from operations		(83,492,828	)		111,727,482
Distributions to shareholders:
A-Class		(666,926	)		(933,838	)
C-Class		(281,353	)		(188,880	)
P-Class		(925,053	)		(868,263	)
Institutional Class		(31,535,699	)		(24,055,000	)
Total distributions to shareholders		(33,409,031	)		(26,045,981	)
Capital share transactions:
Proceeds from sale of shares
A-Class		4,919,886			6,697,124
C-Class		2,965,796			2,849,191
P-Class		15,465,403			8,994,214
Institutional Class		187,411,653			169,214,784
Distributions reinvested
A-Class		503,570			902,695
C-Class		266,910			176,660
P-Class		925,053			868,263
Institutional Class		28,721,651			19,938,359
Cost of shares redeemed
A-Class		(4,115,443	)		(14,900,087	)
C-Class		(1,492,977	)		(1,002,677	)
P-Class		(14,526,672	)		(10,004,722	)
Institutional Class		(162,507,077	)		(95,198,371	)
Net increase from capital share transactions		58,537,753			88,535,433
Net increase (decrease) in net assets		(58,364,106	)		174,216,934
Net assets:
Beginning of year		495,223,672			321,006,738
End of year	$	436,859,566		$	495,223,672
Capital share activity:
Shares sold
A-Class		132,091			196,140
C-Class		79,841			79,979
P-Class		395,522			264,152
Institutional Class		4,970,480			5,109,785
Shares issued from reinvestment of distributions
A-Class		13,022			29,406
C-Class		6,928			5,791
P-Class		23,778			27,797
Institutional Class		734,856			626,369
Shares redeemed
A-Class		(112,310	)		(480,725	)
C-Class		(40,193	)		(30,402	)
P-Class		(390,592	)		(295,005	)
Institutional Class		(4,452,685	)		(2,852,113	)
Net increase in shares		1,360,738			2,681,174

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

RISK MANAGED REAL ESTATE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	36.87		$	29.97		$	34.11		$	28.93		$	29.70
Income (loss) from investment operations:
Net investment income (loss)a		.23			.32			.31			.34			.41
Net gain (loss) on investments (realized and unrealized)		(5.35	)		8.86			(2.53	)		5.65			.38
Total from investment operations		(5.12	)		9.18			(2.22	)		5.99			.79
Less distributions from:
Net investment income		(.55	)		(.54	)		(.63	)		(.55	)		(.52	)
Net realized gains		(1.72	)		(1.74	)		(1.29	)		(.26	)		(1.04	)
Total distributions		(2.27	)		(2.28	)		(1.92	)		(.81	)		(1.56	)
Net asset value, end of period	$	29.48		$	36.87		$	29.97		$	34.11		$	28.93
Total Returnb		(15.31	%)		32.13	%		(6.73	%)		21.12	%		2.70	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	9,043		$	10,098		$	15,857		$	16,682		$	13,772
Ratios to average net assets:
Net investment income (loss)		0.62	%		0.95	%		0.99	%		1.09	%		1.42	%
Total expensesc		1.62	%		1.39	%		1.71	%		1.89	%		1.78	%
Net expensesd,e,f		1.58	%		1.38	%		1.70	%		1.88	%		1.76	%
Portfolio turnover rate		47	%		80	%		180	%		122	%		107	%

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	36.55		$	29.76		$	33.88		$	28.75		$	29.54
Income (loss) from investment operations:
Net investment income (loss)a		(.01	)		.05			.08			.11			.15
Net gain (loss) on investments (realized and unrealized)		(5.30	)		8.76			(2.53	)		5.60			.42
Total from investment operations		(5.31	)		8.81			(2.45	)		5.71			.57
Less distributions from:
Net investment income		(.29	)		(.28	)		(.38	)		(.32	)		(.32	)
Net realized gains		(1.72	)		(1.74	)		(1.29	)		(.26	)		(1.04	)
Total distributions		(2.01	)		(2.02	)		(1.67	)		(.58	)		(1.36	)
Net asset value, end of period	$	29.23		$	36.55		$	29.76		$	33.88		$	28.75
Total Returnb		(15.93	%)		31.05	%		(7.48	%)		20.23	%		1.93	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,382		$	5,029		$	2,446		$	1,721		$	867
Ratios to average net assets:
Net investment income (loss)		(0.03	)%		0.16	%		0.26	%		0.35	%		0.53	%
Total expensesc		2.34	%		2.21	%		2.54	%		2.73	%		2.71	%
Net expensesd,e,f		2.31	%		2.20	%		2.51	%		2.65	%		2.53	%
Portfolio turnover rate		47	%		80	%		180	%		122	%		107	%

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

RISK MANAGED REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	37.04		$	30.12		$	34.30		$	29.09		$	29.85
Income (loss) from investment operations:
Net investment income (loss)a		.18			.29			.22			.60			.37
Net gain (loss) on investments (realized and unrealized)		(5.35	)		8.91			(2.48	)		5.42			.43
Total from investment operations		(5.17	)		9.20			(2.26	)		6.02			.80
Less distributions from:
Net investment income		(.52	)		(.54	)		(.63	)		(.55	)		(.52	)
Net realized gains		(1.72	)		(1.74	)		(1.29	)		(.26	)		(1.04	)
Total distributions		(2.24	)		(2.28	)		(1.92	)		(.81	)		(1.56	)
Net asset value, end of period	$	29.63		$	37.04		$	30.12		$	34.30		$	29.09
Total Return		(15.35	%)		32.03	%		(6.81	%)		21.12	%		2.68	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	12,716		$	14,830		$	12,152		$	33,894		$	4,217
Ratios to average net assets:
Net investment income (loss)		0.48	%		0.86	%		0.70	%		1.87	%		1.29	%
Total expensesc		1.69	%		1.47	%		1.84	%		1.93	%		1.88	%
Net expensesd,e,f		1.64	%		1.45	%		1.78	%		1.89	%		1.78	%
Portfolio turnover rate		47	%		80	%		180	%		122	%		107	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 65

RISK MANAGED REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	37.34		$	30.34		$	34.51		$	29.27		$	30.04
Income (loss) from investment operations:
Net investment income (loss)a		.34			.41			.41			.43			.46
Net gain (loss) on investments (realized and unrealized)		(5.42	)		8.98			(2.58	)		5.71			.43
Total from investment operations		(5.08	)		9.39			(2.17	)		6.14			.89
Less distributions from:
Net investment income		(.66	)		(.65	)		(.71	)		(.64	)		(.62	)
Net realized gains		(1.72	)		(1.74	)		(1.29	)		(.26	)		(1.04	)
Total distributions		(2.38	)		(2.39	)		(2.00	)		(.90	)		(1.66	)
Net asset value, end of period	$	29.88		$	37.34		$	30.34		$	34.51		$	29.27
Total Return		(15.05	%)		32.52	%		(6.48	%)		21.46	%		2.98	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	409,719		$	465,267		$	290,551		$	200,301		$	154,245
Ratios to average net assets:
Net investment income (loss)		0.92	%		1.18	%		1.31	%		1.38	%		1.56	%
Total expensesc		1.30	%		1.10	%		1.43	%		1.61	%		1.51	%
Net expensesd,e,f		1.28	%		1.10	%		1.43	%		1.60	%		1.50	%
Portfolio turnover rate		47	%		80	%		180	%		122	%		107	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	0.02%	0.01%	0.02%	0.03%	0.03%
C-Class	0.03%	0.06%	0.04%	0.01%	0.01%
P-Class	0.05%	0.06%	0.02%	0.02%	0.01%
Institutional Class	0.01%	0.00%*	0.01%	0.01%	0.02%

* Less than 0.01%.

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	1.22%	1.21%	1.23%	1.27%	1.29%
C-Class	1.95%	2.04%	2.05%	2.05%	2.05%
P-Class	1.28%	1.29%	1.30%	1.30%	1.30%
Institutional Class	0.92%	0.94%	0.96%	1.00%	1.03%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Small Cap Value Fund (the “Fund”). The Fund is managed by a team of seasoned professionals, led by David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; James Schier, CFA, Senior Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, 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 -11.36%¹,outperforming the Russell 2000 Value Index (“Index”), the Fund’s benchmark, which returned -17.69% for the same period.

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

After a positive start during the early months of the Reporting Period, the market as a whole came under pressure as the Fed strove to contain inflation by raising rates at the same time that the market had to deal with the uncertainty over the Ukraine invasion. The Fund’s general focus towards higher quality companies (those with better balance sheets than peers) that meet our valuation parameters tended to position the holdings well in most sectors. In fact, the Fund experienced significant positive contributions from our stock selection and sector allocation.

Stock selection within the Financials sector was the most significant positive contributor during the year. The Fund’s holdings in this sector were down 6.8% versus a 13.8% decline in the benchmark. First Horizon (a regional bank based in Memphis) gained 43% after receiving a takeover offer from Toronto-Dominion Bank. Another significant contributor, UNUM Group, gained more than 45%. UNUM, a supplemental disability and health insurance company, benefited from lower COVID related disability claims and strong payroll growth, given strong employment levels throughout the year. In addition, the reserves set aside for the closed long-term care book of business benefited from the higher fixed income rates brought about during the year.

During the year, sector allocation to the Materials sector was the second-most significant positive contributor. Although the overweight to the sector hurt performance slightly, the stock selection was very strong as the Fund’s holdings in this sector returned -3.9% versus a -22.6% decline in the benchmark. Reliance Steel, a steel and aluminum distributor and processor, had extremely strong results and was up 25% for the period. The company benefited from increasing prices and volumes as well as growth in its value-added fabrication business.

The third most significant contributor during the year was sector allocation and stock selection in the Energy sector. The slight energy overweighting was magnified by the significant outperformance the sector recorded. Energy was only one of two sectors that posted positive returns during the year and dwarfed the returns elsewhere by advancing 29.5%. The Fund’s holdings in this sector gained more than 40%. A focus on oil and gas exploration and development companies was a key contributor to these gains. EQT Corp. and Chesapeake Energy, natural gas producers, were up over 65% and 35%, respectively, as natural gas prices spiked as a result of the Russian Ukraine War and Europe’s supply of natural gas being curtailed. Pioneer Natural Resources, a Permian oil producer, performed extremely well as oil prices improved and the company exercised capital discipline throughout 2022.

Finally, the Industrials sector was a close runner up in performance contribution as well. Kirby Corp., a tank barge operator, recorded a 27% return for the year. The company experienced increasing lease rates on its inland barge business because of better demand/supply dynamics, which helped improve profitability throughout the year.

The Fund’s two largest detractors from performance were Medicare health insurance brokers EHealth and GoHealth, both of which were down around 75% for the year. The competitive environment proved to be far more intense than expected; as a result, both experienced a higher rate of insurance coverage changes and lower retention, which delayed a positive cashflow environment indefinitely. Both holdings have been sold out of the Fund.

Another detractor from the Fund’s performance was Conduent Inc., down around 50% for the year. The outsourced business process service company had declining revenue and earnings as its turnaround faltered and it was not successful in selling its transportation segment.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 67

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2022

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

The market outlook is unusually cloudy. In addition to the geopolitical uncertainty that appears to be potentially significant, the market must contend with a hawkish Federal Reserve. Together, this provides a challenging environment for economic growth. All of this, however, does not change our process which is heavily bottom-up driven.

With that said, the Fund’s largest over-weightings can be found in the Industrials, Materials, and Information Technology sectors. Among the Fund’s holdings in the Industrials sector, opportunities appear abundant especially among truckers, building products, distributors, and aerospace & defense. In the Materials sector, we can find many self-help situations in the chemical industry (opportunities companies possess to generate earnings growth that are not dependent on general macroeconomic conditions; these opportunities could include cost cutting, asset redeployment, or share repurchases). Many of these companies also benefit from beneficial, low-cost North American natural gas feed stock costs. The Fund also has an overweighting among packaging companies. Among the Information Technology sector, the Fund has exposure to electronic manufacturing companies and electronic components and semiconductors companies that we believe have ample growth and improving profitability opportunities.

The Fund’s largest underweighting can be found in the Health Care sector, primarily in the biotechnology and pharmaceuticals sub-industries. Many of these companies are not considered to possess the quality attributes of balance sheet strength and positive earnings and cashflow that we desire. Another large underweight for the Fund is the Consumer Discretionary sector. Generally, in this sector, many companies appear to be operating at near peak profitability levels while consumer spending is expected to be nearing an inflection point or plateauing at best. Finally, the Fund is underweight in the Real Estate Investment Trust (“REIT”) sector. Among property REITs, we are generally leery of overall leverage levels among companies that must roll over debt at ever higher interest rates.

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.

68 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

SMALL CAP VALUE FUND

OBJECTIVE: Seeks long-term capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	July 11, 2008
C-Class	July 11, 2008
P-Class	May 1, 2015
Institutional Class	July 11, 2008

Ten Largest Holdings (% of Total Net Assets)
Pioneer Natural Resources Co.	3.8%
iShares Russell 2000 Value ETF	2.6%
Prosperity Bancshares, Inc.	2.1%
OGE Energy Corp.	1.9%
Unum Group	1.9%
BOK Financial Corp.	1.8%
Black Hills Corp.	1.8%
MSC Industrial Direct Company, Inc. — Class A	1.5%
Hanmi Financial Corp.	1.5%
First Merchants Corp.	1.5%
Top Ten Total	20.4%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 69

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	(11.36%)	2.69%	6.58%
A-Class Shares with sales charge‡	(15.55%)	1.70%	6.06%
C Class Shares	(12.02%)	1.92%	5.77%
C-Class Shares with CDSC§	(12.89%)	1.92%	5.77%
Institutional Class Shares	(11.10%)	2.95%	6.84%
Russell 2000 Value Index	(17.69%)	2.87%	7.94%

	1 Year	5 Year	Since Inception (05/01/15)
P Class Shares	(11.34%)	2.71%	4.26%
Russell 2000 Value Index	(17.69%)	2.87%	5.45%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. 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 February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year average annual returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

70 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2022
SMALL CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 93.8%
Financial - 32.2%
Prosperity Bancshares, Inc.		2,033	$	135,560
Unum Group		3,204		124,315
BOK Financial Corp.		1,354		120,316
Hanmi Financial Corp.		4,023		95,265
First Merchants Corp.		2,448		94,689
Cathay General Bancorp		2,456		94,458
Physicians Realty Trust REIT		6,064		91,203
Hancock Whitney Corp.		1,912		87,589
CNO Financial Group, Inc.		4,283		76,966
LXP Industrial Trust REIT		7,952		72,840
Old Republic International Corp.		3,210		67,185
Axis Capital Holdings Ltd.		1,307		64,239
Banc of California, Inc.		3,996		63,816
Zions Bancorp North America		1,250		63,575
Stifel Financial Corp.		1,124		58,347
STAG Industrial, Inc. REIT		2,020		57,429
Old National Bancorp		3,445		56,739
MGIC Investment Corp.		4,422		56,690
Simmons First National Corp. — Class A		2,450		53,385
Citizens Financial Group, Inc.		1,492		51,265
First American Financial Corp.		1,065		49,096
Independent Bank Group, Inc.		792		48,621
Apple Hospitality REIT, Inc.		3,371		47,396
Flagstar Bancorp, Inc.		1,377		45,992
Trustmark Corp.		1,239		37,951
Sunstone Hotel Investors, Inc. REIT		3,925		36,974
Texas Capital Bancshares, Inc.*		589		34,769
Wintrust Financial Corp.		424		34,577
Heartland Financial USA, Inc.		764		33,127
First Hawaiian, Inc.		1,283		31,600
Kennedy-Wilson Holdings, Inc.		1,884		29,127
Piedmont Office Realty Trust, Inc. — Class A REIT		2,297		24,256
Park Hotels & Resorts, Inc. REIT		1,923		21,653
RMR Group, Inc. — Class A		797		18,881
United Community Banks, Inc.		511		16,914
Heritage Insurance Holdings, Inc.*		2,992		6,762
Total Financial				2,103,567
Industrial - 24.0%
Curtiss-Wright Corp.		670		93,237
Kirby Corp.*		1,448		87,995
Sanmina Corp.*		1,906		87,828
Graphic Packaging Holding Co.		4,404		86,935
Valmont Industries, Inc.		313		84,078
GATX Corp.		982		83,617
Arcosa, Inc.		1,451		82,968
MDU Resources Group, Inc.		2,979		81,476
Knight-Swift Transportation Holdings, Inc.		1,594		77,994
Littelfuse, Inc.		384		76,297
Terex Corp.		2,036		60,551
Daseke, Inc.*		10,367		56,086
PGT Innovations, Inc.*		2,617		54,852
Enovis Corp.*		1,151		53,027
Altra Industrial Motion Corp.		1,426		47,942
Moog, Inc. — Class A		659		46,361
Zurn Elkay Water Solutions Corp.		1,594		39,053
Belden, Inc.		647		38,833
Sonoco Products Co.		615		34,889
Plexus Corp.*		378		33,098
Summit Materials, Inc. — Class A*		1,369		32,801
Stoneridge, Inc.*		1,910		32,375
EnerSys		540		31,412
Mercury Systems, Inc.*		747		30,328
Advanced Energy Industries, Inc.		384		29,725
Park Aerospace Corp.		2,395		26,441
Smith-Midland Corp.*		939		25,118
Coherent Corp.*		687		23,942
Esab Corp.		711		23,719
Total Industrial				1,562,978
Consumer, Cyclical - 10.5%
MSC Industrial Direct Company, Inc. — Class A		1,347		98,075
Alaska Air Group, Inc.*		2,094		81,980
H&E Equipment Services, Inc.		2,870		81,336
Methode Electronics, Inc.		2,092		77,718
Meritage Homes Corp.*		1,019		71,605
Rush Enterprises, Inc. — Class A		1,158		50,790
Hawaiian Holdings, Inc.*		3,481		45,775
Leggett & Platt, Inc.		1,004		33,353
Marriott Vacations Worldwide Corp.		256		31,196
Whirlpool Corp.		213		28,714
Lakeland Industries, Inc.*		2,166		24,974
Macy’s, Inc.		1,539		24,116
Newell Brands, Inc.		1,428		19,835
UniFirst Corp.		99		16,655
Total Consumer, Cyclical				686,122
Utilities - 5.6%
OGE Energy Corp.		3,443		125,532
Black Hills Corp.		1,716		116,225
Spire, Inc.		798		49,739
Avista Corp.		1,052		38,977
ALLETE, Inc.		710		35,535
Total Utilities				366,008
Energy - 5.4%
Pioneer Natural Resources Co.		1,159		250,958
CNX Resources Corp.*		5,066		78,675
Patterson-UTI Energy, Inc.		2,118		24,738
Total Energy				354,371
Basic Materials - 5.3%
Huntsman Corp.		3,206		78,675
Reliance Steel & Aluminum Co.		423		73,776
Ashland, Inc.		710		67,429
Avient Corp.		1,900		57,570
Commercial Metals Co.		992		35,196
Element Solutions, Inc.		2,001		32,556
Total Basic Materials				345,202

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
SMALL CAP VALUE FUND

	Shares		Value
Consumer, Non-cyclical - 4.7%
Ingredion, Inc.		1,017	$	81,889
Encompass Health Corp.		1,717		77,660
Central Garden & Pet Co. — Class A*		1,768		60,395
Euronet Worldwide, Inc.*		378		28,637
Perdoceo Education Corp.*		2,215		22,815
Ironwood Pharmaceuticals, Inc. — Class A*		1,840		19,062
ICF International, Inc.		156		17,007
Total Consumer, Non-cyclical				307,465
Technology - 4.1%
Science Applications International Corp.		908		80,295
MACOM Technology Solutions Holdings, Inc.*		923		47,802
Amkor Technology, Inc.		2,739		46,700
Conduent, Inc.*		10,165		33,951
Silicon Laboratories, Inc.*		253		31,230
Power Integrations, Inc.		453		29,137
Total Technology				269,115
Communications - 2.0%
Ciena Corp.*		1,218		49,244
Infinera Corp.*		8,638		41,808
Gray Television, Inc.		2,889		41,370
Total Communications				132,422
Total Common Stocks
(Cost $6,236,883)				6,127,250
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
Thermoenergy Corp.*,1		6,250		2
Total Convertible Preferred Stocks
(Cost $5,969)				2
RIGHTS† - 0.2%
Basic Materials - 0.2%
Pan American Silver Corp.*		17,705		10,198
Total Rights
(Cost $—)				10,198
EXCHANGE-TRADED FUNDS† - 3.6%
iShares Russell 2000 Value ETF		1,306		168,382
SPDR S&P Biotech ETF*		819		64,963
Total Exchange-Traded Funds
(Cost $281,537)				233,345
MONEY MARKET FUND† - 2.9%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%2		189,323		189,323
Total Money Market Fund
(Cost $189,323)				189,323
Total Investments - 100.5%
(Cost $6,713,712)			$	6,560,118
Other Assets & Liabilities, net - (0.5)%				(31,102	)
Total Net Assets - 100.0%			$	6,529,016

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	PIPE (Private Investment in Public Equity) - Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
2	Rate indicated is the 7-day yield as of September 30, 2022.
	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	$	6,127,250	$	—	$	—	$	6,127,250
Convertible Preferred Stocks		—		—		2		2
Rights		10,198		—		—		10,198
Exchange-Traded Funds		233,345		—		—		233,345
Money Market Fund		189,323		—		—		189,323
Total Assets	$	6,560,116	$	—	$	2	$	6,560,118

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

SMALL CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments, at value (cost $6,713,712)	$	6,560,118
Prepaid expenses		35,883
Receivables:
Securities sold		40,730
Investment Adviser		9,734
Dividends		7,785
Fund shares sold		604
Interest		370
Total assets		6,655,224
Liabilities:
Payable for:
Securities purchased		80,496
Professional fees		29,513
Fund accounting/administration fees		4,369
Transfer agent/maintenance fees		2,754
Distribution and service fees		1,299
Due to Investment Adviser		1,014
Trustees’ fees*		913
Fund shares redeemed		9
Miscellaneous		5,841
Total liabilities		126,208
Net assets	$	6,529,016
Net assets consist of:
Paid in capital	$	6,389,454
Total distributable earnings (loss)		139,562
Net assets	$	6,529,016
A-Class:
Net assets	$	3,875,946
Capital shares outstanding		275,685
Net asset value per share	$	14.06
Maximum offering price per share (Net asset value divided by 95.25%)	$	14.76
C-Class:
Net assets	$	470,937
Capital shares outstanding		36,904
Net asset value per share	$	12.76
P-Class:
Net assets	$	136,441
Capital shares outstanding		9,628
Net asset value per share	$	14.17
Institutional Class:
Net assets	$	2,045,692
Capital shares outstanding		161,338
Net asset value per share	$	12.68

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends	$	151,813
Interest		1,609
Total investment income		153,422
Expenses:
Management fees		54,365
Distribution and service fees:
A-Class		11,197
C-Class		6,296
P-Class		209
Transfer agent/maintenance fees:
A-Class		18,047
C-Class		3,544
P-Class		573
Institutional Class		8,000
Registration fees		67,110
Professional fees		35,343
Fund accounting /administration fees		28,421
Trustees’ fees*		12,909
Custodian fees		2,480
Line of credit fees		192
Miscellaneous		4,500
Recoupment of previously waived fees:
A-Class		608
C-Class		73
P-Class		20
Institutional Class		314
Total expenses		254,201
Less:
Expenses reimbursed by Adviser:
A-Class		(65,118	)
C-Class		(10,146	)
P-Class		(1,484	)
Institutional Class		(29,785	)
Expenses waived by Adviser		(54,218	)
Total waived/reimbursed expenses		(160,751	)
Net expenses		93,450
Net investment income		59,972
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		418,401
Net realized gain		418,401
Net change in unrealized appreciation (depreciation) on:
Investments		(1,359,821	)
Net change in unrealized appreciation (depreciation)		(1,359,821	)
Net realized and unrealized loss		(941,420	)
Net decrease in net assets resulting from operations	$	(881,448	)

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

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

SMALL CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	59,972		$	29,932
Net realized gain on investments		418,401			781,131
Net change in unrealized appreciation (depreciation) on investments		(1,359,821	)		1,804,257
Net increase (decrease) in net assets resulting from operations		(881,448	)		2,615,320
Distributions to shareholders:
A-Class		(18,984	)		(36,090	)
C-Class		(3,436	)		—
P-Class		(229	)		(472	)
Institutional Class		(8,467	)		(13,445	)
Total distributions to shareholders		(31,116	)		(50,007	)
Capital share transactions:
Proceeds from sale of shares
A-Class		407,538			552,766
C-Class		41,313			132,046
P-Class		110,889			11,399
Institutional Class		1,337,253			716,219
Distributions reinvested
A-Class		18,496			35,259
C-Class		3,410			—
P-Class		217			472
Institutional Class		8,466			13,445
Cost of shares redeemed
A-Class		(555,575	)		(1,108,297	)
C-Class		(273,299	)		(507,467	)
P-Class		(4,885	)		(1,829	)
Institutional Class		(505,781	)		(629,091	)
Net increase (decrease) from capital share transactions		588,042			(785,078	)
Net increase (decrease) in net assets		(324,522	)		1,780,235
Net assets:
Beginning of year		6,853,538			5,073,303
End of year	$	6,529,016		$	6,853,538
Capital share activity:
Shares sold
A-Class		25,122			36,752
C-Class		2,809			10,139
P-Class		6,839			720
Institutional Class		90,568			55,173
Shares issued from reinvestment of distributions
A-Class		1,152			2,669
C-Class		233			—
P-Class		13			35
Institutional Class		586			1,133
Shares redeemed
A-Class		(34,430	)		(75,105	)
C-Class		(18,423	)		(36,767	)
P-Class		(297	)		(115	)
Institutional Class		(35,975	)		(43,634	)
Net increase (decrease) in shares		38,197			(49,000	)

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

SMALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	15.93		$	10.61		$	12.86		$	15.56		$	15.74
Income (loss) from investment operations:
Net investment income (loss)a		.13			.07			.06			.10			.04
Net gain (loss) on investments (realized and unrealized)		(1.93	)		5.37			(1.87	)		(1.28	)		.91
Total from investment operations		(1.80	)		5.44			(1.81	)		(1.18	)		.95
Less distributions from:
Net investment income		—			(.12	)		(.18	)		(.19	)		(.15	)
Net realized gains		(.07	)		—			(.26	)		(1.33	)		(.98	)
Total distributions		(.07	)		(.12	)		(.44	)		(1.52	)		(1.13	)
Net asset value, end of period	$	14.06		$	15.93		$	10.61		$	12.86		$	15.56
Total Returnb		(11.36	%)		51.48	%		(14.79	%)		(6.14	%)		6.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,876		$	4,521		$	3,390		$	9,751		$	11,931
Ratios to average net assets:
Net investment income (loss)		0.80	%		0.47	%		0.54	%		0.75	%		0.29	%
Total expensesc		3.50	%		4.07	%		3.23	%		2.27	%		2.09	%
Net expensesd,e,f		1.30	%		1.30	%		1.30	%		1.30	%		1.03	%
Portfolio turnover rate		37	%		28	%		40	%		78	%		18	%

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	14.57		$	9.69		$	11.75		$	14.30		$	14.51
Income (loss) from investment operations:
Net investment income (loss)a		—	g		(.03	)		(.02	)		—	g		(.07	)
Net gain (loss) on investments (realized and unrealized)		(1.74	)		4.91			(1.73	)		(1.18	)		.84
Total from investment operations		(1.74	)		4.88			(1.75	)		(1.18	)		.77
Less distributions from:
Net investment income		—			—			(.05	)		(.04	)		—
Net realized gains		(.07	)		—			(.26	)		(1.33	)		(.98	)
Total distributions		(.07	)		—			(.31	)		(1.37	)		(.98	)
Net asset value, end of period	$	12.76		$	14.57		$	9.69		$	11.75		$	14.30
Total Returnb		(12.02	%)		50.36	%		(15.43	%)		(6.89	%)		5.57	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	471		$	762		$	765		$	1,593		$	2,884
Ratios to average net assets:
Net investment income (loss)		0.02	%		(0.25	%)		(0.14	%)		0.01	%		(0.50	%)
Total expensesc		4.41	%		5.04	%		4.33	%		3.09	%		2.94	%
Net expensesd,e,f		2.05	%		2.05	%		2.06	%		2.05	%		2.05	%
Portfolio turnover rate		37	%		28	%		40	%		78	%		18	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 75

SMALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	16.05		$	10.75		$	13.01		$	15.73		$	15.76
Income (loss) from investment operations:
Net investment income (loss)a		.16			.07			.05			.09			.05
Net gain (loss) on investments (realized and unrealized)		(1.97	)		5.42			(1.86	)		(1.29	)		.90
Total from investment operations		(1.81	)		5.49			(1.81	)		(1.20	)		.95
Less distributions from:
Net investment income		—			(.19	)		(.19	)		(.19	)		—
Net realized gains		(.07	)		—			(.26	)		(1.33	)		(.98	)
Total distributions		(.07	)		(.19	)		(.45	)		(1.52	)		(.98	)
Net asset value, end of period	$	14.17		$	16.05		$	10.75		$	13.01		$	15.73
Total Return		(11.34	%)		51.46	%		(14.66	%)		(6.18	%)		6.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	136		$	49		$	26		$	47		$	15
Ratios to average net assets:
Net investment income (loss)		1.00	%		0.48	%		0.46	%		0.72	%		0.30	%
Total expensesc		3.82	%		4.39	%		4.07	%		2.73	%		2.79	%
Net expensesd,e,f		1.29	%		1.30	%		1.30	%		1.28	%		1.30	%
Portfolio turnover rate		37	%		28	%		40	%		78	%		18	%

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

SMALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	14.33		$	9.54		$	11.60		$	14.24		$	14.50
Income (loss) from investment operations:
Net investment income (loss)a		.16			.10			.09			.12			.07
Net gain (loss) on investments (realized and unrealized)		(1.74	)		4.81			(1.68	)		(1.20	)		.84
Total from investment operations		(1.58	)		4.91			(1.59	)		(1.08	)		.91
Less distributions from:
Net investment income		—			(.12	)		(.21	)		(.23	)		(.19	)
Net realized gains		(.07	)		—			(.26	)		(1.33	)		(.98	)
Total distributions		(.07	)		(.12	)		(.47	)		(1.56	)		(1.17	)
Net asset value, end of period	$	12.68		$	14.33		$	9.54		$	11.60		$	14.24
Total Return		(11.10	%)		51.78	%		(14.54	%)		(5.96	%)		6.64	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,046		$	1,522		$	892		$	3,143		$	3,798
Ratios to average net assets:
Net investment income (loss)		1.13	%		0.75	%		0.82	%		0.99	%		0.50	%
Total expensesc		3.24	%		3.80	%		2.86	%		2.09	%		1.91	%
Net expensesd,e,f		1.04	%		1.05	%		1.05	%		1.05	%		1.05	%
Portfolio turnover rate		37	%		28	%		40	%		78	%		18	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	0.01%	—	—	—	—
C-Class	0.01%	—	—	—	—
P-Class	0.02%	—	—	—	—
Institutional Class	0.02%	—	—	—	—

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	1.29%	1.30%	1.30%	1.30%	1.30%
C-Class	2.04%	2.05%	2.05%	2.05%	2.05%
P-Class	1.29%	1.30%	1.30%	1.28%	1.30%
Institutional Class	1.04%	1.05%	1.05%	1.05%	1.05%

^g Less than $0.01 per share.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 77

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim StylePlus^TM—Large Core 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; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing 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 -18.94%¹, underperforming the S&P 500 Index (“Index”), the Fund’s benchmark, which returned -15.47%.

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

Over the period, 15%-25% of the total equity position was allocated to actively managed equity and 75%-85% to passive equity. Remaining Fund assets were invested in the Guggenheim Strategy Funds, short-term fixed-income investment companies advised by Guggenheim Investments, and the Guggenheim Ultra Short Duration Fund, whose objective is to seek a high level of income consistent with the preservation of capital.

The Fund underperformed the S&P 500 Index for the Reporting Period by 3.3% net of fees. During this period, active equity and active fixed income contributed +0.2% and -1.9% to Fund’s excess return, respectively. The remainder resulted from equity index swap cost, implementation shortfall and Fund’s expenses.

How did the Fund use derivatives during the Reporting Period?

The passive equity component, which accounted for 75%-85% of the Fund’s exposure to the broad equity market, consisted of equity index swaps and equity index futures. On average, the equity index futures accounted for 0%~5% of the overall exposure, with the remainder from equity index swaps.

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.

78 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

STYLEPLUS—LARGE CORE 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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.

Inception Dates:
A-Class	September 10, 1962
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	March 1, 2012

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Strategy Fund III	34.9%
Guggenheim Strategy Fund II	29.6%
Guggenheim Ultra Short Duration Fund — Institutional Class	17.5%
Apple, Inc.	1.2%
Microsoft Corp.	0.9%
Alphabet, Inc. — Class C	0.7%
Amazon.com, Inc.	0.5%
Home Depot, Inc.	0.3%
Johnson & Johnson	0.3%
Chevron Corp.	0.3%
Top Ten Total	86.2%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 79

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	(18.94%)	7.31%	10.48%
A-Class Shares with sales charge‡	(22.78%)	6.27%	9.94%
C-Class Shares	(19.69%)	6.33%	9.46%
C-Class Shares with CDSC§	(20.44%)	6.33%	9.46%
Institutional Class Shares	(18.78%)	7.55%	10.74%
S&P 500 Index	(15.47%)	9.24%	11.70%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	(19.09%)	7.14%	8.02%
S&P 500 Index	(15.47%)	9.24%	9.48%

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

80 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2022
STYLEPLUS—LARGE CORE FUND

	Shares		Value
COMMON STOCKS† - 18.3%
Consumer, Non-cyclical - 5.3%
Johnson & Johnson		4,037	$	659,484
AbbVie, Inc.		4,044		542,745
Bristol-Myers Squibb Co.		7,586		539,289
CVS Health Corp.		5,479		522,532
Amgen, Inc.		2,073		467,254
Gilead Sciences, Inc.		7,487		461,873
Merck & Company, Inc.		5,169		445,154
Philip Morris International, Inc.		5,151		427,585
Quest Diagnostics, Inc.		3,237		397,148
Hologic, Inc.*		6,050		390,346
Regeneron Pharmaceuticals, Inc.*		541		372,679
Pfizer, Inc.		8,383		366,840
Campbell Soup Co.		7,764		365,840
Tyson Foods, Inc. — Class A		5,450		359,319
Avery Dennison Corp.		2,058		334,836
Conagra Brands, Inc.		9,588		312,856
Altria Group, Inc.		7,374		297,762
Colgate-Palmolive Co.		4,156		291,959
UnitedHealth Group, Inc.		503		254,035
Henry Schein, Inc.*		3,803		250,123
Mondelez International, Inc. — Class A		4,423		242,513
United Rentals, Inc.*		754		203,671
Eli Lilly & Co.		606		195,950
Global Payments, Inc.		1,645		177,742
HCA Healthcare, Inc.		891		163,757
Vertex Pharmaceuticals, Inc.*		551		159,536
FleetCor Technologies, Inc.*		862		151,859
Organon & Co.		5,319		124,465
DaVita, Inc.*		1,459		120,761
PepsiCo, Inc.		687		112,160
Procter & Gamble Co.		859		108,449
Laboratory Corporation of America Holdings		515		105,477
Abbott Laboratories		756		73,151
PayPal Holdings, Inc.*		848		72,987
Thermo Fisher Scientific, Inc.		142		72,021
Total Consumer, Non-cyclical				10,144,158
Technology - 5.0%
Apple, Inc.		16,510		2,281,682
Microsoft Corp.		7,743		1,803,345
Texas Instruments, Inc.		2,760		427,193
Analog Devices, Inc.		2,453		341,801
NetApp, Inc.		5,414		334,856
Skyworks Solutions, Inc.		3,374		287,701
NXP Semiconductor N.V.		1,894		279,384
Intel Corp.		10,786		277,955
Akamai Technologies, Inc.*		3,403		273,329
Hewlett Packard Enterprise Co.		22,225		266,256
Microchip Technology, Inc.		4,130		252,054
QUALCOMM, Inc.		2,221		250,929
Fidelity National Information Services, Inc.		3,212		242,731
Seagate Technology Holdings plc		4,316		229,741
Cognizant Technology Solutions Corp. — Class A		3,717		213,504
Broadcom, Inc.		468		207,797
HP, Inc.		8,255		205,715
Fiserv, Inc.*		2,127		199,023
Applied Materials, Inc.		2,365		193,764
Qorvo, Inc.*		2,200		174,702
KLA Corp.		565		170,986
Lam Research Corp.		461		168,726
Micron Technology, Inc.		3,319		166,282
Western Digital Corp.*		5,008		163,010
International Business Machines Corp.		1,287		152,908
NVIDIA Corp.		1,236		150,038
Total Technology				9,715,412
Communications - 2.4%
Alphabet, Inc. — Class C*		14,114		1,357,061
Amazon.com, Inc.*		8,467		956,771
Meta Platforms, Inc. — Class A*		4,318		585,866
Cisco Systems, Inc.		12,721		508,840
CDW Corp.		2,223		346,966
VeriSign, Inc.*		1,811		314,571
Corning, Inc.		9,353		271,424
F5, Inc.*		1,427		206,530
Netflix, Inc.*		533		125,489
Total Communications				4,673,518
Energy - 1.4%
Chevron Corp.		4,388		630,424
Exxon Mobil Corp.		6,806		594,232
Kinder Morgan, Inc.		24,190		402,521
Marathon Petroleum Corp.		3,776		375,070
Valero Energy Corp.		3,216		343,630
Williams Companies, Inc.		6,332		181,285
Occidental Petroleum Corp.		2,325		142,871
ONEOK, Inc.		1,957		100,277
Total Energy				2,770,310
Consumer, Cyclical - 1.1%
Home Depot, Inc.		2,469		681,296
Tesla, Inc.*		1,541		408,750
Lowe’s Companies, Inc.		2,000		375,620
McDonald’s Corp.		1,492		344,264
Bath & Body Works, Inc.		4,738		154,459
Starbucks Corp.		1,808		152,342
Total Consumer, Cyclical				2,116,731
Industrial - 1.1%
Parker-Hannifin Corp.		1,462		354,257
Huntington Ingalls Industries, Inc.		1,368		303,012
Snap-on, Inc.		1,493		300,616
Sealed Air Corp.		6,731		299,597
Packaging Corporation of America		2,492		279,827
Westrock Co.		8,815		272,295
Masco Corp.		3,579		167,103
Keysight Technologies, Inc.*		713		112,198
Total Industrial				2,088,905

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
STYLEPLUS—LARGE CORE FUND

	Shares		Value
Financial - 1.0%
Everest Re Group Ltd.		1,359	$	356,656
Raymond James Financial, Inc.		2,878		284,355
Loews Corp.		5,521		275,167
Visa, Inc. — Class A		1,530		271,804
Berkshire Hathaway, Inc. — Class B*		882		235,511
Regions Financial Corp.		10,685		214,448
Mastercard, Inc. — Class A		608		172,879
JPMorgan Chase & Co.		1,024		107,008
Total Financial				1,917,828
Basic Materials - 0.6%
LyondellBasell Industries N.V. — Class A		4,647		349,826
Dow, Inc.		7,561		332,155
Eastman Chemical Co.		4,051		287,823
Nucor Corp.		1,749		187,126
Total Basic Materials				1,156,930
Utilities - 0.4%
American Electric Power Company, Inc.		3,882		335,599
FirstEnergy Corp.		7,274		269,138
PPL Corp.		5,987		151,770
Total Utilities				756,507
Total Common Stocks
(Cost $39,153,715)				35,340,299
MUTUAL FUNDS† - 82.0%
Guggenheim Strategy Fund III1		2,802,295		67,311,123
Guggenheim Strategy Fund II1		2,386,396		57,201,913
Guggenheim Ultra Short Duration Fund — Institutional Class1		3,523,908		33,794,274
Total Mutual Funds
(Cost $163,879,585)				158,307,310
MONEY MARKET FUND† - 1.0%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%2		1,894,382		1,894,382
Total Money Market Fund
(Cost $1,894,382)				1,894,382
Total Investments - 101.3%
(Cost $204,927,682)			$	195,541,991
Other Assets & Liabilities, net - (1.3)%				(2,452,515	)
Total Net Assets - 100.0%			$	193,089,476

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Depreciation**
Equity Futures Contracts Purchased†
S&P 500 Index Mini Futures Contracts		9		Dec 2022	$	1,618,763	$	(239,749	)

Total Return Swap Agreements
Counterparty	Index	Type	Financing Rate	Payment Frequency	Maturity Date	Units	Notional Amount		Value and Unrealized Depreciation
OTC Equity Index Swap Agreements††
Wells Fargo Bank, N.A.	S&P 500 Total Return Index	Pay	3.56% (Federal Funds Rate + 0.48%)	At Maturity	12/28/22	20,856	$	158,558,366	$	(40,790,186	)

*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of September 30, 2022.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
STYLEPLUS—LARGE CORE FUND

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	$	35,340,299	$	—	$	—	$	35,340,299
Mutual Funds		158,307,310		—		—		158,307,310
Money Market Fund		1,894,382		—		—		1,894,382
Total Assets	$	195,541,991	$	—	$	—	$	195,541,991

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts**	$	239,749	$	—	$	—	$	239,749
Equity Index Swap Agreements**		—		40,790,186		—		40,790,186
Total Liabilities	$	239,749	$	40,790,186	$	—	$	41,029,935

** This derivative is reported as unrealized appreciation/depreciation at period end.

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/21		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 09/30/22		Shares 09/30/22		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	71,198,274	$	24,471,193	$	(35,822,923	)	$	(726,885	)	$	(1,917,746	)	$	57,201,913		2,386,396	$	1,312,673
Guggenheim Strategy Fund III		69,179,563		18,621,699		(16,883,940	)		(520,871	)		(3,085,328	)		67,311,123		2,802,295		1,607,734
Guggenheim Ultra Short Duration Fund — Institutional Class		75,115,499		709,398		(40,181,982	)		(3,125	)		(1,845,516	)		33,794,274		3,523,908		702,081
	$	215,493,336	$	43,802,290	$	(92,888,845	)	$	(1,250,881	)	$	(6,848,590	)	$	158,307,310			$	3,622,488

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

STYLEPLUS—LARGE CORE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $41,048,097)	$	37,234,681
Investments in affiliated issuers, at value (cost $163,879,585)		158,307,310
Segregated cash with broker		40,889,500
Prepaid expenses		39,697
Receivables:
Dividends		549,549
Fund shares sold		10,531
Interest		3,294
Total assets		237,034,562
Liabilities:
Overdraft due to custodian bank		5,388
Unrealized depreciation on OTC swap agreements		40,790,186
Payable for:
Swap settlement		2,315,207
Securities purchased		544,016
Management fees		122,611
Distribution and service fees		42,937
Fund shares redeemed		30,221
Variation margin on futures contracts		25,650
Fund accounting/administration fees		10,906
Trustees’ fees*		6,652
Miscellaneous		51,312
Total liabilities		43,945,086
Net assets	$	193,089,476
Net assets consist of:
Paid in capital	$	188,845,665
Total distributable earnings (loss)		4,243,811
Net assets	$	193,089,476
A-Class:
Net assets	$	186,957,026
Capital shares outstanding		8,828,782
Net asset value per share	$	21.18
Maximum offering price per share (Net asset value divided by 95.25%)	$	22.24
C-Class:
Net assets	$	998,736
Capital shares outstanding		73,638
Net asset value per share	$	13.56
P-Class:
Net assets	$	255,476
Capital shares outstanding		12,267
Net asset value per share	$	20.83
Institutional Class:
Net assets	$	4,878,238
Capital shares outstanding		232,553
Net asset value per share	$	20.98

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $475)	$	804,387
Dividends from securities of affiliated issuers		3,622,488
Interest		56,626
Total investment income		4,483,501
Expenses:
Management fees		1,838,628
Distribution and service fees:
A-Class		593,325
C-Class		9,734
P-Class		839
Transfer agent/maintenance fees:
A-Class		127,042
C-Class		1,944
P-Class		703
Institutional Class		6,500
Fund accounting/administration fees		154,756
Professional fees		44,401
Interest expense		33,930
Custodian fees		16,697
Trustees’ fees*		12,475
Line of credit fees		7,775
Miscellaneous		96,708
Total expenses		2,945,457
Less:
Expenses waived by Adviser		(129,282	)
Earnings credits applied		(209	)
Total waived expenses		(129,491	)
Net expenses		2,815,966
Net investment income		1,667,535
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		843,348
Investments in affiliated issuers		(1,250,881	)
Swap agreements		60,628,492
Futures contracts		(185,269	)
Net realized gain		60,035,690
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(7,608,762	)
Investments in affiliated issuers		(6,848,590	)
Swap agreements		(92,942,880	)
Futures contracts		(43,858	)
Net change in unrealized appreciation (depreciation)		(107,444,090	)
Net realized and unrealized loss		(47,408,400	)
Net decrease in net assets resulting from operations	$	(45,740,865	)

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

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

STYLEPLUS—LARGE CORE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,667,535		$	549,916
Net realized gain on investments		60,035,690			29,570,890
Net change in unrealized appreciation (depreciation) on investments		(107,444,090	)		30,655,086
Net increase (decrease) in net assets resulting from operations		(45,740,865	)		60,775,892
Distributions to shareholders:
A-Class		(11,885,985	)		(18,893,195	)
C-Class		(54,594	)		(129,625	)
P-Class		(14,927	)		(24,513	)
Institutional Class		(322,926	)		(345,692	)
Total distributions to shareholders		(12,278,432	)		(19,393,025	)
Capital share transactions:
Proceeds from sale of shares
A-Class		4,911,344			10,210,123
C-Class		523,465			100,074
P-Class		123,406			50,547
Institutional Class		6,528,320			3,362,734
Distributions reinvested
A-Class		11,200,028			17,748,487
C-Class		54,594			129,475
P-Class		14,927			24,513
Institutional Class		301,038			310,274
Cost of shares redeemed
A-Class		(20,545,489	)		(25,572,115	)
C-Class		(181,556	)		(512,538	)
P-Class		(154,507	)		(2,969	)
Institutional Class		(6,385,546	)		(1,527,547	)
Net increase (decrease) from capital share transactions		(3,609,976	)		4,321,058
Net increase (decrease) in net assets		(61,629,273	)		45,703,925
Net assets:
Beginning of year		254,718,749			209,014,824
End of year	$	193,089,476		$	254,718,749
Capital share activity:
Shares sold
A-Class		184,289			398,868
C-Class		32,562			5,947
P-Class		4,730			2,066
Institutional Class		245,318			130,256
Shares issued from reinvestment of distributions
A-Class		394,367			757,188
C-Class		2,980			8,316
P-Class		534			1,061
Institutional Class		10,717			13,374
Shares redeemed
A-Class		(788,816	)		(1,001,912	)
C-Class		(10,107	)		(30,271	)
P-Class		(5,888	)		(119	)
Institutional Class		(254,438	)		(59,156	)
Net increase (decrease) in shares		(183,752	)		225,618

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

STYLEPLUS—LARGE CORE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	27.35		$	23.01		$	20.48		$	24.78		$	25.23
Income (loss) from investment operations:
Net investment income (loss)a		.18			.06			.17			.30			.30
Net gain (loss) on investments (realized and unrealized)		(5.02	)		6.46			2.70			(.72	)		3.52
Total from investment operations		(4.84	)		6.52			2.87			(.42	)		3.82
Less distributions from:
Net investment income		(.08	)		(.19	)		(.31	)		(.30	)		(.24	)
Net realized gains		(1.25	)		(1.99	)		(.03	)		(3.58	)		(4.03	)
Total distributions		(1.33	)		(2.18	)		(.34	)		(3.88	)		(4.27	)
Net asset value, end of period	$	21.18		$	27.35		$	23.01		$	20.48		$	24.78
Total Returnb		(18.94	%)		29.91	%		14.18	%		1.50	%		16.60	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	186,957		$	247,243		$	204,428		$	196,563		$	217,697
Ratios to average net assets:
Net investment income (loss)		0.68	%		0.23	%		0.79	%		1.48	%		1.27	%
Total expensesc		1.20	%		1.23	%		1.32	%		1.31	%		1.34	%
Net expensesd		1.15	%		1.17	%		1.28	%		1.28	%		1.31	%
Portfolio turnover rate		62	%		25	%		69	%		51	%		46	%

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	18.03		$	15.87		$	14.22		$	18.41		$	19.74
Income (loss) from investment operations:
Net investment income (loss)a		(.02	)		(.11	)		(.02	)		.08			.06
Net gain (loss) on investments (realized and unrealized)		(3.20	)		4.34			1.87			(.69	)		2.69
Total from investment operations		(3.22	)		4.23			1.85			(.61	)		2.75
Less distributions from:
Net investment income		—			(.08	)		(.17	)		—			(.05	)
Net realized gains		(1.24	)		(1.99	)		(.03	)		(3.58	)		(4.03	)
Total distributions		(1.24	)		(2.07	)		(.20	)		(3.58	)		(4.08	)
Net asset value, end of period	$	13.57		$	18.03		$	15.87		$	14.22		$	18.41
Total Returnb		(19.69	%)		28.69	%		13.11	%		0.60	%		15.56	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	999		$	869		$	1,019		$	973		$	1,239
Ratios to average net assets:
Net investment income (loss)		(0.10	%)		(0.67	%)		(0.15	%)		0.58	%		0.33	%
Total expensesc		2.10	%		2.15	%		2.24	%		2.23	%		2.24	%
Net expensesd		2.04	%		2.09	%		2.20	%		2.19	%		2.21	%
Portfolio turnover rate		62	%		25	%		69	%		51	%		46	%

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

STYLEPLUS—LARGE CORE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	26.93		$	22.69		$	20.21		$	24.49		$	25.03
Income (loss) from investment operations:
Net investment income (loss)a		.13			.02			.14			.29			.26
Net gain (loss) on investments (realized and unrealized)		(4.94	)		6.38			2.67			(.73	)		3.45
Total from investment operations		(4.81	)		6.40			2.81			(.44	)		3.71
Less distributions from:
Net investment income		(.05	)		(.17	)		(.30	)		(.26	)		(.22	)
Net realized gains		(1.24	)		(1.99	)		(.03	)		(3.58	)		(4.03	)
Total distributions		(1.29	)		(2.16	)		(.33	)		(3.84	)		(4.25	)
Net asset value, end of period	$	20.83		$	26.93		$	22.69		$	20.21		$	24.49
Total Return		(19.09	%)		29.79	%		13.98	%		1.47	%		16.23	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	255		$	347		$	224		$	236		$	319
Ratios to average net assets:
Net investment income (loss)		0.53	%		0.09	%		0.67	%		1.45	%		1.06	%
Total expensesc		1.36	%		1.36	%		1.46	%		1.36	%		1.56	%
Net expensesd		1.31	%		1.30	%		1.42	%		1.33	%		1.53	%
Portfolio turnover rate		62	%		25	%		69	%		51	%		46	%

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	27.10		$	22.83		$	20.31		$	24.65		$	25.13
Income (loss) from investment operations:
Net investment income (loss)a		.23			.10			.21			.35			.37
Net gain (loss) on investments (realized and unrealized)		(4.97	)		6.40			2.70			(.75	)		3.51
Total from investment operations		(4.74	)		6.50			2.91			(.40	)		3.88
Less distributions from:
Net investment income		(.14	)		(.24	)		(.36	)		(.36	)		(.33	)
Net realized gains		(1.24	)		(1.99	)		(.03	)		(3.58	)		(4.03	)
Total distributions		(1.38	)		(2.23	)		(.39	)		(3.94	)		(4.36	)
Net asset value, end of period	$	20.98		$	27.10		$	22.83		$	20.31		$	24.65
Total Return		(18.78	%)		30.12	%		14.44	%		1.74	%		16.96	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,878		$	6,260		$	3,344		$	3,747		$	6,826
Ratios to average net assets:
Net investment income (loss)		0.88	%		0.38	%		1.01	%		1.73	%		1.57	%
Total expensesc		1.00	%		1.06	%		1.08	%		1.09	%		1.06	%
Net expensesd		0.95	%		0.99	%		1.04	%		1.06	%		1.03	%
Portfolio turnover rate		62	%		25	%		69	%		51	%		46	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 87

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim StylePlusTM—Mid Growth 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; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing 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 -30.68%¹, underperforming the Russell Midcap Growth Index (“Index”), the Fund’s benchmark, which returned -29.50%.

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

Over the period, 15%-25% of the total equity position was allocated to actively managed equity and 75%-85% to passive equity. Remaining Fund assets were invested in the Guggenheim Strategy Funds, short-term fixed-income investment companies advised by Guggenheim Investments, and the Guggenheim Ultra Short Duration Fund whose objective is to seek a high level of income consistent with the preservation of capital.

For the Reporting Period, the Fund underperformed the Russell Mid Growth Index by 1.1% net of fees. During this period, active equity and active fixed income contributed +1.7% and -1.7% to Fund’s excess return, respectively. The remainder resulted from equity index swap cost, implementation shortfall and Fund’s expenses.

How did the Fund use derivatives during the Reporting Period?

The passive equity component, which accounted for 75%-85% of the Fund’s exposure to the broad equity market, consisted of equity index swaps and equity index futures. On average, the equity index futures accounted for 0%~5% of the overall exposure, with the remainder from equity index swaps.

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.

88 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

STYLEPLUS—MID GROWTH 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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.

Inception Dates:
A-Class	September 17, 1969
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	March 1, 2012

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Strategy Fund III	35.1%
Guggenheim Strategy Fund II	33.5%
Guggenheim Ultra Short Duration Fund — Institutional Class	2.9%
Targa Resources Corp.	0.6%
Steel Dynamics, Inc.	0.5%
Builders FirstSource, Inc.	0.4%
Genpact Ltd.	0.4%
Carlisle Companies, Inc.	0.4%
Brunswick Corp.	0.4%
Eagle Materials, Inc.	0.4%
Top Ten Total	74.6%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 89

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	(30.68%)	5.49%	9.12%
A-Class Shares with sales charge‡	(33.98%)	4.47%	8.59%
C-Class Shares	(31.33%)	4.56%	8.15%
C-Class Shares with CDSC§	(31.94%)	4.56%	8.15%
Institutional Class Shares	(30.60%)	5.65%	9.24%
Russell Midcap Growth Index	(29.50%)	7.62%	10.85%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	(30.90%)	5.32%	5.87%
Russell Midcap Growth Index	(29.50%)	7.62%	7.55%

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

90 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2022
STYLEPLUS—MID GROWTH FUND

	Shares		Value
COMMON STOCKS† - 26.8%
Industrial - 5.8%
Builders FirstSource, Inc.*		5,080	$	299,314
Carlisle Companies, Inc.		967		271,156
Eagle Materials, Inc.		2,375		254,552
Jabil, Inc.		3,843		221,779
TopBuild Corp.*		1,256		206,964
Simpson Manufacturing Company, Inc.		2,503		196,235
Donaldson Company, Inc.		3,890		190,649
Acuity Brands, Inc.		1,209		190,381
Middleby Corp.*		1,475		189,051
Lennox International, Inc.		809		180,140
nVent Electric plc		5,498		173,792
National Instruments Corp.		4,577		172,736
Louisiana-Pacific Corp.		3,304		169,132
Lincoln Electric Holdings, Inc.		1,180		148,350
Applied Industrial Technologies, Inc.		1,443		148,312
UFP Industries, Inc.		2,053		148,144
Mueller Industries, Inc.		2,416		143,607
Littelfuse, Inc.		693		137,692
Universal Display Corp.		1,359		128,222
Trex Company, Inc.*		2,573		113,058
Sealed Air Corp.		2,398		106,735
Pentair plc		1,926		78,253
Masco Corp.		1,217		56,822
Toro Co.		469		40,559
Total Industrial				3,965,635
Consumer, Non-cyclical - 5.6%
Darling Ingredients, Inc.*		3,775		249,716
Neurocrine Biosciences, Inc.*		2,321		246,514
Halozyme Therapeutics, Inc.*		5,873		232,218
United Therapeutics Corp.*		1,066		223,199
Shockwave Medical, Inc.*		768		213,558
Integra LifeSciences Holdings Corp.*		4,895		207,352
Quest Diagnostics, Inc.		1,595		195,691
Hologic, Inc.*		2,962		191,108
Syneos Health, Inc.*		3,503		165,166
Globus Medical, Inc. — Class A*		2,717		161,852
Masimo Corp.*		1,131		159,652
Tenet Healthcare Corp.*		2,809		144,888
Service Corporation International		2,490		143,773
Medpace Holdings, Inc.*		849		133,437
Alarm.com Holdings, Inc.*		2,028		131,536
Exelixis, Inc.*		7,898		123,841
Ensign Group, Inc.		1,420		112,890
Avery Dennison Corp.		645		104,942
United Rentals, Inc.*		320		86,438
H&R Block, Inc.		1,931		82,145
Euronet Worldwide, Inc.*		1,040		78,790
Incyte Corp.*		1,164		77,569
QuidelOrtho Corp.*		999		71,408
PerkinElmer, Inc.		551		66,302
AMN Healthcare Services, Inc.*		592		62,728
Coca-Cola Consolidated, Inc.		139		57,231
Laboratory Corporation of America Holdings		265		54,275
Sotera Health Co.*		7,044		48,040
Paylocity Holding Corp.*		167		40,344
Total Consumer, Non-cyclical				3,866,603
Technology - 4.8%
Genpact Ltd.		6,700		293,259
Maximus, Inc.		4,134		239,235
ACI Worldwide, Inc.*		9,148		191,193
Cirrus Logic, Inc.*		2,509		172,619
Lumentum Holdings, Inc.*		2,516		172,522
Fair Isaac Corp.*		417		171,808
Synaptics, Inc.*		1,714		169,703
Concentrix Corp.		1,501		167,557
Lattice Semiconductor Corp.*		3,182		156,586
Aspen Technology, Inc.*		643		153,163
MACOM Technology Solutions Holdings, Inc.*		2,684		139,004
CommVault Systems, Inc.*		2,610		138,434
Power Integrations, Inc.		2,129		136,937
Amkor Technology, Inc.		6,925		118,071
Teradata Corp.*		3,570		110,884
Skyworks Solutions, Inc.		1,187		101,216
NetApp, Inc.		1,477		91,352
Wolfspeed, Inc.*		826		85,375
Blackbaud, Inc.*		1,926		84,860
Microchip Technology, Inc.		1,292		78,851
Qorvo, Inc.*		758		60,193
Akamai Technologies, Inc.*		676		54,296
MKS Instruments, Inc.		651		53,799
HP, Inc.		2,141		53,354
Seagate Technology Holdings plc		896		47,694
Semtech Corp.*		1,182		34,763
Total Technology				3,276,728
Consumer, Cyclical - 3.2%
Brunswick Corp.		4,089		267,625
Boyd Gaming Corp.		4,410		210,137
Deckers Outdoor Corp.*		590		184,440
Tempur Sealy International, Inc.		7,530		181,774
Mattel, Inc.*		9,010		170,649
Williams-Sonoma, Inc.		1,426		168,054
Churchill Downs, Inc.		788		145,110
Dick’s Sporting Goods, Inc.		1,376		143,985
Five Below, Inc.*		1,002		137,945
Crocs, Inc.*		1,740		119,468
Papa John’s International, Inc.		1,506		105,435
Asbury Automotive Group, Inc.*		595		89,905
AutoNation, Inc.*		854		86,997
Light & Wonder, Inc. — Class A*		2,027		86,918
Wingstop, Inc.		681		85,411
Total Consumer, Cyclical				2,183,853
Financial - 2.9%
Wintrust Financial Corp.		3,044		248,238
Cathay General Bancorp		5,147		197,954

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
STYLEPLUS—MID GROWTH FUND

	Shares		Value
United Community Banks, Inc.		5,740	$	189,994
Hancock Whitney Corp.		3,360		153,922
Bank of Hawaii Corp.		1,925		146,531
Evercore, Inc. — Class A		1,686		138,673
East West Bancorp, Inc.		1,956		131,326
Jefferies Financial Group, Inc.		3,891		114,785
Affiliated Managers Group, Inc.		1,022		114,311
Interactive Brokers Group, Inc. — Class A		1,641		104,876
Kinsale Capital Group, Inc.		408		104,211
UMB Financial Corp.		1,191		100,389
Rexford Industrial Realty, Inc. REIT		1,612		83,824
Healthcare Realty Trust, Inc. REIT		3,845		80,168
Life Storage, Inc. REIT		462		51,171
National Retail Properties, Inc. REIT		894		35,635
Total Financial				1,996,008
Energy - 2.0%
Targa Resources Corp.		7,250		437,465
Antero Midstream Corp.		25,331		232,561
DT Midstream, Inc.		4,100		212,749
ONEOK, Inc.		3,357		172,013
PDC Energy, Inc.		2,830		163,546
Southwestern Energy Co.*		15,383		94,144
First Solar, Inc.*		313		41,400
Total Energy				1,353,878
Basic Materials - 1.9%
Steel Dynamics, Inc.		5,315		377,099
Ingevity Corp.*		3,281		198,927
Olin Corp.		4,595		197,034
Cleveland-Cliffs, Inc.*		13,173		177,440
Balchem Corp.		983		119,513
Valvoline, Inc.		3,722		94,315
Nucor Corp.		803		85,913
Avient Corp.		2,015		61,055
Total Basic Materials				1,311,296
Communications - 0.4%
Ciena Corp.*		3,275		132,408
VeriSign, Inc.*		543		94,319
F5, Inc.*		577		83,510
Total Communications				310,237
Utilities - 0.2%
National Fuel Gas Co.		2,428		149,443
Total Common Stocks
(Cost $21,631,916)				18,413,681
MUTUAL FUNDS†,1 - 71.5%
Guggenheim Strategy Fund III		1,004,046		24,117,173
Guggenheim Strategy Fund II		959,130		22,990,350
Guggenheim Ultra Short Duration Fund — Institutional Class		207,807		1,992,867
Total Mutual Funds
(Cost $50,741,897)				49,100,390
MONEY MARKET FUND† - 2.4%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%2		1,648,116		1,648,116
Total Money Market Fund
(Cost $1,648,116)				1,648,116
Total Investments - 100.7%
(Cost $74,021,929)			$	69,162,187
Other Assets & Liabilities, net - (0.7)%				(467,136	)
Total Net Assets - 100.0%			$	68,695,051

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Depreciation**
Equity Futures Contracts Purchased†
S&P 500 Index Mini Futures Contracts		1		Dec 2022	$	179,863	$	(26,639	)
NASDAQ-100 Index Mini Futures Contracts		1		Dec 2022		220,610		(35,845	)
S&P MidCap 400 Index Mini Futures Contracts		2		Dec 2022		441,560		(64,747	)
					$	842,033	$	(127,231	)

Total Return Swap Agreements

Counterparty

Index

Type

Financing Rate

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Depreciation

OTC Equity Index Swap Agreements††

Citibank, N.A.

Russell MidCap Growth Index Total Return

Pay

3.38% (Federal Funds Rate + 0.30%)

At Maturity

12/28/22

13,134

$

50,309,656

$

(22,824,685

)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
STYLEPLUS—MID GROWTH FUND

*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of September 30, 2022.
	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	$	18,413,681	$	—	$	—	$	18,413,681
Mutual Funds		49,100,390		—		—		49,100,390
Money Market Fund		1,648,116		—		—		1,648,116
Total Assets	$	69,162,187	$	—	$	—	$	69,162,187

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts**	$	127,231	$	—	$	—	$	127,231
Equity Index Swap Agreements**		—		22,824,685		—		22,824,685
Total Liabilities	$	127,231	$	22,824,685	$	—	$	22,951,916

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
STYLEPLUS—MID GROWTH FUND

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/21		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 09/30/22		Shares 09/30/22		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	35,771,287	$	8,683,644	$	(20,257,898	)	$	(373,991	)	$	(832,692	)	$	22,990,350		959,130	$	599,772
Guggenheim Strategy Fund III		34,436,584		9,779,050		(18,668,892	)		(358,627	)		(1,070,942	)		24,117,173		1,004,046		644,864
Guggenheim Ultra Short Duration Fund — Institutional Class		22,848,856		72,643		(20,747,986	)		(75,161	)		(105,485	)		1,992,867		207,807		72,308
	$	93,056,727	$	18,535,337	$	(59,674,776	)	$	(807,779	)	$	(2,009,119	)	$	49,100,390			$	1,316,944

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

STYLEPLUS—MID GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $23,280,032)	$	20,061,797
Investments in affiliated issuers, at value (cost $50,741,897)		49,100,390
Segregated cash with broker		23,211,000
Prepaid expenses		28,928
Receivables:
Dividends		169,755
Fund shares sold		17,792
Total assets		92,589,662
Liabilities:
Overdraft due to custodian bank		4,493
Unrealized depreciation on OTC swap agreements		22,824,685
Payable for:
Swap settlement		732,455
Securities purchased		168,396
Management fees		45,513
Fund shares redeemed		35,192
Distribution and service fees		15,554
Variation margin on futures contracts		10,285
Transfer agent/maintenance fees		9,553
Fund accounting/administration fees		6,721
Trustees’ fees*		1,217
Miscellaneous		40,547
Total liabilities		23,894,611
Net assets	$	68,695,051
Net assets consist of:
Paid in capital	$	81,774,665
Total distributable earnings (loss)		(13,079,614	)
Net assets	$	68,695,051
A-Class:
Net assets	$	67,014,363
Capital shares outstanding		1,958,246
Net asset value per share	$	34.22
Maximum offering price per share (Net asset value divided by 95.25%)	$	35.93
C-Class:
Net assets	$	688,294
Capital shares outstanding		36,377
Net asset value per share	$	18.92
P-Class:
Net assets	$	108,828
Capital shares outstanding		3,241
Net asset value per share	$	33.58
Institutional Class:
Net assets	$	883,566
Capital shares outstanding		25,799
Net asset value per share	$	34.25

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $65)	$	215,971
Dividends from securities of affiliated issuers		1,316,944
Interest		14,016
Total investment income		1,546,931
Expenses:
Management fees		698,519
Distribution and service fees:
A-Class		226,838
C-Class		9,996
P-Class		409
Transfer agent/maintenance fees:
A-Class		80,927
C-Class		2,668
P-Class		543
Institutional Class		2,709
Registration fees		76,084
Fund accounting/administration fees		64,786
Professional fees		40,598
Trustees’ fees*		13,083
Custodian fees		11,357
Line of credit fees		3,115
Miscellaneous		7,899
Total expenses		1,239,531
Less:
Expenses waived by Adviser		(17,047	)
Earnings credits applied		(161	)
Total waived expenses		(17,208	)
Net expenses		1,222,323
Net investment income		324,608
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(992,643	)
Investments in affiliated issuers		(807,779	)
Swap agreements		19,852,243
Futures contracts		(166,703	)
Net realized gain		17,885,118
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(3,762,314	)
Investments in affiliated issuers		(2,009,119	)
Swap agreements		(44,591,287	)
Futures contracts		(127,231	)
Net change in unrealized appreciation (depreciation)		(50,489,951	)
Net realized and unrealized loss		(32,604,833	)
Net decrease in net assets resulting from operations	$	(32,280,225	)

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 95

STYLEPLUS—MID GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income (loss)	$	324,608		$	(51,917	)
Net realized gain on investments		17,885,118			20,864,358
Net change in unrealized appreciation (depreciation) on investments		(50,489,951	)		7,252,977
Net increase (decrease) in net assets resulting from operations		(32,280,225	)		28,065,418
Distributions to shareholders:
A-Class		(6,756,571	)		(13,186,487	)
C-Class		(132,465	)		(336,310	)
P-Class		(15,261	)		(24,991	)
Institutional Class		(94,156	)		(238,403	)
Total distributions to shareholders		(6,998,453	)		(13,786,191	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,567,712			2,172,972
C-Class		27,151			158,772
P-Class		30,227			79,809
Institutional Class		430,972			682,378
Distributions reinvested
A-Class		6,449,689			12,584,969
C-Class		107,727			278,491
P-Class		15,261			24,991
Institutional Class		89,198			228,045
Cost of shares redeemed
A-Class		(10,782,195	)		(10,248,122	)
C-Class		(289,331	)		(682,043	)
P-Class		(102,638	)		(7,208	)
Institutional Class		(507,524	)		(1,020,174	)
Net increase (decrease) from capital share transactions		(2,963,751	)		4,252,880
Net increase (decrease) in net assets		(42,242,429	)		18,532,107
Net assets:
Beginning of year		110,937,480			92,405,373
End of year	$	68,695,051		$	110,937,480
Capital share activity:
Shares sold
A-Class		35,090			43,004
C-Class		1,116			5,193
P-Class		800			1,640
Institutional Class		10,243			13,400
Shares issued from reinvestment of distributions
A-Class		131,225			260,504
C-Class		3,936			9,761
P-Class		315			525
Institutional Class		1,814			4,727
Shares redeemed
A-Class		(256,009	)		(201,221	)
C-Class		(11,608	)		(23,365	)
P-Class		(2,436	)		(151	)
Institutional Class		(12,632	)		(20,266	)
Net increase (decrease) in shares		(98,146	)		93,751

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

STYLEPLUS—MID GROWTH FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	52.73		$	45.98		$	39.64		$	49.70		$	47.34
Income (loss) from investment operations:
Net investment income (loss)a		.16			(.02	)		.19			.45			.41
Net gain (loss) on investments (realized and unrealized)		(15.32	)		13.67			7.06			(1.58	)		7.70
Total from investment operations		(15.16	)		13.65			7.25			(1.13	)		8.11
Less distributions from:
Net investment income		—			(.20	)		(.45	)		(.41	)		(.24	)
Net realized gains		(3.35	)		(6.70	)		(.46	)		(8.52	)		(5.51	)
Total distributions		(3.35	)		(6.90	)		(.91	)		(8.93	)		(5.75	)
Net asset value, end of period	$	34.22		$	52.73		$	45.98		$	39.64		$	49.70
Total Returnb		(30.68	%)		31.07	%		18.57	%		2.34	%		18.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	67,014		$	107,983		$	89,469		$	83,027		$	87,509
Ratios to average net assets:
Net investment income (loss)		0.36	%		(0.04	%)		0.46	%		1.13	%		0.87	%
Total expensesc		1.32	%		1.34	%		1.45	%		1.44	%		1.55	%
Net expensesd		1.30	%		1.28	%		1.40	%		1.41	%		1.52	%
Portfolio turnover rate		72	%		44	%		82	%		73	%		52	%

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	30.92		$	29.40		$	25.66		$	35.78		$	35.64
Income (loss) from investment operations:
Net investment income (loss)a		(.15	)		(.29	)		(.10	)		.08			.02
Net gain (loss) on investments (realized and unrealized)		(8.50	)		8.51			4.53			(1.68	)		5.63
Total from investment operations		(8.65	)		8.22			4.43			(1.60	)		5.65
Less distributions from:
Net investment income		—			—			(.23	)		—			—
Net realized gains		(3.35	)		(6.70	)		(.46	)		(8.52	)		(5.51	)
Total distributions		(3.35	)		(6.70	)		(.69	)		(8.52	)		(5.51	)
Net asset value, end of period	$	18.92		$	30.92		$	29.40		$	25.66		$	35.78
Total Returnb		(31.33	%)		29.88	%		17.53	%		1.46	%		17.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	688		$	1,327		$	1,510		$	1,683		$	1,849
Ratios to average net assets:
Net investment income (loss)		(0.59	%)		(0.94	%)		(0.39	%)		0.30	%		0.05	%
Total expensesc		2.25	%		2.26	%		2.32	%		2.27	%		2.33	%
Net expensesd		2.23	%		2.20	%		2.28	%		2.24	%		2.30	%
Portfolio turnover rate		72	%		44	%		82	%		73	%		52	%

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

STYLEPLUS—MID GROWTH FUND

FINANCIAL HIGHLIGHTS (concluded)

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	51.96		$	45.45		$	39.17		$	49.12		$	46.83
Income (loss) from investment operations:
Net investment income (loss)a		—			(.07	)		.15			.41			.32
Net gain (loss) on investments (realized and unrealized)		(15.03	)		13.51			6.99			(1.58	)		7.61
Total from investment operations		(15.03	)		13.44			7.14			(1.17	)		7.93
Less distributions from:
Net investment income		—			(.23	)		(.40	)		(.26	)		(.13	)
Net realized gains		(3.35	)		(6.70	)		(.46	)		(8.52	)		(5.51	)
Total distributions		(3.35	)		(6.93	)		(.86	)		(8.78	)		(5.64	)
Net asset value, end of period	$	33.58		$	51.96		$	45.45		$	39.17		$	49.12
Total Return		(30.90	%)		30.92	%		18.48	%		2.22	%		18.26	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	109		$	237		$	116		$	93		$	125
Ratios to average net assets:
Net investment income (loss)		0.01	%		(0.14	%)		0.36	%		1.04	%		0.67	%
Total expensesc		1.56	%		1.43	%		1.54	%		1.55	%		1.68	%
Net expensesd		1.54	%		1.37	%		1.50	%		1.51	%		1.64	%
Portfolio turnover rate		72	%		44	%		82	%		73	%		52	%

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	52.71		$	45.98		$	39.64		$	49.80		$	47.48
Income (loss) from investment operations:
Net investment income (loss)a		.22			.07			.24			.51			.53
Net gain (loss) on investments (realized and unrealized)		(15.33	)		13.65			7.09			(1.63	)		7.71
Total from investment operations		(15.11	)		13.72			7.33			(1.12	)		8.24
Less distributions from:
Net investment income		—			(.29	)		(.53	)		(.52	)		(.41	)
Net realized gains		(3.35	)		(6.70	)		(.46	)		(8.52	)		(5.51	)
Total distributions		(3.35	)		(6.99	)		(.99	)		(9.04	)		(5.92	)
Net asset value, end of period	$	34.25		$	52.71		$	45.98		$	39.64		$	49.80
Total Return		(30.60	%)		31.26	%		18.79	%		2.42	%		18.77	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	884		$	1,390		$	1,311		$	972		$	875
Ratios to average net assets:
Net investment income (loss)		0.50	%		0.14	%		0.58	%		1.28	%		1.11	%
Total expensesc		1.20	%		1.17	%		1.26	%		1.31	%		1.26	%
Net expensesd		1.18	%		1.11	%		1.22	%		1.28	%		1.23	%
Portfolio turnover rate		72	%		44	%		82	%		73	%		52	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim World Equity Income 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; Evan Einstein, Director and Portfolio Manager; and Douglas Makin, 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 -13.44%¹, outperforming the MSCI World Index (“Index”), the Fund’s benchmark, which returned -19.63% for the same period.

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

The last year was a difficult period for global equity markets. Inflation has been historically high; the Federal Reserve has been increasing interest rates; and war has been destabilizing Europe. The Fund managed to outperform due to its positioning in lower risk and higher relative yield than the benchmark. The Fund’s strategy tends to create a bias toward value-oriented investments, which also tends to contribute to performance in a down market.

The leading contributor to return was security selection in the Health Care and Information Technology sectors. These sectors were also where the Fund was most underweight relative to the benchmark, which helped in the Technology sector but hurt in the Health Care sector. An overweight in the Industrials sector was also a strong positive contributor. The leading detractors from return were selection in the Financials and Energy sectors.

From a country perspective, the Fund had its strongest contribution from its holdings in Canada. Its holdings in most other countries, including the U.S., were negative for the period, detracting from return. However, the negative return of U.S. holdings, the largest in the Fund, was better than the benchmark return, contributing to relative performance.

The top individual contributors to the fund were the underweight in Meta Platforms, and an overweight in Tourmaline Oil Corp and Qualcomm Inc. The biggest detractors were an overweight in Intel Corp, International Paper, and Liberty Global plc.

How did the Fund use derivatives during the Reporting Period?

The Fund uses currency contract futures to hedge non-U.S. dollar equity positions, which helps to reduce volatility. Their contribution to performance in aggregate was positive, as the currency futures were active for much of the period and the dollar was strong against other currencies for much of the period as well.

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

Rising interest rates, the reopening of the economy following the pandemic, and a historically wide valuation gap between growth and value sectors were among the factors that saw value stocks solidly outperform growth stocks over the period. Compared with the Index, the Fund is positioned more cautiously, as we anticipate continuing market weakness that defined much of the period.

The Fund was most overweight in the Utilities, Energy, and Industrials sectors at the end of the Reporting Period, and most underweight in the Health Care, Information Technology, and Consumer Staples sectors.

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 | 99

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

WORLD EQUITY INCOME FUND

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

Holdings Diversification (Market Exposure as % of Net Assets)

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

Country Diversification

Country	% of Long-Term Investments
United States		65.5	%
Japan		8.5	%
Canada		6.7	%
Australia		4.7	%
United Kingdom		4.6	%
Ireland		1.8	%
Switzerland		1.3	%
Other		6.9	%
Total Long-Term Investments		100.0	%

Inception Dates:
A-Class	October 1, 1993
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	May 2, 2011

Ten Largest Holdings (% of Total Net Assets)
Microsoft Corp.	3.0%
Apple, Inc.	3.0%
Johnson & Johnson	1.7%
Alphabet, Inc. — Class C	1.7%
Amazon.com, Inc.	1.5%
Home Depot, Inc.	1.3%
Merck & Company, Inc.	1.3%
Shell plc	1.1%
Lowe’s Companies, Inc.	1.1%
McDonald’s Corp.	1.1%
Top Ten Total	16.8%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

100 | 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	(13.44%)	3.67%	6.74%
A-Class Shares with sales charge‡	(17.54%)	2.66%	6.22%
C Class Shares	(14.11%)	2.89%	5.94%
C-Class Shares with CDSC§	(14.75%)	2.89%	5.94%
Institutional Class Shares	(13.18%)	3.96%	7.05%
MSCI World Index	(19.63%)	5.30%	8.11%

	1 Year	5 Year	Since Inception (05/01/15)
P Class Shares	(13.44%)	3.66%	4.61%
MSCI World Index	(19.63%)	5.30%	5.82%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The MSCI World Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. 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.
‡	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 | 101

SCHEDULE OF INVESTMENTS	September 30, 2022
WORLD EQUITY INCOME FUND

	Shares		Value
COMMON STOCKS† - 96.6%
Consumer, Non-cyclical - 16.3%
Johnson & Johnson		4,691	$	766,322
Merck & Company, Inc.		6,759		582,085
Amgen, Inc.		2,150		484,610
Gilead Sciences, Inc.		7,095		437,691
AbbVie, Inc.		3,200		429,472
Kellogg Co.		5,901		411,064
J M Smucker Co.		2,886		396,565
Colgate-Palmolive Co.		5,259		369,445
Automatic Data Processing, Inc.		1,623		367,106
Takeda Pharmaceutical Company Ltd.††		14,000		363,554
Becton Dickinson and Co.		1,622		361,430
Imperial Brands plc††		16,900		347,476
Novartis AG††		4,500		343,126
Transurban Group††		40,000		315,908
AmerisourceBergen Corp. — Class A		2,126		287,711
Philip Morris International, Inc.		2,449		203,291
Booz Allen Hamilton Holding Corp.		1,960		181,006
UnitedHealth Group, Inc.		346		174,744
Abbott Laboratories		1,200		116,112
Dai Nippon Printing Company Ltd.††		5,000		100,173
General Mills, Inc.		1,200		91,932
PepsiCo, Inc.		500		81,630
Total Consumer, Non-cyclical				7,212,453
Technology - 14.8%
Microsoft Corp.		5,727		1,333,818
Apple, Inc.		9,555		1,320,501
Texas Instruments, Inc.		3,004		464,959
International Business Machines Corp.		3,549		421,657
Broadcom, Inc.		946		420,034
Intel Corp.		13,982		360,316
Analog Devices, Inc.		2,200		306,548
Broadridge Financial Solutions, Inc.		2,099		302,928
Paychex, Inc.		2,600		291,746
Dell Technologies, Inc. — Class C		8,361		285,695
Hewlett Packard Enterprise Co.		22,484		269,358
Seagate Technology Holdings plc		4,911		261,413
Ricoh Company Ltd.††		29,300		214,543
Seiko Epson Corp.††		10,100		137,912
Oracle Corp.		1,348		82,322
Jack Henry & Associates, Inc.		400		72,908
Total Technology				6,546,658
Consumer, Cyclical - 13.3%
Home Depot, Inc.		2,133		588,580
Lowe’s Companies, Inc.		2,676		502,580
McDonald’s Corp.		2,145		494,937
PACCAR, Inc.		4,845		405,478
Dollar General Corp.		1,548		371,303
Tesla, Inc.*		1,329		352,517
Genuine Parts Co.		2,350		350,902
Daiwa House Industry Company Ltd.††		16,100		327,360
Yum! Brands, Inc.		3,008		319,871
Sumitomo Corp.††		24,100		297,745
Hasbro, Inc.		3,828		258,084
Iida Group Holdings Company Ltd.††		16,200		219,292
Whirlpool Corp.		1,599		215,561
O’Reilly Automotive, Inc.*		300		211,005
Aisin Corp.††		8,000		205,921
Sharp Corp.††		34,100		203,335
Newell Brands, Inc.		11,967		166,221
TJX Companies, Inc.		1,900		118,028
Cummins, Inc.		445		90,562
Lululemon Athletica, Inc.*		300		83,868
Sumitomo Electric Industries Ltd.††		7,900		80,198
Total Consumer, Cyclical				5,863,348
Financial - 12.6%
Principal Financial Group, Inc.		5,842		421,500
Cboe Global Markets, Inc.		3,355		393,776
Australia & New Zealand Banking Group Ltd.††		25,300		370,375
Prudential Financial, Inc.		4,303		369,111
AvalonBay Communities, Inc. REIT		1,946		358,434
Truist Financial Corp.		7,900		343,966
Travelers Companies, Inc.		2,219		339,951
MetLife, Inc.		5,496		334,047
National Australia Bank Ltd.††		17,900		331,442
Aon plc — Class A		1,000		267,870
Willis Towers Watson plc		1,300		261,222
Chubb Ltd.		1,262		229,533
Annaly Capital Management, Inc. REIT		10,489		179,991
Gaming and Leisure Properties, Inc. REIT		4,000		176,960
Erie Indemnity Co. — Class A		700		155,617
Dexus REIT††		30,500		151,730
American International Group, Inc.		2,686		127,531
Globe Life, Inc.		1,100		109,670
Western Union Co.		8,000		108,000
Aflac, Inc.		1,900		106,780
Westpac Banking Corp.††		8,000		105,844
Marsh & McLennan Companies, Inc.		700		104,503
SEI Investments Co.		1,900		93,195
PNC Financial Services Group, Inc.		500		74,710
GPT Group REIT††		29,806		73,360
Total Financial				5,589,118
Industrial - 11.5%
Northrop Grumman Corp.		972		457,151
Lockheed Martin Corp.		1,079		416,807
Waste Connections, Inc.		2,752		371,878
General Dynamics Corp.		1,730		367,054
United Parcel Service, Inc. — Class B		2,018		325,988
3M Co.		2,866		316,693
Packaging Corporation of America		2,754		309,247
Amcor plc		28,063		301,116
Aurizon Holdings Ltd.††		108,600		240,194
Nippon Yusen K.K.††		13,800		234,242
L3Harris Technologies, Inc.		1,103		229,237
Snap-on, Inc.		1,000		201,350
Waste Management, Inc.		1,250		200,262
Nordson Corp.		908		192,741

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
WORLD EQUITY INCOME FUND

	Shares		Value
Republic Services, Inc. — Class A		1,378	$	187,463
SITC International Holdings Company Ltd.††		99,600		182,669
AP Moller - Maersk A/S — Class B††		100		181,722
Mitsui OSK Lines Ltd.††		9,700		173,560
Illinois Tool Works, Inc.		643		116,158
Arrow Electronics, Inc.*		997		91,914
Total Industrial				5,097,446
Energy - 8.9%
Shell plc††		20,300		503,571
Equinor ASA††		12,100		399,088
Enbridge, Inc.		10,517		390,133
TotalEnergies SE††		7,900		370,646
Suncor Energy, Inc.		12,678		357,176
Eni SpA††		31,000		329,508
Imperial Oil Ltd.		6,900		298,885
ENEOS Holdings, Inc.††		80,000		258,016
Parkland Corp.		9,900		212,231
Keyera Corp.		10,000		205,974
Idemitsu Kosan Company Ltd.††		9,000		195,602
Galp Energia SGPS S.A. — Class B††		20,100		193,400
Aker BP ASA††		3,900		111,960
Repsol S.A.††		8,600		98,822
Total Energy				3,925,012
Communications - 7.2%
Alphabet, Inc. — Class C*		7,951		764,489
Amazon.com, Inc.*		5,721		646,473
Verizon Communications, Inc.		11,559		438,895
Motorola Solutions, Inc.		1,134		253,982
Comcast Corp. — Class A		8,452		247,897
Liberty Global plc — Class C*		12,480		205,920
Cisco Systems, Inc.		4,648		185,920
NortonLifeLock, Inc.		7,944		159,992
FactSet Research Systems, Inc.		300		120,033
Omnicom Group, Inc.		1,400		88,326
Meta Platforms, Inc. — Class A*		500		67,840
Total Communications				3,179,767
Utilities - 6.9%
EDP - Energias de Portugal S.A.††		74,300		322,481
Emera, Inc.		7,936		321,231
SSE plc††		19,000		320,781
Fortis, Inc.		7,936		301,632
National Grid plc††		25,800		265,574
Kansai Electric Power Company, Inc.*,††		28,100		235,098
Chubu Electric Power Company, Inc.††		25,600		230,239
Canadian Utilities Ltd. — Class A		8,506		221,342
Southern Co.		2,975		202,300
Duke Energy Corp.		1,600		148,832
AltaGas Ltd.		6,000		114,937
Red Electrica Corporation S.A.††		7,000		107,425
Hydro One Ltd.1		4,000		97,859
Exelon Corp.		2,567		96,160
Enagas S.A.††		5,100		78,947
Total Utilities				3,064,838
Basic Materials - 5.1%
Air Products and Chemicals, Inc.		1,597		371,670
Rio Tinto plc††		6,700		362,531
LyondellBasell Industries N.V. — Class A		3,798		285,914
International Paper Co.		8,795		278,801
Fortescue Metals Group Ltd.††		24,900		267,320
South32 Ltd.††		111,100		263,751
Eastman Chemical Co.		3,268		232,191
JFE Holdings, Inc.††		21,700		201,496
Total Basic Materials				2,263,674
Total Common Stocks
(Cost $47,826,029)				42,742,314
EXCHANGE-TRADED FUNDS† - 1.4%
iShares MSCI EAFE ETF		5,478		306,823
SPDR S&P 500 ETF Trust		841		300,388
Total Exchange-Traded Funds
(Cost $629,596)				607,211
MONEY MARKET FUND† - 0.2%
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 2.49%2		72,103		72,103
Total Money Market Fund
(Cost $72,103)				72,103
Total Investments - 98.2%
(Cost $48,527,728)			$	43,421,628
Other Assets & Liabilities, net - 1.8%				799,387
Total Net Assets - 100.0%			$	44,221,015

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 103

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
WORLD EQUITY INCOME FUND

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Appreciation (Depreciation)**
Currency Futures Contracts Sold Short†
Canadian Dollar Futures Contracts		36		Dec 2022	$	2,606,760	$	111,217
Australian Dollar Futures Contracts		33		Dec 2022		2,113,320		82,184
British Pound Futures Contracts		27		Dec 2022		1,885,950		64,889
Japanese Yen Futures Contracts		44		Dec 2022		3,831,300		33,000
Euro FX Futures Contracts		7		Dec 2022		862,269		(6,624	)
					$	11,299,599	$	284,666

*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $97,859 (cost $108,457), or 0.2% of total net assets.
2	Rate indicated is the 7-day yield as of September 30, 2022.
	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	$	32,424,377	$	10,317,937	$	—	$	42,742,314
Exchange-Traded Funds		607,211		—		—		607,211
Money Market Fund		72,103		—		—		72,103
Currency Futures Contracts**		291,290		—		—		291,290
Total Assets	$	33,394,981	$	10,317,937	$	—	$	43,712,918

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Currency Futures Contracts**	$	6,624	$	—	$	—	$	6,624

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

WORLD EQUITY INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments, at value (cost $48,527,728)	$	43,421,628
Foreign currency, at value (cost 32,966)		30,941
Segregated cash with broker		333,500
Prepaid expenses		33,586
Receivables:
Securities sold		185,363
Dividends		167,134
Foreign tax reclaims		79,816
Fund shares sold		64,374
Variation margin on futures contracts		33,825
Interest		492
Total assets		44,350,659
Liabilities:
Overdraft due to custodian bank		3,032
Payable for:
Professional fees		37,387
Fund shares redeemed		29,377
Management fees		15,391
Distribution and service fees		10,160
Distributions to shareholders		9,220
Transfer agent/maintenance fees		6,408
Fund accounting/administration fees		5,190
Trustees’ fees*		2,805
Due to Investment Adviser		2,515
Miscellaneous		8,159
Total liabilities		129,644
Net assets	$	44,221,015
Net assets consist of:
Paid in capital	$	49,595,984
Total distributable earnings (loss)		(5,374,969	)
Net assets	$	44,221,015
A-Class:
Net assets	$	35,904,865
Capital shares outstanding		2,874,003
Net asset value per share	$	12.49
Maximum offering price per share (Net asset value divided by 95.25%)	$	13.11
C-Class:
Net assets	$	2,518,077
Capital shares outstanding		246,825
Net asset value per share	$	10.20
P-Class:
Net assets	$	61,865
Capital shares outstanding		4,910
Net asset value per share	$	12.60
Institutional Class:
Net assets	$	5,736,208
Capital shares outstanding		462,750
Net asset value per share	$	12.40

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends (net of foreign withholding tax of $134,216)	$	1,571,688
Interest		1,666
Total investment income		1,573,354
Expenses:
Management fees		355,927
Distribution and service fees:
A-Class		107,254
C-Class		30,986
P-Class		252
Transfer agent/maintenance fees:
A-Class		36,952
C-Class		4,579
P-Class		318
Institutional Class		3,123
Registration fees		68,273
Professional fees		42,784
Fund accounting/administration fees		39,180
Custodian fees		10,822
Trustees’ fees*		10,262
Line of credit fees		1,488
Miscellaneous		6,361
Recoupment of previously waived fees:
A-Class		2,297
C-Class		150
Institutional Class		449
Total expenses		721,457
Less:
Expenses reimbursed by Adviser:
A-Class		(38,498	)
C-Class		(4,671	)
P-Class		(318	)
Institutional Class		(3,463	)
Expenses waived by Adviser		(50,992	)
Total waived/reimbursed expenses		(97,942	)
Net expenses		623,515
Net investment income		949,839
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(349,735	)
Futures contracts		203,522
Foreign currency transactions		(13,525	)
Net realized loss		(159,738	)
Net change in unrealized appreciation (depreciation) on:
Investments		(7,861,101	)
Futures contracts		296,264
Foreign currency translations		(14,114	)
Net change in unrealized appreciation (depreciation)		(7,578,951	)
Net realized and unrealized loss		(7,738,689	)
Net decrease in net assets resulting from operations	$	(6,788,850	)

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

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

WORLD EQUITY INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	949,839		$	762,621
Net realized gain (loss) on investments		(159,738	)		12,880,078
Net change in unrealized appreciation (depreciation) on investments		(7,578,951	)		(2,137,068	)
Net increase (decrease) in net assets resulting from operations		(6,788,850	)		11,505,631
Distributions to shareholders:
A-Class		(10,744,755	)		(878,652	)
C-Class		(873,734	)		(42,902	)
P-Class		(28,439	)		(2,092	)
Institutional Class		(968,069	)		(67,115	)
Total distributions to shareholders		(12,614,997	)		(990,761	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,877,448			2,117,138
C-Class		269,648			593,534
P-Class		3,577			21,774
Institutional Class		5,857,937			628,784
Distributions reinvested
A-Class		10,254,795			847,352
C-Class		870,099			42,591
P-Class		28,438			2,092
Institutional Class		962,451			66,615
Cost of shares redeemed
A-Class		(4,367,556	)		(5,732,482	)
C-Class		(560,409	)		(984,650	)
P-Class		(48,299	)		(19,188	)
Institutional Class		(2,193,005	)		(839,632	)
Net increase (decrease) from capital share transactions		12,955,124			(3,256,072	)
Net increase (decrease) in net assets		(6,448,723	)		7,258,798
Net assets:
Beginning of year		50,669,738			43,410,940
End of year	$	44,221,015		$	50,669,738
Capital share activity:
Shares sold
A-Class		126,711			116,957
C-Class		21,381			38,329
P-Class		242			1,170
Institutional Class		390,214			35,268
Shares issued from reinvestment of distributions
A-Class		659,255			46,434
C-Class		68,252			2,739
P-Class		1,802			113
Institutional Class		62,780			3,667
Shares redeemed
A-Class		(278,966	)		(318,411	)
C-Class		(44,338	)		(64,340	)
P-Class		(3,361	)		(1,237	)
Institutional Class		(150,633	)		(46,787	)
Net increase (decrease) in shares		853,339			(186,098	)

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

WORLD EQUITY INCOME FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	18.73		$	15.03		$	15.26		$	15.77		$	14.84
Income (loss) from investment operations:
Net investment income (loss)a		.29			.28			.20			.35			.23
Net gain (loss) on investments (realized and unrealized)		(1.97	)		3.79			(.12	)g		(.36	)		.95
Total from investment operations		(1.68	)		4.07			.08			(.01	)		1.18
Less distributions from:
Net investment income		(.34	)		(.34	)		(.27	)		(.37	)		(.25	)
Net realized gains		(4.22	)		(.03	)		(.04	)		(.13	)		—
Total distributions		(4.56	)		(.37	)		(.31	)		(.50	)		(.25	)
Net asset value, end of period	$	12.49		$	18.73		$	15.03		$	15.26		$	15.77
Total Returnb		(13.44	%)		27.13	%		0.60	%		0.14	%		8.01	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	35,905		$	44,337		$	37,911		$	60,639		$	67,679
Ratios to average net assets:
Net investment income (loss)		1.87	%		1.55	%		1.36	%		2.39	%		1.48	%
Total expensesc		1.39	%		1.45	%		1.48	%		1.37	%		1.37	%
Net expensesd,e,f		1.20	%		1.21	%		1.22	%		1.22	%		1.22	%
Portfolio turnover rate		162	%		191	%		192	%		127	%		125	%

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	16.03		$	12.87		$	13.06		$	13.53		$	12.72
Income (loss) from investment operations:
Net investment income (loss)a		.14			.13			.08			.21			.09
Net gain (loss) on investments (realized and unrealized)		(1.56	)		3.24			(.10	)g		(.33	)		.83
Total from investment operations		(1.42	)		3.37			(.02	)		(.12	)		.92
Less distributions from:
Net investment income		(.19	)		(.18	)		(.13	)		(.22	)		(.11	)
Net realized gains		(4.22	)		(.03	)		(.04	)		(.13	)		—
Total distributions		(4.41	)		(.21	)		(.17	)		(.35	)		(.11	)
Net asset value, end of period	$	10.20		$	16.03		$	12.87		$	13.06		$	13.53
Total Returnb		(14.11	%)		26.22	%		(0.13	%)		(0.69	%)		7.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,518		$	3,230		$	2,893		$	3,366		$	4,215
Ratios to average net assets:
Net investment income (loss)		1.12	%		0.81	%		0.67	%		1.64	%		0.71	%
Total expensesc		2.20	%		2.28	%		2.40	%		2.28	%		2.18	%
Net expensesd,e,f		1.95	%		1.96	%		1.97	%		1.97	%		1.97	%
Portfolio turnover rate		162	%		191	%		192	%		127	%		125	%

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

WORLD EQUITY INCOME FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	18.91		$	15.17		$	15.38		$	15.92		$	15.08
Income (loss) from investment operations:
Net investment income (loss)a		.29			.30			.20			.36			.24
Net gain (loss) on investments (realized and unrealized)		(1.99	)		3.80			(.11	)g		(.39	)		.95
Total from investment operations		(1.70	)		4.10			.09			(.03	)		1.19
Less distributions from:
Net investment income		(.39	)		(.33	)		(.26	)		(.38	)		(.35	)
Net realized gains		(4.22	)		(.03	)		(.04	)		(.13	)		—
Total distributions		(4.61	)		(.36	)		(.30	)		(.51	)		(.35	)
Net asset value, end of period	$	12.60		$	18.91		$	15.17		$	15.38		$	15.92
Total Return		(13.44	%)		27.10	%		0.66	%		0.06	%		7.99	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	62		$	118		$	94		$	129		$	195
Ratios to average net assets:
Net investment income (loss)		1.82	%		1.61	%		1.36	%		2.38	%		1.50	%
Total expensesc		1.62	%		1.53	%		1.56	%		1.44	%		1.40	%
Net expensesd,e,f		1.20	%		1.21	%		1.22	%		1.22	%		1.22	%
Portfolio turnover rate		162	%		191	%		192	%		127	%		125	%

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

WORLD EQUITY INCOME FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	18.61		$	14.94		$	15.16		$	15.71		$	14.74
Income (loss) from investment operations:
Net investment income (loss)a		.36			.33			.25			.39			.29
Net gain (loss) on investments (realized and unrealized)		(1.98	)		3.75			(.13	)g		(.37	)		.93
Total from investment operations		(1.62	)		4.08			.12			.02			1.22
Less distributions from:
Net investment income		(.37	)		(.38	)		(.30	)		(.44	)		(.25	)
Net realized gains		(4.22	)		(.03	)		(.04	)		(.13	)		—
Total distributions		(4.59	)		(.41	)		(.34	)		(.57	)		(.25	)
Net asset value, end of period	$	12.40		$	18.61		$	14.94		$	15.16		$	15.71
Total Return		(13.18	%)		27.38	%		0.92	%		0.40	%		8.34	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,736		$	2,985		$	2,513		$	3,458		$	19,589
Ratios to average net assets:
Net investment income (loss)		2.36	%		1.82	%		1.66	%		2.67	%		1.85	%
Total expensesc		1.13	%		1.21	%		1.50	%		1.17	%		1.02	%
Net expensesd,e,f		0.95	%		0.96	%		0.97	%		0.97	%		0.97	%
Portfolio turnover rate		162	%		191	%		192	%		127	%		125	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	0.01%	—	—	0.00%*	0.00%*
C-Class	0.00%*	—	—	—	0.00%*
P-Class	0.00%*	—	—	—	—
Institutional Class	0.01%	0.02%	—	—	0.00%*

* Less than 0.01%.

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	1.20%	1.21%	1.22%	1.22%	1.22%
C-Class	1.95%	1.96%	1.97%	1.97%	1.97%
P-Class	1.20%	1.21%	1.22%	1.22%	1.22%
Institutional Class	0.95%	0.96%	0.97%	0.97%	0.96%

^g The amount shown for a share outstanding throughout the year does not agree with the aggregate net gain on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund.

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI” or the “Adviser”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds.

This report covers the following funds (collectively, the “Funds”):

Fund	Investment Company Type
Alpha Opportunity Fund	Diversified
Large Cap Value Fund	Diversified
Market Neutral Real Estate Fund	Diversified
Risk Managed Real Estate Fund	Diversified
Small Cap Value Fund	Diversified
StylePlus—Large Core Fund	Diversified
StylePlus—Mid Growth Fund	Diversified
World Equity Income Fund	Diversified

At March 31, 2022, A-Class, C-Class, P-Class and Institutional Class shares have been issued by the Funds.

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“GPIM”), which operate under the name Guggenheim Investments, provide advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Significant Accounting Policies

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

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

The NAV of each Class of a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

The Board of Trustees of the Funds (the “Board”) adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Funds with respect to all Fund investments and/or other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from

110 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Funds’ securities and/or other assets.

Valuations of the Funds’ securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly review the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.

Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are generally valued at the last quoted sale price.

The value of futures contracts are valued on the basis of the last sale price at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation .

The values of swap agreements entered into by a fund are generally valued using an evaluated price provided by a third party pricing vendor.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

(b) Short Sales

When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 111

NOTES TO FINANCIAL STATEMENTS (continued)

(c) Futures Contracts

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

(d) Swap Agreements

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

(e) Currency Translations

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

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

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

(f) Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2022, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

(g) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

(h) Distributions

Dividends from net investment income are declared quarterly in the World Equity Income Fund and Risk Managed Real Estate Fund. Dividends are reinvested in additional shares, unless shareholders request payment in cash. Distributions of net investment income in the remaining Funds and distributions of net realized gains, if any, in all Funds are declared at least annually and recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

(i) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

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(j) Earnings Credits

Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2022, are disclosed in the Statements of Operations.

(k) Cash

The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 3.08% at September 30, 2022.

(l) Indemnifications

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

Note 2 – Financial Instruments and Derivatives

As part of their investment strategy, the Funds may utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Short Sales

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

Derivatives

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

The Funds may utilize derivatives for the following purposes:

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

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

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

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

Futures Contracts

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

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NOTES TO FINANCIAL STATEMENTS (continued)

The following table represents the Funds’ use and volume of futures on a monthly basis:

		Average Notional Amount
Fund	Use	Long		Short
StylePlus—Large Core Fund	Index exposure	$	3,817,930	$	—
StylePlus—Mid Growth Fund	Index exposure		2,017,520		—
World Equity Income Fund	Hedge		—		4,555,989

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing over-the-counter (“OTC”) swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

Total return and custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index or custom basket of securities) for a fixed or variable interest rate. Total return and custom basket swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return or custom basket swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

The following table represents the Funds’ use and volume of total return swaps on a monthly basis:

		Average Notional Amount
Fund	Use	Long		Short
StylePlus—Large Core Fund	Index exposure	$	197,701,730	$	–
StylePlus—Mid Growth Fund	Index exposure		69,700,251		–

The following table represents the Funds’ use and volume of custom basket swaps on a monthly basis:

		Average Notional Amount
Fund	Use	Long		Short
Alpha Opportunity Fund	Hedge, Leverage	$	16,760,910	$	29,026,814
Market Neutral Real Estate Fund	Hedge		—		34,240,543
Risk Managed Real Estate Fund	Hedge, Leverage		114,998,405		91,615,148

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2022:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency/Equity futures contracts	Variation margin on futures contracts	Variation margin on futures contracts
Equity swap contracts	Unrealized appreciation on OTC swap agreements	Unrealized depreciation on OTC swap agreements

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The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2022:

Asset Derivative Investments Value
Fund	Futures Equity Risk*		Swaps Equity Risk		Futures Foreign Currency Exchange Risk*		Total Value at September 30, 2022
Alpha Opportunity Fund	$	—	$	4,982,106	$	—	$	4,982,106
Market Neutral Real Estate Fund		—		4,712,825		—		4,712,825
Risk Managed Real Estate Fund		—		15,416,352		—		15,416,352
World Equity Income Fund		—		—		291,290		291,290

Liability Derivative Investments Value
Fund	Futures Equity Risk*		Swaps Equity Risk		Futures Foreign Currency Exchange Risk*		Total Value at September 30, 2022
Alpha Opportunity Fund	$	—	$	1,723,056	$	—	$	1,723,056
Risk Managed Real Estate Fund		—		6,823,860		—		6,823,860
StylePlus—Large Core Fund		239,749		40,790,186		—		41,029,935
StylePlus—Mid Growth Fund		127,231		22,824,685		—		22,951,916
World Equity Income Fund		—		—		6,624		6,624

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedules of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statements of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended September 30, 2022:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Currency/Equity futures contracts	Net realized gain (loss) on futures contracts Net change in unrealized appreciation (depreciation) on futures contracts
Equity swap contracts	Net realized gain (loss) on swap agreements Net change in unrealized appreciation (depreciation) on swap agreements

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended September 30, 2022:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Risk			Swaps Equity Risk			Futures Foreign Currency Exchange Risk		Total
Alpha Opportunity Fund	$	—		$	(774,197	)	$	—	$	(774,197	)
Market Neutral Real Estate Fund		—			(3,943,961	)		—		(3,943,961	)
Risk Managed Real Estate Fund		—			(5,588,929	)		—		(5,588,929	)
StylePlus—Large Core Fund		(185,269	)		60,628,492			—		60,443,223
StylePlus—Mid Growth Fund		(166,703	)		19,852,243			—		19,685,540
World Equity Income Fund		—			—			203,522		203,522

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NOTES TO FINANCIAL STATEMENTS (continued)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Risk			Swaps Equity Risk			Futures Foreign Currency Exchange Risk		Total
Alpha Opportunity Fund	$	—		$	3,531,961		$	—	$	3,531,961
Market Neutral Real Estate Fund		—			6,860,125			—		6,860,125
Risk Managed Real Estate Fund		—			(310,260	)		—		(310,260	)
StylePlus—Large Core Fund		(43,857	)		(92,942,880	)		—		(92,986,737	)
StylePlus—Mid Growth Fund		(127,231	)		(44,591,287	)		—		(44,718,518	)
World Equity Income Fund		—			—			296,264		296,264

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

Foreign Investments

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

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

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

Note 3 – Offsetting

In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

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NOTES TO FINANCIAL STATEMENTS (continued)

In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Assets Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Alpha Opportunity Fund	Custom basket swap agreements	$	4,982,106	$	—	$	4,982,106	$	(1,723,056	)	$	—		$	3,259,050
Market Neutral Real Estate Fund	Custom basket swap agreements		4,712,825		—		4,712,825		—			(2,726,303	)		1,986,522
Risk Managed Real Estate Fund	Custom basket swap agreements		15,416,352		—		15,416,352		(6,823,860	)		(3,803,030	)		4,789,462

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NOTES TO FINANCIAL STATEMENTS (continued)

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Liabilities Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged			Net Amount
Alpha Opportunity Fund	Custom basket swap agreements	$	1,723,056	$	—	$	1,723,056	$	(1,723,056	)	$	—		$	—
Risk Managed Real Estate Fund	Custom basket swap agreements		6,823,860		—		6,823,860		(6,823,860	)		—			—
StylePlus—Large Core Fund	Swap equity contracts		40,790,186		—		40,790,186		—			(40,630,000	)		160,186
StylePlus—Mid Growth Fund	Swap equity contracts		22,824,685		—		22,824,685		—			(22,824,685	)		—

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2022.

Fund	Counterparty	Asset Type	Cash Pledged		Cash Received
Market Neutral Real Estate Fund	Goldman Sachs International	Custom basket swap agreements	$	—	$	840,000
	Morgan Stanley Capital Services LLC	Custom basket swap agreements		—		1,886,303
Market Neutral Real Estate Fund Total						2,726,303
Risk Managed Real Estate Fund	Morgan Stanley Capital Services LLC	Custom basket swap agreements		—		3,803,030
StylePlus—Large Core Fund	Morgan Stanley Capital Services LLC	Futures contracts		259,500		—
	Wells Fargo Bank, N.A.	Total return swap agreements		40,630,000		—
StylePlus—Large Core Fund Total				40,889,500		—
StylePlus—Mid Growth Fund	Citibank, N.A.	Total return swap agreements		23,090,000		—
	Morgan Stanley Capital Services LLC	Futures contracts		121,000		—
StylePlus—Mid Growth Fund Total				23,211,000		—
World Equity Income Fund	BofA Securities, Inc.	Futures contracts		333,500		—

Note 4 – Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

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Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

Note 5 – Investment Advisory Agreement and Other Agreements

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

Fund	Management Fees (as a % of Net Assets)
Alpha Opportunity Fund		0.90	%
Large Cap Value Fund		0.65	%
Market Neutral Real Estate Fund		1.10	%
Risk Managed Real Estate Fund		0.75	%
Small Cap Value Fund		0.75	%
StylePlus—Large Core Fund		0.75	%
StylePlus—Mid Growth Fund		0.75	%
World Equity Income Fund		0.70	%

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

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

	Limit			Effective Date		Contract End Date
Alpha Opportunity Fund – A-Class		1.76	%		05/31/17		02/01/24
Alpha Opportunity Fund – C-Class		2.51	%		05/31/17		02/01/24
Alpha Opportunity - P-Class		1.76	%		05/31/17		02/01/24
Alpha Opportunity Fund – Institutional Class		1.51	%		05/31/17		02/01/24
Large Cap Value Fund – A-Class		1.15	%		11/30/12		02/01/24
Large Cap Value Fund – C-Class		1.90	%		11/30/12		02/01/24
Large Cap Value Fund – P-Class		1.15	%		05/01/15		02/01/24
Large Cap Value Fund – Institutional Class		0.90	%		06/05/13		02/01/24
Market Neutral Real Estate Fund – A-Class		1.65	%		02/26/16		02/01/24
Market Neutral Real Estate Fund – C-Class		2.40	%		02/26/16		02/01/24
Market Neutral Real Estate Fund – P-Class		1.65	%		02/26/16		02/01/24

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NOTES TO FINANCIAL STATEMENTS (continued)

	Limit			Effective Date		Contract End Date
Market Neutral Real Estate Fund – Institutional Class		1.40	%		02/26/16		02/01/24
Risk Managed Real Estate Fund – A-Class		1.30	%		03/26/14		02/01/24
Risk Managed Real Estate Fund – C-Class		2.05	%		03/26/14		02/01/24
Risk Managed Real Estate Fund – P-Class		1.30	%		05/01/15		02/01/24
Risk Managed Real Estate Fund – Institutional Class		1.10	%		03/26/14		02/01/24
Small Cap Value Fund – A-Class		1.30	%		11/30/12		02/01/24
Small Cap Value Fund – C-Class		2.05	%		11/30/12		02/01/24
Small Cap Value Fund – P-Class		1.30	%		05/01/15		02/01/24
Small Cap Value Fund – Institutional Class		1.05	%		11/30/12		02/01/24
World Equity Income Fund – A-Class		1.22	%		08/15/13		02/01/24
World Equity Income Fund – C-Class		1.97	%		08/15/13		02/01/24
World Equity Income Fund – P-Class		1.22	%		05/01/15		02/01/24
World Equity Income Fund – Institutional Class		0.97	%		08/15/13		02/01/24

GI and GPIM are entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI and GPIM are entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI or GPIM. At September 30, 2022, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

Fund	2023		2024		2025		Total
Alpha Opportunity Fund
A-Class	$	753	$	5,716	$	4,189	$	10,658
C-Class		949		739		584		2,272
P-Class		—		3,276		971		4,247
Institutional Class		—		3,971		6,408		10,379
Large Cap Value Fund
A-Class		123,000		115,360		99,071		337,431
C-Class		6,365		5,446		5,729		17,540
P-Class		1,005		961		796		2,762
Institutional Class		2,945		3,072		6,589		12,606
Market Neutral Real Estate Fund
A-Class		55,287		20,606		7,180		83,073
C-Class		1,909		888		689		3,486
P-Class		8,658		15,753		6,928		31,339
Institutional Class		79,024		103,050		121,875		303,949

Risk Managed Real Estate Fund
A-Class	—	—	1,483	1,483
C-Class	—	—	1,058	1,058
P-Class	—	1,567	6,841	8,408
Institutional Class	—	—	1,075	1,075
Small Cap Value Fund
A-Class	118,318	126,091	98,289	342,698
C-Class	25,348	24,783	14,817	64,948
P-Class	1,268	1,282	2,097	4,647
Institutional Class	35,467	38,236	44,992	118,695
World Equity Income Fund
A-Class	120,308	103,050	78,363	301,721
C-Class	13,263	10,532	7,540	31,335
P-Class	359	336	408	1,103
Institutional Class	16,027	7,366	7,859	31,252

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NOTES TO FINANCIAL STATEMENTS (continued)

For the year ended September 30, 2022, GI recouped amounts from the Funds as follows:

Alpha Opportunity Fund	$	18,730
Market Neutral Real Estate Fund		4,941
Risk Managed Real Estate Fund		74,256
Small Cap Value Fund		1,015
World Equity Income Fund		2,896

If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2022, the following Funds waived fees related to investments in affiliated funds:

Fund	Amount Waived
StylePlus—Large Core Fund	$	129,282
StylePlus—Mid Growth Fund		17,047

For the year ended September 30, 2022, GFD retained sales charges of $144,088 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Funds’ custodian. As custodian, BNY is responsible for the custody of the Funds’ assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Funds’ average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

At September 30, 2022, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:

Fund	Percent of Outstanding Shares Owned
Alpha Opportunity Fund		77	%

Note 6 – Federal Income Tax Information

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

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

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NOTES TO FINANCIAL STATEMENTS (continued)

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total Distributions
Alpha Opportunity Fund	$	282,314	$	—	$	282,314
Large Cap Value Fund		570,132		2,127,841		2,697,973
Market Neutral Real Estate Fund		161,651		—		161,651
Risk Managed Real Estate Fund		26,745,499		6,663,532		33,409,031
Small Cap Value Fund		—		31,116		31,116
StylePlus—Large Core Fund		8,865,934		3,412,498		12,278,432
StylePlus—Mid Growth Fund		5,134,467		1,863,986		6,998,453
World Equity Income Fund		10,456,355		2,158,642		12,614,997

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total Distributions
Alpha Opportunity Fund	$	411,952	$	—	$	411,952
Large Cap Value Fund		990,392		1,316,580		2,306,972
Market Neutral Real Estate Fund		204,622		28,095		232,717
Risk Managed Real Estate Fund		17,748,987		8,296,994		26,045,981
Small Cap Value Fund		50,007		—		50,007
StylePlus—Large Core Fund		1,785,952		17,607,073		19,393,025
StylePlus—Mid Growth Fund		388,530		13,397,661		13,786,191
World Equity Income Fund		890,081		100,680		990,761

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
Alpha Opportunity Fund	$	205,930	$	—	$	(837,672	)	$	(29,050,339	)	$	—		$	(29,682,081	)
Large Cap Value Fund		542,487		3,089,048		2,727,144			—			—			6,358,679
Market Neutral Real Estate Fund		99,279		—		2,288,020			(3,734,218	)		—			(1,346,919	)
Risk Managed Real Estate Fund		—		18,153,953		(38,072,686	)		(1,242,012	)		(3,498,423	)		(24,659,168	)
Small Cap Value Fund		62,767		250,425		(173,630	)		—			—			139,562
StylePlus—Large Core Fund		1,974,499		57,379,626		(50,904,304	)		(4,206,010	)		—			4,243,811
StylePlus—Mid Growth Fund		327,894		18,746,182		(28,211,380	)		(3,942,310	)		—			(13,079,614	)
World Equity Income Fund		—		25,045		(5,400,014	)		—			—			(5,374,969	)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, capital loss carryforwards for the Funds were as follows:

Fund	Unlimited
	Short-Term			Long-Term			Total Capital Loss Carryforward
Alpha Opportunity Fund	$	(22,997,412	)	$	(6,052,927	)	$	(29,050,339	)
Market Neutral Real Estate Fund		(3,734,218	)		—			(3,734,218	)

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NOTES TO FINANCIAL STATEMENTS (continued)

For the year ended September 30, 2022, the following capital loss carryforward amounts were utilized:         

Fund	Utilized
Small Cap Value Fund	$	98,717

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, foreign currency gains and losses, losses deferred due to wash sales, distributions in connection with redemption of fund shares, and the “mark-to-market,” recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of securities sold short, dividends payable, distribution reclasses, and the “mark-to-market” of certain derivatives. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Statements of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences:

Fund	Paid In Capital		Total Distributable Earnings/(Loss)
Large Cap Value Fund	$	382,239	$	(382,239	)
Risk Managed Real Estate Fund		340,135		(340,135	)
Small Cap Value Fund		32,750		(32,750	)
StylePlus—Large Core Fund		5,895,724		(5,895,724	)
StylePlus—Mid Growth Fund		2,148,361		(2,148,361	)
World Equity Income Fund		313,517		(313,517	)

At September 30, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
Alpha Opportunity Fund	$	31,407,300	$	5,109,969	$	(5,947,641	)	$	(837,672	)
Large Cap Value Fund		35,301,930		5,473,209		(2,746,065	)		2,727,144
Market Neutral Real Estate Fund		47,334,591		4,935,987		(2,647,967	)		2,288,020
Risk Managed Real Estate Fund		448,122,643		29,859,074		(67,743,760	)		(37,884,686	)
Small Cap Value Fund		6,733,748		712,299		(885,929	)		(173,630	)
StylePlus—Large Core Fund		205,656,109		858,857		(51,763,161	)		(50,904,304	)
StylePlus—Mid Growth Fund		74,548,882		233,258		(28,444,638	)		(28,211,380	)
World Equity Income Fund		48,809,853		1,795,197		(7,183,422	)		(5,388,225	)

Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2022, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2022:

Fund	Ordinary			Capital
StylePlus—Large Core Fund	$	(671,774	)	$	(3,534,236	)
StylePlus—Mid Growth Fund		—			(3,942,310	)

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NOTES TO FINANCIAL STATEMENTS (continued)

Note 7 – Securities Transactions

For the year ended September 30, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Fund	Purchases		Sales
Alpha Opportunity Fund	$	89,692,446	$	91,527,427
Large Cap Value Fund		14,864,236		12,921,782
Market Neutral Real Estate Fund		17,269,252		39,872,457
Risk Managed Real Estate Fund		267,792,484		245,249,676
Small Cap Value Fund		3,470,033		2,538,750
StylePlus—Large Core Fund		145,619,232		193,760,613
StylePlus—Mid Growth Fund		64,135,917		99,932,027
World Equity Income Fund		82,394,286		80,815,094

Note 8 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.

Note 9 – Large Shareholder Risk

As of September 30, 2022, 77.2% of the Alpha Opportunity Fund (the “Fund”) was held by Guggenheim Macro Opportunities Fund. The Fund may experience adverse effects if a large number of shares of the Fund are held by a single shareholder (e.g., an institutional investor, financial intermediary or another GI Fund). The Fund is subject to the risk that a redemption by those shareholders of all or a large portion of the Fund could cause the Fund to liquidate its assets at inopportune times, or at a loss or depressed value, which could adversely impact the Fund’s performance and cause the value of a shareholder’s investment to decline. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization.

Note 10 – Market Risks

The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Funds in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the

124 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.

Note 11 – Subsequent Events

The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 125

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders of 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 and Guggenheim World Equity Income Fund and the Board of Trustees of Guggenheim Funds Trust

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of 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 and Guggenheim World Equity Income Fund (collectively referred to as the “Funds”) (eight of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedules of investments, as of September 30, 2022, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (eight of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 29, 2022

126 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.

The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Fund	Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income			Qualified Short-Term Capital Gain
Alpha Opportunity Fund		100.00	%		100.00	%		0.05	%		0.00	%
Large Cap Value Fund		100.00	%		100.00	%		0.00	%		100.00	%
Market Neutral Real Estate Fund		12.52	%		12.52	%		8.74	%		0.00	%
Risk Managed Real Estate Fund		3.43	%		3.44	%		0.67	%		100.00	%
Small Cap Value Fund		0.00	%		0.00	%		0.00	%		0.00	%
StylePlus—Large Core Fund		8.94	%		8.66	%		23.34	%		100.00	%
StylePlus—Mid Growth Fund		4.97	%		4.13	%		0.00	%		100.00	%
World Equity Income Fund		22.14	%		12.23	%		0.17	%		100.00	%

With respect to the taxable year ended September 30, 2022, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:

Fund	From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
Large Cap Value Fund	$	2,127,841	$	380,091
Risk Managed Real Estate Fund		6,663,532		340,134
Small Cap Value Fund		31,116		35,545
StylePlus—Large Core Fund		3,412,498		5,895,724
StylePlus—Mid Growth Fund		1,863,986		2,148,361
World Equity Income Fund		2,158,642		313,516

Final regulations dated June 24, 2020 enable a regulated investment company to pay Section 199A dividends to its shareholders. Section 199A, enacted as part of the Tax Cuts and Jobs Act of 2017, may allow non-corporate tax payers a deduction of up to 20% of qualified business income from flow-through entities, including dividends from real estate investment trusts. The qualifying percentage of the Fund’s ordinary income and short-term capital gain distributions, if any, for the purposes of the Section 199A deduction was 74.56% for Market Neutral Real Estate Fund and 40.30% for Risk Managed Real Estate Fund.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 127

OTHER INFORMATION (Unaudited)(continued)

Delivery of Shareholder Reports

Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Funds’ voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

●	Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)	●	Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
●	Guggenheim Core Bond Fund (“Core Bond Fund”)	●	Guggenheim Diversified Income Fund (“Diversified Income Fund”)
●	Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)	●	Guggenheim High Yield Fund (“High Yield Fund”)
●	Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)	●	Guggenheim Limited Duration Fund (“Limited Duration Fund”)
●	Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)	●	Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)
●	Guggenheim Municipal Income Fund (“Municipal Income Fund”)	●	Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)
●	Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)	●	Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)
●	Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)	●	Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
●	Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)	●	Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)
●	Guggenheim World Equity Income Fund (“World Equity Income Fund”)

128 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with

¹ GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.

² The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”

³ Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.

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peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund, Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).⁴ Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

⁴ On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting.

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With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.⁵ As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.

⁵ Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements.

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Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.

Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.

In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense

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waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreements

Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

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OTHER INFORMATION (Unaudited)(concluded)

With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.

Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that the GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Member, Board of Directors, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present); Vice Chairman, VettaFi (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020).
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

138 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 139

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and President of Mutual Funds Boards, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since August 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).

140 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

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LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

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9.30.2022

Guggenheim Funds Annual Report

Guggenheim Diversified Income Fund

Guggenheim High Yield Fund

Guggenheim Core Bond Fund

Guggenheim Municipal Income Fund

GuggenheimInvestments.com SBINC-ANN-0922x0923

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
DIVERSIFIED INCOME FUND	9
HIGH YIELD FUND	19
CORE BOND FUND	38
MUNICIPAL INCOME FUND	66
NOTES TO FINANCIAL STATEMENTS	80
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	100
OTHER INFORMATION	101
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	111
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	117
LIQUIDITY RISK MANAGEMENT PROGRAM	120

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.

Diversified Income Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the fund to greater volatility. ● Derivatives may pose risks in addition to and greater than those associated with investing directly in securities or other investments, including risks relating to leverage, imperfect correlations with underlying investments or the fund’s other portfolio holdings, high price volatility, lack of availability, counterparty credit, liquidity, valuation and legal restrictions. ● Stock prices, especially stock prices of smaller companies, can be volatile as they reflect changes in the issuing company’s financial conditions and changes in the overall market ● Some asset-backed securities, including mortgage-backed securities, may have structures that make their reaction to interest rates and other factors difficult to predict, making their prices very volatile and they are subject to liquidity risk.● The Fund’s investments in other investment vehicles subject the fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● Master limited partnerships

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September 30, 2022

(“MLPs”) are subject to certain risks inherent in the structure of MLPs, including tax risks, limited control and voting rights and potential conflicts of interest. MLPs that concentrate in a particular industry or a particular geographic region are subject to risks associated with such industry or region. ● The Fund’s investments in real estate securities subject the fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments and investment strategies, including investments in MLPs and certain investment vehicles, may be subject to special and complex federal income tax provisions that may adversely affect the fund and its distributions to shareholders. ● Leveraging will exaggerate the effect on NAV of any increase or decrease in the market value of the Fund’s portfolio. 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.

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

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

Municipal Income Fund may not be suitable for all investors. ● The Fund will be significantly affected by events that affect the municipal bond market, which could include unfavorable legislative or political developments and adverse changes in the financial conditions of state and municipal issuers or the federal government in case it provides financial support to the municipality. Income from municipal bonds held by the Fund could be declared taxable because of changes in tax laws. The Fund may invest in securities that generate taxable income. A portion of the Fund’s otherwise tax-exempt dividends may be taxable to those shareholders subject to the alternative minimum tax. ● Certain sectors of the municipal bond market have special risks that can affect them more significantly than the market as a whole. Because many municipal instruments are issued to finance similar projects, conditions in these industries can significantly affect the Fund and the overall municipal market. ● Municipalities currently experience budget shortfalls, which could cause them to default on their debt and thus subject the Fund to unforeseen losses. ● Like other funds that hold bonds and other fixed-income investments, the Fund’s market value will change in response to interest rate changes and market conditions, among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high-yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ●Instruments and strategies (such as reverse repurchase agreements, unfunded commitments, tender option bonds, and borrowings) may expose the Fund to many of the same risks as investments in derivatives and may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

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.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2022

*Index Definitions

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.

Bloomberg Municipal Bond Index is a broad market performance benchmark for the tax-exempt bond market. The bonds included in this index must have a minimum credit rating of at least Baa.

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.

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.

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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

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.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2022	Ending Account Value September 30, 2022	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Diversified Income Fund
A-Class	0.72%	(13.91%)	$ 1,000.00	$ 860.90	$ 3.36
C-Class	1.46%	(14.24%)	1,000.00	857.60	6.80
P-Class	0.72%	(13.91%)	1,000.00	860.90	3.36
Institutional Class	0.47%	(13.84%)	1,000.00	861.60	2.19
High Yield Fund
A-Class	1.12%	(8.94%)	1,000.00	910.60	5.36
C-Class	1.90%	(9.29%)	1,000.00	907.10	9.08
P-Class	1.15%	(8.94%)	1,000.00	910.60	5.51
Institutional Class	0.90%	(8.80%)	1,000.00	912.00	4.31
R6-Class	0.86%	(8.85%)	1,000.00	911.50	4.12
Core Bond Fund
A-Class	0.78%	(11.00%)	1,000.00	890.00	3.70
C-Class	1.53%	(11.33%)	1,000.00	886.70	7.24
P-Class	0.78%	(11.05%)	1,000.00	889.50	3.69
Institutional Class	0.49%	(10.94%)	1,000.00	890.60	2.32
Municipal Income Fund
A-Class	0.79%	(8.94%)	1,000.00	910.60	3.78
C-Class	1.54%	(9.21%)	1,000.00	907.90	7.37
P-Class	0.79%	(8.87%)	1,000.00	911.30	3.79
Institutional Class	0.54%	(8.82%)	1,000.00	911.80	2.59

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2022	Ending Account Value September 30, 2022	Expenses Paid During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Diversified Income Fund
A-Class	0.72%	5.00%	$ 1,000.00	$ 1,021.46	$ 3.65
C-Class	1.46%	5.00%	1,000.00	1,017.75	7.38
P-Class	0.72%	5.00%	1,000.00	1,021.46	3.65
Institutional Class	0.47%	5.00%	1,000.00	1,022.71	2.38
High Yield Fund
A-Class	1.12%	5.00%	1,000.00	1,019.45	5.67
C-Class	1.90%	5.00%	1,000.00	1,015.54	9.60
P-Class	1.15%	5.00%	1,000.00	1,019.30	5.82
Institutional Class	0.90%	5.00%	1,000.00	1,020.56	4.56
R6-Class	0.86%	5.00%	1,000.00	1,020.76	4.36
Core Bond Fund
A-Class	0.78%	5.00%	1,000.00	1,021.16	3.95
C-Class	1.53%	5.00%	1,000.00	1,017.40	7.74
P-Class	0.78%	5.00%	1,000.00	1,021.16	3.95
Institutional Class	0.49%	5.00%	1,000.00	1,022.61	2.48
Municipal Income Fund
A-Class	0.79%	5.00%	1,000.00	1,021.11	4.00
C-Class	1.54%	5.00%	1,000.00	1,017.35	7.79
P-Class	0.79%	5.00%	1,000.00	1,021.11	4.00
Institutional Class	0.54%	5.00%	1,000.00	1,022.36	2.74

¹ Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the period would be:

	A-Class	C-Class	P-Class	Institutional Class	R6-Class
Diversified Income Fund	0.73%	1.48%	0.73%	0.48%	N/A
High Yield Fund	1.09%	1.89%	1.14%	0.87%	0.75%
Core Bond Fund	0.77%	1.52%	0.77%	0.48%	N/A
Municipal Income Fund	0.78%	1.53%	0.78%	0.53%	N/A

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.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Diversified Income Fund (the “Fund”). The Fund is managed by a team of seasoned professionals led by Farhan Sharaff, Senior Managing Director, Portfolio Manager and Assistant Chief Investment Officer, Equities; and Patrick Mitchell, Senior Managing 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 -13.94%¹, outperforming the Bloomberg U.S. Aggregate Bond Index, the Fund’s primary benchmark, which returned -14.60% for the same period. The 70% Bloomberg U.S. Aggregate Bond Index / 30% MSCI World Index, the Fund’s secondary benchmark, returned -15.82%.

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

The Fund outperformed its primary benchmark by 66 basis points during the Reporting Period. On average, the Fund allocated 50% to fixed income, 40% to equity, 9% to closed-end funds, with the remainder in cash. Fixed income and equity components outperformed their benchmarks by 3.3% and 3.1%, respectively. However, the Fund’s decision to overweight equity was the main detractor in asset allocation. Overall, allocation effect and selection effect contributed -0.7% and +3.2%, respectively, before fees.

For the Reporting Period, the Fund maintained its equity/fixed allocation, and some of the funds within each asset class. This is due to the Fund’s long-term approach to allocation decisions, in which few changes are made within a single Reporting Period.

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

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

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 | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

DIVERSIFIED INCOME FUND

OBJECTIVE: Seeks to achieve high current income with consideration for capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Ultra Short Duration Fund.

Inception Dates:
A-Class	January 29, 2016
C-Class	January 29, 2016
P-Class	January 29, 2016
Institutional Class	January 29, 2016

Ten Largest Holdings (% of Total Net Assets)
Guggenheim High Yield Fund — R6-Class	25.4%
Guggenheim RBP Large-Cap Market Fund — Institutional Class	19.1%
Guggenheim Floating Rate Strategies Fund — R6-Class	10.3%
Guggenheim Core Bond Fund — Institutional Class	9.8%
Guggenheim RBP Dividend Fund — Institutional Class	9.5%
Guggenheim Ultra Short Duration Fund — Institutional Class	5.1%
Guggenheim World Equity Income Fund — Institutional Class	4.8%
Guggenheim Risk Managed Real Estate Fund — Institutional Class	4.7%
First Trust Energy Income and Growth Fund	0.3%
ClearBridge MLP & Midstream Total Return Fund, Inc.	0.3%
Top Ten Total	89.3%
“Ten Largest Holdings” excludes any temporary cash investments.

10 | 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	Since Inception (01/29/16)
A-Class Shares	(13.94%)	0.55%	3.08%
A-Class Shares with sales charge‡	(17.40%)	(0.27%)	2.45%
C-Class Shares	(14.57%)	(0.18%)	2.32%
C-Class Shares with CDSC§	(15.40%)	(0.18%)	2.32%
P-Class Shares	(13.95%)	0.55%	3.07%
Institutional Class Shares	(13.74%)	0.80%	3.33%
Bloomberg U.S. Aggregate Bond Index	(14.60%)	(0.27%)	0.45%

*	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 Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to differences in fee structures.
‡	Fund returns are calculated using the maximum sales charge of 4.00%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

SCHEDULE OF INVESTMENTS	September 30, 2022
DIVERSIFIED INCOME FUND

	Shares		Value
MUTUAL FUNDS† - 88.8%
Guggenheim High Yield Fund — R6-Class1		201,505	$	1,837,726
Guggenheim RBP Large-Cap Market Fund — Institutional Class*,1		145,335		1,383,590
Guggenheim Floating Rate Strategies Fund — R6-Class1		31,974		747,554
Guggenheim Core Bond Fund — Institutional Class1		44,264		704,685
Guggenheim RBP Dividend Fund — Institutional Class1		66,599		685,303
Guggenheim Ultra Short Duration Fund — Institutional Class1		38,364		367,906
Guggenheim World Equity Income Fund — Institutional Class1		27,796		344,667
Guggenheim Risk Managed Real Estate Fund — Institutional Class1		11,301		337,666
Total Mutual Funds
(Cost $7,444,718)				6,409,097
CLOSED-END FUNDS† - 8.9%
First Trust Energy Income and Growth Fund		1,500		22,275
ClearBridge MLP & Midstream Total Return Fund, Inc.		800		21,048
PIMCO Corporate & Income Strategy Fund		1,600		18,944
Neuberger Berman High Yield Strategies Fund, Inc.		2,317		18,304
John Hancock Premium Dividend Fund		1,350		18,279
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		1,370		18,015
BlackRock Floating Rate Income Trust		1,600		17,376
Eaton Vance Tax-Advantaged Dividend Income Fund		797		17,335
BlackRock Enhanced Equity Dividend Trust		2,100		17,031
Voya Global Equity Dividend and Premium Opportunity Fund		3,400		17,000
BlackRock Limited Duration Income Trust		1,400		16,940
John Hancock Preferred Income Fund		1,050		16,821
Western Asset High Income Fund II, Inc.		3,798		16,559
Eaton Vance Tax-Managed Buy-Write Income Fund		1,250		16,512
Blackstone Strategic Credit Fund		1,550		16,476
PIMCO Dynamic Income Fund		845		16,376
Voya Infrastructure Industrials and Materials Fund		1,850		16,354
PIMCO High Income Fund		3,500		16,275
Delaware Ivy High Income Opportunities Fund		1,600		16,144
Cohen & Steers REIT and Preferred and Income Fund, Inc.		815		15,803
KKR Income Opportunities Fund		1,350		15,444
John Hancock Income Securities Trust		1,450		15,413
Calamos Convertible Opportunities and Income Fund		1,594		15,398
Eaton Vance Limited Duration Income Fund		1,650		15,197
Pioneer High Income Fund, Inc.		2,350		15,181
Western Asset Premier Bond Fund		1,550		15,175
PIMCO Dynamic Income Opportunities Fund		1,150		15,169
DoubleLine Income Solutions Fund		1,400		15,120
PGIM High Yield Bond Fund, Inc.		1,300		15,002
Reaves Utility Income Fund		550		14,982
Invesco High Income Trust II		1,525		14,899
Royce Value Trust, Inc.		1,150		14,433
BlackRock Credit Allocation Income Trust		1,500		14,310
John Hancock Investors Trust		1,178		14,207
Eaton Vance Enhanced Equity Income Fund II		908		13,892
Western Asset Mortgage Opportunity Fund, Inc.		1,250		13,888
Apollo Senior Floating Rate Fund, Inc.		1,100		13,761
Virtus Diversified Income & Co.		779		13,671
Western Asset Global Corporate Defined Opportunity Fund, Inc.		1,200		13,380
Western Asset Emerging Markets Debt Fund, Inc.		1,650		13,167
Total Closed-End Funds
(Cost $741,128)				641,556
MONEY MARKET FUND† - 2.4%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 2.49%2		176,647		176,647
Total Money Market Fund
(Cost $176,647)				176,647
Total Investments - 100.1%
(Cost $8,362,493)			$	7,227,300
Other Assets & Liabilities, net - (0.1)%				(3,895	)
Total Net Assets - 100.0%			$	7,223,405

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of September 30, 2022.
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
DIVERSIFIED INCOME FUND

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
Mutual Funds	$	6,409,097	$	—	$	—	$	6,409,097
Closed-End Funds		641,556		—		—		641,556
Money Market Fund		176,647		—		—		176,647
Total Assets	$	7,227,300	$	—	$	—	$	7,227,300

Affiliated Transactions

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

Transactions during the year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/21		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 09/30/22		Shares 09/30/22		Investment Income		Capital Gain Distributions
Mutual Funds
Guggenheim Core Bond Fund — Institutional Class	$	766,128	$	203,941	$	(75,509	)	$	(14,010	)	$	(175,865	)	$	704,685		44,264	$	23,686	$	11,172
Guggenheim Floating Rate Strategies Fund — R6-Class		766,388		176,570		(134,365	)		(7,514	)		(53,525	)		747,554		31,974		30,929		—
Guggenheim High Yield Fund — R6-Class		1,918,674		504,862		(200,496	)		(26,392	)		(358,922	)		1,837,726		201,505		118,186		—
Guggenheim RBP Dividend Fund — Institutional Class		700,580		310,112		(70,485	)		(9,916	)		(244,988	)		685,303		66,599		11,322		125,470
Guggenheim RBP Large-Cap Market Fund — Institutional Class *		1,348,962		860,827		(185,668	)		(27,267	)		(613,264	)		1,383,590		145,335		—		317,345
Guggenheim Risk Managed Real Estate Fund — Institutional Class		360,541		102,833		(38,223	)		(2,421	)		(85,064	)		337,666		11,301		7,461		18,256
Guggenheim Ultra Short Duration Fund — Institutional Class		382,840		84,831		(83,030	)		(2,709	)		(14,026	)		367,906		38,364		6,105		—
Guggenheim World Equity Income Fund — Institutional Class		378,399		153,977		(28,266	)		(11,208	)		(148,235	)		344,667		27,796		10,084		93,852
	$	6,622,512	$	2,397,953	$	(816,042	)	$	(101,437	)	$	(1,693,889	)	$	6,409,097			$	207,773	$	566,095

* Non-income producing security.

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

DIVERSIFIED INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $917,775)	$	818,203
Investments in affiliated issuers, at value (cost $7,444,718)		6,409,097
Prepaid expenses		21,429
Receivables:
Dividends		25,450
Investment Adviser		15,006
Interest		241
Total assets		7,289,426
Liabilities:
Payable for:
Professional fees		28,069
Securities purchased		25,059
Fund accounting/administration fees		4,326
Transfer agent/maintenance fees		2,197
Trustees’ fees*		2,026
Distribution and service fees		344
Fund shares redeemed		97
Miscellaneous		3,903
Total liabilities		66,021
Net assets	$	7,223,405
Net assets consist of:
Paid in capital	$	8,067,783
Total distributable earnings (loss)		(844,378	)
Net assets	$	7,223,405
A-Class:
Net assets	$	284,091
Capital shares outstanding		12,045
Net asset value per share	$	23.59
Maximum offering price per share (Net asset value divided by 96.00%)	$	24.57
C-Class:
Net assets	$	224,249
Capital shares outstanding		9,552
Net asset value per share	$	23.48
P-Class:
Net assets	$	415,268
Capital shares outstanding		17,600
Net asset value per share	$	23.59
Institutional Class:
Net assets	$	6,299,797
Capital shares outstanding		267,048
Net asset value per share	$	23.59

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends from securities of unaffiliated issuers	$	47,410
Dividends from securities of affiliated issuers		207,773
Interest		579
Total investment income		255,762
Expenses:
Management fees		62,862
Distribution and service fees:
A-Class		881
C-Class		6,788
P-Class		682
Transfer agent/maintenance fees:
A-Class		1,543
C-Class		2,677
P-Class		1,173
Institutional Class		21,104
Registration fees		73,809
Professional fees		36,773
Fund accounting/administration fees		28,414
Trustees’ fees*		13,505
Custodian fees		4,644
Tax expense		533
Line of credit fees		236
Miscellaneous		8,858
Total expenses		264,482
Less:
Expenses reimbursed by Adviser:
A-Class		(4,807	)
C-Class		(8,386	)
P-Class		(3,922	)
Institutional Class		(87,976	)
Expenses waived by Adviser		(109,727	)
Total waived/reimbursed expenses		(214,818	)
Net expenses		49,664
Net investment income		206,098
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		41,713
Investments in affiliated issuers		(101,437	)
Distributions received from affiliated investment companies		566,095
Net realized gain		506,371
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(255,527	)
Investments in affiliated issuers		(1,693,889	)
Net change in unrealized appreciation (depreciation)		(1,949,416	)
Net realized and unrealized loss		(1,443,045	)
Net decrease in net assets resulting from operations	$	(1,236,947	)

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

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

DIVERSIFIED INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	206,098		$	207,930
Net realized gain on investments		506,371			301,631
Net change in unrealized appreciation (depreciation) on investments		(1,949,416	)		562,987
Net increase (decrease) in net assets resulting from operations		(1,236,947	)		1,072,548
Distributions to shareholders:
A-Class		(13,926	)		(9,389	)
C-Class		(22,111	)		(5,154	)
P-Class		(9,123	)		(4,350	)
Institutional Class		(277,436	)		(219,556	)
Total distributions to shareholders		(322,596	)		(238,449	)
Capital share transactions:
Proceeds from sale of shares
A-Class		120,099			76,986
C-Class		628,708			34,067
P-Class		389,539			7,814
Institutional Class		583,577			53,000
Distributions reinvested
A-Class		13,926			9,389
C-Class		22,111			5,154
P-Class		9,123			4,350
Institutional Class		277,436			219,556
Cost of shares redeemed
A-Class		(126,698	)		(48,400	)
C-Class		(551,222	)		(7,025	)
P-Class		(72,266	)		(4,588	)
Institutional Class		(206,918	)		(45,672	)
Net increase from capital share transactions		1,087,415			304,631
Net increase (decrease) in net assets		(472,128	)		1,138,730
Net assets:
Beginning of year		7,695,533			6,556,803
End of year	$	7,223,405		$	7,695,533
Capital share activity:
Shares sold
A-Class		4,278			2,729
C-Class		22,058			1,197
P-Class		14,554			276
Institutional Class		20,354			1,849
Shares issued from reinvestment of distributions
A-Class		503			341
C-Class		791			189
P-Class		339			159
Institutional Class		10,120			7,993
Shares redeemed
A-Class		(4,685	)		(1,686	)
C-Class		(22,244	)		(249	)
P-Class		(2,623	)		(167	)
Institutional Class		(7,812	)		(1,603	)
Net increase in shares		35,633			11,028

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

DIVERSIFIED INCOME FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	28.45		$	25.27		$	26.99		$	26.70		$	27.58
Income (loss) from investment operations:
Net investment income (loss)a		.71			.73			.81			.86			.91
Net gain (loss) on investments (realized and unrealized)		(4.55	)		3.30			(1.63	)		.50			(.70	)
Total from investment operations		(3.84	)		4.03			(.82	)		1.36			.21
Less distributions from:
Net investment income		(.93	)		(.85	)		(.81	)		(.77	)		(.90	)
Net realized gains		(.09	)		—			(.09	)		(.30	)		(.19	)
Total distributions		(1.02	)		(.85	)		(.90	)		(1.07	)		(1.09	)
Net asset value, end of period	$	23.59		$	28.45		$	25.27		$	26.99		$	26.70
Total Returnb		(13.94	%)		16.10	%		(3.06	%)		5.31	%		0.78	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	284		$	340		$	267		$	278		$	141
Ratios to average net assets:
Net investment income (loss)		2.59	%		2.64	%		3.14	%		3.26	%		3.37	%
Total expensesc		3.42	%		3.92	%		4.24	%		4.03	%		4.83	%
Net expensesd,e,f		0.74	%		0.78	%		0.83	%		0.85	%		0.84	%
Portfolio turnover rate		12	%		50	%		66	%		58	%		37	%

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	28.36		$	25.19		$	27.00		$	26.69		$	27.56
Income (loss) from investment operations:
Net investment income (loss)a		.47			.52			.60			.69			.71
Net gain (loss) on investments (realized and unrealized)		(4.49	)		3.29			(1.62	)		.46			(.69	)
Total from investment operations		(4.02	)		3.81			(1.02	)		1.15			.02
Less distributions from:
Net investment income		(.77	)		(.64	)		(.70	)		(.54	)		(.70	)
Net realized gains		(.09	)		—			(.09	)		(.30	)		(.19	)
Total distributions		(.86	)		(.64	)		(.79	)		(.84	)		(.89	)
Net asset value, end of period	$	23.48		$	28.36		$	25.19		$	27.00		$	26.69
Total Returnb		(14.57	%)		15.24	%		(3.77	%)		4.50	%		0.08	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	224		$	254		$	197		$	816		$	145
Ratios to average net assets:
Net investment income (loss)		1.70	%		1.89	%		2.26	%		2.59	%		2.63	%
Total expensesc		4.04	%		4.68	%		4.86	%		4.74	%		5.65	%
Net expensesd,e,f		1.49	%		1.52	%		1.58	%		1.59	%		1.59	%
Portfolio turnover rate		12	%		50	%		66	%		58	%		37	%

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

DIVERSIFIED INCOME FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	28.43		$	25.25		$	26.97		$	26.70		$	27.58
Income (loss) from investment operations:
Net investment income (loss)a		.58			.73			.81			.85			.91
Net gain (loss) on investments (realized and unrealized)		(4.43	)		3.30			(1.63	)		.51			(.70	)
Total from investment operations		(3.85	)		4.03			(.82	)		1.36			.21
Less distributions from:
Net investment income		(.90	)		(.85	)		(.81	)		(.79	)		(.90	)
Net realized gains		(.09	)		—			(.09	)		(.30	)		(.19	)
Total distributions		(.99	)		(.85	)		(.90	)		(1.09	)		(1.09	)
Net asset value, end of period	$	23.59		$	28.43		$	25.25		$	26.97		$	26.70
Total Return		(13.95	%)		16.12	%		(3.03	%)		5.23	%		0.82	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	415		$	152		$	128		$	131		$	125
Ratios to average net assets:
Net investment income (loss)		2.16	%		2.64	%		3.14	%		3.22	%		3.37	%
Total expensesc		3.49	%		3.92	%		4.19	%		3.97	%		4.82	%
Net expensesd,e,f		0.74	%		0.78	%		0.83	%		0.85	%		0.84	%
Portfolio turnover rate		12	%		50	%		66	%		58	%		37	%

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

DIVERSIFIED INCOME FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	28.44		$	25.26		$	26.98		$	26.72		$	27.59
Income (loss) from investment operations:
Net investment income (loss)a		.69			.80			.87			.92			.98
Net gain (loss) on investments (realized and unrealized)		(4.46	)		3.30			(1.63	)		.49			(.70	)
Total from investment operations		(3.77	)		4.10			(.76	)		1.41			.28
Less distributions from:
Net investment income		(.99	)		(.92	)		(.87	)		(.85	)		(.96	)
Net realized gains		(.09	)		—			(.09	)		(.30	)		(.19	)
Total distributions		(1.08	)		(.92	)		(.96	)		(1.15	)		(1.15	)
Net asset value, end of period	$	23.59		$	28.44		$	25.26		$	26.98		$	26.72
Total Return		(13.74	%)		16.40	%		(2.82	%)		5.52	%		1.06	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,300		$	6,950		$	5,965		$	6,165		$	5,757
Ratios to average net assets:
Net investment income (loss)		2.54	%		2.89	%		3.39	%		3.47	%		3.62	%
Total expensesc		3.05	%		3.55	%		3.78	%		3.58	%		4.42	%
Net expensesd,e,f		0.49	%		0.53	%		0.58	%		0.60	%		0.60	%
Portfolio turnover rate		12	%		50	%		66	%		58	%		37	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	—	—	—	—	—
C-Class	—	—	0.00%*	—	—
P-Class	—	—	0.00%*	—	—
Institutional Class	—	—	0.00%*	—	—

* Less than 0.01%.

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	0.73%	0.77%	0.82%	0.85%	0.84%
C-Class	1.48%	1.51%	1.57%	1.59%	1.58%
P-Class	0.73%	0.77%	0.82%	0.85%	0.84%
Institutional Class	0.48%	0.52%	0.57%	0.60%	0.59%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim High Yield Fund (“Fund”). Guggenheim Partners Advisors, LLC, an affiliate of SI, serves as the Fund’s sub-adviser (“GPA” or the “Sub-Adviser”). The Fund is managed by a team of seasoned professionals at SI and GPA. This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC.; and Thomas J. Hauser, Senior Managing Director and Portfolio Manager of SI. 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 -12.10%¹, outperforming the Bloomberg U.S. Corporate High Yield Index, the Fund’s benchmark, which returned -14.14% for the same period.

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

The Reporting Period was significantly impacted by challenging macroeconomics. High yield was down -14.14% over the last year, amid the sharp rise in interest rates, due to the ongoing conflict in Ukraine, elevated inflation, and the potential for recession. The high yield market experienced outflows during the Reporting Period, which negatively impacted trading levels. All sectors and rating categories generated negative returns while interest rates continued to climb and credit spreads widened.

Bottom-up fundamental credit analysis continues to be the main driver of the Fund’s positioning and performance. The largest contributing sectors to performance were the Consumer Cyclicals and Non-Cyclicals sectors, where the Fund benefited from strong security selection relative to the benchmark. The Fund’s underweight to the Energy sector detracted from performance for the Reporting Period. An up-in-quality bias for the Reporting Period drove an overweight to single B rated issuers and underweight to CCC rated issuers, which both contributed to outperformance relative to the benchmark. The Fund’s larger allocation to bank loans was a meaningful contributor to performance due to their insulation from the selloff in interest rates.

How did the Fund use derivatives during the Reporting Period?

The Fund invests in non-U.S. dollar denominated assets when the risk-return profile is favorable. The Fund entered forward foreign currency exchange contracts to hedge exchange rate risk for non-U.S. dollar denominated positions which had a positive impact to performance. Non-U.S. dollar denominated assets comprise less than 2% of the Fund.

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

The Fund’s largest exposure is to high yield bonds followed by a meaningful exposure to bank loans. We continue to evaluate the relative value between high yield bonds and bank loans, potentially looking to shift the allocation as the relationship changes.

The Fund remains cautious given heightened risk of default and recession. As such, the Fund continues to avoid highly levered industries and companies with high capital expenditure needs that could impair cash flow, and instead focuses on companies with recurring revenue streams, strong cash flows, and high-quality margins. Even with heightened credit risk and rising risk of recession, we think current spreads offer opportunities to find credits that are trading cheap to their fundamentals and risk of default/loss.

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 | 19

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

HIGH YIELD FUND

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

Holdings Diversification (Market Exposure as % of Net Assets)

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

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
A	0.4%
BBB	2.5%
BB	44.2%
B	38.5%
CCC	6.6%
D	0.4%
NR2	1.3%
Other Instruments	6.1%
Total Investments	100.0%

Inception Dates:
A-Class	August 5, 1996
C-Class	May 1, 2000
P-Class	May 1, 2015
Institutional Class	July 11, 2008
R6-Class	May 15, 2017

Ten Largest Holdings (% of Total Net Assets)
Terraform Global Operating LLC, 6.13%	1.4%
Hunt Companies, Inc., 5.25%	1.4%
CPI CG, Inc., 8.63%	1.4%
Carpenter Technology Corp., 6.38%	1.3%
McGraw-Hill Education, Inc., 5.75%	1.3%
Exterran Energy Solutions Limited Partnership / EES Finance Corp., 8.13%	1.2%
FAGE International S.A. / FAGE USA Dairy Industry, Inc., 5.63%	1.1%
Artera Services LLC, 9.03%	1.1%
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%	1.1%
GrafTech Finance, Inc., 4.63%	1.1%
Top Ten Total	12.4%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

20 | 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	(12.10%)	1.05%	3.98%
A-Class Shares with sales charge‡	(15.64%)	0.23%	3.47%
C-Class Shares	(12.76%)	0.26%	3.19%
C-Class Shares with CDSC§	(13.59%)	0.26%	3.19%
Institutional Class Shares	(11.80%)	1.29%	4.25%
Bloomberg U.S. Corporate High Yield Index	(14.14%)	1.57%	3.94%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	(12.13%)	0.98%	2.70%
Bloomberg U.S. Corporate High Yield Index	(14.14%)	1.57%	3.03%

	1 Year	5 Year	Since Inception (05/15/17)
R6-Class Shares	(11.91%)	1.37%	1.74%
Bloomberg U.S. Corporate High Yield Index	(14.14%)	1.57%	1.96%

*	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 Bloomberg U.S. Corporate High Yield Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class and R6-Class shares will vary due to differences in fee structures.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculate performance for periods based on subscriptions made on or after October 2, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 21

SCHEDULE OF INVESTMENTS	September 30, 2022
HIGH YIELD FUND

	Shares		Value
COMMON STOCKS† - 2.0%
Financial - 1.3%
KKR Acquisition Holdings I Corp. — Class A*,1		142,310	$	1,400,330
TPG Pace Beneficial II Corp.*,1		46,138		451,225
Acropolis Infrastructure Acquisition Corp. — Class A*,1		38,845		376,991
RXR Acquisition Corp. — Class A*,1		1,874		18,440
Colicity, Inc. — Class A*,1		1,419		13,963
MSD Acquisition Corp. — Class A*,1		721		7,138
Total Financial				2,268,087
Utilities - 0.4%
TexGen Power LLC*,††		26,665		693,290
Communications - 0.2%
Vacasa, Inc. — Class A*		117,451		360,574
Energy - 0.1%
Permian Production Partners LLC†††		57,028		46,763
Legacy Reserves, Inc.*,†††		3,452		30,205
Bruin E&P Partnership Units*,†††		44,023		986
Total Energy				77,954
Consumer, Non-cyclical - 0.0%
Targus Group International Equity, Inc.*,†††,2		12,825		32,255
Cengage Learning Holdings II, Inc.*,††		2,107		25,284
Save-A-Lot*,††		17,185		7,167
Total Consumer, Non-cyclical				64,706
Consumer, Cyclical - 0.0%
Metro-Goldwyn-Mayer, Inc.††		7,040		31,328
Industrial - 0.0%
BP Holdco LLC*,†††,2		23,711		14,378
Vector Phoenix Holdings, LP*,†††		23,711		5,666
Total Industrial				20,044
Total Common Stocks
(Cost $4,021,255)				3,515,983
PREFERRED STOCKS†† - 2.2%
Financial - 2.2%
American Equity Investment Life Holding Co.
5.95%3		54,000		1,212,301
Arch Capital Group Ltd.
4.55%		55,000		1,031,800
Charles Schwab Corp.
4.00%*		1,325,000		973,323
Assurant, Inc.
5.25% due 01/15/61		30,000		638,400
Total Financial				3,855,823
Industrial - 0.0%
U.S. Shipping Corp.*,†††		14,718		—
Total Preferred Stocks
(Cost $5,175,000)				3,855,824
WARRANTS† - 0.0%
KKR Acquisition Holdings I Corp.
Expiring 12/31/27*,1		35,577		4,271
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/26*,1		12,947		1,296
Colicity, Inc.
Expiring 12/31/27*,1		281		14
MSD Acquisition Corp.
Expiring 05/13/23*,1		143		12
RXR Acquisition Corp.
Expiring 03/08/26*,1		372		9
Ginkgo Bioworks Holdings, Inc.
Expiring 08/01/26*		4		3
SandRidge Energy, Inc.
Expiring 10/04/22*		505		—
Expiring 10/04/22*		212		—
Total Warrants
(Cost $92,427)				5,605
MONEY MARKET FUND† - 1.8%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%4		3,140,418		3,140,418
Total Money Market Fund
(Cost $3,140,418)				3,140,418
	Face Amount~
CORPORATE BONDS†† - 73.5%
Communications - 14.4%
McGraw-Hill Education, Inc.
5.75% due 08/01/285		2,575,000		2,150,166
8.00% due 08/01/295		1,525,000		1,251,987
Altice France S.A.
5.13% due 07/15/295		1,450,000		1,083,309
5.50% due 10/15/295		1,250,000		940,480
8.13% due 02/01/275		900,000		804,375
CCO Holdings LLC / CCO Holdings Capital Corp.
4.50% due 05/01/32		1,850,000		1,410,939
4.25% due 01/15/345		975,000		697,885
6.38% due 09/01/295		275,000		252,477
Level 3 Financing, Inc.
3.63% due 01/15/295		1,825,000		1,351,212
4.25% due 07/01/285		1,150,000		897,012
CSC Holdings LLC
4.13% due 12/01/305		1,150,000		859,280
4.63% due 12/01/305		950,000		646,000
3.38% due 02/15/315		850,000		599,250
Cengage Learning, Inc.
9.50% due 06/15/245		1,739,000		1,630,313
VZ Secured Financing BV
5.00% due 01/15/325		2,175,000		1,624,934
Vmed O2 UK Financing I plc
4.25% due 01/31/315		1,125,000		852,401
4.75% due 07/15/315		850,000		655,772

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
HIGH YIELD FUND

	Face Amount~		Value
Telenet Finance Luxembourg Notes SARL
5.50% due 03/01/28		1,400,000	$	1,214,178
LCPR Senior Secured Financing DAC
6.75% due 10/15/275		1,417,000		1,176,110
AMC Networks, Inc.
4.25% due 02/15/29		1,550,000		1,146,009
UPC Broadband Finco BV
4.88% due 07/15/315		1,200,000		931,236
Sirius XM Radio, Inc.
4.13% due 07/01/305		800,000		650,272
Cogent Communications Group, Inc.
7.00% due 06/15/275		625,000		587,785
Virgin Media Secured Finance plc
4.50% due 08/15/305		675,000		526,804
Match Group Holdings II LLC
4.63% due 06/01/285		600,000		524,250
Outfront Media Capital LLC / Outfront Media Capital Corp.
4.25% due 01/15/295		450,000		353,475
Zayo Group Holdings, Inc.
4.00% due 03/01/275		300,000		240,735
Total Communications				25,058,646
Consumer, Non-cyclical - 13.2%
Nielsen Finance LLC / Nielsen Finance Co.
4.75% due 07/15/315		1,650,000		1,617,627
5.88% due 10/01/305		1,000,000		995,865
CPI CG, Inc.
8.63% due 03/15/265		2,572,000		2,390,828
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
5.63% due 08/15/265		2,200,000		1,953,336
Rent-A-Center, Inc.
6.38% due 02/15/295,6		2,281,000		1,779,180
Sabre GLBL, Inc.
7.38% due 09/01/255		1,220,000		1,092,670
9.25% due 04/15/255		250,000		239,353
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/275		1,525,000		1,281,259
BCP V Modular Services Finance II plc
4.75% due 10/30/285	EUR	1,486,000		1,165,148
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
7.00% due 12/31/275		961,000		735,165
5.00% due 12/31/265		350,000		307,142
Sotheby’s/Bidfair Holdings, Inc.
5.88% due 06/01/295		1,200,000		991,344
KeHE Distributors LLC / KeHE Finance Corp.
8.63% due 10/15/265		956,000		955,962
Par Pharmaceutical, Inc.
7.50% due 04/01/275,7		1,210,000		955,923
DaVita, Inc.
3.75% due 02/15/315		1,225,000		872,812
ADT Security Corp.
4.13% due 08/01/295		1,050,000		871,500
Bausch Health Companies, Inc.
4.88% due 06/01/285		1,200,000		773,640
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
6.13% due 04/01/295,7		950,000		749,931
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
5.00% due 02/01/265		850,000		727,880
Medline Borrower, LP
5.25% due 10/01/295		850,000		641,750
WW International, Inc.
4.50% due 04/15/295		825,000		431,134
Lamb Weston Holdings, Inc.
4.13% due 01/31/305		425,000		359,652
Albertsons Companies Incorporated / Safeway Inc / New Albertsons Limited Partnership / Albertsons LLC
5.88% due 02/15/285		375,000		345,938
Nathan’s Famous, Inc.
6.63% due 11/01/255		259,000		256,410
Tenet Healthcare Corp.
6.13% due 06/15/305		275,000		251,900
Garden Spinco Corp.
8.63% due 07/20/305		200,000		206,626
Endo Dac / Endo Finance LLC / Endo Finco, Inc.
9.50% due 07/31/275,7		171,000		24,795
CHS/Community Health Systems, Inc.
8.00% due 03/15/265		25,000		21,645
Total Consumer, Non-cyclical				22,996,415
Financial - 10.9%
Hunt Companies, Inc.
5.25% due 04/15/295		3,150,000		2,412,050
United Wholesale Mortgage LLC
5.50% due 04/15/295		1,475,000		1,121,000
5.75% due 06/15/275		1,300,000		1,030,123
Iron Mountain, Inc.
5.63% due 07/15/325		1,275,000		1,020,000
4.88% due 09/15/295		530,000		435,390
5.25% due 07/15/305		475,000		393,048
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/285		2,500,000		1,843,750
NFP Corp.
6.88% due 08/15/285		2,250,000		1,755,000
OneMain Finance Corp.
3.88% due 09/15/28		1,225,000		901,919
4.00% due 09/15/30		750,000		526,282
HUB International Ltd.
5.63% due 12/01/295		850,000		709,750
7.00% due 05/01/265		575,000		545,339
Home Point Capital, Inc.
5.00% due 02/01/265		1,275,000		798,469
Iron Mountain Information Management Services, Inc.
5.00% due 07/15/325		1,000,000		774,093

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
HIGH YIELD FUND

	Face Amount~		Value
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/315		725,000	$	525,519
4.00% due 10/15/335		350,000		240,630
USI, Inc.
6.88% due 05/01/255		775,000		744,993
SLM Corp.
3.13% due 11/02/26		900,000		744,993
Wilton Re Finance LLC
5.88% due 03/30/333,5		650,000		638,113
Liberty Mutual Group, Inc.
4.30% due 02/01/615		750,000		470,806
Kennedy-Wilson, Inc.
4.75% due 03/01/29		575,000		438,840
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/285		450,000		417,397
Starwood Property Trust, Inc.
4.38% due 01/15/275		425,000		362,306
Total Financial				18,849,810
Energy - 9.2%
NuStar Logistics, LP
5.63% due 04/28/27		1,585,000		1,382,010
6.38% due 10/01/30		850,000		727,316
Exterran Energy Solutions Limited Partnership / EES Finance Corp.
8.13% due 05/01/25		2,037,000		2,062,462
Parkland Corp.
4.50% due 10/01/295		1,275,000		1,029,334
4.63% due 05/01/305		1,100,000		891,743
Global Partners Limited Partnership / GLP Finance Corp.
7.00% due 08/01/27		1,200,000		1,092,636
6.88% due 01/15/29		900,000		810,000
CVR Energy, Inc.
5.75% due 02/15/285		1,725,000		1,473,479
5.25% due 02/15/255		250,000		225,030
ITT Holdings LLC
6.50% due 08/01/295		1,875,000		1,454,568
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
5.63% due 05/01/275		1,250,000		1,131,250
EnLink Midstream LLC
6.50% due 09/01/305		925,000		903,262
TransMontaigne Partners Limited Partnership / TLP Finance Corp.
6.13% due 02/15/26		1,000,000		835,000
PDC Energy, Inc.
6.13% due 09/15/24		776,000		763,722
Holly Energy Partners Limited Partnership / Holly Energy Finance Corp.
6.38% due 04/15/275		525,000		501,375
Southwestern Energy Co.
5.38% due 02/01/29		425,000		385,390
Kinetik Holdings, LP
5.88% due 06/15/305		350,000		320,481
Total Energy				15,989,058
Industrial - 9.1%
New Enterprise Stone & Lime Company, Inc.
9.75% due 07/15/285		1,725,000		1,455,063
5.25% due 07/15/285		675,000		557,904
Artera Services LLC
9.03% due 12/04/255		2,350,000		1,891,750
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/265		2,076,000		1,873,590
GrafTech Finance, Inc.
4.63% due 12/15/285		2,500,000		1,868,750
Mauser Packaging Solutions Holding Co.
5.50% due 04/15/245		1,050,000		997,500
8.50% due 04/15/245		175,000		166,250
Great Lakes Dredge & Dock Corp.
5.25% due 06/01/295		1,325,000		1,021,040
Standard Industries, Inc.
5.00% due 02/15/275		900,000		796,419
Masonite International Corp.
5.38% due 02/01/285		850,000		751,850
Amsted Industries, Inc.
4.63% due 05/15/305		900,000		744,930
Builders FirstSource, Inc.
6.38% due 06/15/325		700,000		621,771
Arcosa, Inc.
4.38% due 04/15/295		700,000		595,000
TransDigm, Inc.
6.25% due 03/15/265		500,000		485,000
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
6.00% due 06/15/275		500,000		470,852
Howmet Aerospace, Inc.
5.95% due 02/01/37		475,000		429,274
Summit Materials LLC / Summit Materials Finance Corp.
6.50% due 03/15/275		425,000		407,039
Stericycle, Inc.
5.38% due 07/15/245		375,000		360,499
Harsco Corp.
5.75% due 07/31/275		500,000		312,394
Total Industrial				15,806,875
Basic Materials - 7.2%
Carpenter Technology Corp.
6.38% due 07/15/28		2,475,000		2,295,315
7.63% due 03/15/30		650,000		625,820
Minerals Technologies, Inc.
5.00% due 07/01/285		1,547,000		1,346,397
SCIL IV LLC / SCIL USA Holdings LLC
5.38% due 11/01/265		1,650,000		1,274,625
Clearwater Paper Corp.
4.75% due 08/15/285		1,375,000		1,203,983

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
HIGH YIELD FUND

	Face Amount~		Value
Kaiser Aluminum Corp.
4.63% due 03/01/285		790,000	$	644,576
4.50% due 06/01/315		725,000		530,512
EverArc Escrow SARL
5.00% due 10/30/295		1,350,000		1,089,781
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.
9.00% due 07/01/285		900,000		747,000
Diamond BC BV
4.63% due 10/01/295		1,050,000		730,611
Valvoline, Inc.
3.63% due 06/15/315		600,000		441,893
4.25% due 02/15/305		250,000		236,250
Ingevity Corp.
3.88% due 11/01/285		675,000		558,080
Compass Minerals International, Inc.
6.75% due 12/01/275		500,000		469,887
Yamana Gold, Inc.
4.63% due 12/15/27		256,000		233,034
Mirabela Nickel Ltd.
due 06/24/197,8		278,115		13,906
Total Basic Materials				12,441,670
Consumer, Cyclical - 6.5%
Crocs, Inc.
4.25% due 03/15/295		1,769,000		1,406,355
JB Poindexter & Company, Inc.
7.13% due 04/15/265		1,225,000		1,133,125
CD&R Smokey Buyer, Inc.
6.75% due 07/15/255		925,000		838,439
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
5.75% due 01/20/265		950,000		837,891
Wolverine World Wide, Inc.
4.00% due 08/15/295		1,000,000		762,860
Scotts Miracle-Gro Co.
4.38% due 02/01/32		1,050,000		746,760
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.
6.63% due 03/01/305		875,000		701,400
Newell Brands, Inc.
6.63% due 09/15/29		500,000		488,865
4.45% due 04/01/26		200,000		184,000
Tempur Sealy International, Inc.
3.88% due 10/15/315		850,000		622,625
Wabash National Corp.
4.50% due 10/15/285		675,000		523,263
Clarios Global, LP
6.75% due 05/15/255		527,000		516,054
Asbury Automotive Group, Inc.
5.00% due 02/15/325		550,000		423,533
Michaels Companies, Inc.
5.25% due 05/01/285		600,000		421,188
Rite Aid Corp.
7.50% due 07/01/255		519,000		394,866
Superior Plus, LP
4.25% due 05/18/28†††,5	CAD	550,000		346,548
Air Canada
3.88% due 08/15/265		300,000		257,625
Six Flags Theme Parks, Inc.
7.00% due 07/01/255		215,000		214,909
Penn Entertainment, Inc.
4.13% due 07/01/295		250,000		191,364
Allison Transmission, Inc.
4.75% due 10/01/275		200,000		176,135
Total Consumer, Cyclical				11,187,805
Technology - 1.6%
Boxer Parent Company, Inc.
7.13% due 10/02/255		1,025,000		1,004,577
AthenaHealth Group, Inc.
6.50% due 02/15/305		1,075,000		849,863
Central Parent Incorporated / CDK Global Inc
7.25% due 06/15/295		700,000		665,486
Open Text Holdings, Inc.
4.13% due 12/01/315		400,000		301,247
Total Technology				2,821,173
Utilities - 1.4%
Terraform Global Operating LLC
6.13% due 03/01/265		2,630,000		2,465,625
Basic Energy Services, Inc.
due 10/15/23†††,7		1,175,000		32,312
Total Utilities				2,497,937
Total Corporate Bonds
(Cost $155,267,178)				127,649,389
SENIOR FLOATING RATE INTERESTS††,◊ - 19.8%
Consumer, Cyclical - 5.5%
PetSmart LLC
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28		1,336,500		1,261,883
First Brands Group LLC
7.94% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 03/30/27		1,029,548		987,336
NES Global Talent
8.31% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23		861,822		823,040
American Tire Distributors, Inc.
9.03% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.00%) due 10/20/28		870,625		807,818
Alexander Mann
7.19% (3 Month GBP SONIA + 5.00%, Rate Floor: 5.00%) due 06/16/25	GBP	749,100		794,717
Congruex Group LLC
8.48% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 05/03/29†††		723,188		701,492
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25		750,976		627,065

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
HIGH YIELD FUND

	Face Amount~		Value
FR Refuel LLC
8.42% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 11/08/28†††		597,350	$	570,469
Holding SOCOTEC
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/30/28		603,900		558,608
Galaxy US Opco, Inc.
7.78% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 04/30/29†††		550,000		515,625
Accuride Corp.
8.92% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23		581,041		497,034
Sweetwater Sound
7.38% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 08/07/28†††		325,000		295,750
Flutter Financing B.V.
due 07/24/28		300,000		292,452
WW International, Inc.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28		401,625		279,382
BCPE Empire Holdings, Inc.
7.76% (1 Month Term SOFR + 4.63%, Rate Floor: 4.63%) due 06/11/26		273,625		260,628
Pacific Bells LLC
8.31% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28		248,760		231,347
Total Consumer, Cyclical				9,504,646
Industrial - 4.6%
Arcline FM Holdings LLC
7.00% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28†††		1,509,750		1,396,519
Dispatch Terra Acquisition LLC
7.92% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28†††		1,185,619		1,055,201
Pelican Products, Inc.
8.16% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28		895,489		814,895
Pro Mach Group, Inc.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28		744,584		708,554
LTI Holdings, Inc.
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 07/24/26		747,188		700,488
Aegion Corp.
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 05/17/28†††		692,999		632,362
Michael Baker International LLC
8.12% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 12/01/28†††		595,500		577,635
PECF USS Intermediate Holding III Corp.
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28		546,374		464,871
ASP Dream Acquisiton Co. LLC
7.38% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/15/28		399,000		381,045
YAK MAT (YAK ACCESS LLC)
13.64% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26†††		1,025,000		307,500
Osmose Utility Services, Inc.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 06/23/28		320,191		292,975
STS Operating, Inc. (SunSource)
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24		295,656		281,488
US Farathane LLC
7.92% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/23/24		271,333		236,060
Sundyne (Star US Bidco)
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/17/27		198,979		187,786
Total Industrial				8,037,379
Consumer, Non-cyclical - 4.2%
SCP Eye Care Services LLC
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28†††		1,075,781		1,070,402
7.32% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28†††		188,352		186,469
HAH Group Holding Co. LLC
8.71% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27		1,305,488		1,240,214
Blue Ribbon LLC
8.56% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28		1,097,310		934,085
Quirch Foods Holdings LLC
7.93% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/27/27†††		957,938		894,474
Gibson Brands, Inc.
7.94% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28†††		863,475		673,510
Women’s Care Holdings, Inc.
7.87% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28		666,563		621,016
Moran Foods LLC
14.42% (3 Month USD LIBOR + 10.75%, Rate Floor: 11.75%) due 10/01/24		407,847		281,414
10.67% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 04/01/24		311,449		263,695
1.00% (3 Month USD LIBOR - Rate Floor: 1.00%) due 04/01/24		40,545		34,328
Confluent Health LLC
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28†††		433,341		379,173
Kronos Acquisition Holdings, Inc.
8.94% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 12/22/26		297,750		282,118
Florida Food Products LLC
8.12% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 10/18/28†††		223,875		204,846

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
HIGH YIELD FUND

	Face Amount~		Value
TGP Holdings LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/29/28		228,453	$	178,909
Total Consumer, Non-cyclical				7,244,653
Technology - 2.5%
Datix Bidco Ltd.
6.19% (6 Month GBP LIBOR + 4.50%, Rate Floor: 5.19%) due 04/28/25†††	GBP	1,300,000		1,415,313
8.44% (6 Month GBP SONIA + 7.75%, Rate Floor: 8.44%) due 04/27/26†††	GBP	650,000		710,995
Taxware Holdings (Sovos Compliance LLC)
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28		745,203		709,061
Apttus Corp.
7.12% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28†††		618,750		566,156
Atlas CC Acquisition Corp.
7.32% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28		567,813		496,552
24-7 Intouch, Inc.
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25		268,601		255,171
Park Place Technologies, LLC
8.13% (1 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 11/10/27		168,967		159,956
Total Technology				4,313,204
Financial - 1.7%
Franchise Group, Inc.
7.56% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26		938,947		874,789
Claros Mortgage Trust, Inc.
7.25% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/10/26		910,123		871,442
Avison Young (Canada), Inc.
8.90% (1 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 01/31/26		529,375		489,672
Eisner Advisory Group
8.40% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/28/28†††		445,502		420,999
Teneo Holdings LLC
8.38% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/11/25		322,899		304,064
Total Financial				2,960,966
Basic Materials - 0.8%
Ascend Performance Materials Operations LLC
8.42% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26		643,398		628,761
NIC Acquisition Corp.
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27		740,730		574,681
DCG Acquisition Corp.
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26		248,737		231,532
Total Basic Materials				1,434,974
Communications - 0.3%
Cengage Learning Acquisitions, Inc.
7.81% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26		618,750		558,713
Utilities - 0.1%
TerraForm Power Operating LLC
6.40% (3 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 05/21/29		249,375		246,258
Energy - 0.1%
Permian Production Partners LLC
11.12% (1 Month USD LIBOR + 6.00%, Rate Floor: 9.12%) (in-kind rate was 2.00%) due 11/24/25†††,9		114,588		114,301
Total Senior Floating Rate Interests
(Cost $37,957,421)				34,415,094
ASSET-BACKED SECURITIES†† - 0.6%
Collateralized Loan Obligations - 0.4%
WhiteHorse X Ltd.
2015-10A E, 8.04% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/27◊,5		753,632		696,341
Infrastructure - 0.2%
Hotwire Funding LLC
2021-1, 4.46% due 11/20/515		400,000		326,274
Total Asset-Backed Securities
(Cost $1,069,128)				1,022,615
Total Investments - 99.9%
(Cost $206,722,827)			$	173,604,928
Other Assets & Liabilities, net - 0.1%				106,513
Total Net Assets - 100.0%			$	173,711,441

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation

Morgan Stanley Capital Services LLC

GBP

Sell

2,692,000

3,102,912 USD

10/17/22

$

95,688

Bank of America, N.A.

EUR

Sell

1,269,000

1,270,891 USD

10/17/22

25,982

Morgan Stanley Capital Services LLC

CAD

Sell

490,000

372,775 USD

10/17/22

17,909

JPMorgan Chase Bank, N.A.

EUR

Buy

49,000

48,031 USD

10/17/22

39

$

139,618

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
HIGH YIELD FUND

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1	Special Purpose Acquisition Company (SPAC).
2	Affiliated issuer.
3	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
4	Rate indicated is the 7-day yield as of September 30, 2022.
5	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $109,181,022 (cost $132,235,530), or 62.9% of total net assets.
6	All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2022, the total market value of segregated or earmarked securities was $1,779,180— See Note 6.
7	Security is in default of interest and/or principal obligations.
8	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $13,906 (cost $252,369), or less than 0.01% of total net assets — See Note 10.
9	Payment-in-kind security.
	CAD — Canadian Dollar
	EUR — Euro
	GBP — British Pound
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	SARL — Société à Responsabilité Limitée
	SOFR — Secured Overnight Financing Rate
	SONIA — Sterling Overnight Index Average
	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	$	2,628,661	$	757,069	$	130,253		$	3,515,983
Preferred Stocks		—		3,855,824		—	*		3,855,824
Warrants		5,605		—		—			5,605
Money Market Fund		3,140,418		—		—			3,140,418
Corporate Bonds		—		127,270,529		378,860			127,649,389
Senior Floating Rate Interests		—		21,725,903		12,689,191			34,415,094
Asset-Backed Securities		—		1,022,615		—			1,022,615
Forward Foreign Currency Exchange Contracts**		—		139,618		—			139,618
Total Assets	$	5,774,684	$	154,771,558	$	13,198,304		$	173,744,546

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Unfunded Loan Commitments (Note 9)	$	—	$	—	$	12,748	$	12,748

*	Security has a market value of $0.
**	This derivative is reported as unrealized appreciation/depreciation at period end.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
HIGH YIELD FUND

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $1,608,982 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

Category	Ending Balance at September 30, 2022		Valuation Technique	Unobservable Inputs	Input Range		Weighted Average*
Assets:
Common Stocks	$	129,267	Enterprise Value	Valuation Multiple		2.6x-12.3x		4.2x
Common Stocks		986	Model Price	Liquidation Value		—		—
Corporate Bonds		378,860	Third Party Pricing	Vendor Price		—		—
Senior Floating Rate Interests		9,507,682	Third Party Pricing	Broker Quote		—		—
Senior Floating Rate Interests		1,055,201	Third Party Pricing	Vendor Price		—		—
Senior Floating Rate Interests		2,126,308	Yield Analysis	Yield		9.3%-12.2%		10.3	%
Total Assets	$	13,198,304
Liabilities:
Unfunded Loan Commitments	$	12,748	Model Price	Purchase Price		—		—

* Inputs are weighted by the fair value of the instruments.

Significant changes in a quote, yield, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $4,668,584 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $410,165 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2022:

	Assets												Liabilities
	Corporate Bonds			Senior Floating Rate Interests			Common Stocks			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	539,206		$	8,849,956		$	237,484		$	9,626,646		$	(622	)
Purchases/(Receipts)		—			6,731,238			—			6,731,238			(4,832	)
(Sales, maturities and paydowns)/Fundings		(3,146	)		(6,388,281	)		(686	)		(6,392,113	)		1,799
Amortization of premiums/discounts		(6,095	)		113,246			—			107,151			(36	)
Total realized gains (losses) included in earnings		(46,376	)		(4,150	)		(5,480	)		(56,006	)		416
Total change in unrealized appreciation (depreciation) included in earnings		(104,729	)		(878,404	)		(93,898	)		(1,077,031	)		(9,473	)
Transfers into Level 3		—			4,668,584			—			4,668,584			—
Transfers out of Level 3		—			(402,998	)		(7,167	)		(410,165	)		—
Ending Balance	$	378,860		$	12,689,191		$	130,253		$	13,198,304		$	(12,748	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022	$	(104,729	)	$	(755,016	)	$	(18,782	)	$	(878,527	)	$	(7,998	)

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
HIGH YIELD FUND

Affiliated Transactions

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

Transactions during the year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/21		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 09/30/22		Shares 09/30/22
Common Stocks
BP Holdco LLC*	$	16,716	$	—	$	—	$	—	$	(2,338	)	$	14,378		23,711
Targus Group International Equity, Inc.*		31,234		—		—		—		1,021			32,255		12,825
	$	47,950	$	—	$	—	$	—	$	(1,317	)	$	46,633

* Non-income producing security.

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

HIGH YIELD FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $206,710,098)	$	173,558,295
Investments in affiliated issuers, at value (cost $12,729)		46,633
Foreign currency, at value (cost 14,132)		14,114
Cash		81,294
Unrealized appreciation on forward foreign currency exchange contracts		139,618
Prepaid expenses		45,803
Receivables:
Interest		2,518,952
Securities sold		661,251
Fund shares sold		140,178
Dividends		9,844
Total assets		177,215,982
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $4,750)		12,748
Reverse repurchase agreements (Note 6)		1,608,982
Segregated cash due to broker		178,281
Payable for:
Securities purchased		804,916
Fund shares redeemed		557,239
Distributions to shareholders		80,672
Management fees		72,429
Transfer agent/maintenance fees		48,811
Distribution and service fees		18,792
Fund accounting/administration fees		5,596
Trustees’ fees*		4,230
Miscellaneous		111,845
Total liabilities		3,504,541
Net assets	$	173,711,441
Net assets consist of:
Paid in capital	$	234,369,450
Total distributable earnings (loss)		(60,658,009	)
Net assets	$	173,711,441
A-Class:
Net assets	$	43,822,448
Capital shares outstanding		4,794,458
Net asset value per share	$	9.14
Maximum offering price per share (Net asset value divided by 96.00%)	$	9.52
C-Class:
Net assets	$	9,914,792
Capital shares outstanding		1,075,657
Net asset value per share	$	9.22
P-Class:
Net assets	$	4,425,690
Capital shares outstanding		484,017
Net asset value per share	$	9.14
Institutional Class:
Net assets	$	113,643,625
Capital shares outstanding		15,262,200
Net asset value per share	$	7.45
R6-Class:
Net assets	$	1,904,886
Capital shares outstanding		208,806
Net asset value per share	$	9.12

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

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

HIGH YIELD FUND

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends from securities of unaffiliated issuers	$	1,481,817
Interest from securities of unaffiliated issuers		15,352,673
Total investment income		16,834,490
Expenses:
Management fees		1,603,619
Distribution and service fees:
A-Class		126,331
C-Class		129,515
P-Class		12,232
Transfer agent/maintenance fees:
A-Class		32,882
C-Class		17,386
P-Class		8,911
Institutional Class		181,193
R6-Class		695
Fund accounting/administration fees		171,200
Professional fees		143,914
Line of credit fees		18,543
Trustees’ fees*		16,550
Custodian fees		13,047
Interest expense		2,929
Miscellaneous		156,092
Recoupment of previously waived fees:
A-Class		6,990
C-Class		589
P-Class		1,774
Institutional Class		24,291
Total expenses		2,668,683
Less:
Expenses reimbursed by Adviser:
A-Class		(18,658	)
C-Class		(5,435	)
P-Class		(6,102	)
Institutional Class		(92,970	)
R6-Class		(283	)
Expenses waived by Adviser		(1,670	)
Earnings credits applied		(165	)
Total waived/reimbursed expenses		(125,283	)
Net expenses		2,543,400
Net investment income		14,291,090
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(4,878,494	)
Swap agreements		243,774
Forward foreign currency exchange contracts		1,046,568
Foreign currency transactions		(39,340	)
Net realized loss		(3,627,492	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(41,467,822	)
Investments in affiliated issuers		(1,317	)
Forward foreign currency exchange contracts		24,969
Foreign currency translations		(3,895	)
Net change in unrealized appreciation (depreciation)		(41,448,065	)
Net realized and unrealized loss		(45,075,557	)
Net decrease in net assets resulting from operations	$	(30,784,467	)

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

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

HIGH YIELD FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	14,291,090		$	18,058,114
Net realized gain (loss) on investments		(3,627,492	)		6,250,945
Net change in unrealized appreciation (depreciation) on investments		(41,448,065	)		16,483,574
Net increase (decrease) in net assets resulting from operations		(30,784,467	)		40,792,633
Distributions to shareholders:
A-Class		(2,597,694	)		(2,500,210	)
C-Class		(553,044	)		(610,646	)
P-Class		(247,398	)		(256,302	)
Institutional Class		(7,588,631	)		(8,497,760	)
R6-Class		(2,498,200	)		(6,056,356	)
Return of capital
A-Class		(89,963	)		(149,239	)
C-Class		(19,153	)		(35,772	)
P-Class		(8,568	)		(14,856	)
Institutional Class		(262,809	)		(510,774	)
R6-Class		(86,517	)		(359,597	)
Total distributions to shareholders		(13,951,977	)		(18,991,512	)
Capital share transactions:
Proceeds from sale of shares
A-Class		5,952,402			7,498,237
C-Class		657,102			3,471,056
P-Class		1,402,958			1,790,815
Institutional Class		43,343,283			50,818,387
R6-Class		2,433,069			8,946,340
Redemption fees collected
A-Class		751			1,117
C-Class		195			327
P-Class		73			114
Institutional Class		2,141			3,665
R6-Class		796			2,525
Distributions reinvested
A-Class		2,442,802			2,386,801
C-Class		555,783			607,096
P-Class		255,966			271,158
Institutional Class		6,418,053			6,378,870
R6-Class		2,584,717			6,415,953
Cost of shares redeemed
A-Class		(11,072,154	)		(11,470,510	)
C-Class		(5,286,119	)		(5,211,217	)
P-Class		(2,043,886	)		(2,577,681	)
Institutional Class		(78,495,447	)		(71,490,812	)
R6-Class		(122,325,066	)		(22,971,558	)
Net decrease from capital share transactions		(153,172,581	)		(25,129,317	)
Net decrease in net assets		(197,909,025	)		(3,328,196	)
Net assets:
Beginning of year		371,620,466			374,948,662
End of year	$	173,711,441		$	371,620,466

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

HIGH YIELD FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Year Ended September 30, 2022			Year Ended September 30, 2021
Capital share activity:
Shares sold
A-Class		579,055			692,089
C-Class		62,888			317,074
P-Class		143,033			167,163
Institutional Class		5,262,893			5,775,858
R6-Class		225,179			826,869
Shares issued from reinvestment of distributions
A-Class		242,943			220,568
C-Class		54,648			55,629
P-Class		25,590			25,050
Institutional Class		780,797			723,143
R6-Class		242,535			593,662
Shares redeemed
A-Class		(1,087,791	)		(1,059,043	)
C-Class		(509,028	)		(477,190	)
P-Class		(199,930	)		(239,351	)
Institutional Class		(9,508,654	)		(8,088,067	)
R6-Class		(11,811,894	)		(2,130,982	)
Net decrease in shares		(15,497,736	)		(2,597,528	)

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

HIGH YIELD FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	10.98		$	10.37		$	10.90		$	11.04		$	11.50
Income (loss) from investment operations:
Net investment income (loss)a		.56			.49			.57			.64			.68
Net gain (loss) on investments (realized and unrealized)		(1.86	)		.63			(.50	)		(.12	)		(.46	)
Total from investment operations		(1.30	)		1.12			.07			.52			.22
Less distributions from:
Net investment income		(.52	)		(.48	)		(.60	)		(.66	)		(.68	)
Return of capital		(.02	)		(.03	)		—			—			—
Total distributions		(.54	)		(.51	)		(.60	)		(.66	)		(.68	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	9.14		$	10.98		$	10.37		$	10.90		$	11.04
Total Returnc		(12.10	%)		11.02	%		0.84	%		4.99	%		2.00	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	43,822		$	55,550		$	53,997		$	67,916		$	75,028
Ratios to average net assets:
Net investment income (loss)		5.46	%		4.51	%		5.44	%		5.94	%		6.05	%
Total expensesd		1.14	%		1.07	%		1.21	%		1.27	%		1.35	%
Net expensese,f,g		1.10	%		1.05	%		1.20	%		1.26	%		1.33	%
Portfolio turnover rate		42	%		86	%		81	%		61	%		61	%

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	11.07		$	10.46		$	10.99		$	11.14		$	11.60
Income (loss) from investment operations:
Net investment income (loss)a		.47			.40			.49			.56			.60
Net gain (loss) on investments (realized and unrealized)		(1.85	)		.64			(.49	)		(.12	)		(.46	)
Total from investment operations		(1.38	)		1.04			—			.44			.14
Less distributions from:
Net investment income		(.45	)		(.43	)		(.53	)		(.59	)		(.60	)
Return of capital		(.02	)		(.03	)		—			—			—
Total distributions		(.47	)		(.43	)		(.53	)		(.59	)		(.60	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	9.22		$	11.07		$	10.46		$	10.99		$	11.14
Total Returnc		(12.76	%)		10.04	%		0.09	%		4.12	%		1.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	9,915		$	16,242		$	16,437		$	21,935		$	22,350
Ratios to average net assets:
Net investment income (loss)		4.55	%		3.67	%		4.68	%		5.17	%		5.31	%
Total expensesd		1.94	%		1.91	%		2.00	%		2.03	%		2.11	%
Net expensese,f,g		1.90	%		1.89	%		1.99	%		2.02	%		2.09	%
Portfolio turnover rate		42	%		86	%		81	%		61	%		61	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

HIGH YIELD FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	10.98		$	10.38		$	10.91		$	11.05		$	11.51
Income (loss) from investment operations:
Net investment income (loss)a		.55			.48			.57			.64			.68
Net gain (loss) on investments (realized and unrealized)		(1.85	)		.62			(.50	)		(.12	)		(.46	)
Total from investment operations		(1.30	)		1.10			.07			.52			.22
Less distributions from:
Net investment income		(.52	)		(.47	)		(.60	)		(.66	)		(.68	)
Return of capital		(.02	)		(.03	)		—			—			—
Total distributions		(.54	)		(.50	)		(.60	)		(.66	)		(.68	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	9.14		$	10.98		$	10.38		$	10.91		$	11.05
Total Return		(12.13	%)		10.80	%		0.80	%		4.98	%		1.95	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,426		$	5,660		$	5,837		$	8,170		$	12,124
Ratios to average net assets:
Net investment income (loss)		5.37	%		4.40	%		5.42	%		5.93	%		6.00	%
Total expensesd		1.28	%		1.20	%		1.26	%		1.30	%		1.45	%
Net expensese,f,g		1.15	%		1.16	%		1.25	%		1.28	%		1.39	%
Portfolio turnover rate		42	%		86	%		81	%		61	%		61	%

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	8.94		$	8.45		$	8.88		$	9.01		$	9.38
Income (loss) from investment operations:
Net investment income (loss)a		.47			.41			.48			.54			.58
Net gain (loss) on investments (realized and unrealized)		(1.50	)		.51			(.39	)		(.10	)		(.38	)
Total from investment operations		(1.03	)		.92			.09			.44			.20
Less distributions from:
Net investment income		(.44	)		(.40	)		(.52	)		(.57	)		(.57	)
Return of capital		(.02	)		(.03	)		—			—			—
Total distributions		(.46	)		(.43	)		(.52	)		(.57	)		(.57	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	7.45		$	8.94		$	8.45		$	8.88		$	9.01
Total Return		(11.80	%)		11.14	%		1.14	%		5.15	%		2.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	113,644		$	167,486		$	171,641		$	180,442		$	125,945
Ratios to average net assets:
Net investment income (loss)		5.63	%		4.71	%		5.67	%		6.17	%		6.28	%
Total expensesd		0.95	%		0.88	%		0.98	%		0.99	%		1.14	%
Net expensese,f,g		0.88	%		0.85	%		0.96	%		0.97	%		1.11	%
Portfolio turnover rate		42	%		86	%		81	%		61	%		61	%

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

HIGH YIELD FUND

FINANCIAL HIGHLIGHTS (concluded)

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

R6-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	10.97		$	10.36		$	10.89		$	11.03		$	11.49
Income (loss) from investment operations:
Net investment income (loss)a		.50			.52			.60			.68			.72
Net gain (loss) on investments (realized and unrealized)		(1.77	)		.63			(.49	)		(.12	)		(.46	)
Total from investment operations		(1.27	)		1.15			.11			.56			.26
Less distributions from:
Net investment income		(.56	)		(.51	)		(.64	)		(.70	)		(.72	)
Return of capital		(.02	)		(.03	)		—			—			—
Total distributions		(.58	)		(.54	)		(.64	)		(.70	)		(.72	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	9.12		$	10.97		$	10.36		$	10.89		$	11.03
Total Return		(11.91	%)		11.35	%		1.19	%		5.39	%		2.34	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,905		$	126,683		$	127,037		$	151,558		$	190,421
Ratios to average net assets:
Net investment income (loss)		4.70	%		4.80	%		5.79	%		6.31	%		6.41	%
Total expensesd		0.75	%		0.77	%		0.85	%		0.89	%		1.00	%
Net expensese,f,g		0.75	%		0.76	%		0.85	%		0.88	%		1.00	%
Portfolio turnover rate		42	%		86	%		81	%		61	%		61	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Redemption fees collected are less than $0.01 per share.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	0.01%	0.00%*	0.05%	0.05%	—
C-Class	0.00%*	0.01%	0.04%	0.05%	—
P-Class	0.04%	0.04%	0.02%	0.01%	0.03%
Institutional Class	0.02%	0.01%	0.02%	0.02%	0.04%
R6-Class	—	—	0.00%*	0.00%*	—

* Less than 0.01%.

^g Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	1.09%	1.03%	1.12%	1.15%	1.10%
C-Class	1.89%	1.87%	1.90%	1.91%	1.86%
P-Class	1.14%	1.14%	1.16%	1.16%	1.16%
Institutional Class	0.87%	0.83%	0.87%	0.88%	0.88%
R6-Class	0.75%	0.74%	0.77%	0.77%	0.77%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Core Bond Fund (“Fund”). Guggenheim Partners Advisors, LLC, an affiliate of GPIM, serves as the Fund’s sub-adviser (“GPA” or the “Sub-Adviser”). The Fund is managed by a team of seasoned professionals at SI and GPA. This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of SI; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director and Portfolio Manager of SI; and Adam J. Bloch, Managing Director and Portfolio Manager of SI. 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 returned -17.30%¹, underperforming the Fund’s benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -14.60% for the same period.

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

The Fund ended the Reporting Period down -17.30% while the benchmark finished down -14.60%. The dramatic rise in interest rates drove the majority of absolute performance, detracting roughly -13.8% from the Fund’s performance over the twelve month period. The Fund’s performance from duration did however outperform the Benchmark on a relative basis, largely as a result of the Fund’s curve positioning over the period. The Fund’s bear flattener bias benefitted performance as the rise in front end yields outpaced that of longer maturity yields. Bear flattening refers to the yield curve for bonds in which short-term interest rates rise more rapidly than long-term interest rates. The performance effect from the widening in credit spreads was negative on both an absolute and relative basis given the Fund’s overweight credit allocation versus the Benchmark. Over the Reporting Period, we saw spreads in Investment Grade Corporates, High Yield Corporates, and AAA-rated collateralized loan obligations (“CLOs”) widen by 75 basis points, 263 basis points, and 102 basis points, respectively. Carry positively contributed about 3.5% on an absolute basis and 1.2% on a relative basis to performance. Carry refers to the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used interest rate swaps, options and forwards to help manage duration positioning and foreign exchange risk. Over the Reporting Period, interest rate swaps and interest rate curve caps detracted from performance while performance from swaptions was immaterial. Options on equities which functioned as hedges to the Fund’s credit positioning contributed to performance. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period.

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

At 37% of net asset value (“NAV”), securitized credit continues to be a significant and growing asset class allocation within the Fund. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, picking credit quality and structural protection at attractive spreads versus comparably rated corporate credit. We believe a unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar price discounts given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. We believe this dynamic presents a compelling total return opportunity as investors are now able to capture not only the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also an accretion to par should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage (i.e., the offered coupon) given the room for price appreciation above par ($100) is limited due to call structures. To this end, our buying efforts have been concentrated in the secondary market in subsectors like AA-rated CLOs which as of the end of the Reporting Period traded around $94.98 // +273dm (using Palmer Square CLO Index as a proxy). In primary markets, we are finding opportunities in the Non-Agency residential mortgage backed securities (“RMBS”) sector in senior tranches of Non-Qualified Mortgage deals, which price at dollar price discounts and offer yields and spreads comparable to BB-rated corporate credit.

Corporate credit totaled approximately 45% of the Fund’s NAV with roughly 29% Investment Grade rated and 16% High Yield. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across sectors we expect them to start gradually deteriorating over the next several quarters and for default rates to pick up. However, all spread asset classes have already materially re-priced lower this year due to tighter financial conditions. Credit spread valuations are broadly in their 70th – 80th widest percentiles versus long term historical ranges and absolute yields are at the highest levels since 2009. At current valuations the long-term value across credit assets is compelling although we expect volatility to remain elevated in the near-term. The Fund has taken advantage of dislocations across corporate

38 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2022

credit by purchasing high credit quality investment grade corporates at attractive absolute yields, while simultaneously trimming lower grade categories, like leveraged loans, that have performed well on a relative basis this year and have greater risks going into a potential economic slowdown.

We continued to add duration incrementally throughout the quarter as rates continued to climb and hawkish rhetoric intensified. Duration adds were made via two main tools: i) adding duration at the long end of the yield curve using Treasury Strips and ii) an increased allocation to Agency Mortgage-Backed Securities (“MBS”). As the Federal Reserve continues to emphasize its commitment to combatting inflation, we feel the long end of the yield curve should benefit through some combination of lower inflation expectations and lower growth expectations. The Agency MBS allocation was viewed as an efficient means to add duration via a highly liquid asset class while picking yield to Treasuries, upgraded the credit quality of the Fund, and monetized the elevated level of rate volatility. As of end of the Reporting Period, the Fund had 7.4 years of duration and the benchmark had 6.7 years of duration.

Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. With investment grade rated debt now yielding close to 6% and the Fund’s gross yield at 7.0%, we believe the carry profile alone for such opportunities provides a significantly higher buffer to performance volatility from rates and spreads. Importantly, we believe examples of market distress and falling inflation expectations are signaling we are nearing a ceiling for interest rates and potentially some moderation in rate volatility, all of which would prove to be massive tailwinds to fixed income valuations.

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 deduction of the sales charges or 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 | 39

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

CORE BOND FUND

OBJECTIVE: Seeks to provide current income.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	33.1%
AA	9.9%
A	19.1%
BBB	26.8%
BB	2.2%
B	0.8%
CCC	0.0%*
CC	0.1%
C	0.1%
NR2	1.1%
Other Instruments	6.8%
Total Investments	100.0%

Inception Dates:
A-Class	August 15, 1985
C-Class	May 1, 2000
P-Class	May 1, 2015
Institutional Class	January 29, 2013

Ten Largest Holdings (% of Total Net Assets)
Uniform MBS 30 Year	6.1%
U.S. Treasury Notes, 2.75%	5.6%
U.S. Treasury Notes, 2.63%	1.2%
U.S. Treasury Bonds, 3.00%	1.1%
Cerberus Loan Funding XXX, LP, 4.36%	1.0%
Woodmont Trust, 4.41%	0.9%
U.S. Treasury Bonds due 02/15/52	0.8%
U.S. Treasury Bonds due 02/15/46	0.7%
U.S. Treasury Bonds, 2.88%	0.7%
Mileage Plus Holdings LLC, 8.78%	0.6%
Top Ten Total	18.7%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

1	Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.
2	NR (not rated) securities do not necessarily indicate low credit quality.
*	Less than 0.01%.

40 | 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	(17.30%)	0.05%	2.35%
A-Class Shares with sales charge‡	(20.63%)	(0.76%)	1.86%
C-Class Shares	(17.90%)	(0.69%)	1.60%
C-Class Shares with CDSC§	(18.70%)	(0.69%)	1.60%
Bloomberg U.S. Aggregate Bond Index	(14.60%)	(0.27%)	0.89%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	(17.30%)	0.04%	1.32%
Bloomberg U.S. Aggregate Bond Index	(14.60%)	(0.27%)	0.54%

	1 Year	5 Year	Since Inception (01/29/13)
Institutional Class Shares	(17.09%)	0.33%	2.50%
Bloomberg U.S. Aggregate Bond Index	(14.60%)	(0.27%)	0.97%

*	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 Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only: performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to differences in fee structures.
‡	Effective October 1, 2015, the maximum sales charge decreased fom 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculated performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

SCHEDULE OF INVESTMENTS	September 30, 2022
CORE BOND FUND

	Shares		Value
COMMON STOCKS† - 0.5%
Financial - 0.5%
KKR Acquisition Holdings I Corp. — Class A*,1		299,316	$	2,945,269
RXR Acquisition Corp. — Class A*,1		72,327		711,698
TPG Pace Beneficial II Corp.*,1		64,278		628,633
MSD Acquisition Corp. — Class A*,1		46,697		462,300
AfterNext HealthTech Acquisition Corp. — Class A*,1		38,300		374,191
Conyers Park III Acquisition Corp. — Class A*,1		35,600		346,032
Waverley Capital Acquisition Corp. 1 — Class A*,††,1		28,200		275,514
Colicity, Inc. — Class A*,1		25,295		248,903
Acropolis Infrastructure Acquisition Corp. — Class A*,1		24,900		241,655
Blue Whale Acquisition Corp. I — Class A*,1		20,700		200,583
Pershing Square Tontine Holdings Ltd. — Class A*,†††,1		622,890		62
Total Financial				6,434,840
Communications - 0.0%
Figs, Inc. — Class A*		12,590		103,867
Vacasa, Inc. — Class A*		31,926		98,013
Total Communications				201,880
Industrial - 0.0%
Constar International Holdings LLC*,†††		68		—
Total Common Stocks
(Cost $6,996,308)				6,636,720
PREFERRED STOCKS†† - 5.1%
Financial - 5.1%
Wells Fargo & Co.
4.38%		210,000		3,641,400
3.90%*		3,250,000		2,748,281
4.70%		148,000		2,742,440
First Republic Bank
4.25%		372,000		6,632,760
4.13%		53,200		915,040
Charles Schwab Corp.
4.00%*		8,500,000		6,243,957
Bank of America Corp.
4.13%		148,000		2,548,560
4.38%		106,000		1,937,680
6.13%*		1,650,000		1,559,250
W R Berkley Corp.
4.13%		282,142		4,937,485
4.25%		11,828		200,958
Markel Corp.
6.00%*		5,210,000		5,056,734
Bank of New York Mellon Corp.
3.75%*		3,900,000		3,012,750
4.70%*		1,060,000		1,014,950
JPMorgan Chase & Co.
3.65%*		2,350,000		1,903,058
4.63%		76,000		1,480,480
MetLife, Inc.
3.85%*		3,520,000		3,148,974
Globe Life, Inc.
4.25%		159,450		2,745,729
Public Storage
4.63%		104,783		2,111,377
4.13%		22,087		403,088
Arch Capital Group Ltd.
4.55%		102,000		1,913,520
American Financial Group, Inc.
4.50%		77,955		1,542,729
PartnerRe Ltd.
4.88%		78,457		1,478,130
RenaissanceRe Holdings Ltd.
4.20%		82,000		1,446,480
Kuvare US Holdings, Inc.
7.00%*,3		1,000,000		1,007,500
CNO Financial Group, Inc.
5.13%		48,000		941,760
Assurant, Inc.
5.25%		38,000		808,640
Depository Trust & Clearing Corp.
3.38%*,3		1,000,000		759,501
Total Financial				64,883,211
Industrial - 0.0%
Constar International Holdings LLC
*,†††		7		—
Total Preferred Stocks
(Cost $84,401,427)				64,883,211
WARRANTS† - 0.0%
KKR Acquisition Holdings I Corp.
Expiring 12/31/27*,1		74,828		8,979
Ginkgo Bioworks Holdings, Inc.
Expiring 08/01/26*		6,510		4,687
AfterNext HealthTech Acquisition Corp.
Expiring 07/09/23*,1		12,766		2,043
Conyers Park III Acquisition Corp.
Expiring 08/12/28*		11,866		1,694
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/26*,1		8,300		831
MSD Acquisition Corp.
Expiring 05/13/23*,1		9,339		798
Blue Whale Acquisition Corp.
Expiring 07/09/23*,1		5,174		772
Waverley Capital Acquisition Corp.
Expiring 04/30/27*,1		9,400		420
RXR Acquisition Corp.
Expiring 03/08/26*,1		14,463		363
Colicity, Inc.
Expiring 12/31/27*,1		5,057		243

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

	Shares		Value
Pershing Square Tontine Holdings Ltd.
Expiring 07/24/25*,†††,1		69,210	$	7
Total Warrants
(Cost $161,257)				20,837
CLOSED-END FUNDS† - 0.2%
BlackRock MuniHoldings California Quality Fund, Inc.		222,200		2,386,428
Total Closed-End Funds
(Cost $3,273,254)				2,386,428
MONEY MARKET FUNDs† - 1.0%
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.15%4		12,986,886		12,986,886
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%4		245,186		245,186
Total Money Market Funds
(Cost $13,232,072)				13,232,072
	Face Amount~
CORPORATE BONDS†† - 36.7%
Financial - 16.5%
Pershing Square Holdings Ltd.
3.25% due 10/01/31		6,200,000		4,641,506
3.25% due 11/15/303		4,500,000		3,473,820
JPMorgan Chase & Co.
3.11% due 04/22/412		3,530,000		2,445,544
2.52% due 04/22/312		2,210,000		1,746,919
2.96% due 05/13/312		1,870,000		1,481,220
4.49% due 03/24/312		1,600,000		1,455,428
Nippon Life Insurance Co.
2.75% due 01/21/512,3		8,150,000		6,351,233
Macquarie Bank Ltd.
3.62% due 06/03/303		7,470,000		6,045,855
BPCE S.A.
2.28% due 01/20/322,3		8,200,000		5,911,575
Liberty Mutual Group, Inc.
4.13% due 12/15/512,3		5,800,000		4,480,894
3.95% due 05/15/603		2,150,000		1,358,013
Reliance Standard Life Global Funding II
2.75% due 05/07/253		6,170,000		5,757,081
GLP Capital Limited Partnership / GLP Financing II, Inc.
4.00% due 01/15/31		4,650,000		3,800,984
5.30% due 01/15/29		1,900,000		1,731,768
Wilton RE Ltd.
6.00% 2,3,5		6,350,000		5,527,866
Nationwide Mutual Insurance Co.
4.35% due 04/30/503		7,410,000		5,512,605
American Equity Investment Life Holding Co.
5.00% due 06/15/27		5,036,000		4,777,695
GA Global Funding Trust
1.63% due 01/15/263		5,450,000		4,777,129
Bank of America Corp.
2.59% due 04/29/312		5,400,000		4,282,530
Fairfax Financial Holdings Ltd.
3.38% due 03/03/31		4,000,000		3,230,033
5.63% due 08/16/323		1,000,000		922,029
Reinsurance Group of America, Inc.
3.15% due 06/15/30		4,750,000		3,955,827
Fidelity National Financial, Inc.
3.40% due 06/15/30		3,630,000		2,959,182
2.45% due 03/15/31		1,210,000		897,251
Teachers Insurance & Annuity Association of America
3.30% due 05/15/503		5,150,000		3,510,721
PartnerRe Finance B LLC
4.50% due 10/01/502		4,040,000		3,388,924
Iron Mountain, Inc.
4.50% due 02/15/313		1,730,000		1,337,601
5.25% due 07/15/303		1,470,000		1,216,381
5.63% due 07/15/323		1,000,000		800,000
MetLife, Inc.
5.00% due 07/15/52		3,600,000		3,281,622
Safehold Operating Partnership, LP
2.85% due 01/15/32		2,428,000		1,807,590
2.80% due 06/15/31		1,931,000		1,451,122
Allianz SE
3.20% 2,3,5		5,000,000		3,226,753
FS KKR Capital Corp.
2.63% due 01/15/27		2,150,000		1,736,034
3.25% due 07/15/27		1,800,000		1,482,564
Maple Grove Funding Trust I
4.16% due 08/15/513		4,750,000		3,216,735
Macquarie Group Ltd.
2.87% due 01/14/332,3		2,150,000		1,615,598
2.69% due 06/23/322,3		2,000,000		1,506,113
Ares Finance Company II LLC
3.25% due 06/15/303		3,660,000		2,992,231
KKR Group Finance Company VI LLC
3.75% due 07/01/293		3,230,000		2,874,697
Corebridge Financial, Inc.
3.90% due 04/05/323		1,600,000		1,350,511
6.88% due 12/15/522,3		1,000,000		914,458
4.35% due 04/05/423		750,000		577,022
Old Republic International Corp.
3.85% due 06/11/51		4,020,000		2,759,649
Assurant, Inc.
2.65% due 01/15/32		2,300,000		1,694,045
4.90% due 03/27/28		1,100,000		1,043,381
Host Hotels & Resorts, LP
3.50% due 09/15/30		3,385,000		2,699,455
OneAmerica Financial Partners, Inc.
4.25% due 10/15/503		3,620,000		2,659,021
First American Financial Corp.
4.00% due 05/15/30		3,180,000		2,651,410

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

	Face Amount~		Value
Crown Castle, Inc.
2.90% due 04/01/41		2,200,000	$	1,428,348
3.30% due 07/01/30		1,149,000		962,095
Intercontinental Exchange, Inc.
3.00% due 06/15/50		2,430,000		1,588,476
2.65% due 09/15/40		1,100,000		740,681
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/313		3,150,000		2,283,290
Equitable Holdings, Inc.
7.00% due 04/01/28		2,050,000		2,182,535
UBS Group AG
2.10% due 02/11/322,3		2,950,000		2,143,964
Belrose Funding Trust
2.33% due 08/15/303		2,780,000		2,096,473
Sumitomo Life Insurance Co.
3.38% due 04/15/812,3		2,500,000		2,025,000
National Australia Bank Ltd.
2.33% due 08/21/303		1,500,000		1,116,880
2.99% due 05/21/313		1,150,000		884,809
Standard Chartered plc
4.64% due 04/01/312,3		2,250,000		1,965,411
Jefferies Group LLC
2.75% due 10/15/32		2,720,000		1,937,847
Ceamer Finance LLC
6.92% due 05/15/38†††		2,000,000		1,917,671
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/283		2,450,000		1,806,875
Stewart Information Services Corp.
3.60% due 11/15/31		2,250,000		1,734,261
Arch Capital Group Ltd.
3.64% due 06/30/50		2,500,000		1,701,943
Everest Reinsurance Holdings, Inc.
3.50% due 10/15/50		2,560,000		1,692,329
Massachusetts Mutual Life Insurance Co.
3.38% due 04/15/503		2,450,000		1,671,375
QBE Insurance Group Ltd.
5.88% 2,3,5		1,750,000		1,622,180
KKR Group Finance Company VIII LLC
3.50% due 08/25/503		2,360,000		1,619,984
Manulife Financial Corp.
2.48% due 05/19/27		1,800,000		1,604,533
Westpac Banking Corp.
3.02% due 11/18/362		1,200,000		877,901
2.96% due 11/16/40		1,100,000		702,256
Americo Life, Inc.
3.45% due 04/15/313		2,060,000		1,546,556
Trustage Financial Group, Inc.
4.63% due 04/15/323		1,750,000		1,510,842
HS Wildcat LLC
3.83% due 12/31/50†††		1,998,711		1,503,569
Dyal Capital Partners III
4.40% due 06/15/40†††		1,750,000		1,401,673
Primerica, Inc.
2.80% due 11/19/31		1,750,000		1,374,093
AmFam Holdings, Inc.
2.81% due 03/11/313		1,750,000		1,358,700
Global Atlantic Finance Co.
3.13% due 06/15/313		1,800,000		1,318,168
Australia & New Zealand Banking Group Ltd.
2.57% due 11/25/352,3		1,800,000		1,306,699
Brookfield Finance, Inc.
3.50% due 03/30/51		1,250,000		788,613
4.70% due 09/20/47		650,000		516,636
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
5.88% due 05/23/422,3		1,350,000		1,274,063
Lincoln National Corp.
4.38% due 06/15/50		1,580,000		1,218,174
Assured Guaranty US Holdings, Inc.
3.15% due 06/15/31		830,000		671,464
3.60% due 09/15/51		800,000		521,997
Kemper Corp.
2.40% due 09/30/30		1,510,000		1,157,280
ABN AMRO Bank N.V.
2.47% due 12/13/292,3		1,400,000		1,109,737
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.
2.63% due 10/15/31		1,400,000		1,015,647
Societe Generale S.A.
2.89% due 06/09/322,3		1,300,000		949,648
Raymond James Financial, Inc.
3.75% due 04/01/51		1,300,000		916,909
Prudential Financial, Inc.
3.70% due 10/01/502		1,160,000		916,168
Sumitomo Mitsui Financial Group, Inc.
2.22% due 09/17/31		1,050,000		785,392
Central Storage Safety Project Trust
4.82% due 02/01/386		911,680		778,701
Apollo Management Holdings, LP
2.65% due 06/05/303		930,000		733,573
CNO Financial Group, Inc.
5.25% due 05/30/29		700,000		651,853
W R Berkley Corp.
4.00% due 05/12/50		850,000		641,637
Weyerhaeuser Co.
4.00% due 04/15/30		722,000		638,483
Protective Life Corp.
3.40% due 01/15/303		740,000		637,676
Penn Mutual Life Insurance Co.
3.80% due 04/29/613		950,000		612,507
Brown & Brown, Inc.
2.38% due 03/15/31		800,000		597,498
Western & Southern Life Insurance Co.
3.75% due 04/28/613		850,000		576,081
Nasdaq, Inc.
3.25% due 04/28/50		850,000		557,515
New York Life Insurance Co.
3.75% due 05/15/503		600,000		443,636
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/253		400,000		392,870

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

	Face Amount~		Value
Cooperatieve Rabobank UA
4.66% due 08/22/282,3		400,000	$	377,239
Hanover Insurance Group, Inc.
2.50% due 09/01/30		480,000		367,449
Brookfield Finance LLC
3.45% due 04/15/50		470,000		296,724
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/283		296,000		274,555
KKR Group Finance Company III LLC
5.13% due 06/01/443		100,000		86,451
Total Financial				209,451,218
Industrial - 4.4%
Boeing Co.
5.81% due 05/01/50		7,340,000		6,378,400
5.71% due 05/01/40		4,380,000		3,825,766
5.04% due 05/01/27		2,150,000		2,071,227
3.63% due 02/01/31		1,450,000		1,203,571
2.20% due 02/04/26		1,000,000		887,438
National Basketball Association
2.51% due 12/16/24†††		4,000,000		3,758,207
Textron, Inc.
2.45% due 03/15/31		3,200,000		2,454,708
3.00% due 06/01/30		1,355,000		1,115,672
FLNG Liquefaction 3 LLC
3.08% due 06/30/39†††		4,303,845		3,235,614
TD SYNNEX Corp.
2.65% due 08/09/31		2,550,000		1,900,777
2.38% due 08/09/28		1,600,000		1,290,265
Howmet Aerospace, Inc.
3.00% due 01/15/29		3,800,000		3,104,448
Cellnex Finance Company S.A.
3.88% due 07/07/413		4,150,000		2,594,497
Vontier Corp.
2.95% due 04/01/31		3,450,000		2,481,240
Flowserve Corp.
3.50% due 10/01/30		1,810,000		1,488,324
2.80% due 01/15/32		1,150,000		823,212
Acuity Brands Lighting, Inc.
2.15% due 12/15/30		3,000,000		2,220,329
IP Lending II Ltd.
3.65% due 07/15/25†††,3		2,450,000		2,186,424
Owens Corning
3.88% due 06/01/30		2,380,000		2,079,158
GATX Corp.
4.00% due 06/30/30		2,110,000		1,828,266
Fortune Brands Home & Security, Inc.
4.00% due 03/25/32		2,050,000		1,701,117
CNH Industrial Capital LLC
1.88% due 01/15/26		1,880,000		1,673,988
Stadco LA, LLC
3.75% due 05/15/56†††		2,000,000		1,416,375
Ryder System, Inc.
3.35% due 09/01/25		1,470,000		1,390,564
IP Lending V Ltd.
5.13% due 04/02/26†††,3		1,050,000		993,852
Amcor Flexibles North America, Inc.
2.63% due 06/19/30		1,230,000		988,204
Norfolk Southern Corp.
4.10% due 05/15/21		600,000		398,079
Sonoco Products Co.
5.75% due 11/01/40		150,000		142,100
Total Industrial				55,631,822
Consumer, Cyclical - 4.1%
Marriott International, Inc.
4.63% due 06/15/30		2,830,000		2,557,415
3.50% due 10/15/32		3,000,000		2,412,667
2.85% due 04/15/31		2,020,000		1,586,027
2.75% due 10/15/33		1,000,000		725,896
Hyatt Hotels Corp.
5.63% due 04/23/25		3,950,000		3,905,785
5.75% due 04/23/30		3,010,000		2,917,727
Choice Hotels International, Inc.
3.70% due 01/15/31		7,340,000		6,101,359
Whirlpool Corp.
4.60% due 05/15/50		6,145,000		4,599,899
Alt-2 Structured Trust
2.95% due 05/14/31†††		3,561,886		3,157,910
Delta Air Lines Inc. / SkyMiles IP Ltd.
4.50% due 10/20/253		3,150,000		3,057,569
Delta Air Lines, Inc.
7.00% due 05/01/253		3,014,000		3,033,446
Smithsonian Institution
2.70% due 09/01/44		4,000,000		2,742,979
British Airways Class A Pass Through Trust
4.25% due 11/15/323		2,124,045		1,910,975
2.90% due 03/15/353		843,809		685,714
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/273		2,422,500		2,371,095
BorgWarner, Inc.
2.65% due 07/01/27		2,310,000		2,012,983
Steelcase, Inc.
5.13% due 01/18/29		2,224,000		1,902,668
Ferguson Finance plc
3.25% due 06/02/303		1,204,000		989,729
4.65% due 04/20/323		600,000		528,134
Warnermedia Holdings, Inc.
5.14% due 03/15/523		1,650,000		1,199,250
Northern Group Housing LLC
6.80% due 08/15/533		1,100,000		1,160,187
Walgreens Boots Alliance, Inc.
4.10% due 04/15/50		1,541,000		1,103,480
American Airlines Class AA Pass Through Trust
3.20% due 06/15/28		742,000		645,207
Lowe’s Companies, Inc.
1.70% due 09/15/28		450,000		367,399
JB Poindexter & Company, Inc.
7.13% due 04/15/263		200,000		185,000
Total Consumer, Cyclical				51,860,500

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

	Face Amount~		Value
Consumer, Non-cyclical - 3.7%
Altria Group, Inc.
3.70% due 02/04/51		4,650,000	$	2,807,121
3.40% due 05/06/30		2,510,000		2,032,435
4.45% due 05/06/50		390,000		260,549
CoStar Group, Inc.
2.80% due 07/15/303		5,810,000		4,586,077
Quanta Services, Inc.
2.90% due 10/01/30		4,175,000		3,336,806
BAT Capital Corp.
3.98% due 09/25/50		2,800,000		1,712,913
4.70% due 04/02/27		1,410,000		1,315,625
Royalty Pharma plc
3.55% due 09/02/50		2,690,000		1,676,374
2.20% due 09/02/30		1,410,000		1,074,707
Global Payments, Inc.
2.90% due 05/15/30		1,620,000		1,291,342
2.90% due 11/15/31		1,650,000		1,261,540
Smithfield Foods, Inc.
2.63% due 09/13/313		2,400,000		1,759,076
3.00% due 10/15/303		970,000		748,976
Becle, SAB de CV
2.50% due 10/14/313		2,700,000		2,089,800
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
3.00% due 05/15/323		1,750,000		1,292,375
4.38% due 02/02/523		600,000		402,156
Triton Container International Ltd.
3.15% due 06/15/313		2,100,000		1,538,043
Emory University
2.97% due 09/01/50		2,000,000		1,404,044
Yale-New Haven Health Services Corp.
2.50% due 07/01/50		2,250,000		1,330,223
California Institute of Technology
3.65% due 09/01/19		2,000,000		1,249,147
Kimberly-Clark de Mexico SAB de CV
2.43% due 07/01/313		1,500,000		1,198,260
Anheuser-Busch InBev Worldwide, Inc.
6.63% due 08/15/33		1,100,000		1,180,699
Transurban Finance Company Pty Ltd.
2.45% due 03/16/313		1,300,000		1,005,541
Health Care Service Corporation A Mutual Legal Reserve Co.
3.20% due 06/01/503		1,480,000		988,517
Universal Health Services, Inc.
2.65% due 10/15/303		1,320,000		976,583
Cheplapharm Arzneimittel GmbH
4.38% due 01/15/28	EUR	1,000,000		803,426
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/273		925,000		777,157
Wisconsin Alumni Research Foundation
3.56% due 10/01/49		1,000,000		732,672
OhioHealth Corp.
3.04% due 11/15/50		1,000,000		696,799
Kraft Heinz Foods Co.
7.13% due 08/01/393		650,000		681,043
Memorial Sloan-Kettering Cancer Center
2.96% due 01/01/50		1,000,000		671,399
Johns Hopkins University
2.81% due 01/01/60		1,000,000		619,479
Children’s Hospital Corp.
2.59% due 02/01/50		1,000,000		610,674
GXO Logistics, Inc.
2.65% due 07/15/31		850,000		601,811
Children’s Health System of Texas
2.51% due 08/15/50		1,000,000		597,891
Bimbo Bakeries USA, Inc.
4.00% due 05/17/513		800,000		585,400
Moody’s Corp.
3.25% due 05/20/50		700,000		474,356
Duke University
2.83% due 10/01/55		506,000		331,020
Triton Container International Limited / TAL International Container Corp.
3.25% due 03/15/32		200,000		147,891
Total Consumer, Non-cyclical				46,849,947
Energy - 2.3%
Galaxy Pipeline Assets Bidco Ltd.
3.25% due 09/30/403		6,250,000		4,568,860
2.94% due 09/30/403		3,930,440		2,982,974
BP Capital Markets plc
4.88% 2,5		7,530,000		6,475,800
Sabine Pass Liquefaction LLC
4.50% due 05/15/30		4,190,000		3,816,962
Qatar Energy
3.13% due 07/12/413		2,375,000		1,732,054
3.30% due 07/12/513		2,350,000		1,668,124
Magellan Midstream Partners, LP
3.95% due 03/01/50		2,000,000		1,420,017
3.25% due 06/01/30		1,500,000		1,277,190
Targa Resources Partners Limited Partnership / Targa Resources Partners Finance Corp.
6.88% due 01/15/29		2,158,000		2,119,548
Midwest Connector Capital Company LLC
4.63% due 04/01/293		1,050,000		936,866
Valero Energy Corp.
2.15% due 09/15/27		950,000		821,278
NuStar Logistics, LP
6.38% due 10/01/30		700,000		598,966
6.00% due 06/01/26		200,000		183,077
Cheniere Corpus Christi Holdings LLC
2.74% due 12/31/39		450,000		324,552
Phillips 66
3.70% due 04/06/23		250,000		249,160
Total Energy				29,175,428

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

	Face Amount~		Value
Communications - 2.2%
Charter Communications Operating LLC / Charter Communications Operating Capital
2.80% due 04/01/31		3,325,000	$	2,513,527
3.90% due 06/01/52		3,350,000		2,074,025
2.25% due 01/15/29		2,400,000		1,879,135
Paramount Global
4.95% due 01/15/31		3,078,000		2,715,206
4.95% due 05/19/50		2,490,000		1,769,520
2.90% due 01/15/27		450,000		400,707
British Telecommunications plc
4.88% due 11/23/812,3		2,900,000		2,357,589
4.25% due 11/23/812,3		500,000		421,809
9.63% due 12/15/30		150,000		173,303
Level 3 Financing, Inc.
4.25% due 07/01/283		2,175,000		1,696,522
3.88% due 11/15/293		1,150,000		906,041
Virgin Media Secured Finance plc
4.50% due 08/15/303		2,350,000		1,834,058
Vodafone Group plc
4.13% due 06/04/812		2,550,000		1,765,875
Rogers Communications, Inc.
4.55% due 03/15/523		2,000,000		1,595,142
Walt Disney Co.
3.80% due 05/13/60		2,000,000		1,475,111
AT&T, Inc.
2.75% due 06/01/31		1,500,000		1,200,705
Amazon.com, Inc.
2.70% due 06/03/60		1,610,000		949,808
VeriSign, Inc.
2.70% due 06/15/31		1,200,000		930,898
CSC Holdings LLC
4.13% due 12/01/303		600,000		448,320
Fox Corp.
3.05% due 04/07/25		450,000		428,615
Altice France S.A.
5.13% due 01/15/293		250,000		184,435
Telenet Finance Luxembourg Notes SARL
5.50% due 03/01/28		200,000		173,454
Total Communications				27,893,805
Technology - 1.5%
Broadcom, Inc.
4.93% due 05/15/373		2,306,000		1,901,462
4.15% due 11/15/30		1,702,000		1,473,157
3.19% due 11/15/363		217,000		148,416
Entegris Escrow Corp.
4.75% due 04/15/293		3,700,000		3,259,051
Workday, Inc.
3.80% due 04/01/32		3,170,000		2,751,502
NetApp, Inc.
2.70% due 06/22/30		2,807,000		2,280,961
CDW LLC / CDW Finance Corp.
3.57% due 12/01/31		2,600,000		2,024,289
Fidelity National Information Services, Inc.
5.10% due 07/15/32		1,400,000		1,315,550
5.63% due 07/15/52		750,000		664,839
Oracle Corp.
3.95% due 03/25/51		2,450,000		1,624,853
Leidos, Inc.
2.30% due 02/15/31		1,750,000		1,296,610
4.38% due 05/15/30		200,000		175,282
CGI, Inc.
2.30% due 09/14/31		1,300,000		959,433
Total Technology				19,875,405
Utilities - 1.1%
Cheniere Corpus Christi Holdings LLC
3.52% due 12/31/39†††		6,700,000		5,247,768
Jersey Central Power & Light Co.
2.75% due 03/01/323		3,220,000		2,554,807
AES Corp.
3.95% due 07/15/303		1,760,000		1,507,088
NRG Energy, Inc.
2.45% due 12/02/273		1,750,000		1,432,633
Alexander Funding Trust
1.84% due 11/15/233		950,000		888,941
Arizona Public Service Co.
3.35% due 05/15/50		1,300,000		849,935
Enel Finance International N.V.
2.88% due 07/12/413		1,250,000		713,123
Xcel Energy, Inc.
2.35% due 11/15/31		690,000		533,616
Total Utilities				13,727,911
Basic Materials - 0.9%
Newcrest Finance Pty Ltd.
3.25% due 05/13/303		3,600,000		2,999,845
4.20% due 05/13/503		3,235,000		2,323,212
Anglo American Capital plc
5.63% due 04/01/303		1,800,000		1,702,972
3.95% due 09/10/503		970,000		660,266
2.63% due 09/10/303		250,000		192,434
WR Grace Holdings LLC
4.88% due 06/15/273		1,241,000		1,066,801
Yamana Gold, Inc.
2.63% due 08/15/31		1,200,000		887,503
Reliance Steel & Aluminum Co.
2.15% due 08/15/30		810,000		616,079
Corporation Nacional del Cobre de Chile
3.75% due 01/15/313		680,000		578,796
Total Basic Materials				11,027,908
Total Corporate Bonds
(Cost $594,542,175)				465,493,944
ASSET-BACKED SECURITIES†† - 26.9%
Collateralized Loan Obligations - 17.5%
LoanCore Issuer Ltd.
2021-CRE5 C, 5.17% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 07/15/36◊,3		7,500,000		7,032,038

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

	Face Amount~		Value
2021-CRE4 D, 4.90% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/35◊		4,426,000	$	4,189,794
2021-CRE6 C, 5.12% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 11/15/38◊,3		4,000,000		3,715,899
2021-CRE4 C, 4.10% (30 Day Average SOFR + 1.81%, Rate Floor: 1.70%) due 07/15/35◊,3		1,000,000		940,684
2018-CRE1 A, 3.95% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,3		17,728		17,716
Woodmont Trust
2020-7A A1A, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,3		12,000,000		11,734,394
2020-7A B, 5.11% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/32◊,3		3,750,000		3,616,047
Cerberus Loan Funding XXX, LP
2020-3A A, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,3		13,500,000		13,218,383
2020-3A B, 5.01% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/33◊,3		2,000,000		1,933,326
Octagon Investment Partners 49 Ltd.
2021-5A B, 4.06% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/33◊,3		8,500,000		7,982,988
2021-5A C, 4.56% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 01/15/33◊,3		7,450,000		6,870,721
LCCM Trust
2021-FL3 A, 4.27% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,3		6,000,000		5,723,495
2021-FL3 AS, 4.62% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/15/38◊,3		3,950,000		3,756,419
2021-FL2 C, 4.97% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 12/13/38◊,3		3,100,000		2,888,814
AMMC CLO XIV Ltd.
2021-14A A2R2, 4.18% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/29◊,3		8,000,000		7,698,335
Dryden 36 Senior Loan Fund
2020-36A CR3, 4.56% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/29◊,3		8,000,000		7,531,522
Madison Park Funding XLVIII Ltd.
2021-48A B, 4.19% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,3		4,000,000		3,770,305
2021-48A C, 4.74% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/33◊,3		4,000,000		3,679,068
MF1 Multifamily Housing Mortgage Loan Trust
2021-FL6 D, 5.49% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/36◊		4,000,000		3,683,924
2021-FL6 C, 4.79% (1 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/16/36◊,3		3,400,000		3,164,343
Palmer Square Loan Funding Ltd.
2021-1A A2, 3.96% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/29◊,3		2,000,000		1,920,674
2021-1A B, 4.51% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/29◊,3		2,000,000		1,881,106
2021-3A C, 5.21% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/20/29◊,3		2,000,000		1,829,675
2021-2A C, 5.38% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 05/20/29◊,3		1,000,000		937,253
Golub Capital Partners CLO 33M Ltd.
2021-33A AR2, 4.86% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,3		6,500,000		6,175,105
Golub Capital Partners CLO 16 Ltd.
2021-16A A1R2, 4.39% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,3		4,000,000		3,820,244
2021-16A A2R2, 4.58% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/25/33◊,3		2,000,000		1,905,459
ABPCI Direct Lending Fund CLO II LLC
2021-1A A1R, 4.31% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,3		5,500,000		5,356,135
Cerberus Loan Funding XXXII, LP
2021-2A A, 4.13% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,3		4,250,000		4,083,298
2021-2A C, 5.36% (3 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 04/22/33◊,3		1,250,000		1,141,124
KREF Funding V LLC
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,†††		4,726,802		4,705,523
0.15% due 06/25/26†††,7		21,818,182		873
Cerberus Loan Funding XXXI, LP
2021-1A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,3		4,500,000		4,441,962

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

	Face Amount~		Value
BXMT Ltd.
2020-FL2 A, 3.84% (1 Month Term SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,3		4,250,000	$	4,187,249
THL Credit Lake Shore MM CLO I Ltd.
2021-1A A1R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,3		4,250,000		4,127,169
Golub Capital Partners CLO 36M Ltd.
2018-36A A, 4.13% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,3		4,100,000		4,039,673
FS Rialto Issuer LLC
2022-FL6 B, 6.65% (1 Month Term SOFR + 3.63%, Rate Floor: 3.63%) due 08/17/37◊,3		2,500,000		2,464,798
2022-FL6 AS, 6.15% (1 Month Term SOFR + 3.13%, Rate Floor: 3.13%) due 08/17/37◊,3		1,500,000		1,480,655
BSPDF Issuer Ltd.
2021-FL1 C, 5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/15/36◊		4,000,000		3,827,984
ABPCI Direct Lending Fund CLO I LLC
2021-1A A1A2, 4.41% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,3		3,750,000		3,653,251
PFP Ltd.
2021-7 D, 5.34% (1 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/14/38◊,3		3,749,813		3,509,198
Cerberus Loan Funding XXVI, LP
2021-1A AR, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,3		3,500,000		3,433,696
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A A1R, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,3		3,250,000		3,178,532
Fortress Credit Opportunities IX CLO Ltd.
2021-9A A2TR, 4.31% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/33◊,3		3,250,000		3,142,600
Owl Rock CLO IV Ltd.
2021-4A A1R, 4.58% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,3		3,250,000		3,098,661
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A C, 4.51% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/33◊,3		3,000,000		2,707,228
VOYA CLO
2021-2A A2AR, 4.16% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 06/07/30◊,3		2,550,000		2,448,000
Fortress Credit Opportunities XI CLO Ltd.
2018-11A A1T, 3.81% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,3		2,000,000		1,961,154
Apres Static CLO Ltd.
2020-1A A2R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/15/28◊,3		2,000,000		1,942,365
ACRES Commercial Realty Ltd.
2021-FL2 AS, 4.69% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 01/15/37◊		2,000,000		1,920,108
BRSP Ltd.
2021-FL1 C, 5.14% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 08/19/38◊,3		2,000,000		1,891,015
ABPCI Direct Lending Fund IX LLC
2021-9A A2R, 4.57% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/18/31◊,3		2,000,000		1,887,745
MidOcean Credit CLO VII
2020-7A BR, 4.11% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/15/29◊,3		2,000,000		1,886,658
FS Rialto
2021-FL3 C, 4.99% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 11/16/36◊,3		2,000,000		1,862,930
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A C, 4.49% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/33◊,3		2,000,000		1,822,439
Magnetite XXIX Ltd.
2021-29A C, 4.16% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/34◊,3		2,000,000		1,814,550
Cerberus Loan Funding XXXIII, LP
2021-3A B, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,3		2,000,000		1,793,879
Canyon Capital CLO Ltd.
2018-1A A2R, 4.28% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/30/31◊,3		1,900,000		1,769,507
OCP CLO Ltd.
2020-4A A2RR, 4.23% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/29◊,3		1,500,000		1,467,535
STWD Ltd.
2019-FL1 D, 5.39% (1 Month Term SOFR + 2.46%, Rate Floor: 2.35%) due 07/15/38◊,3		1,459,000		1,402,092
Golub Capital Partners CLO 54M L.P
2021-54A B, 4.68% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 08/05/33◊,3		1,500,000		1,390,357

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

	Face Amount~		Value
Marathon CLO V Ltd.
2017-5A A2R, 4.43% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/27◊,3		1,000,000	$	990,499
2017-5A A1R, 3.85% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,3		81,957		81,715
NewStar Fairfield Fund CLO Ltd.
2018-2A A1N, 3.98% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/30◊,3		989,329		970,415
Northwoods Capital XII-B Ltd.
2018-12BA B, 5.14% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/31◊,3		1,000,000		966,194
Owl Rock CLO I Ltd.
2019-1A A, 4.78% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/31◊,3		1,000,000		965,072
Owl Rock CLO II Ltd.
2021-2A ALR, 4.26% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/33◊,3		1,000,000		961,440
KREF
2021-FL2 C, 4.94% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/39◊,3		1,000,000		948,582
BSPRT Issuer Ltd.
2021-FL7 C, 5.12% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 12/15/38◊		1,000,000		938,682
Dryden 37 Senior Loan Fund
2015-37A Q, due 01/15/313,8		1,000,000		763,305
ACRE Commercial Mortgage Ltd.
2021-FL4 D, 5.59% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 12/18/37◊,3		773,000		747,618
Golub Capital Partners CLO 17 Ltd.
2017-17A A1R, 4.43% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,3		750,000		738,883
Cerberus Loan Funding XXXVI, LP
2021-6A A, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,3		534,827		530,872
Newfleet CLO Ltd.
2018-1A A1R, 3.66% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,3		326,584		323,883
Babson CLO Ltd.
2014-IA SUB, due 07/20/253,8		650,000		40,560
Treman Park CLO Ltd.
2015-1A COM, due 10/20/283,8		162,950		20,260
Copper River CLO Ltd.
2007-1A INC, due 01/20/21†††,6,8		700,000		294
Total Collateralized Loan Obligations				221,445,948
Whole Business - 2.2%
Arbys Funding LLC
2020-1A, 3.24% due 07/30/503		6,615,000		5,600,080
Domino’s Pizza Master Issuer LLC
2017-1A, 4.12% due 07/25/473		5,157,000		4,741,877
2021-1A, 3.15% due 04/25/513		987,500		787,811
DB Master Finance LLC
2019-1A, 4.35% due 05/20/493		3,637,500		3,308,790
2021-1A, 2.79% due 11/20/513		1,985,000		1,557,203
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/463		3,553,125		3,420,362
2021-1A, 2.29% due 08/25/513		1,419,275		1,134,060
ServiceMaster Funding LLC
2020-1, 2.84% due 01/30/513		3,940,000		3,210,123
SERVPRO Master Issuer LLC
2021-1A, 2.39% due 04/25/513		3,456,250		2,725,613
Wendy’s Funding LLC
2019-1A, 3.78% due 06/15/493		1,335,900		1,224,021
Wingstop Funding LLC
2022-1A, 3.73% due 03/05/523		1,000,000		839,677
Total Whole Business				28,549,617
Transport-Aircraft - 2.0%
AASET Trust
2021-1A, 2.95% due 11/16/413		4,063,539		3,240,559
2020-1A, 3.35% due 01/16/403		1,079,166		870,677
2017-1A, 3.97% due 05/16/423		299,574		237,562
Castlelake Aircraft Structured Trust
2021-1A, 3.47% due 01/15/463		3,852,622		3,375,421
Navigator Aircraft ABS Ltd.
2021-1, 2.77% due 11/15/463		2,830,357		2,405,179
AASET US Ltd.
2018-2A, 4.45% due 11/18/383		2,635,672		2,181,101
MACH 1 Cayman Ltd.
2019-1, 3.47% due 10/15/393		2,103,585		1,848,913
Lunar Structured Aircraft Portfolio Notes
2021-1, 2.64% due 10/15/463		2,224,873		1,837,332
Sprite Ltd.
2021-1, 3.75% due 11/15/463		2,079,540		1,755,582
Sapphire Aviation Finance II Ltd.
2020-1A, 3.23% due 03/15/403		1,792,839		1,484,272
Falcon Aerospace Ltd.
2019-1, 3.60% due 09/15/393		1,438,864		1,143,253
2017-1, 4.58% due 02/15/423		291,786		264,572
MAPS Ltd.
2018-1A, 4.21% due 05/15/433		1,561,492		1,390,968
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/403		1,363,381		1,004,025
Raspro Trust
2005-1A, 3.64% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,3		984,943		913,306
WAVE LLC
2019-1, 3.60% due 09/15/443		832,599		658,642

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

	Face Amount~		Value
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/433		698,469	$	611,133
Total Transport-Aircraft				25,222,497
Financial - 1.6%
Strategic Partners Fund VIII LP
5.04% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,†††		3,500,000		3,497,604
5.06% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,†††		1,300,000		1,299,051
Madison Avenue Secured Funding Trust
2021-1, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,3		4,250,000		4,250,000
KKR Core Holding Company LLC
4.00% due 08/12/31†††		4,108,835		3,516,084
HarbourVest Structured Solutions IV Holdings, LP
4.60% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††		1,831,749		1,831,697
2.58% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††	EUR	1,000,000		979,872
Thunderbird A
5.50% due 03/01/37†††		1,119,333		1,119,333
Lightning A
5.50% due 03/01/37†††		1,083,778		1,083,778
Aesf Vi Verdi, LP
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,†††	EUR	1,010,575		989,986
Bib Merchant Voucher Receivables Ltd.
4.18% due 04/07/28†††		897,924		873,117
Nassau LLC
2019-1, 3.98% due 08/15/343		812,067		772,903
Total Financial				20,213,425
Net Lease - 1.4%
CF Hippolyta Issuer LLC
2022-1A, 6.11% due 08/15/623		2,750,000		2,605,903
2020-1, 2.28% due 07/15/603		690,378		603,733
CARS-DB4, LP
2020-1A, 3.81% due 02/15/503		2,235,469		1,947,941
2020-1A, 4.95% due 02/15/503		1,500,000		1,260,611
CMFT Net Lease Master Issuer LLC
2021-1, 3.44% due 07/20/513		3,570,000		2,784,774
STORE Master Funding I-VII
2016-1A, 3.96% due 10/20/463		2,565,914		2,391,044
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 2.26% due 11/20/503		2,500,000		2,204,422
CF Hippolyta LLC
2020-1, 2.60% due 07/15/603		2,537,828		2,052,547
Capital Automotive REIT
2020-1A, 3.48% due 02/15/503		1,241,927		1,116,923
2021-1A, 2.76% due 08/15/513		999,167		761,790
Total Net Lease				17,729,688
Collateralized Debt Obligations - 1.2%
Anchorage Credit Funding 4 Ltd.
2021-4A AR, 2.72% due 04/27/393		7,250,000		6,640,629
2021-4A BR, 3.12% due 04/27/39		1,500,000		1,274,194
Anchorage Credit Funding Ltd.
2021-13A A1, 2.88% due 07/27/393		2,500,000		2,201,504
2021-13A B2, 3.15% due 07/27/393		2,000,000		1,691,641
Anchorage Credit Funding 3 Ltd.
2021-3A A1R, 2.87% due 01/28/393		3,750,000		3,344,804
Total Collateralized Debt Obligations				15,152,772
Transport-Container - 0.5%
Textainer Marine Containers VII Ltd.
2020-1A, 2.73% due 08/21/453		3,600,179		3,249,010
MC Ltd.
2021-1, 2.63% due 11/05/353		3,700,822		3,191,360
Total Transport-Container				6,440,370
Single Family Residence - 0.3%
FirstKey Homes Trust
2020-SFR2, 4.00% due 10/19/373		1,400,000		1,254,687
2020-SFR2, 4.50% due 10/19/373		1,350,000		1,224,796
2020-SFR2, 3.37% due 10/19/373		900,000		794,526
Home Partners of America Trust
2021-3, 2.80% due 01/17/413		942,038		806,102
Total Single Family Residence				4,080,111
Infrastructure - 0.2%
VB-S1 Issuer LLC - VBTEL
2022-1A, 4.29% due 02/15/523		2,500,000		2,187,012
Total Asset-Backed Securities
(Cost $367,831,711)				341,021,440
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 18.9%
Government Agency - 12.0%
Uniform MBS 30 Year
due 11/15/5213		83,466,000		77,284,425
Fannie Mae
4.00% due 07/01/52		15,060,247		14,080,130
2.81% due 05/01/51		8,250,000		5,994,220
2.17% due 03/01/51		8,347,000		5,708,400
2.24% due 01/01/51		5,794,232		4,162,533
2.00% due 09/01/50		4,957,947		3,444,034
2.36% due 08/01/50		4,500,000		3,102,063
2.78% due 05/01/51		2,696,257		2,047,355
2.59% due 06/01/51		2,445,648		1,822,913
2.32% due 02/01/51		2,045,291		1,463,237
2.40% due 03/01/40		2,000,000		1,420,171
2.11% due 10/01/50		1,832,675		1,292,439
2.27% due 02/01/51		1,703,728		1,210,954
2.39% due 02/01/51		1,418,475		1,026,605
4.24% due 08/01/48		1,000,000		974,468
2.58% due 10/01/51		1,183,407		870,203
3.83% due 05/01/49		1,000,000		861,059
3.46% due 08/01/49		950,065		808,358
2.99% due 01/01/40		1,000,000		776,855
2.68% due 04/01/50		953,653		734,912

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

	Face Amount~		Value
4.07% due 05/01/49		762,651	$	692,829
2.10% due 07/01/50		958,743		678,681
4.37% due 10/01/48		711,351		673,066
2.27% due 10/01/41		1,000,000		666,640
1.76% due 08/01/40		1,000,000		664,137
due 12/25/439,11		830,786		627,173
4.25% due 05/01/48		627,047		582,924
Freddie Mac
4.00% due 06/01/52		11,758,996		10,964,646
1.98% due 05/01/50		1,360,580		923,196
4.00% due 01/15/46		181,191		179,017
Freddie Mac Seasoned Credit Risk Transfer Trust
2.00% due 05/25/60		3,493,366		2,967,001
2.00% due 11/25/59		1,334,727		1,133,601
Fannie Mae-Aces
1.61% (WAC) due 03/25/35◊,7		20,033,688		2,245,526
FARM Mortgage Trust
2.18% (WAC) due 01/25/51◊,3		898,392		732,484
Total Government Agency				152,816,255
Commercial Mortgage-Backed Securities - 3.4%
JP Morgan Chase Commercial Mortgage Securities Trust
2021-NYAH, 4.66% (1 Month USD LIBOR + 1.84%, Rate Floor: 1.84%) due 06/15/38◊,3		4,000,000		3,780,280
2016-JP3, 3.57% (WAC) due 08/15/49◊		4,000,000		3,389,010
GS Mortgage Securities Trust
2020-GSA2, 2.34% due 12/12/53		8,000,000		5,906,526
2020-GC45, 0.79% (WAC) due 02/13/53◊,7		18,908,990		645,248
2019-GC42, 0.93% (WAC) due 09/01/52◊,7		14,884,108		596,525
DBGS Mortgage Trust
2018-C1, 4.78% (WAC) due 10/15/51◊		7,000,000		6,338,164
CD Mortgage Trust
2017-CD4, 3.95% (WAC) due 05/10/50◊		4,750,000		4,176,684
2016-CD1, 1.50% (WAC) due 08/10/49◊,7		2,129,054		81,347
KKR Industrial Portfolio Trust
2021-KDIP, 4.07% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 12/15/37◊,3		3,450,000		3,259,722
BX Commercial Mortgage Trust
2021-VOLT, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,3		3,450,000		3,181,069
SMRT
2022-MINI, 4.80% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/39◊,3		2,000,000		1,874,835
Life Mortgage Trust
2021-BMR, 4.22% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/38◊,3		1,965,940		1,862,460
GS Mortgage Securities Corporation Trust
2020-DUNE, 4.17% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/36◊,3		1,000,000		978,519
2020-UPTN, 3.35% (WAC) due 02/10/37◊,3		1,000,000		881,936
BENCHMARK Mortgage Trust
2019-B14, 0.91% (WAC) due 12/15/62◊,7		19,772,032		655,124
2018-B6, 0.57% (WAC) due 10/10/51◊,7		29,363,927		450,020
Extended Stay America Trust
2021-ESH, 5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/38◊,3		1,093,271		1,046,700
Citigroup Commercial Mortgage Trust
2019-GC43, 0.75% (WAC) due 11/10/52◊,7		19,893,557		653,223
2016-GC37, 1.84% (WAC) due 04/10/49◊,7		2,873,680		126,334
2016-C2, 1.88% (WAC) due 08/10/49◊,7		2,361,436		115,893
2016-P5, 1.53% (WAC) due 10/10/49◊,7		1,589,539		66,610
COMM Mortgage Trust
2015-CR24, 0.84% (WAC) due 08/10/48◊,7		38,336,196		599,252
2015-CR26, 1.06% (WAC) due 10/10/48◊,7		8,488,082		175,237
CSAIL Commercial Mortgage Trust
2019-C15, 1.20% (WAC) due 03/15/52◊,7		12,137,276		545,164
SG Commercial Mortgage Securities Trust
2016-C5, 2.04% (WAC) due 10/10/48◊,7		8,112,527		394,506
UBS Commercial Mortgage Trust
2017-C2, 1.24% (WAC) due 08/15/50◊,7		8,234,933		324,278
Morgan Stanley Capital I Trust
2016-UB11, 1.58% (WAC) due 08/15/49◊,7		5,947,165		259,456
JPMDB Commercial Mortgage Securities Trust
2016-C2, 1.65% (WAC) due 06/15/49◊,7		6,451,413		256,062
Wells Fargo Commercial Mortgage Trust
2016-NXS5, 1.59% (WAC) due 01/15/59◊,7		3,614,256		125,839
2016-C37, 0.96% (WAC) due 12/15/49◊,7		2,719,785		65,732
CFCRE Commercial Mortgage Trust
2016-C3, 1.14% (WAC) due 01/10/48◊,7		5,389,519		140,455
Total Commercial Mortgage-Backed Securities				42,952,210
Residential Mortgage-Backed Securities - 2.4%
Mill City Mortgage Loan Trust
2021-NMR1, 2.50% (WAC) due 11/25/60◊,3		4,800,000		3,879,540
GCAT Trust
2022-NQM3, 4.35% (WAC) due 04/25/67◊,3		3,389,117		3,166,744
Nationstar Home Equity Loan Trust
2007-C, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 06/25/37◊		3,222,305		3,121,018
CFMT LLC
2022-HB9, 3.25% (WAC) due 09/25/37◊,3		3,000,000		2,729,524
COLT Mortgage Loan Trust
2021-2, 2.38% (WAC) due 08/25/66◊,3		4,000,000		2,548,858
PRPM LLC
2021-RPL2, 2.93% (WAC) due 10/25/51◊,3		2,472,000		2,120,647
Starwood Mortgage Residential Trust
2020-1, 2.41% (WAC) due 02/25/50◊,3		890,915		859,239
2020-1, 2.56% (WAC) due 02/25/50◊,3		890,915		848,389

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

	Face Amount~		Value
Imperial Fund Mortgage Trust
2022-NQM2, 4.02% (WAC) due 03/25/67◊,3		946,655	$	850,297
2022-NQM2, 4.20% (WAC) due 03/25/67◊,3		946,655		845,910
CSMC Trust
2018-RPL9, 3.85% (WAC) due 09/25/57◊,3		943,690		913,424
2020-NQM1, 1.72% due 05/25/653,10		261,607		235,017
SPS Servicer Advance Receivables Trust
2020-T2, 1.83% due 11/15/553		1,250,000		1,099,602
OBX Trust
2022-NQM8, 6.10% due 09/25/623,10		1,000,000		987,048
BRAVO Residential Funding Trust
2021-HE1, 3.78% (30 Day Average SOFR + 1.50%, Rate Floor: 0.00%) due 01/25/70◊,3		1,000,000		985,028
American Home Mortgage Investment Trust
2007-1, 2.08% due 05/25/477		6,368,328		911,548
Securitized Asset-Backed Receivables LLC Trust
2006-HE2, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/36◊		1,455,558		679,429
Verus Securitization Trust
2019-4, 2.85% due 11/25/593,10		680,211		661,615
MFRA Trust
2021-INV1, 2.29% (WAC) due 01/25/56◊,3		700,000		617,513
New Residential Mortgage Loan Trust
2019-6A, 3.50% (WAC) due 09/25/59◊,3		518,438		484,779
Angel Oak Mortgage Trust
2020-1, 2.77% (WAC) due 12/25/59◊,3		419,432		381,427
RALI Series Trust
2006-QO2, 3.52% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46◊		1,487,218		325,868
GS Mortgage-Backed Securities Trust
2020-NQM1, 1.79% (WAC) due 09/27/60◊,3		251,141		225,270
MASTR Adjustable Rate Mortgages Trust
2003-5, 1.50% (WAC) due 11/25/33◊		247,033		217,829
Residential Mortgage Loan Trust
2020-1, 2.68% (WAC) due 01/26/60◊,3		224,842		211,303
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 1.94% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊		251,837		204,017
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		42,962		41,206
Total Residential Mortgage-Backed Securities				30,152,089
Military Housing - 1.1%
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 4.66% (WAC) due 11/25/55◊,3		6,954,996		6,410,331
2015-R1, 4.44% (WAC) due 11/25/52◊,3		2,836,384		2,627,767
2015-R1, 0.70% (WAC) due 11/25/55◊,3,7		10,179,167		734,144
Capmark Military Housing Trust
2006-RILY, 6.15% due 07/10/51†††,3		2,266,866		2,089,453
2007-ROBS, 6.06% due 10/10/52†††,3		456,547		419,089
2007-AETC, 5.75% due 02/10/52†††,3		268,966		246,181
GMAC Commercial Mortgage Asset Corp.
2007-HCKM, 6.11% due 08/10/52†††,3		1,435,618		1,355,661
Total Military Housing				13,882,626
Total Collateralized Mortgage Obligations
(Cost $275,283,136)				239,803,180
U.S. GOVERNMENT SECURITIES†† - 11.2%
U.S. Treasury Notes
2.75% due 08/15/32		77,510,000		70,873,206
2.63% due 05/31/2714		15,580,000		14,625,725
U.S. Treasury Bonds
3.00% due 08/15/52		16,000,000		13,807,500
due 02/15/529,11		29,980,000		10,234,797
due 02/15/469,11		22,605,000		8,729,162
2.88% due 05/15/52		10,000,000		8,385,938
due 05/15/449,11		19,265,000		7,921,210
1.88% due 11/15/51		8,000,000		5,290,313
due 11/15/449,11,14		4,520,000		1,816,259
Total U.S. Government Securities
(Cost $155,041,281)				141,684,110
SENIOR FLOATING RATE INTERESTS††,◊ - 2.5%
Industrial - 0.9%
Mileage Plus Holdings LLC
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		8,027,500		8,046,124
SkyMiles IP Ltd.
6.46% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27		1,700,000		1,701,326
Air Canada
6.42% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28		854,587		811,097
Service Logic Acquisition, Inc.
6.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27		821,177		768,827
6.97% ((1 Month USD LIBOR + 4.00%) and (2 Month USD LIBOR + 4.00%), Rate Floor: 4.75%) due 10/29/27		8,373		7,839
Total Industrial				11,335,213
Financial - 0.4%
Citadel Securities, LP
6.15% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 02/02/28		3,050,000		3,008,063
Cross Financial Corp.
7.13% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27		788,025		763,068
Nexus Buyer LLC
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26		753,266		721,727
Alliant Holdings Intermediate LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25		488,520		467,377
Total Financial				4,960,235

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

	Face Amount~		Value
Consumer, Non-cyclical - 0.4%
Packaging Coordinators Midco, Inc.
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/30/27		2,216,250	$	2,101,737
Southern Veterinary Partners LLC
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27		1,474,648		1,391,699
HAH Group Holding Co. LLC
8.71% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27		1,135,628		1,078,846
Total Consumer, Non-cyclical				4,572,282
Technology - 0.3%
Datix Bidco Ltd.
6.19% (6 Month GBP LIBOR + 4.50%, Rate Floor: 5.19%) due 04/28/25†††	GBP	2,900,000		3,157,236
7.01% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/27/25†††		1,252,544		1,221,105
Total Technology				4,378,341
Consumer, Cyclical - 0.3%
Amaya Holdings BV
3.73% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26	EUR	4,000,000		3,616,583
Utilities - 0.1%
Hamilton Projects Acquiror LLC
8.17% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27		1,582,111		1,550,469
Energy - 0.1%
Venture Global Calcasieu Pass LLC
5.74% (1 Month USD LIBOR + 2.63%, Rate Floor: 2.63%) due 08/19/26†††		841,798		839,693
Communications - 0.0%
Radiate Holdco LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26		163,150		150,568
Total Senior Floating Rate Interests
(Cost $33,942,143)				31,403,384
FEDERAL AGENCY BONDS†† - 1.4%
Tennessee Valley Authority Principal Strips
due 06/15/389,11		9,400,000		4,459,595
due 01/15/489,11		9,700,000		2,778,662
due 01/15/389,11		4,000,000		1,941,412
due 06/15/359,11		1,583,000		881,397
due 12/15/429,11		1,600,000		605,800
Federal Farm Credit Bank
3.51% due 06/11/40		3,300,000		2,813,973
2.70% due 01/30/45		1,053,000		746,739
Tennessee Valley Authority
4.25% due 09/15/65		2,450,000		2,183,050
5.38% due 04/01/56		600,000		648,103
U.S. International Development Finance Corp.
due 01/17/2611		800,000		785,390
Total Federal Agency Bonds
(Cost $25,448,713)				17,844,121
MUNICIPAL BONDS†† - 0.9%
Texas - 0.3%
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds
3.29% due 09/01/40		2,100,000		1,564,287
2.78% due 09/01/34		700,000		539,063
2.69% due 09/01/33		500,000		389,070
2.57% due 09/01/32		475,000		376,548
2.41% due 09/01/31		450,000		360,239
Grand Parkway Transportation Corp. Revenue Bonds
3.31% due 10/01/49		1,500,000		1,021,270
Dallas/Fort Worth International Airport Revenue Bonds
2.92% due 11/01/50		1,000,000		681,578
Total Texas				4,932,055
New York - 0.3%
Westchester County Local Development Corp. Revenue Bonds
3.85% due 11/01/50		2,700,000		1,944,687
Port Authority of New York & New Jersey Revenue Bonds
3.14% due 02/15/51		1,370,000		969,217
Total New York				2,913,904
Idaho - 0.1%
Boise State University Revenue Bonds
3.06% due 04/01/40		1,150,000		851,517
California - 0.1%
California Statewide Communities Development Authority Revenue Bonds
2.68% due 02/01/39		1,200,000		833,570
Mississippi - 0.1%
Medical Center Educational Building Corp. Revenue Bonds
2.92% due 06/01/41		1,000,000		699,872
Alabama - 0.0%
Auburn University Revenue Bonds
2.68% due 06/01/50		1,000,000		668,369
Ohio - 0.0%
County of Franklin Ohio Revenue Bonds
2.88% due 11/01/50		1,000,000		641,596
Illinois - 0.0%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38		472,222		462,433
Cook County School District No. 155 Calumet City General Obligation Unlimited
5.30% due 12/01/22		5,000		4,965
Total Illinois				467,398
Total Municipal Bonds
(Cost $16,714,223)				12,008,281

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

	Face Amount~		Value
FOREIGN GOVERNMENT DEBT†† - 0.2%
Panama Government International Bond
4.50% due 01/19/63		2,600,000	$	1,714,674
4.50% due 04/16/50		1,450,000		1,010,206
Bermuda Government International Bond
3.38% due 08/20/503		500,000		333,942
Total Foreign Government Debt
(Cost $4,707,479)				3,058,822
SENIOR FIXED RATE INTERESTS††† - 0.2%
Industrial - 0.2%
CTL Logistics
2.65% due 10/10/42		3,639,469		2,788,277
Total Senior Fixed Rate Interests
(Cost $3,639,469)				2,788,277
	Contracts
LISTED OPTIONS PURCHASED† - 0.8%
Put Options on:
Equity Options
S&P 500 Index Expiring November 2022 with strike price of $3,800.00 (Notional Value $54,501,424)		152		3,847,880
S&P 500 Index Expiring December 2022 with strike price of $3,600.00 (Notional Value $60,238,416)		168		2,920,680
S&P 500 Index Expiring April 2023 with strike price of $4,000.00 (Notional Value $21,155,158)		59		2,725,800
Total Equity Options				9,494,360
Total Listed Options Purchased
(Cost $6,156,669)				9,494,360
Total Investments - 106.7%
(Cost $1,591,371,317)				1,351,759,187
LISTED OPTIONS WRITTEN† - (0.2)%
Call Options on:
Equity Options
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $7,425)		9		—
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $7,425)		9		—
Total Call Equity Options				—
Put Options on:
Equity Options
S&P 500 Index Expiring December 2022 with strike price of $3,200.00 (Notional Value $60,238,416)		168		(1,046,640	)
S&P 500 Index Expiring November 2022 with strike price of $3,400.00 (Notional Value $54,501,424)		152		(1,165,080	)
Total Put Equity Options				(2,211,720	)
Total Listed Options Written
(Premiums received $1,586,672)				(2,211,720	)
OTC INTEREST RATE SWAPTIONS WRITTEN††,12 - 0.0%
Put Swaptions on:
Interest Rate Swaptions
Bank of America, N.A. 5-Year Interest Rate Swap Expiring November 2022 with exercise rate of 3.30%	USD	22,750,000		(647,142	)
Total Interest Rate Swaptions				(647,142	)
Total OTC Interest Rate Swaptions Written
(Premiums received $187,688)				(647,142	)
Other Assets & Liabilities, net - (6.5)%				(79,837,904	)
Total Net Assets - 100.0%			$	1,269,062,421

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency		Maturity Date	Notional Amount		Value			Upfront Premiums Paid		Unrealized Depreciation**
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	3.45%		Annually	09/26/32		$	16,100,000	$	(143,221	)	$	428	$	(143,649	)
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	2.78%		Annually	07/18/27			123,000,000		(5,567,474	)		817		(5,568,291	)
											$	(5,710,695	)	$	1,245	$	(5,711,940	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 55

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Bank of America, N.A.

EUR

Sell

5,735,000

5,743,545 USD

10/17/22

$

117,420

Morgan Stanley Capital Services LLC

GBP

Sell

2,897,000

3,339,204 USD

10/17/22

102,975

JPMorgan Chase Bank, N.A.

EUR

Buy

69,000

67,635 USD

10/17/22

55

JPMorgan Chase Bank, N.A.

EUR

Sell

1,028,000

1,003,785 USD

12/30/22

(11,184

)

$

209,266

OTC Interest Rate Swaptions Written

Counterparty/ Description

Floating Rate Type

Floating Rate Index

Payment Frequency

Fixed Rate

Expiration Date

Exercise Rate

Swaption Notional Amount

Swaption Value

Put

Bank of America, N.A. 5-Year Interest Rate Swap

Pay

SOFR

Annual

3.30

%

11/30/22

3.30

%

$

22,750,000

$

(647,142

)

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1	Special Purpose Acquisition Company (SPAC).
2	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
3	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $557,199,031 (cost $644,334,009), or 43.9% of total net assets.
4	Rate indicated is the 7-day yield as of September 30, 2022.
5	Perpetual maturity.
6	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $778,995 (cost $932,290), or 0.1% of total net assets — See Note 10.
7	Security is an interest-only strip.
8	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
9	Security is a principal-only strip.
10	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2022. See table below for additional step information for each security.
11	Zero coupon rate security.
12	Swaptions — See additional disclosure in the swaptions table above for more information on swaptions.
13	Security is unsettled at period end and does not have a stated effective rate.
14	All or a portion of this security is pledged as interest rate swap collateral at September 30, 2022.
	BofA — Bank of America
	CME — Chicago Mercantile Exchange
	CMT — Constant Maturity Treasury
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	SARL — Société à Responsabilité Limitée
	SOFR — Secured Overnight Financing Rate
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

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	$	6,361,144	$	275,514	$	62		$	6,636,720
Preferred Stocks		—		64,883,211		—	*		64,883,211
Warrants		20,830		—		7			20,837
Closed-End Funds		2,386,428		—		—			2,386,428
Money Market Funds		13,232,072		—		—			13,232,072
Corporate Bonds		—		440,674,881		24,819,063			465,493,944
Asset-Backed Securities		—		316,874,228		24,147,212			341,021,440
Collateralized Mortgage Obligations		—		235,692,796		4,110,384			239,803,180
U.S. Government Securities		—		141,684,110		—			141,684,110
Senior Floating Rate Interests		—		26,185,350		5,218,034			31,403,384
Federal Agency Bonds		—		17,844,121		—			17,844,121
Municipal Bonds		—		12,008,281		—			12,008,281
Foreign Government Debt		—		3,058,822		—			3,058,822
Senior Fixed Rate Interests		—		—		2,788,277			2,788,277
Options Purchased		9,494,360		—		—			9,494,360
Forward Foreign Currency Exchange Contracts**		—		220,450		—			220,450
Total Assets	$	31,494,834	$	1,259,401,764	$	61,083,039		$	1,351,979,637

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Options Written	$	2,211,720	$	—	$	—	$	2,211,720
Interest Rate Swaptions Written		—		647,142		—		647,142
Interest Rate Swap Agreements**		—		5,711,940		—		5,711,940
Forward Foreign Currency Exchange Contracts**		—		11,184		—		11,184
Unfunded Loan Commitments (Note 9)		—		—		84,249		84,249
Total Liabilities	$	2,211,720	$	6,370,266	$	84,249	$	8,666,235

*	Security has a market value of $0.
**	This derivative is reported as unrealized appreciation/depreciation at period end.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CORE BOND FUND

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within level 3 of the fair value hierarchy.

Category	Ending Balance at September 30, 2022			Valuation Technique		Unobservable Inputs		Input Range			Weighted Average*
Assets:
Asset-Backed Securities	$	13,303,733	Option adjusted spread off prior month end broker quote		Broker Quote				—			—
Asset-Backed Securitie		294	Model Price		Purchase Price				—			—
Asset-Backed Securities		6,592,312	Yield Analysis		Yield				6.4%-7.0%			6.7	%
Asset-Backed Securities		4,250,873	Third Party Pricing		Broker Quote				—			—
Collateralized Mortgage Obligations		4,110,384	Option adjusted spread off prior month end broker quote		Broker Quote				—			—
Common Stocks		62	Model Price		Liquidation Value				—			—
Corporate Bonds		19,743,482	Option adjusted spread off prior month end broker quote		Broker Quote				—			—
Corporate Bonds		1,917,671	Option adjusted spread off Third Party Pricing		Trade Price				—			—
Corporate Bonds		3,157,910	Yield Analysis		Yield				6.4	%		—
Senior Fixed Rate Interests		2,788,277	Option adjusted spread off prior month end broker quote		Broker Quote				—			—
Senior Floating Rate Interests		4,378,341	Yield Analysis		Yield				9.3	%		—
Senior Floating Rate Interests		839,693	Third Party Pricing		Broker Quote				—			—
Warrants		7	Model Price		Liquidation Value				—			—
Total Assets	$	61,083,039
Liabilities:
Unfunded Loan Commitments	$	84,249	Model Price				Purchase Price		—			—

* Inputs are weighted by the fair value of the instruments.

Significant changes in a quote, yield or liquidation value would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $6,922,316 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $5,828,319 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
CORE BOND FUND

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended September 30, 2022:

	Assets																					Liabilities
	Asset- Backed Securities			Collateralized Mortgage Obligations		Corporate Bonds			Senior Floating Rate Interests			Warrants		Common Stocks		Senior Fixed Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	43,311,905		$	—	$	34,387,505		$	1,062,752		$	—	$	—	$	3,543,333		$	82,305,495		$	(33,278	)
Purchases/(Receipts)		9,603,109			—		3,050,000			5,543,730			—		—		—			18,196,839			—
(Sales, maturities and paydowns)/Fundings		(30,716,299	)		—		(552,808	)		(383,110	)		—		—		(3,312	)		(31,655,529	)		36,638
Amortization of premiums/discounts		64,787			—		4,065			15,685			—		—		—			84,537			—
Total realized gains (losses) included in earnings		60,967			—		—			26,909			—		—		—			87,876			—
Total change in unrealized appreciation (depreciation) included in earnings		(989,120	)		—		(6,541,833	)		(747,479	)		—		—		(751,744	)		(9,030,176	)		(87,609	)
Transfers into Level 3		2,811,863			4,110,384		—			—			7		62		—			6,922,316			—
Transfers out of Level 3		—			—		(5,527,866	)		(300,453	)		—		—		—			(5,828,319	)		—
Ending Balance	$	24,147,212		$	4,110,384	$	24,819,063		$	5,218,034		$	7	$	62	$	2,788,277		$	61,083,039		$	(84,249	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022	$	(989,120	)	$	—	$	(5,144,071	)	$	(738,635	)	$	—	$	—	$	(751,744	)	$	(7,623,570	)	$	(75,846	)

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date
CSMC Trust 2020-NQM1, 1.72% due 05/25/65		2.72	%		09/26/24
OBX 2022-NQM8 Trust 2022-NQM8, 6.10% due 09/25/62		7.10	%		10/01/26
Verus Securitization Trust 2019-4, 2.85% due 11/25/59		3.85	%		10/26/23

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

CORE BOND FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments, at value (cost $1,591,371,317)	$	1,351,759,187
Foreign currency, at value (cost 39,068)		39,068
Cash		372,445
Segregated cash with broker		310,948
Unamortized upfront premiums paid on interest rate swap agreements		1,245
Unrealized appreciation on forward foreign currency exchange contracts		220,450
Prepaid expenses		53,237
Receivables:
Securities sold		77,476,454
Interest		10,531,356
Fund shares sold		6,720,983
Dividends		24,690
Foreign tax reclaims		6,765
Total assets		1,447,516,828
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $110)		84,249
Options written, at value (premiums received $1,774,360)		2,858,862
Segregated cash due to broker		4,759,042
Unrealized depreciation on forward foreign currency exchange contracts		11,184
Payable for:
Securities purchased		161,192,509
Fund shares redeemed		8,178,747
Variation margin on interest rate swap agreements		301,357
Management fees		300,666
Transfer agent/maintenance fees		232,650
Distribution and service fees		52,926
Fund accounting/administration fees		14,110
Trustees’ fees*		4,894
Miscellaneous		463,211
Total liabilities		178,454,407
Net assets	$	1,269,062,421
Net assets consist of:
Paid in capital	$	1,550,685,515
Total distributable earnings (loss)		(281,623,094	)
Net assets	$	1,269,062,421
A-Class:
Net assets	$	112,084,446
Capital shares outstanding		7,028,838
Net asset value per share	$	15.95
Maximum offering price per share (Net asset value divided by 96.00%)	$	16.61
C-Class:
Net assets	$	20,969,660
Capital shares outstanding		1,320,816
Net asset value per share	$	15.88
P-Class:
Net assets	$	53,203,204
Capital shares outstanding		3,333,455
Net asset value per share	$	15.96
Institutional Class:
Net assets	$	1,082,805,111
Capital shares outstanding		67,994,256
Net asset value per share	$	15.92

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

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

CORE BOND FUND

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends	$	2,522,704
Interest (net of foreign withholding tax of $19,484)		46,862,756
Total investment income		49,385,460
Expenses:
Management fees		5,788,622
Distribution and service fees:
A-Class		331,105
C-Class		269,054
P-Class		192,325
Transfer agent/maintenance fees:
A-Class		87,558
C-Class		30,701
P-Class		150,301
Institutional Class		1,336,014
Fund accounting/administration fees		893,202
Professional fees		129,851
Line of credit fees		98,438
Interest expense		53,877
Custodian fees		40,146
Trustees’ fees*		15,337
Miscellaneous		319,289
Recoupment of previously waived fees:
A-Class		8,157
C-Class		150
Total expenses		9,744,127
Less:
Expenses reimbursed by Adviser:
A-Class		(37,546	)
C-Class		(19,565	)
P-Class		(115,220	)
Institutional Class		(1,299,751	)
Expenses waived by Adviser		(80,877	)
Earnings credits applied		(1,080	)
Total waived/reimbursed expenses		(1,554,039	)
Net expenses		8,190,088
Net investment income		41,195,372
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(37,310,090	)
Investments sold short		53,035
Swap agreements		(267,391	)
Options purchased		4,983,391
Options written		(2,261,338	)
Forward foreign currency exchange contracts		2,059,346
Foreign currency transactions		36,165
Net realized loss		(32,706,882	)
Net change in unrealized appreciation (depreciation) on:
Investments		(275,687,244	)
Investments sold short		(55,804	)
Swap agreements		(5,758,376	)
Options purchased		1,236,071
Options written		(1,225,827	)
Forward foreign currency exchange contracts		(4,590	)
Foreign currency translations		(5,866	)
Net change in unrealized appreciation (depreciation)		(281,501,636	)
Net realized and unrealized loss		(314,208,518	)
Net decrease in net assets resulting from operations	$	(273,013,146	)

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

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

CORE BOND FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	41,195,372		$	38,596,466
Net realized gain (loss) on investments		(32,706,882	)		32,193,034
Net change in unrealized appreciation (depreciation) on investments		(281,501,636	)		(36,579,122	)
Net increase (decrease) in net assets resulting from operations		(273,013,146	)		34,210,378
Distributions to shareholders:
A-Class		(5,310,242	)		(6,777,135	)
C-Class		(886,223	)		(1,300,689	)
P-Class		(3,202,815	)		(3,119,744	)
Institutional Class		(53,683,559	)		(62,477,661	)
Total distributions to shareholders		(63,082,839	)		(73,675,229	)
Capital share transactions:
Proceeds from sale of shares
A-Class		25,104,560			40,344,152
C-Class		3,987,535			12,009,830
P-Class		23,865,120			50,228,861
Institutional Class		846,789,895			818,599,668
Distributions reinvested
A-Class		4,975,780			6,350,495
C-Class		789,061			1,147,128
P-Class		3,202,815			3,119,734
Institutional Class		50,481,098			58,072,751
Cost of shares redeemed
A-Class		(39,064,313	)		(111,584,248	)
C-Class		(11,198,757	)		(12,039,187	)
P-Class		(45,775,520	)		(23,176,345	)
Institutional Class		(914,366,168	)		(598,902,302	)
Net increase (decrease) from capital share transactions		(51,208,894	)		244,170,537
Net increase (decrease) in net assets		(387,304,879	)		204,705,686
Net assets:
Beginning of year		1,656,367,300			1,451,661,614
End of year	$	1,269,062,421		$	1,656,367,300
Capital share activity:
Shares sold
A-Class		1,393,708			1,985,400
C-Class		219,121			595,114
P-Class		1,227,313			2,494,993
Institutional Class		47,258,448			40,361,294
Shares issued from reinvestment of distributions
A-Class		268,662			312,565
C-Class		42,495			56,670
P-Class		172,067			153,682
Institutional Class		2,738,168			2,864,869
Shares redeemed
A-Class		(2,163,532	)		(5,426,999	)
C-Class		(613,680	)		(600,885	)
P-Class		(2,510,695	)		(1,149,450	)
Institutional Class		(51,037,587	)		(29,741,956	)
Net increase (decrease) in shares		(3,005,512	)		11,905,297

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

CORE BOND FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	20.06		$	20.53		$	18.94		$	18.33		$	18.55
Income (loss) from investment operations:
Net investment income (loss)a		.46			.44			.37			.41			.49
Net gain (loss) on investments (realized and unrealized)		(3.84	)		(.01	)		1.63			.63			(.22	)
Total from investment operations		(3.38	)		.43			2.00			1.04			.27
Less distributions from:
Net investment income		(.47	)		(.47	)		(.41	)		(.43	)		(.49	)
Net realized gains		(.26	)		(.43	)		—			—			—
Total distributions		(.73	)		(.90	)		(.41	)		(.43	)		(.49	)
Net asset value, end of period	$	15.95		$	20.06		$	20.53		$	18.94		$	18.33
Total Returnb		(17.30	%)		2.09	%		10.68	%		5.72	%		1.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	112,084		$	151,026		$	218,856		$	149,442		$	119,066
Ratios to average net assets:
Net investment income (loss)		2.53	%		2.20	%		1.87	%		2.23	%		2.64	%
Total expensesc		0.82	%		0.85	%		0.85	%		0.89	%		0.93	%
Net expensesd,e,f		0.78	%		0.79	%		0.79	%		0.80	%		0.83	%
Portfolio turnover rate		49	%		103	%		126	%		77	%		53	%

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	19.97		$	20.45		$	18.86		$	18.25		$	18.47
Income (loss) from investment operations:
Net investment income (loss)a		.33			.29			.22			.28			.35
Net gain (loss) on investments (realized and unrealized)		(3.83	)		(.03	)		1.64			.62			(.22	)
Total from investment operations		(3.50	)		.26			1.86			.90			.13
Less distributions from:
Net investment income		(.33	)		(.31	)		(.27	)		(.29	)		(.35	)
Net realized gains		(.26	)		(.43	)		—			—			—
Total distributions		(.59	)		(.74	)		(.27	)		(.29	)		(.35	)
Net asset value, end of period	$	15.88		$	19.97		$	20.45		$	18.86		$	18.25
Total Returnb		(17.90	%)		1.34	%		9.86	%		4.96	%		0.71	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	20,970		$	33,407		$	33,163		$	22,531		$	18,799
Ratios to average net assets:
Net investment income (loss)		1.78	%		1.46	%		1.13	%		1.50	%		1.92	%
Total expensesc		1.61	%		1.61	%		1.62	%		1.67	%		1.75	%
Net expensesd,e,f		1.53	%		1.54	%		1.54	%		1.55	%		1.57	%
Portfolio turnover rate		49	%		103	%		126	%		77	%		53	%

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

CORE BOND FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	20.07		$	20.55		$	18.96		$	18.34		$	18.56
Income (loss) from investment operations:
Net investment income (loss)a		.46			.44			.36			.41			.48
Net gain (loss) on investments (realized and unrealized)		(3.84	)		(.02	)		1.64			.63			(.21	)
Total from investment operations		(3.38	)		.42			2.00			1.04			.27
Less distributions from:
Net investment income		(.47	)		(.47	)		(.41	)		(.42	)		(.49	)
Net realized gains		(.26	)		(.43	)		—			—			—
Total distributions		(.73	)		(.90	)		(.41	)		(.42	)		(.49	)
Net asset value, end of period	$	15.96		$	20.07		$	20.55		$	18.96		$	18.34
Total Return		(17.30	%)		2.04	%		10.67	%		5.77	%		1.45	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	53,203		$	89,223		$	60,534		$	50,258		$	48,263
Ratios to average net assets:
Net investment income (loss)		2.49	%		2.17	%		1.86	%		2.24	%		2.61	%
Total expensesc		0.94	%		0.90	%		0.91	%		0.93	%		0.94	%
Net expensesd,e,f		0.78	%		0.79	%		0.79	%		0.80	%		0.80	%
Portfolio turnover rate		49	%		103	%		126	%		77	%		53	%

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

CORE BOND FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	20.03		$	20.51		$	18.91		$	18.30		$	18.52
Income (loss) from investment operations:
Net investment income (loss)a		.52			.50			.42			.47			.54
Net gain (loss) on investments (realized and unrealized)		(3.85	)		(.03	)		1.65			.62			(.22	)
Total from investment operations		(3.33	)		.47			2.07			1.09			.32
Less distributions from:
Net investment income		(.52	)		(.52	)		(.47	)		(.48	)		(.54	)
Net realized gains		(.26	)		(.43	)		—			—			—
Total distributions		(.78	)		(.95	)		(.47	)		(.48	)		(.54	)
Net asset value, end of period	$	15.92		$	20.03		$	20.51		$	18.91		$	18.30
Total Return		(17.09	%)		2.34	%		11.07	%		6.03	%		1.75	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,082,805		$	1,382,711		$	1,139,109		$	613,571		$	380,974
Ratios to average net assets:
Net investment income (loss)		2.84	%		2.49	%		2.17	%		2.52	%		2.92	%
Total expensesc		0.60	%		0.60	%		0.58	%		0.62	%		0.60	%
Net expensesd,e,f		0.49	%		0.50	%		0.50	%		0.51	%		0.52	%
Portfolio turnover rate		49	%		103	%		126	%		77	%		53	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	9/30/22	9/30/21	9/30/20	9/30/19	9/30/18
A-Class	0.01%	0.01%	0.00%*	—	0.00%*
C-Class	0.00%*	—	0.00%*	—	0.00%*
P-Class	—	—	0.00%*	0.00%*	0.00%*
Institutional Class	—	—	0.00%*	—	0.00%*

* Less than 0.01%.

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	9/30/22	9/30/21	9/30/20	9/30/19	9/30/18
A-Class	0.77%	0.78%	0.78%	0.79%	0.82%
C-Class	1.52%	1.53%	1.53%	1.54%	1.57%
P-Class	0.77%	0.78%	0.78%	0.79%	0.80%
Institutional Class	0.48%	0.49%	0.49%	0.50%	0.52%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 65

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Municipal Income Fund (“Fund”). Guggenheim Partners Investment Management, LLC (“GPIM”) and Guggenheim Partners Advisors, LLC (“GPA”), an affiliate of GPIM, serve as the Fund’s sub-advisers (“each a “Sub-Adviser”). The Fund is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of GPIM; Allen Li, CFA, Managing Director and Portfolio Manager of GPIM; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director and Portfolio Manager of GPIM; and Adam J. Bloch, Managing Director and Portfolio Manager of GPIM. 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 returned -16.67%¹, underperforming the Fund’s benchmark, the Bloomberg Municipal Bond Index, which returned -11.50% for the same period.

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

Accelerating inflation expectations and multiple rounds of interest rate hikes by the Federal Reserve were the primary drivers of municipal market performance during the Reporting Period. Technical factors that propelled positive performance in fiscal year 2021 – such as mutual fund inflows and negative net supply – swung in the opposite direction during the Reporting Period, more than offsetting positive developments in credit fundamentals of most municipal obligors.

Investors stampeded out of municipal mutual funds, which experienced $91.5 billion of outflows – a new record –during the first nine months of 2022. Long duration paper was disproportionately impacted, as investors avoided interest rate risk. Within the Bloomberg Municipal Bond Index, bonds maturing beyond 22 years returned -18.48% during fiscal year 2022, underperforming the broader Index by nearly 700 basis points.

A similar story played out within the Fund, where long duration assets such as zero-coupon bonds and tax-exempt agency commercial mortgage-backed securities contributed to the underperformance. Tax-exempt closed-end funds, with their levered duration profile and exposure to short-term funding costs, also came under pressure and lagged cash bonds.

During the Reporting Period, the Fund used interest rate swaps to help manage duration positioning . Over the Reporting Period, interest rate swaps contributed to performance.

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

We continue to emphasize security selection of high-quality municipal issuers in the current environment. While most municipalities enter 2023 with high fund reserves and prudent budget planning, a slowing economic environment should favor the high quality, long duration securities that are overweight in the Fund. We remain focused on structural creditworthiness that can endure macroeconomic volatility while generating tax-exempt income that is competitive with high quality taxable bond markets.

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.

66 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

MUNICIPAL INCOME FUND

OBJECTIVE: Seeks to provide current income with an emphasis on income exempt from federal income tax, while also considering capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	34.6%
AA	38.2%
A	10.5%
BBB	2.5%
BB	0.7%
NR2	0.2%
Other Instruments	13.3%
Total Investments	100.0%

Inception Dates:
A-Class	April 28, 2004
C-Class	January 13, 2012
P-Class	May 1, 2015
Institutional Class	January 13, 2012

Ten Largest Holdings (% of Total Net Assets)
El Camino Healthcare District General Obligation Unlimited	3.9%
Freddie Mac Multifamily ML Certificates Revenue Bonds, 2.49%	3.6%
Freddie Mac Multifamily, 1.90%	3.0%
Denton County Housing Finance Corp. Revenue Bonds, 2.15%	3.0%
Ysleta Independent School District General Obligation Unlimited, 4.00%	2.5%
Stockton Unified School District General Obligation Unlimited	2.5%
Dayton-Montgomery County Port Authority Revenue Bonds, 1.83%	2.4%
Freddie Mac Multifamily Variable Rate Certificate Revenue Bonds, 3.15%	2.3%
Los Angeles Department of Water & Power Revenue Bonds, 5.00%	2.1%
Bexar County Hospital District General Obligation Limited, 5.00%	2.1%
Top Ten Total	27.4%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 67

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	(16.67%)	(0.71%)	0.99%
A-Class Shares with sales charge‡	(20.00%)	(1.52%)	0.50%
C-Class Shares	(17.23%)	(1.43%)	0.25%
C-Class Shares with CDSC§	(18.05%)	(1.43%)	0.25%
Institutional Class Shares	(16.46%)	(0.48%)	1.25%
Bloomberg Municipal Bond Index	(11.50%)	0.59%	1.79%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	(16.61%)	(0.71%)	0.29%
Bloomberg Municipal Bond Index	(11.50%)	0.59%	1.44%

*	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 Bloomberg Municipal Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional shares will vary due to differences in fee structures.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculate performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
~	Effective January 13, 2012, the Fund acquired all of the assets and liabilities of the TS&W/Claymore Tax-Advantage Balanced Fund (“TYW”), a registered closed-end management investment company. The A-Class performance prior to that date reflects performance of TYW.

68 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2022
MUNICIPAL INCOME FUND

	Shares		Value
CLOSED-END FUNDS† - 8.7%
BlackRock MuniVest Fund, Inc.		90,802	$	602,925
Nuveen California Quality Municipal Income Fund		49,986		548,346
BlackRock Municipal Income Quality Trust		43,500		477,195
BlackRock MuniYield Quality Fund, Inc.		42,500		469,625
DWS Municipal Income Trust		53,020		441,126
BlackRock Municipal Income Fund, Inc.		38,861		422,030
Invesco Trust for Investment Grade Municipals		40,355		377,723
Invesco Municipal Trust		36,338		332,130
Nuveen AMT-Free Quality Municipal Income Fund		29,451		312,181
BlackRock MuniHoldings California Quality Fund, Inc.		27,404		294,319
Total Closed-End Funds
(Cost $5,626,620)				4,277,600
MONEY MARKET FUNDS† - 3.7%
Dreyfus AMT-Free Tax Exempt Cash Management Fund — Institutional Shares, 1.96%1		1,389,627		1,389,627
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.15%1		423,438		423,438
Total Money Market Funds
(Cost $1,813,065)				1,813,065

	Face Amount
MUNICIPAL BONDS†† - 81.6%
California - 23.5%
El Camino Healthcare District General Obligation Unlimited
due 08/01/292	$	2,500,000	1,925,290
Stockton Unified School District General Obligation Unlimited
due 08/01/332		2,000,000	1,231,629
due 08/01/372		810,000	399,195
due 08/01/422		250,000	92,665
Los Angeles Department of Water & Power Revenue Bonds
5.00% due 07/01/50		1,000,000	1,043,180
San Diego Unified School District General Obligation Unlimited
due 07/01/392		1,000,000	452,355
due 07/01/462		1,360,000	411,972
Sierra Joint Community College District School Facilities District No. 1 General Obligation Unlimited
due 08/01/312		705,000	504,990
due 08/01/302		415,000	311,523
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited
due 08/01/423,6		1,000,000	662,708
Newport Mesa Unified School District General Obligation Unlimited
due 08/01/392		1,300,000	600,366
Sonoma Valley Unified School District General Obligation Unlimited
4.00% due 08/01/44		600,000	539,599
State of California General Obligation Unlimited
5.00% due 09/01/26		500,000	533,949
Compton Unified School District General Obligation Unlimited
due 06/01/402		1,000,000	422,646
Delhi Unified School District General Obligation Unlimited
5.00% due 08/01/44		250,000	257,982
Gustine Unified School District General Obligation Unlimited
5.00% due 08/01/26		220,000	233,342
Alameda Corridor Transportation Authority Revenue Bonds
due 10/01/51		500,000	227,971
Stockton Public Financing Authority Revenue Bonds
5.00% due 10/01/33		200,000	213,304
M-S-R Energy Authority Revenue Bonds
6.13% due 11/01/29		190,000	206,383
Upland Unified School District General Obligation Unlimited
due 08/01/382		400,000	184,600
El Monte Union High School District General Obligation Unlimited
due 06/01/432		500,000	172,367
Westside Elementary School District General Obligation Unlimited
5.00% due 08/01/48		155,000	160,614
Rio Hondo Community College District General Obligation Unlimited
due 08/01/292		200,000	153,303
Freddie Mac Multifamily VRD Certificates Revenue Bonds
2.40% due 10/15/29		150,000	137,256
Coast Community College District General Obligation Unlimited
due 08/01/402		250,000	108,518
Department of Veterans Affairs Veteran’s Farm & Home Purchase Program Revenue Bonds
3.45% due 12/01/39		110,000	106,943
California - 23.5%
Buena Park School District General Obligation Unlimited
5.00% due 08/01/47		100,000	103,689

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MUNICIPAL INCOME FUND

	Face Amount		Value
City of Los Angeles Department of Airports Revenue Bonds
5.00% due 05/15/44	$	100,000	$	103,509
Roseville Joint Union High School District General Obligation Unlimited
due 08/01/302		100,000		73,413
Total California				11,575,261
Texas - 17.0%
Denton County Housing Finance Corp. Revenue Bonds
2.15% due 11/01/38		2,000,000		1,492,946
Central Texas Regional Mobility Authority Revenue Bonds
5.00% due 01/01/45		1,250,000		1,254,300
Ysleta Independent School District General Obligation Unlimited
4.00% due 08/15/52		1,400,000		1,232,334
Bexar County Hospital District General Obligation Limited
5.00% due 02/15/47		1,000,000		1,033,267
Cleveland Independent School District General Obligation Unlimited
4.00% due 02/15/52		1,000,000		884,783
North Texas Tollway Authority Revenue Bonds
due 01/01/362		1,000,000		540,552
Lindale Independent School District General Obligation Unlimited
5.00% due 02/15/49		200,000		211,228
United Independent School District General Obligation Unlimited
5.00% due 08/15/49		200,000		211,228
Southwest Independent School District General Obligation Unlimited
due 02/01/422		500,000		198,451
Clifton Higher Education Finance Corp. Revenue Bonds
4.00% due 08/15/33		200,000		196,661
Arlington Higher Education Finance Corp. Revenue Bonds
5.00% due 12/01/46		200,000		195,755
Grand Parkway Transportation Corp. Revenue Bonds
5.00% due 10/01/43		175,000		181,348
Harris County-Houston Sports Authority Revenue Bonds
due 11/15/532		1,000,000		174,859
Texas Municipal Gas Acquisition and Supply Corporation I Revenue Bonds
6.25% due 12/15/26		135,000		140,264
Hutto Independent School District General Obligation Unlimited
5.00% due 08/01/49		100,000		105,208
Mansfield Independent School District General Obligation Unlimited
5.00% due 02/15/44		100,000		104,340
	Face Amount
University of North Texas System Revenue Bonds
5.00% due 04/15/44		100,000		102,819
City of Arlington Texas Special Tax Revenue Special Tax
5.00% due 02/15/48		100,000		100,744
San Antonio Education Facilities Corp. Revenue Bonds
5.00% due 06/01/23		10,000		10,024
Tarrant County Health Facilities Development Corp. Revenue Bonds
6.00% due 09/01/24		5,000		5,138
Leander Independent School District General Obligation Unlimited
due 08/15/242		5,000		2,760
Total Texas				8,379,009
New York - 4.7%
New York City Municipal Water Finance Authority Revenue Bonds
5.00% due 06/15/49		1,000,000		1,031,115
New York City Industrial Development Agency Revenue Bonds
4.00% due 03/01/32		500,000		503,415
New York Transportation Development Corp. Revenue Bonds
5.00% due 12/01/22		250,000		250,392
5.00% due 07/01/34		200,000		201,070
New York State Dormitory Authority Revenue Bonds
4.00% due 08/01/43		250,000		224,729
New York Power Authority Revenue Bonds
4.00% due 11/15/45		100,000		89,832
Total New York				2,300,553
Ohio - 3.2%
Dayton-Montgomery County Port Authority Revenue Bonds
1.83% due 09/01/38		1,600,000		1,170,189
County of Miami Ohio Revenue Bonds
5.00% due 08/01/33		200,000		205,380
American Municipal Power, Inc. Revenue Bonds
5.00% due 02/15/41		200,000		203,015
Total Ohio				1,578,584
Tennessee - 3.0%
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds
2.25% due 07/01/45		1,500,000		968,089
City of Shelbyville & Bedford County Health Educational & Housing Facility Board Revenue Bonds
2.21% due 06/01/38		500,000		369,730

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MUNICIPAL INCOME FUND

	Face Amount		Value
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds
2.48% due 12/01/37	$	200,000	$	155,397
Total Tennessee				1,493,216
Arizona - 2.9%
Arizona Industrial Development Authority Revenue Bonds
2.12% due 07/01/37		1,162,404		868,285
Maricopa County Industrial Development Authority Revenue Bonds
5.00% due 01/01/41		250,000		256,176
Salt Verde Financial Corp. Revenue Bonds
5.00% due 12/01/32		200,000		201,484
Pinal County Elementary School District No. 4 Casa Grande General Obligation Unlimited
5.00% due 07/01/37		100,000		107,357
Total Arizona				1,433,302
Oregon - 2.7%
Clackamas & Washington Counties School District No. 3 General Obligation Unlimited
due 06/15/482		2,000,000		522,857
due 06/15/502		400,000		93,775
due 06/15/492		350,000		86,649
Salem-Keizer School District No. 24J General Obligation Unlimited
due 06/15/402		1,250,000		535,568
University of Oregon Revenue Bonds
5.00% due 04/01/48		100,000		102,999
Total Oregon				1,341,848
Colorado - 2.6%
E-470 Public Highway Authority Revenue Bonds
5.00% due 09/01/36		650,000		692,062
City & County of Denver Colorado Airport System Revenue Bonds
5.00% due 12/01/28		200,000		208,845
City & County of Denver Colorado Dedicated Excise Tax Revenue Bonds
due 08/01/302		200,000		145,816
Colorado Educational & Cultural Facilities Authority Revenue Bonds
5.00% due 03/01/47		110,000		112,848
Colorado School of Mines Revenue Bonds
5.00% due 12/01/47		100,000		102,935
Total Colorado				1,262,506
Virginia - 2.5%
Freddie Mac Multifamily Variable Rate Certificate Revenue Bonds
3.15% due 10/15/36		1,290,000		1,109,341
Loudoun County Economic Development Authority Revenue Bonds
due 07/01/492		500,000		129,767
City of Norfolk Virginia General Obligation Unlimited
2.50% due 10/01/463		5,000		4,950
Total Virginia				1,244,058
North Carolina - 2.0%
Inlivian Revenue Bonds
2.02% due 04/01/42		1,000,000		655,492
North Carolina Central University Revenue Bonds
5.00% due 04/01/44		300,000		311,275
Total North Carolina				966,767
District of Columbia - 2.0%
District of Columbia Revenue Bonds
4.00% due 03/01/39		1,000,000		960,926
West Virginia - 1.9%
West Virginia University Revenue Bonds
5.00% due 10/01/41		600,000		642,846
West Virginia Hospital Finance Authority Revenue Bonds
5.00% due 06/01/42		300,000		298,148
Total West Virginia				940,994
Illinois - 1.9%
City of Chicago Illinois Wastewater Transmission Revenue Bonds
5.25% due 01/01/42		400,000		411,760
Illinois Finance Authority Revenue Bonds
5.00% due 10/01/38		250,000		268,387
University of Illinois Revenue Bonds
6.00% due 10/01/29		200,000		204,740
County of State Clair Illinois Highway Revenue Bonds
4.25% due 01/01/23		40,000		40,111
Total Illinois				924,998
Washington - 1.6%
Yakima & Kittitas Counties School District No. 119 Selah General Obligation Unlimited
5.00% due 12/01/42		200,000		212,741
County of King Washington Sewer Revenue Bonds
5.00% due 07/01/42		200,000		207,661
Central Puget Sound Regional Transit Authority Revenue Bonds
5.00% due 11/01/41		200,000		207,277
Washington State Convention Center Public Facilities District Revenue Bonds
4.00% due 07/01/48		210,000		162,339
Total Washington				790,018

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MUNICIPAL INCOME FUND

	Face Amount		Value
New Jersey - 1.2%
New Jersey Turnpike Authority Revenue Bonds
5.00% due 01/01/31	$	300,000	$	319,067
New Jersey Economic Development Authority Revenue Bonds
5.00% due 06/01/28		250,000		264,636
Total New Jersey				583,703
Oklahoma - 1.1%
Oklahoma Development Finance Authority Revenue Bonds
5.00% due 08/15/28		350,000		335,989
Oklahoma City Airport Trust Revenue Bonds
5.00% due 07/01/30		200,000		207,406
Total Oklahoma				543,395
Michigan - 1.0%
Michigan State Hospital Finance Authority Revenue Bonds
5.00% due 11/15/47		200,000		199,785
Michigan State Housing Development Authority Revenue Bonds
3.35% due 12/01/34		200,000		175,358
Flint Hospital Building Authority Revenue Bonds
5.00% due 07/01/25		100,000		101,892
Total Michigan				477,035
Missouri - 0.8%
Industrial Development Authority of the City of State Louis Missouri Revenue Bonds
2.22% due 12/01/38		494,941		379,326
Arkansas - 0.7%
County of Baxter Arkansas Revenue Bonds
5.00% due 09/01/26		330,000		338,819
Alaska - 0.5%
University of Alaska Revenue Bonds
5.00% due 10/01/40		260,000		270,115
Louisiana - 0.5%
City of Shreveport Louisiana Water & Sewer Revenue Bonds
5.00% due 12/01/35		250,000		264,183
Louisiana Public Facilities Authority Revenue Bonds
5.00% due 05/15/26		5,000		5,212
Total Louisiana				269,395
Nebraska - 0.4%
Central Plains Energy Project Revenue Bonds
5.00% due 09/01/29		200,000		204,977
South Carolina - 0.4%
Charleston County Airport District Revenue Bonds
5.00% due 07/01/43		200,000		204,436
Vermont - 0.4%
Vermont Educational & Health Buildings Financing Agency Revenue Bonds
5.00% due 12/01/46		200,000		196,569
Connecticut - 0.4%
New Haven Housing Authority Revenue Bonds
2.26% due 05/01/38		246,430		187,482
South Dakota - 0.3%
South Dakota Board of Regents Housing & Auxiliary Facilities System Revenue Bonds
5.00% due 04/01/34		150,000		157,710
Massachusetts - 0.3%
Massachusetts Development Finance Agency Revenue Bonds
5.00% due 10/01/34		150,000		154,418
Pennsylvania - 0.3%
Allegheny County Hospital Development Authority Revenue Bonds
5.00% due 07/15/32		100,000		103,520
Owen J Roberts School District General Obligation Unlimited
5.00% due 05/15/23		25,000		25,285
City of Erie Pennsylvania General Obligation Unlimited
3.10% due 11/15/22		5,000		4,950
Total Pennsylvania				133,755
Florida - 0.2%
Greater Orlando Aviation Authority Revenue Bonds
5.00% due 10/01/32		100,000		103,854
Florida Higher Educational Facilities Financial Authority Revenue Bonds
3.00% due 12/01/22		15,000		14,847
Total Florida				118,701
Idaho - 0.2%
Idaho Housing & Finance Association Revenue Bonds
5.00% due 07/15/30		100,000		108,811
Utah - 0.2%
South Davis Metro Fire Service Area Revenue Bonds
5.00% due 12/01/34		100,000		105,825
Rhode Island - 0.2%
Rhode Island Health and Educational Building Corp. Revenue Bonds
5.00% due 05/15/42		100,000		105,761

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MUNICIPAL INCOME FUND

	Face Amount		Value
Montana - 0.2%
Montana State Board of Regents Revenue Bonds
5.00% due 11/15/43	$	100,000	$	104,522
Kansas - 0.2%
University of Kansas Hospital Authority Revenue Bonds
5.00% due 09/01/48		100,000		101,808
Iowa - 0.2%
PEFA, Inc. Revenue Bonds
5.00% due 09/01/263,4		100,000		101,525
New Hampshire - 0.1%
New Hampshire Health and Education Facilities Authority Act Revenue Bonds
5.00% due 01/01/23		60,000		60,277
New Mexico - 0.0%
City of Albuquerque New Mexico Gross Receipts Tax Revenue Bonds
5.00% due 07/01/25		20,000		20,389
Maryland - 0.0%
Maryland Health & Higher Educational Facilities Authority Revenue Bonds
5.00% due 07/01/27		5,000		5,169
Total Municipal Bonds
(Cost $48,723,509)				40,125,963

	Shares
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 6.6%
Government Agency - 6.6%
Freddie Mac Multifamily ML Certificates Revenue Bonds
2.49% due 07/25/35		2,164,255		1,744,275
Freddie Mac Multifamily
1.90% due 11/25/37		1,960,448		1,493,371
Total Government Agency				3,237,646
Total Collateralized Mortgage Obligations
(Cost $4,276,706)				3,237,646
U.S. TREASURY BILLS††,5 – 1.1%
U.S. Treasury Bills
2.26% due 12/08/22		380,000		377,944
2.91% due 01/19/23		120,000		118,789
2.83% due 01/19/23		50,000		49,495
Total U.S. Treasury Bills
(Cost $546,874)				546,228
Total Investments - 101.7%
(Cost $60,986,774)			$	50,000,502
Other Assets & Liabilities, net - (1.7)%				(824,676	)
Total Net Assets - 100.0%			$	49,175,826

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency		Maturity Date	Notional Amount		Value			Upfront Premiums Paid		Unrealized Appreciation (Depreciation)**
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.67%		Quarterly	09/27/51		$	2,850,000	$	900,422		$	338	$	900,084
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.28%		Quarterly	11/04/50			1,200,000		460,175			301		459,874
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.60%		Quarterly	08/06/51			1,300,000		425,656			310		425,346
BofA Securities, Inc.	CME	Receive	U.S. Secured Overnight Financing Rate	2.78%		Annually	07/25/32			3,340,000		219,011			321		218,690
BofA Securities, Inc.	CME	Receive	U.S. Secured Overnight Financing Rate	1.48%		Annually	01/27/29			1,350,000		168,825			278		168,547
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	2.78%		Annually	07/18/27			5,600,000		(253,479	)		311		(253,790	)
											$	1,920,610		$	1,859	$	1,918,751

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
MUNICIPAL INCOME FUND

**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	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.
2	Zero coupon rate security.
3	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2022. See table below for additional step information for each security.
4	The rate is adjusted periodically by the counterparty, allows the holder to tender the security upon a rate reset, and is not based upon a set reference rate and spread.
5	Rate indicated is the rate effective at September 30, 2022.
6	Security has no current coupon. However, a coupon rate will come into effect at a future rate reset date.
	BofA — Bank of America
	CME — Chicago Mercantile Exchange
	LIBOR — London Interbank Offered Rate
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at September 30, 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
Closed-End Funds	$	4,277,600	$	—	$	—	$	4,277,600
Money Market Funds		1,813,065		—		—		1,813,065
Municipal Bonds		—		40,125,963		—		40,125,963
Collateralized Mortgage Obligations		—		3,237,646		—		3,237,646
U.S. Treasury Bills		—		546,228		—		546,228
Interest Rate Swap Agreements**		—		2,172,541		—		2,172,541
Total Assets	$	6,090,665	$	46,082,378	$	—	$	52,173,043

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Interest Rate Swap Agreements**	$	—	$	253,790	$	—	$	253,790

** This derivative is reported as unrealized appreciation/depreciation at period end.

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate(s)		Future Reset Date(s)
City of Norfolk Virginia General Obligation Unlimited, 2.50% due 10/01/46		3.00	%		10/01/22		3.75% - 5.00%		10/01/26 - 10/01/41
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited, due 08/01/42		6.85	%		08/01/32		—		—

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

MUNICIPAL INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments, at value (cost $60,986,774)	$	50,000,502
Segregated cash with broker		67,778
Unamortized upfront premiums paid on interest rate swap agreements		1,859
Prepaid expenses		29,585
Receivables:
Interest		274,588
Variation margin on interest rate swap agreements		60,801
Dividends		15,671
Fund shares sold		509
Total assets		50,451,293
Liabilities:
Overdraft due to custodian bank		7,972
Segregated cash due to broker		900
Payable for:
Securities purchased		1,048,730
Fund shares redeemed		138,085
Transfer agent/maintenance fees		11,655
Distribution and service fees		10,149
Due to Investment Adviser		5,837
Fund accounting/administration fees		4,702
Distributions to shareholders		4,534
Trustees’ fees*		1,352
Miscellaneous		41,551
Total liabilities		1,275,467
Net assets	$	49,175,826
Net assets consist of:
Paid in capital	$	57,588,344
Total distributable earnings (loss)		(8,412,518	)
Net assets	$	49,175,826
A-Class:
Net assets	$	43,354,179
Capital shares outstanding		3,950,722
Net asset value per share	$	10.97
Maximum offering price per share (Net asset value divided by 96.00%)	$	11.43
C-Class:
Net assets	$	1,063,378
Capital shares outstanding		96,980
Net asset value per share	$	10.96
P-Class:
Net assets	$	129,154
Capital shares outstanding		11,778
Net asset value per share	$	10.97
Institutional Class:
Net assets	$	4,629,115
Capital shares outstanding		421,809
Net asset value per share	$	10.97

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends	$	332,305
Interest		1,348,373
Total investment income		1,680,678
Expenses:
Management fees		320,076
Distribution and service fees:
A-Class		132,813
C-Class		16,037
P-Class		430
Transfer agent/maintenance fees:
A-Class		43,862
C-Class		2,088
P-Class		661
Institutional Class		14,528
Registration fees		69,740
Fund accounting/administration fees		47,327
Professional fees		43,168
Trustees’ fees*		13,112
Custodian fees		5,005
Line of credit fees		4,432
Interest expense		578
Miscellaneous		28,039
Recoupment of previously waived fees:
A-Class		8,147
C-Class		177
P-Class		22
Institutional Class		848
Total expenses		751,090
Less: Expenses reimbursed by Adviser:
A-Class		(50,189	)
C-Class		(2,282	)
P-Class		(677	)
Institutional Class		(15,279	)
Expenses waived by Adviser		(187,754	)
Total waived/reimbursed expenses		(256,181	)
Net expenses		494,909
Net investment income		1,185,769
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(374,781	)
Swap agreements		1,173,103
Net realized gain		798,322
Net change in unrealized appreciation (depreciation) on:
Investments		(14,288,157	)
Swap agreements		1,261,849
Net change in unrealized appreciation (depreciation)		(13,026,308	)
Net realized and unrealized loss		(12,227,986	)
Net decrease in net assets resulting from operations	$	(11,042,217	)

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 75

MUNICIPAL INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,185,769		$	1,442,781
Net realized gain on investments		798,322			360,400
Net change in unrealized appreciation (depreciation) on investments		(13,026,308	)		1,033,570
Net increase (decrease) in net assets resulting from operations		(11,042,217	)		2,836,751
Distributions to shareholders:
A-Class		(1,171,658	)		(1,163,850	)
C-Class		(24,004	)		(21,932	)
P-Class		(3,881	)		(3,987	)
Institutional Class		(235,117	)		(298,334	)
Total distributions to shareholders		(1,434,660	)		(1,488,103	)
Capital share transactions:
Proceeds from sale of shares
A-Class		4,529,943			5,705,743
C-Class		540,692			15,573
P-Class		8,594			56,120
Institutional Class		4,638,825			6,430,829
Distributions reinvested
A-Class		1,073,119			1,058,269
C-Class		22,692			20,578
P-Class		3,881			3,987
Institutional Class		231,198			294,007
Cost of shares redeemed
A-Class		(15,257,098	)		(7,038,305	)
C-Class		(929,727	)		(481,275	)
P-Class		(70,519	)		(44,766	)
Institutional Class		(11,258,625	)		(7,617,977	)
Net decrease from capital share transactions		(16,467,025	)		(1,597,217	)
Net decrease in net assets		(28,943,902	)		(248,569	)
Net assets:
Beginning of year		78,119,728			78,368,297
End of year	$	49,175,826		$	78,119,728
Capital share activity:
Shares sold
A-Class		341,411			421,464
C-Class		41,372			1,157
P-Class		690			4,134
Institutional Class		366,434			478,875
Shares issued from reinvestment of distributions
A-Class		86,038			78,479
C-Class		1,798			1,529
P-Class		310			296
Institutional Class		18,207			21,808
Shares redeemed
A-Class		(1,183,904	)		(524,684	)
C-Class		(77,700	)		(35,903	)
P-Class		(5,573	)		(3,349	)
Institutional Class		(911,726	)		(565,459	)
Net decrease in shares		(1,322,643	)		(121,653	)

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

MUNICIPAL INCOME FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	13.46		$	13.23		$	13.12		$	12.46		$	12.70
Income (loss) from investment operations:
Net investment income (loss)a		.23			.25			.26			.30			.30
Net gain (loss) on investments (realized and unrealized)		(2.44	)		.23			.11			.70			(.24	)
Total from investment operations		(2.21	)		.48			.37			1.00			.06
Less distributions from:
Net investment income		(.22	)		(.23	)		(.26	)		(.30	)		(.30	)
Net realized gains		(.06	)		(.02	)		—			(.04	)		—
Total distributions		(.28	)		(.25	)		(.26	)		(.34	)		(.30	)
Net asset value, end of period	$	10.97		$	13.46		$	13.23		$	13.12		$	12.46
Total Returnb		(16.67	%)		3.67	%		2.85	%		8.13	%		0.44	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	43,354		$	63,359		$	62,583		$	42,512		$	25,570
Ratios to average net assets:
Net investment income (loss)		1.84	%		1.82	%		1.95	%		2.31	%		2.35	%
Total expensesc		1.18	%		1.17	%		1.21	%		1.34	%		1.30	%
Net expensesd,e,f		0.79	%		0.80	%		0.81	%		0.81	%		0.80	%
Portfolio turnover rate		14	%		22	%		58	%		30	%		13	%

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	13.45		$	13.22		$	13.11		$	12.45		$	12.69
Income (loss) from investment operations:
Net investment income (loss)a		.14			.15			.16			.21			.20
Net gain (loss) on investments (realized and unrealized)		(2.45	)		.23			.11			.69			(.24	)
Total from investment operations		(2.31	)		.38			.27			.90			(.04	)
Less distributions from:
Net investment income		(.12	)		(.13	)		(.16	)		(.20	)		(.20	)
Net realized gains		(.06	)		(.02	)		—			(.04	)		—
Total distributions		(.18	)		(.15	)		(.16	)		(.24	)		(.20	)
Net asset value, end of period	$	10.96		$	13.45		$	13.22		$	13.11		$	12.45
Total Returnb		(17.23	%)		2.91	%		2.09	%		7.33	%		(0.30	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,063		$	1,769		$	2,177		$	1,981		$	2,403
Ratios to average net assets:
Net investment income (loss)		1.08	%		1.08	%		1.23	%		1.63	%		1.60	%
Total expensesc		1.97	%		1.97	%		1.97	%		2.12	%		2.11	%
Net expensesd,e,f		1.54	%		1.55	%		1.56	%		1.56	%		1.55	%
Portfolio turnover rate		14	%		22	%		58	%		30	%		13	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 77

MUNICIPAL INCOME FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	13.45		$	13.22		$	13.13		$	12.46		$	12.70
Income (loss) from investment operations:
Net investment income (loss)a		.23			.25			.26			.29			.29
Net gain (loss) on investments (realized and unrealized)		(2.43	)		.23			.09			.72			(.23	)
Total from investment operations		(2.20	)		.48			.35			1.01			.06
Less distributions from:
Net investment income		(.22	)		(.23	)		(.26	)		(.30	)		(.30	)
Net realized gains		(.06	)		(.02	)		—			(.04	)		—
Total distributions		(.28	)		(.25	)		(.26	)		(.34	)		(.30	)
Net asset value, end of period	$	10.97		$	13.45		$	13.22		$	13.13		$	12.46
Total Return		(16.61	%)		3.67	%		2.69	%		8.20	%		0.44	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	129		$	220		$	202		$	207		$	37
Ratios to average net assets:
Net investment income (loss)		1.81	%		1.83	%		1.96	%		2.25	%		2.32	%
Total expensesc		1.47	%		1.38	%		1.40	%		1.55	%		1.72	%
Net expensesd,e,f		0.79	%		0.80	%		0.81	%		0.81	%		0.80	%
Portfolio turnover rate		14	%		22	%		58	%		30	%		13	%

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

MUNICIPAL INCOME FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	13.46		$	13.23		$	13.13		$	12.46		$	12.71
Income (loss) from investment operations:
Net investment income (loss)a		.26			.28			.29			.33			.33
Net gain (loss) on investments (realized and unrealized)		(2.44	)		.24			.10			.71			(.25	)
Total from investment operations		(2.18	)		.52			.39			1.04			.08
Less distributions from:
Net investment income		(.25	)		(.27	)		(.29	)		(.33	)		(.33	)
Net realized gains		(.06	)		(.02	)		—			(.04	)		—
Total distributions		(.31	)		(.29	)		(.29	)		(.37	)		(.33	)
Net asset value, end of period	$	10.97		$	13.46		$	13.23		$	13.13		$	12.46
Total Return		(16.46	%)		3.93	%		3.03	%		8.48	%		0.61	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,629		$	12,772		$	13,406		$	13,970		$	9,067
Ratios to average net assets:
Net investment income (loss)		2.04	%		2.08	%		2.23	%		2.59	%		2.59	%
Total expensesc		0.98	%		0.96	%		1.00	%		1.08	%		1.09	%
Net expensesd,e,f		0.54	%		0.55	%		0.56	%		0.56	%		0.55	%
Portfolio turnover rate		14	%		22	%		58	%		30	%		13	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	9/30/22	9/30/21	9/30/20	9/30/19	9/30/18
A-Class	0.02%	—	0.00%*	0.00%*	—
C-Class	0.01%	—	0.00%*	—	—
P-Class	0.01%	—	0.00%*	—	—
Institutional Class	0.01%	—	0.00%*	—	—

* Less than 0.01%.

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	9/30/22	9/30/21	9/30/20	9/30/19	9/30/18
A-Class	0.78%	0.79%	0.80%	0.80%	0.80%
C-Class	1.53%	1.54%	1.55%	1.55%	1.55%
P-Class	0.78%	0.79%	0.80%	0.80%	0.80%
Institutional Class	0.53%	0.54%	0.55%	0.55%	0.55%

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. The High Yield Fund Offers R6-Class shares. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds.

As of January 1, 2012, A-Class, C-Class and Institutional Class shares of High Yield Fund are subject to a 2% redemption fee when shares are redeemed or exchanged within 90 days of purchase.

This report covers the following funds (collectively, the “Funds”):

Fund Name	Investment Company Type
Diversified Income Fund	Diversified
High Yield Fund	Diversified
Core Bond Fund	Diversified
Municipal Income Fund	Diversified

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“GPIM”), which operate under the name Guggenheim Investments, provides advisory services. Security Investors, LLC (or the “Adviser”) provides advisory services to High Yield Fund, Core Bond Fund, and Municipal Income Fund and GPIM (or the “Adviser”) provides advisory services to Diversified Income Fund.Guggenheim Partners Advisors, LLC (“GPA” or the “Sub-Adviser”) assists the Investment Adviser in the supervision and direction of the investment strategy of the High Yield Fund, Core Bond Fund and Municipal Income Fund in accordance with their investment policies. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI , GPA and GFD are affiliated entities. GPIM, an affiliate of GI, serves as investment sub-advisor (the “Sub-Adviser”) to the Municipal Income Fund and is responsible for the day-to-day management of the Fund’s portfolio.

Significant Accounting Policies

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

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

The NAV of each Class of a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

The Board of Trustees of the Funds (the “Board”) adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). The U.S. Securities and Exchange

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Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Funds with respect to all Fund investments and/or other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s nvestment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Funds’ securities and/or other assets.

Valuations of the Funds’ securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.

Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are generally valued at the last quoted sale price.

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

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing services.

Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Adviser.

Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued using a price provided by a pricing service.

Futures contracts are valued on the basis of the last sale price at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

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NOTES TO FINANCIAL STATEMENTS (continued)

The value of interest rate swap agreements entered into by a fund is valued on the basis of the last sale price on the primary exchange on which the swap is traded.

The values of other swap agreements entered into by a fund are generally valued using an evaluated price provided by a third party pricing vendor.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.

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

(b) U.S. Government and Agency Obligations

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

(c) Senior Floating Rate Interests and Loan Investments

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

The Funds invest in loans and other similar debt obligations (“obligations”). A portion of the Funds’ investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Funds may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Funds may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Funds are subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Funds may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(d) Interest on When-Issued Securities

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

(e) Short Sales

When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale.

(f) Options

Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than

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the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.

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

The Fund may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.

(g) Swap Agreements

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

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

(h) Currency Translations

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

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

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

(i) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

(j) Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2022, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

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NOTES TO FINANCIAL STATEMENTS (continued)

(k) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

Certain Funds may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Funds and included in interest income on the Statements of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

(l) Distributions

The Funds declare dividends from investment income daily, except for Diversified Income Fund, which declares monthly. Each Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.

(m) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

(n) Earnings Credits

Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2022, are disclosed in the Statements of Operations.

(o) Cash

The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 3.08% at September 30, 2022.

(p) Indemnifications

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

(q) Special Purpose Acquisition Companies

The Funds may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity

84 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Funds invest will complete an acquisition or that any acquisitions that are completed will be profitable.

Note 2 – Financial Instruments and Derivatives

As part of their investment strategy, the Funds may utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Short Sales

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

Derivatives

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

The Funds may utilize derivatives for the following purposes:

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

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

Options Purchased and Written

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

The following table represents the Funds’ use and volume of call/put options purchased on a monthly basis:

		Average Notional Amount
Fund	Use	Call		Put
Core Bond Fund	Duration, Hedge	$	509,175,000	$	35,282,731

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NOTES TO FINANCIAL STATEMENTS (continued)

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.

The following table represents the Funds’ use and volume of call/put options written on a monthly basis:

		Average Notional Amount
Fund	Use	Call		Put
Core Bond Fund	Duration, Hedge	$	32,834	$	33,320,216

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing OTC swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

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

The following table represents the Funds’ use and volume of interest rate swaps on a monthly basis:

		Average Notional Amount
Fund	Use	Pay Floating Rate		Receive Floating Rate
Core Bond Fund	Duration, Hedge	$	32,091,667	$	—
Municipal Income Fund	Duration, Hedge		1,400,000		10,712,500

Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

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The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following table represents the Funds’ use and volume of credit default swaps on a monthly basis:

		Average Notional Amount
Fund	Use	Protection Sold		Protection Purchased
High Yield	Index Exposure	$	—	$	1,426,167

Forward Foreign Currency Exchange Contracts

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

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

The following table represents the Funds’ use and volume of forward foreign currency exchange contracts on a monthly basis:

		Average Value
Fund	Use	Purchased		Sold
High Yield Fund	Hedge	$	54,623	$	6,283,188
Core Bond Fund	Hedge		239,248		11,757,043

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2022:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts
Interest rate on swap contracts	Unamortized upfront premiums paid on interest rate swap agreements Variation margin on interest rate swap agreements	Variation margin on interest rate swap agreements
Equity/Interest rate option contracts	Investments in unaffiliated issuers, at value	Options written, at value
Equity swap contracts	Unrealized appreciation on OTC swap agreements	Unrealized depreciation on OTC swap agreements

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The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2022:

Asset Derivative Investments Value
Fund	Swaps Interest Rate Risk*		Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2022
High Yield Fund	$	—	$	—	$	139,618	$	139,618
Core Bond Fund		—		9,494,360		220,450		9,714,810
Municipal Income Fund		2,172,541		—		—		2,172,541

Liability Derivative Investments Value
Fund	Swaps Interest Rate Risk*		Options Written Equity Risk		Option Written Interest Rate Risk		Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2022
Core Bond Fund	$	5,711,940	$	2,211,720	$	647,142	$	—	$	11,184	$	8,581,986
Municipal Income Fund		253,790		—		—		—		—		253,790

* Includes cumulative appreciation (depreciation) of OTC and centrally-cleared derivatives contracts as reported on the Schedules of Investments. For centrally-cleared derivatives, variation margin is reported within the Statements of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended September 30, 2022:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Equity/Interest rate option contracts	Net realized gain (loss) on options purchased
	Net change in unrealized appreciation (depreciation) on options purchased
	Net realized gain (loss) on options written
	Net change in unrealized appreciation (depreciation) on options written
Interest rate/Credit swap contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements
Currency forward contracts	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended September 30, 2022:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
Fund	Swaps Interest Rate Risk			Swaps Credit Risk		Options Written Equity Risk			Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk			Options Written Interest Rate Risk		Total
High Yield Fund	$	—		$	243,774	$	—		$	—	$	1,046,568	$	—		$	—	$	1,290,342
Core Bond Fund		(267,391	)		—		(2,473,926	)		6,583,854		2,059,346		(1,600,463	)		212,588		4,514,008
Municipal Income Fund		1,173,103			—		—			—		—		—			—		1,173,103

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NOTES TO FINANCIAL STATEMENTS (continued)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
Fund	Swaps Interest Rate Risk			Swaps Credit Risk		Options Written Equity Risk			Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk			Options Purchased Interest Rate Risk			Options Written Interest Rate Risk			Total
High Yield Fund	$	—		$	—	$	—		$	—	$	24,969		$	—		$	—		$	24,969
Core Bond Fund		(5,758,376	)		—		(766,372	)		3,197,691		(4,590	)		(1,961,620	)		(459,455	)		(5,752,722	)
Municipal Income Fund		1,261,849			—		—			—		—			—			—			1,261,849

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

Foreign Investments

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

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

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

Note 3 – Offsetting

In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs

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NOTES TO FINANCIAL STATEMENTS (continued)

OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Assets Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
High Yield Fund	Forward foreign currency exchange contracts	$	139,618	$	—	$	139,618	$	—		$	(113,597	)	$	26,021
Core Bond Fund	Forward foreign currency exchange contracts		220,450		—		220,450		(117,475	)		(102,975	)		—

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Liabilities Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Core Bond Fund	Forward foreign currency exchange contracts	$	11,184	$	—	$	11,184	$	(55	)	$	—	$	11,129
	Options written		647,142		—		647,142		(117,420	)		—		529,722

¹ Exchange traded and centrally-cleared derivatives are excluded from these reported amounts.

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NOTES TO FINANCIAL STATEMENTS (continued)

The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2022.

Fund	Counterparty	Asset Type	Cash Pledged		Cash Received
High Yield Fund	Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts	$	—	$	178,281
Core Bond Fund	BofA Securities, Inc.	Interest rate swap agreements		310,948		440,185
	Goldman Sachs International	Options		—		4,140,000
	Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts, Options		—		178,857
				310,948		4,759,042
Municipal Income Fund	BofA Securities, Inc.	Interest rate swap agreements		67,778		900

Note 4 – Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

Independent pricing services are used to value a majority of the Funds’ investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Funds’ assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Funds’ assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Funds may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

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NOTES TO FINANCIAL STATEMENTS (continued)

The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

Note 5 – Investment Advisory Agreement and Other Agreements

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

Fund	Management Fees (as a % of Net Assets)
Diversified Income Fund		0.75	%
High Yield Fund		0.60	%
Core Bond Fund		0.39	%
Municipal Income Fund		0.50	%

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

Pursuant to Investment Sub-Advisory Agreements between the Investment Adviser and GPA, GPA, under the oversight supervision of the Board and the Investment Adviser, assists the Investment Adviser in the supervision and direction of the investment strategy of the High Yield Fund, Core Bond Fund and Municipal Income Fund in accordance with their investment policies. As compensation for its services, the Investment Adviser pays GPA a fee, payable monthly, in an amount equal to 0.005% of the average daily net assets of these Funds.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

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

	Limit			Effective Date		Contract End Date
Diversified Income Fund - A-Class		1.30	%		01/29/16		02/01/24
Diversified Income Fund - C-Class		2.05	%		01/29/16		02/01/24
Diversified Income Fund - P-Class		1.30	%		01/29/16		02/01/24
Diversified Income Fund - Institutional Class		1.05	%		01/29/16		02/01/24
High Yield Fund - A-Class		1.16	%		11/30/12		02/01/24
High Yield Fund - C-Class		1.91	%		11/30/12		02/01/24
High Yield Fund - P-Class		1.16	%		05/01/15		02/01/24
High Yield Fund - Institutional Class		0.91	%		11/30/12		02/01/24
High Yield Fund - R6-Class		0.91	%		05/15/17		02/01/24
Core Bond Fund - A-Class		0.79	%		11/30/12		02/01/24
Core Bond Fund - C-Class		1.54	%		11/30/12		02/01/24
Core Bond Fund - P-Class		0.79	%		05/01/15		02/01/24
Core Bond Fund - Institutional Class		0.50	%		11/30/12		02/01/24
Municipal Income Fund - A-Class		0.80	%		11/30/12		02/01/24
Municipal Income Fund - C-Class		1.55	%		11/30/12		02/01/24
Municipal Income Fund - P-Class		0.80	%		05/01/15		02/01/24
Municipal Income Fund - Institutional Class		0.55	%		11/30/12		02/01/24

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NOTES TO FINANCIAL STATEMENTS (continued)

GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2022, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

Fund	2023		2024		2025		Total
Diversified Income Fund
A-Class	$	7,853	$	8,022	$	7,429	$	23,304
C-Class		13,188		5,885		13,460		32,533
P-Class		3,667		3,708		5,940		13,315
Institutional Class		161,912		164,958		140,525		467,395
High Yield Fund
A-Class		—		—		12,019		12,019
C-Class		—		—		4,615		4,615
P-Class		997		1,534		5,764		8,295
Institutional Class		—		—		74,642		74,642
R6-Class		—		—		151		151
Core Bond Fund
A-Class		101,962		98,028		35,811		235,801
C-Class		20,037		23,013		19,268		62,318
P-Class		60,229		82,001		114,700		256,930
Institutional Class		633,157		1,336,675		1,278,995		3,248,827
Municipal Income Fund
A-Class		194,998		233,041		204,036		632,075
C-Class		8,471		7,997		6,810		23,278
P-Class		1,347		1,251		1,160		3,758
Institutional Class		57,034		57,993		39,988		155,015

For the year ended September 30, 2022, GI recouped amounts from the Funds as follows:

High Yield Fund	$	33,644
Core Bond Fund		8,307
Municipal Income Fund		9,194

If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2022, the following Funds waived fees related to investments in affiliated funds:

Fund	Amount Waived
Diversified Income Fund	$	46,868

For the year ended September 30, 2022, GFD retained sales charges of $144,088 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Funds’ custodian. As custodian, BNY is responsible for the custody of the Funds’ assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Funds’ average daily net assets

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NOTES TO FINANCIAL STATEMENTS (continued)

and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

At September 30, 2022, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:

Fund	Percent of Outstanding Shares Owned
Diversified Income Fund	86%

Note 6 – Reverse Repurchase Agreements

Each of the Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.

For the year ended September 30, 2022, the Funds entered into reverse repurchase agreements:

Fund	Number of Days Outstanding		Balance at September 30, 2022			Average Balance Outstanding		Average Interest Rate
High Yield Fund		365	$	1,608,982		$	3,043,683		-1.57	%
Core Bond Fund		256		—	*		59,009,915		0.09	%
Municipal Income Fund		21		—	*		734,988		1.37	%

* As of September 30, 2022, the Core Bond Fund and the Municipal Income Fund had no open reverse repurchase agreements.

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP.

								Gross Amounts Not Offset in the Statement of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Assets Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
High Yield Fund	Reverse Repurchase Agreements	$	1,608,982	$	—	$	1,608,982	$	(1,608,982	)	$	—	$	—

As of September 30, 2022, the High Yield Fund had $1,608,982 in reverse repurchase agreements outstanding with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

Fund	Counterparty	Interest Rate(s)		Maturity Date	Face Value
High Yield Fund	Credit Suisse Securities (USA) LLC	(1.25%)*	Open Maturity		$	1,608,982

* The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread.

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NOTES TO FINANCIAL STATEMENTS (continued)

The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of year-end, as aggregated by asset class of the related collateral pledged by the Funds:

Fund		Asset Type	Overnight and Continuous		Total
High Yield Fund	Corporate Bonds		$	1,608,982	$	1,608,982
Gross amount of recoginized liabilities for reverse repurchase agreements			$	1,608,982	$	1,608,982

Note 7 – Federal Income Tax Information

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

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

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Tax-Exempt Income		Return of Capital		Total Distributions
Diversified Income Fund	$	291,747	$	30,849	$	—	$	—	$	322,596
High Yield Fund		13,484,967		—		—		467,010		13,951,977
Core Bond Fund		49,456,388		13,626,451		—		—		63,082,839
Municipal Income Fund		—		316,286		1,118,374		—		1,434,660

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Tax-Exempt Income		Return of Capital		Total Distributions
Diversified Income Fund	$	238,449	$	—	$	—	$	—	$	238,449
High Yield Fund		17,921,274		—		—		1,070,238		18,991,512
Core Bond Fund		65,247,275		8,427,954		—		—		73,675,229
Municipal Income Fund		—		111,351		1,376,752		—		1,488,103

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:

Fund	Undistributed Ordinary Income			Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
Diversified Income Fund	$	378,365		$	10,474	$	(1,215,190	)	$	—		$	(18,027	)	$	(844,378	)
High Yield Fund		—			—		(33,385,059	)		(26,442,125	)		(830,825	)		(60,658,009	)
Core Bond Fund		3,188,924			—		(249,261,909	)		(31,709,153	)		(3,840,956	)		(281,623,094	)
Municipal Income Fund		780,487	*		—		(9,070,097	)		—			(122,908	)		(8,412,518	)

* For Municipal Income Fund, the amount shown includes Undistributed Tax-Exempt Income of $98,976.

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NOTES TO FINANCIAL STATEMENTS (continued)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, capital loss carryforwards for the Funds were as follows:

	Unlimited						Total Capital Loss
Fund	Short-Term			Long-Term			Carryforward
High Yield Fund	$	(1,747,079	)	$	(24,539,625	)	$	(26,286,704	)
Core Bond Fund		(30,452,528	)		(1,256,625	)		(31,709,153	)

For the year ended September 30, 2022, the following capital loss carryforward amounts were utilized:

Fund	Utilized
Diversified Income Fund	$	7,145

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements, partnerships and CLO securities, foreign currency gains and losses, the “mark-to-market” of certain derivatives, losses deferred due to wash sales, the deferral of qualified late-year losses, reclassification of distributions, distributions in connection with redemption of fund shares, dividends payable, and the “mark-to-market” of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization, paydown reclasses, income accruals on certain investments, and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Statements of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences:

Fund	Paid In Capital		Total Distributable Earnings/(Loss)
Diversified Income Fund	$	51,524	$	(51,524	)
Core Bond Fund		161,266		(161,266	)
Municipal Income Fund		196,967		(196,967	)

At September 30, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
Diversified Income Fund	$	8,442,490	$	56,103	$	(1,271,293	)	$	(1,215,190	)
High Yield Fund		206,976,766		—		(33,371,838	)		(33,371,838	)
Core Bond Fund		1,592,360,983		2,289,398		(251,461,996	)		(249,172,598	)
Municipal Income Fund		60,989,350		2,239,252		(11,309,349	)		(9,070,097	)

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NOTES TO FINANCIAL STATEMENTS (continued)

Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2022, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2022:

Fund	Ordinary			Capital
High Yield Fund	$	(155,421	)	$	—

Note 8 – Securities Transactions

For the year ended September 30, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Fund	Purchases		Sales
Diversified Income Fund	$	2,552,875	$	957,539
High Yield Fund		108,688,227		268,291,431
Core Bond Fund		230,472,971		367,869,812
Municipal Income Fund		8,785,685		21,952,883

For the year ended September 30, 2022, the cost of purchases and proceeds from sales of government securities were as follows:

Fund	Purchases		Sales
Core Bond Fund	$	450,481,453	$	409,252,108

The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2022, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Fund	Purchases		Sales		Realized Gain (Loss)
High Yield Fund	$	8,351,757	$	89,206,998	$	(2,651,089	)
Core Bond Fund		7,887,729		9,126,767		(979,620	)

Note 9 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of September 30, 2022. The Funds are obligated to fund these loan commitments at the borrower’s discretion.

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NOTES TO FINANCIAL STATEMENTS (continued)

The unfunded loan commitments as of September 30, 2022, were as follows:

Fund	Borrower	Maturity Date		Face Amount		Value
High Yield Fund
	Confluent Health LLC		11/30/28	$	64,602	$	8,075
	TGP Holdings LLC		06/29/28		21,547		4,673
				$	86,149	$	12,748
Core Bond Fund
	CTL Logistics		08/10/42		357,219		83,546
	KKR Core Holding Company LLC		07/15/31		1,050,000		—
	Lightning A Unfunded		03/01/37		2,316,222		—
	Service Logic Acquisition, Inc.		10/29/27		11,037		703
	Thunderbird A Unfunded		03/01/37		2,280,667		—
				$	6,015,145	$	84,249

Note 10– Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Fund	Restricted Securities	Acquisition Date		Cost		Value
High Yield Fund	Mirabela Nickel Ltd.
	due 06/24/192		12/31/13	$	252,369	$	13,906
Core Bond Fund	Central Storage Safety Project Trust
	4.82% due 02/01/38		03/20/18	$	932,290	$	778,701
	Copper River CLO Ltd.
	2007-1A INC, due 01/20/211		05/09/14		—		294
				$	932,290	$	778,995

1	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
2	Security is in default of interest and/or principal obligations.

Note 11 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.

Note 12 – Market Risks

The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of

98 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Funds in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.

Note 13 – Subsequent Events

The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 99

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders of Guggenheim Diversified Income Fund, Guggenheim High Yield Fund, Guggenheim Core Bond Fund and Guggenheim Municipal Income Fund and the Board of Trustees of Guggenheim Funds Trust

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Guggenheim Diversified Income Fund, Guggenheim High Yield Fund, Guggenheim Core Bond Fund and Guggenheim Municipal Income Fund (collectively referred to as the “Funds”), (four of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedules of investments, as of September 30, 2022, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (four of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 29, 2022

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OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.

The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Municipal Income Fund designates $1,118,374 as tax-exempt interest income according to IRC Section 852(b)(5)(A).

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See the qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Fund	Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income			Qualified Short-Term Capital Gain
Diversified Income Fund		5.82	%		2.37	%		28.24	%		0.00	%
High Yield Fund		2.48	%		1.99	%		86.27	%		0.00	%
Core Bond Fund		3.53	%		2.71	%		84.58	%		100.00	%

With respect to the taxable year ended September 30, 2022, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:

Fund	From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
Diversified Income Fund	$	30,849	$	51,524
Core Bond Fund		13,626,451		—
Municipal Income Fund		316,286		145,701

Guggenheim Partners Advisors, LLC

The Investment Adviser(s) engaged Guggenheim Partners Advisors, LLC to provide investment sub-advisory services to Guggenheim High Yield Fund, Guggenheim Core Bond Fund, and Guggenheim Municipal Income Fund, effective April 29, 2022. Guggenheim Partners Advisors, LLC assists the applicable Investment Adviser in the supervision and direction of the investment strategy of the Fund in accordance with the Fund’s investment objectives, policies, and restrictions. The Investment Adviser, and not the Fund, compensates Guggenheim Partners Advisors, LLC for these services.

Delivery of Shareholder Reports

Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

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OTHER INFORMATION (Unaudited)(continued)

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Funds’ voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

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OTHER INFORMATION (Unaudited)(continued)

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)	● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
● Guggenheim Core Bond Fund (“Core Bond Fund”)	● Guggenheim Diversified Income Fund (“Diversified Income Fund”)
● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)	● Guggenheim High Yield Fund (“High Yield Fund”)
● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)	● Guggenheim Limited Duration Fund (“Limited Duration Fund”)
● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)	● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)
● Guggenheim Municipal Income Fund (“Municipal Income Fund”)	● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)
● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)	● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)
● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)	● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)	● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)
● Guggenheim World Equity Income Fund (“World Equity Income Fund”)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

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OTHER INFORMATION (Unaudited)(continued)

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.
2	The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
3	Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.

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OTHER INFORMATION (Unaudited)(continued)

At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund, Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).⁴ Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.⁵

4

On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting.

5

Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements.

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OTHER INFORMATION (Unaudited)(continued)

As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.

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OTHER INFORMATION (Unaudited)(continued)

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.

Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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OTHER INFORMATION (Unaudited)(continued)

In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

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OTHER INFORMATION (Unaudited)(continued)

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreements

Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

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OTHER INFORMATION (Unaudited)(concluded)

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.

Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.

110 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Member, Board of Directors, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present); Vice Chairman, VettaFi (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020).
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager.

114 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and President of Mutual Funds Boards, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since August 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).

THE GUGGENHEIM FUNDS ANNUAL REPORT | 115

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

116 | THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 117

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

118 | THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 119

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.

Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

120 | THE GUGGENHEIM FUNDS ANNUAL REPORT

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9.30.2022

Guggenheim Funds Annual Report

Guggenheim SMid Cap Value Fund

GuggenheimInvestments.com SBMCV-ANN-0922x0923

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
GUGGENHEIM SMID CAP VALUE FUND	11
NOTES TO FINANCIAL STATEMENTS	26
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	35
OTHER INFORMATION	37
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	52
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	60
LIQUIDITY RISK MANAGEMENT PROGRAM	64

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2022

Dear Shareholder:

Security Investors, LLC (the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim SMid Cap Value Fund (the “Fund”) for the annual fiscal period ended September 30, 2022.

The Investment Adviser is 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 Adviser.

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

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

Sincerely,

Security Investors, 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.

The SMid 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. ● Investments in small- and/or mid-sized company securities may present additional risks such as less predictable earnings, higher volatility and less liquidity than larger, more established companies. ● Please read the prospectus for more detailed information regarding these and other risks.

2 | 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 GUGGENHEIM FUNDS ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2022

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.

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.

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.

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

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.

4 | 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 Fund’s costs in two ways:

Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the 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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

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 Fund’s 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 Fund’s prospectus.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1			Fund Return			Beginning Account Value March 31, 2022		Ending Account Value September 30, 2022		Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class		1.18	%		(15.16	%)	$	1,000.00	$	848.40	$	5.47
C-Class		2.02	%		(15.49	%)		1,000.00		845.10		9.34
P-Class		1.23	%		(15.18	%)		1,000.00		848.20		5.70
Institutional Class		1.00	%		(15.12	%)		1,000.00		848.80		4.63
Table 2. Based on hypothetical 5% return (before expenses)
A-Class		1.18	%		5.00	%	$	1,000.00	$	1,019.15	$	5.97
C-Class		2.02	%		5.00	%		1,000.00		1,014.94		10.20
P-Class		1.23	%		5.00	%		1,000.00		1,018.90		6.23
Institutional Class		1.00	%		5.00	%		1,000.00		1,020.05		5.06

1	Annualized and excludes expenses of the underlying funds in which the Fund invests, 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 | 7

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Guggenheim SMid Cap Value Fund (the “Fund”) is managed by a team of seasoned professionals led by James Schier, CFA, Senior Managing Director and Portfolio Manager; David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, 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 -8.08%¹, outperforming the Russell 2500 Value Index (“Index”), the Fund’s benchmark, which returned -15.35% for the same period.

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

After a positive start during the early months of the strategy’s fiscal year, the market as a whole came under pressure as the Federal Reverse (the “Fed”) strove to contain inflation by raising interest rates at the same time that the market had to deal with the uncertainty over the Ukraine invasion. The Fund’s general focus towards quality companies (those with better balance sheets than peers) that meet our valuation parameters tended to position the holdings well in most sectors. In fact, stock selection relative to the benchmark was only a negative in one of eleven sectors.

Stock selection within the Financials sector was the most significant positive contributor during the year. The Fund’s holdings in this sector gained 4.2% versus a 11.8% decline in the benchmark. First Horizon (a regional bank based in Memphis) gained 43% after receiving a takeover offer from Toronto-Dominion Bank. Another merger impacted Allegheny Corp. (primarily a reinsurance company), which received a merger offer from Berkshire Hathaway and gained more than 34%. Another significant contributor, UNUM Group, gained more than 61%. Unum Group, a supplemental disability and health insurance company, benefited from lower COVID-19 related disability claims and strong payroll growth, given strong employment levels throughout the year. In addition, the reserves set aside for the closed long-term care book of business benefited from the higher fixed income rates brought about during the year.

Stock selection within the Health Care sector was the second-most significant positive development, as the Fund’s holdings in this sector declined 9.3% versus 26.7% in the benchmark. Evolent Health, Inc. gained more than 15%. Evolent Health, Inc., a software company that develops cost-effective, high quality health care delivery and payment models, has had a successful year in booking new clients.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(continued) September 30, 2022

The third most significant attribute in the Reporting Period was the Fund’s underweighting and selection in the Consumer Discretionary sector. An average underweighting of 1.9% during the year helped cushion a 31.8% decline in the benchmark. Stock selection also helped, as the strategy’s holdings only fell 25.3%. LKQ Corp., which provides collision replacement parts in the U.S. and is an automotive parts distributor in Europe, was a significant holding in the sector and gained 7.6% on strong earnings results. The Energy sector was a close runner-up in performance contribution as well. The Fund’s slight Energy overweighting (the strategy had an average weighting of 7.0% versus 6.2%) was magnified by the significant outperformance the sector recorded. Energy was only one of two sectors that posted positive returns during the Reporting Period and dwarfed the returns elsewhere in advancing 40.7%. The Fund’s holdings in this sector gained more than 44%. A focus on oil and gas exploration and development companies among the Fund’s holdings was a key to success.

There was only one sector in which stock selection underperformed the benchmark. The biggest drawback occurred in Information Technology, where the sector provided a negative return of 32% versus a negative return of 21% for the benchmark. Selection was difficult in semiconductors. Generally, the Fund was exposed to companies that either had supply chain issues or were exposed to the wrong end-markets. Qorvo, Inc., Power Integrations, Inc., and Silicon Laboratories, Inc. declined 30%, 23%, and 14%, respectively, while a lack of exposure to companies with end-markets in auto and solar was detrimental. A slight overweighting and adverse selection in communications equipment companies was also significant, as Ciena Corp. and Infinera Corp. declined more than 47% and 49%, respectively. Supply chain disruption created operational havoc for both companies, as they had difficulty procuring enough parts to make timely shipment of strong order demand.

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

The market outlook is unusually cloudy at the end of the Reporting Period. In addition to the geopolitical uncertainty that appears to be potentially significant, the market must contend with a hawkish Fed. Together, this provides a challenging environment for economic growth. All of this, however, does not change our investment process which is heavily bottom-up driven.

With that said, the Fund’s largest overweightings can be found in the Industrials, Materials, and Consumer Staples sectors. Among the Industrials holdings, opportunities appear abundant especially among truckers and building products and distributors. In Materials, we find there are many self-help situations in the chemical industry (opportunities companies possess to generate earnings growth that are not dependent on general macroeconomic conditions; these opportunities could include cost cutting, asset redeployment, or share repurchases). Many of these companies also benefit from beneficial, low-cost North American natural gas feed stock costs. The strategy also has an overweighting among packaging companies. Among Consumer Staples, the strategy has a significant presence in agricultural products with overweightings in Bunge and Ingredion.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2022

The strategy’s largest underweighting to the benchmark can be found in the Consumer Discretionary (5% versus 10.3%), Financials (18.5 versus 22.3%), and REITS (7.8% versus 11.60%) sectors. Generally, in the Consumer Discretionary sector, many companies appear to be operating at near-peak profitability levels, while consumer spending should be nearing an inflection point or plateauing at best. Among the Financials sector, the Fund’s weighting is among insurance and banks, but the Fund lacks exposure among more market-sensitive sub-industries, such as exchanges, asset managers, and mortgage real estate investment trusts (“REITs”). Among property REITs, we are generally leery of overall leverage levels among companies that must roll over debt at ever higher interest rates.

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.

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

GUGGENHEIM SMID CAP VALUE 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	May 1, 1997
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	January 3, 2020

Ten Largest Holdings (% of Total Net Assets)
Pioneer Natural Resources Co.	4.4%
Unum Group	2.5%
Evolent Health, Inc. — Class A	2.5%
Bunge Ltd.	2.2%
Prosperity Bancshares, Inc.	2.0%
Ingredion, Inc.	2.0%
OGE Energy Corp.	1.9%
Physicians Realty Trust	1.6%
BOK Financial Corp.	1.6%
Graphic Packaging Holding Co.	1.6%
Top Ten Total	22.3%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

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	(8.08%)	5.06%	8.50%
A-Class Shares with sales charge‡	(12.46%)	4.05%	7.97%
C-Class Shares	(8.85%)	4.22%	7.65%
C-Class Shares with CDSC§	(9.67%)	4.22%	7.65%
Institutional Class Shares1	(7.93%)	5.38%	8.81%
Russell 2500 Value Index	(15.35%)	3.78%	8.41%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	(8.16%)	5.00%	6.67%
Russell 2500 Value Index	(15.35%)	3.78%	5.40%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2500 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to difference in fee structures.
1	The Institutional Class shares commenced operations on January 3, 2020 in connection with the reorganization of the SMid Cap Value Institutional Fund. The performance of the Institutional Class shares of the Fund for periods prior to January 3, 2020 reflects the performance of the Guggenheim SMid Cap Value Institutional Fund. The returns for the SMid Cap Value Institutional Fund have not been restated to reflect the fees and expenses applicable to the Institutional Class shares of the Fund.
‡	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.

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2022
SMID CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 96.6%
Financial - 26.4%
Unum Group		228,069	$	8,849,077
Prosperity Bancshares, Inc.		108,788		7,253,984
Physicians Realty Trust REIT		382,791		5,757,177
BOK Financial Corp.		64,412		5,723,650
First Merchants Corp.		132,480		5,124,327
VICI Properties, Inc. REIT		165,679		4,945,518
Alexandria Real Estate Equities, Inc. REIT		33,157		4,648,280
Alleghany Corp.*		4,862		4,081,017
Old Republic International Corp.		178,191		3,729,538
Axis Capital Holdings Ltd.		70,346		3,457,506
Sun Communities, Inc. REIT		24,554		3,322,893
Stifel Financial Corp.		61,030		3,168,067
Old National Bancorp		186,883		3,077,963
Voya Financial, Inc.		50,320		3,044,360
KeyCorp		168,845		2,704,897
Apple Hospitality REIT, Inc.		191,498		2,692,462
First American Financial Corp.		57,283		2,640,746
Heartland Financial USA, Inc.		48,817		2,116,705
Gaming and Leisure Properties, Inc. REIT		46,248		2,046,011
Trustmark Corp.		64,832		1,985,804
Hancock Whitney Corp.		42,714		1,956,728
Wintrust Financial Corp.		23,588		1,923,602
Texas Capital Bancshares, Inc.*		31,945		1,885,713
First Hawaiian, Inc.		76,443		1,882,791
STAG Industrial, Inc. REIT		62,191		1,768,090
Medical Properties Trust, Inc. REIT		124,560		1,477,282
Park Hotels & Resorts, Inc. REIT		119,020		1,340,165
United Community Banks, Inc.		27,510		910,581
Heritage Insurance Holdings, Inc.*		174,400		394,144
Total Financial				93,909,078
Industrial - 22.6%
Graphic Packaging Holding Co.		279,720		5,521,673
Kirby Corp.*		90,242		5,484,006
Curtiss-Wright Corp.		37,616		5,234,642
Valmont Industries, Inc.		18,655		5,011,106
Knight-Swift Transportation Holdings, Inc.		99,408		4,864,033
Littelfuse, Inc.		23,620		4,693,058
Arcosa, Inc.		81,506		4,660,513
MDU Resources Group, Inc.		160,895		4,400,478
Johnson Controls International plc		76,754		3,777,832
PGT Innovations, Inc.*		161,297		3,380,785
Terex Corp.		111,278		3,309,408
Daseke, Inc.*		576,933		3,121,208
Enovis Corp.*		63,654		2,932,540
Altra Industrial Motion Corp.		75,605		2,541,840
Zurn Elkay Water Solutions Corp.		102,246		2,505,027
GATX Corp.		27,068		2,304,840
Plexus Corp.*		22,485		1,968,787
Sonoco Products Co.		34,129		1,936,138
Advanced Energy Industries, Inc.		24,186		1,872,238
Summit Materials, Inc. — Class A*		75,831		1,816,911
Stoneridge, Inc.*		104,064		1,763,885

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
SMID CAP VALUE FUND

	Shares		Value
Mercury Systems, Inc.*		40,373	$	1,639,144
EnerSys		26,876		1,563,377
Park Aerospace Corp.		126,141		1,392,597
Esab Corp.		41,571		1,386,809
Coherent Corp.*		37,023		1,290,251
Total Industrial				80,373,126
Consumer, Non-cyclical - 11.2%
Bunge Ltd.		95,532		7,888,077
Ingredion, Inc.		87,551		7,049,607
Henry Schein, Inc.*		59,134		3,889,243
Central Garden & Pet Co. — Class A*		100,456		3,431,577
Encompass Health Corp.		72,511		3,279,673
Prothena Corporation plc*		49,434		2,997,184
Tyson Foods, Inc. — Class A		44,697		2,946,873
Integer Holdings Corp.*		30,040		1,869,389
Quest Diagnostics, Inc.		15,093		1,851,760
Euronet Worldwide, Inc.*		20,487		1,552,095
Jazz Pharmaceuticals plc*		7,906		1,053,791
Ironwood Pharmaceuticals, Inc. — Class A*		101,303		1,049,499
ICF International, Inc.		8,810		960,466
Total Consumer, Non-cyclical				39,819,234
Consumer, Cyclical - 9.3%
MSC Industrial Direct Company, Inc. — Class A		75,691		5,511,062
H&E Equipment Services, Inc.		143,776		4,074,612
DR Horton, Inc.		57,992		3,905,761
Methode Electronics, Inc.		102,055		3,791,343
Alaska Air Group, Inc.*		75,819		2,968,314
Ralph Lauren Corp. — Class A		31,603		2,684,043
Leggett & Platt, Inc.		52,314		1,737,871
Marriott Vacations Worldwide Corp.		13,418		1,635,117
Whirlpool Corp.		11,942		1,609,901
PVH Corp.		28,203		1,263,494
Newell Brands, Inc.		82,513		1,146,106
Lakeland Industries, Inc.*		82,219		947,985
UniFirst Corp.		5,406		909,451
Meritage Homes Corp.*		12,155		854,132
Total Consumer, Cyclical				33,039,192
Technology - 8.1%
Evolent Health, Inc. — Class A*		244,973		8,801,880
Science Applications International Corp.		54,403		4,810,857
Teradyne, Inc.		59,776		4,492,166
Leidos Holdings, Inc.		45,214		3,954,869
MACOM Technology Solutions Holdings, Inc.*		50,130		2,596,233
Silicon Laboratories, Inc.*		20,880		2,577,427
Power Integrations, Inc.		25,140		1,617,005
Total Technology				28,850,437
Basic Materials - 7.0%
Westlake Corp.		54,340		4,721,059
Huntsman Corp.		189,411		4,648,146
Reliance Steel & Aluminum Co.		22,854		3,985,966
Ashland, Inc.		41,548		3,945,814
Avient Corp.		109,330		3,312,699
Nucor Corp.		22,336		2,389,729

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
SMID CAP VALUE FUND

	Shares		Value
Element Solutions, Inc.		109,035	$	1,773,999
Total Basic Materials				24,777,412
Energy - 5.9%
Pioneer Natural Resources Co.		72,588		15,717,479
Diamondback Energy, Inc.		16,407		1,976,387
Kinder Morgan, Inc.		112,598		1,873,631
Patterson-UTI Energy, Inc.		116,563		1,361,456
HydroGen Corp.*,†††,1		1,265,700		2
Total Energy				20,928,955
Utilities - 3.8%
OGE Energy Corp.		186,889		6,813,973
Black Hills Corp.		52,292		3,541,737
Pinnacle West Capital Corp.		26,603		1,716,160
Spire, Inc.		22,032		1,373,254
Total Utilities				13,445,124
Communications - 2.3%
Fox Corp. — Class B		126,041		3,592,168
Ciena Corp.*		60,437		2,443,468
Infinera Corp.*		483,496		2,340,121
Total Communications				8,375,757
Total Common Stocks
(Cost $330,556,084)				343,518,315
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
Thermoenergy Corp.*,2		1,652,084		483
Total Convertible Preferred Stocks
(Cost $1,577,635)				483
RIGHTS† - 0.1%
Basic Materials - 0.1%
Pan American Silver Corp.		516,551		297,533
Total Rights
(Cost $—)				297,533
MONEY MARKET FUND† - 4.3%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%3		15,222,872		15,222,872
Total Money Market Fund
(Cost $15,222,872)				15,222,872
Total Investments - 101.0%
(Cost $347,356,591)			$	359,039,203
Other Assets & Liabilities, net - (1.0)%				(3,464,232	)
Total Net Assets - 100.0%			$	355,574,971

*	Non-income producing security.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Affiliated issuer.
2	PIPE (Private Investment in Public Equity) - Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
3	Rate indicated is the 7-day yield as of September 30, 2022.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
SMID CAP VALUE FUND

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	$	343,518,313	$	—	$	2	$	343,518,315
Convertible Preferred Stocks		—		—		483		483
Rights		297,533		—		—		297,533
Money Market Fund		15,222,872		—		—		15,222,872
Total Assets	$	359,038,718	$	—	$	485	$	359,039,203

Affiliated Transactions

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

Transactions during the year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/21		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Value 09/30/22		Shares 09/30/22
Common Stock
HydroGen Corp. *	$	2	$	—	$	—	$	—	$	—	$	2		1,265,700

* Non-income producing security.

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

STATEMENT OF ASSETS AND LIABILITIES

SMID CAP VALUE FUND

September 30, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $347,354,060)	$	359,039,201
Investments in affiliated issuers, at value (cost $2,531)		2
Prepaid expenses		35,405
Receivables:
Securities sold		2,460,136
Dividends		478,850
Interest		24,206
Fund shares sold		13,395
Foreign tax reclaims		302
Total assets		362,051,497
Liabilities:
Overdraft due to custodian bank		5,883
Payable for:
Securities purchased		5,821,536
Management fees		233,260
Transfer agent/maintenance fees		136,506
Fund shares redeemed		102,556
Distribution and service fees		63,521
Due to Investment Adviser		27,648
Fund accounting/administration fees		7,090
Trustees’ fees*		2,928
Miscellaneous		75,598
Total liabilities		6,476,526
Net assets	$	355,574,971
Net assets consist of:
Paid in capital	$	311,827,589
Total distributable earnings (loss)		43,747,382
Net assets	$	355,574,971
A-Class:
Net assets	$	262,942,859
Capital shares outstanding		8,069,910
Net asset value per share	$	32.58
Maximum offering price per share (Net asset value divided by 95.25%)	$	34.20
C-Class:
Net assets	$	5,255,809
Capital shares outstanding		257,527
Net asset value per share	$	20.41
P-Class:
Net assets	$	5,584,048
Capital shares outstanding		172,907
Net asset value per share	$	32.30
Institutional Class:
Net assets	$	81,792,255
Capital shares outstanding		9,107,275
Net asset value per share	$	8.98

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

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

STATEMENT OF OPERATIONS

SMID CAP VALUE FUND

Year Ended September 30, 2022

Investment Income:
Dividends from securities of unaffiliated issuers	$	8,864,953
Interest		69,487
Total investment income		8,934,440
Expenses:
Management fees		3,131,103
Distribution and service fees:
A-Class		772,819
C-Class		76,835
P-Class		16,766
Transfer agent/maintenance fees:
A-Class		221,528
C-Class		17,181
P-Class		11,221
Institutional Class		122,930
Fund accounting/administration fees		256,988
Professional fees		50,749
Trustees’ fees*		16,728
Line of credit fees		12,029
Custodian fees		9,518
Miscellaneous		156,619
Recoupment of previously waived fees:
A-Class		27,920
C-Class		142
P-Class		1,103
Institutional Class		1,673
Total expenses		4,903,852
Less:
Expenses reimbursed by Adviser:
A-Class		(27,798	)
C-Class		(5,061	)
P-Class		(2,700	)
Institutional Class		(23,422	)
Earnings credits applied		(65	)
Total waived/reimbursed expenses		(59,046	)
Net expenses		4,844,806
Net investment income		4,089,634
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		35,337,758
Net realized gain		35,337,758
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(69,238,366	)
Net change in unrealized appreciation (depreciation)		(69,238,366	)
Net realized and unrealized loss		(33,900,608	)
Net decrease in net assets resulting from operations	$	(29,810,974	)

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

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

STATEMENTS OF CHANGES IN NET ASSETS

SMID CAP VALUE FUND

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	4,089,634		$	2,278,536
Net realized gain on investments		35,337,758			49,091,986
Net change in unrealized appreciation (depreciation) on investments		(69,238,366	)		89,702,415
Net increase (decrease) in net assets resulting from operations		(29,810,974	)		141,072,937
Distributions to shareholders:
A-Class		(21,330,395	)		—
C-Class		(847,652	)		—
P-Class		(452,599	)		—
Institutional Class		(20,988,300	)		—
Total distributions to shareholders		(43,618,946	)		—
Capital share transactions:
Proceeds from sale of shares
A-Class		11,484,211			20,445,417
C-Class		480,284			1,277,246
P-Class		1,019,491			858,767
Institutional Class		19,826,586			31,236,075
Distributions reinvested
A-Class		20,707,053			—
C-Class		813,998			—
P-Class		452,599			—
Institutional Class		16,362,390			—
Cost of shares redeemed
A-Class		(41,110,959	)		(54,126,198	)
C-Class		(4,830,625	)		(11,088,501	)
P-Class		(1,852,112	)		(4,270,396	)
Institutional Class		(23,566,323	)		(21,979,519	)
Net decrease from capital share transactions		(213,407	)		(37,647,109	)
Net increase (decrease) in net assets		(73,643,327	)		103,425,828
Net assets:
Beginning of year		429,218,298			325,792,470
End of year	$	355,574,971		$	429,218,298

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

SMID CAP VALUE FUND

	Year Ended September 30, 2022			Year Ended September 30, 2021
Capital share activity:
Shares sold
A-Class		307,454			561,341
C-Class		19,865			52,040
P-Class		27,573			23,190
Institutional Class		1,899,357			2,623,977
Shares issued from reinvestment of distributions
A-Class		569,188			—
C-Class		35,484			—
P-Class		12,544			—
Institutional Class		1,634,604			—
Shares redeemed
A-Class		(1,104,633	)		(1,516,668	)
C-Class		(200,888	)		(473,341	)
P-Class		(50,585	)		(133,809	)
Institutional Class		(2,235,401	)		(1,907,686	)
Net increase (decrease) in shares		914,562			(770,956	)

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

FINANCIAL HIGHLIGHTS

SMID CAP VALUE FUND

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

A-Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018
Per Share Data
Net asset value, beginning of period	$	38.00		$	26.27		$	30.52		$	36.20		$	35.37
Income (loss) from investment operations:
Net investment income (loss)a		.36			.19			.46			.22			.06
Net gain (loss) on investments (realized and unrealized)		(3.16	)		11.54			(3.37	)		(1.89	)		3.37
Total from investment operations		(2.80	)		11.73			(2.91	)		(1.67	)		3.43
Less distributions from:
Net investment income		(.10	)		—			(.26	)		(.03	)		—
Net realized gains		(2.52	)		—			(1.04	)		(3.98	)		(2.60	)
Return of capital		—			—			(.04	)		—			—
Total distributions		(2.62	)		—			(1.34	)		(4.01	)		(2.60	)
Net asset value, end of period	$	32.58		$	38.00		$	26.27		$	30.52		$	36.20
Total Returnb		(8.08	%)		44.65	%		(10.25	%)		(2.51	%)		10.05	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	262,943		$	315,323		$	243,072		$	335,806		$	392,495
Ratios to average net assets:
Net investment income (loss)		0.96	%		0.53	%		1.64	%		0.72	%		0.17	%
Total expensesc		1.19	%		1.20	%		1.25	%		1.23	%		1.26	%
Net expensesd,e,f		1.18	%		1.19	%		1.24	%		1.23	%		1.26	%
Portfolio turnover rate		39	%		34	%		41	%		45	%		54	%

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

FINANCIAL HIGHLIGHTS (continued)

SMID CAP VALUE FUND

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

C-Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018
Per Share Data
Net asset value, beginning of period	$	24.85		$	17.32		$	20.48		$	26.05		$	26.33
Income (loss) from investment operations:
Net investment income (loss)a		.01			(.06	)		.16			(.02	)		(.17	)
Net gain (loss) on investments (realized and unrealized)		(1.93	)		7.59			(2.22	)		(1.57	)		2.49
Total from investment operations		(1.92	)		7.53			(2.06	)		(1.59	)		2.32
Less distributions from:
Net investment income		—			—			(.03	)		—			—
Net realized gains		(2.52	)		—			(1.04	)		(3.98	)		(2.60	)
Return of capital		—			—			(.03	)		—			—
Total distributions		(2.52	)		—			(1.10	)		(3.98	)		(2.60	)
Net asset value, end of period	$	20.41		$	24.85		$	17.32		$	20.48		$	26.05
Total Returnb		(8.85	%)		43.48	%		(10.95	%)		(3.35	%)		9.22	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,256		$	10,015		$	14,276		$	31,221		$	52,996
Ratios to average net assets:
Net investment income (loss)		0.04	%		(0.27	%)		0.86	%		(0.11	%)		(0.65	%)
Total expensesc		2.09	%		2.05	%		2.14	%		2.07	%		2.03	%
Net expensesd,e,f		2.02	%		2.02	%		2.07	%		2.06	%		2.03	%
Portfolio turnover rate		39	%		34	%		41	%		45	%		54	%

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

FINANCIAL HIGHLIGHTS (continued)

SMID CAP VALUE FUND

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

P-Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018
Per Share Data
Net asset value, beginning of period	$	37.67		$	26.06		$	30.25		$	35.94		$	35.15
Income (loss) from investment operations:
Net investment income (loss)a		.33			.15			.46			.19			.05
Net gain (loss) on investments (realized and unrealized)		(3.12	)		11.46			(3.37	)		(1.88	)		3.34
Total from investment operations		(2.79	)		11.61			(2.91	)		(1.69	)		3.39
Less distributions from:
Net investment income		(.06	)		—			(.20	)		(.02	)		—
Net realized gains		(2.52	)		—			(1.04	)		(3.98	)		(2.60	)
Return of capital		—			—			(.04	)		—			—
Total distributions		(2.58	)		—			(1.28	)		(4.00	)		(2.60	)
Net asset value, end of period	$	32.30		$	37.67		$	26.06		$	30.25		$	35.94
Total Return		(8.16	%)		44.55	%		(10.30	%)		(2.61	%)		10.03	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,584		$	6,907		$	7,662		$	14,165		$	19,889
Ratios to average net assets:
Net investment income (loss)		0.90	%		0.43	%		1.64	%		0.63	%		0.13	%
Total expensesc		1.30	%		1.32	%		1.33	%		1.35	%		1.35	%
Net expensesd,e,f		1.26	%		1.28	%		1.31	%		1.32	%		1.28	%
Portfolio turnover rate		39	%		34	%		41	%		45	%		54	%

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

FINANCIAL HIGHLIGHTS (continued)

SMID CAP VALUE FUND

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

Institutional Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Period Ended Sept. 30, 2020g
Per Share Data
Net asset value, beginning of period	$	12.42		$	8.57		$	10.20
Income (loss) from investment operations:
Net investment income (loss)a		.12			.08			.11
Net gain (loss) on investments (realized and unrealized)		(.82	)		3.77			(1.74	)
Total from investment operations		(.70	)		3.85			(1.63	)
Less distributions from:
Net investment income		(.22	)		—			—
Net realized gains		(2.52	)		—			—
Total distributions		(2.74	)		—			—
Net asset value, end of period	$	8.98		$	12.42		$	8.57
Total Return		(7.93	%)		44.92	%		(15.98	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	81,792		$	96,973		$	60,783
Ratios to average net assets:
Net investment income (loss)		1.14	%		0.70	%		1.87	%
Total expensesc		1.03	%		1.06	%		1.09	%
Net expensesd,e,f		1.01	%		1.02	%		1.03	%
Portfolio turnover rate		39	%		34	%		41	%

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

FINANCIAL HIGHLIGHTS (concluded)

SMID CAP VALUE FUND

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests, if any.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	0.01%	0.00%	0.00%*	0.00%*	0.01%
C-Class	0.00%*	0.00%*	0.00%*	0.01%	0.01%
P-Class	0.02%	0.07%	0.01%	0.04%	0.04%
Institutional Class	0.00%*	0.00%	0.00%*,g	N/A	N/A

* Less than 0.01%

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	1.18%	1.19%	1.24%	1.23%	1.26%
C-Class	2.02%	2.01%	2.07%	2.06%	2.03%
P-Class	1.25%	1.28%	1.30%	1.32%	1.28%
Institutional Class	1.01%	1.02%	1.03%g	N/A	N/A

^g Since commencement of operations: January 3, 2020. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Guggenheim SMid Cap Value Fund (the “Fund”), a diversified investment company. At September 30, 2022, A-Class, C-Class, P-Class and Institutional Class shares have been issued by the Fund.

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

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

26 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

The Board of Trustees of the Fund (the “Board”) adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/or other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly reviews procedures used and valuations provided by the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.

Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market

THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

NOTES TO FINANCIAL STATEMENTS (continued)

on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are generally valued at the last quoted sale price.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.

(b) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2022, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(c) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

28 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

(d) Distributions

Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares, unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

(e) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

(f) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2022, are disclosed in the Statement of Operations.

(g) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 3.08% at September 30, 2022.

(h) Indemnifications

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

Note 2 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.75% of the average daily net assets of the Fund.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 29

NOTES TO FINANCIAL STATEMENTS (continued)

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

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

	Limit			Effective Date		Contract End Date
A-Class		1.30	%1		01/03/20		02/01/23
C-Class		2.05	%1		01/03/20		02/01/23
P-Class		1.30	%1		01/03/20		02/01/23
Institutional Class		1.05	%		01/03/20		02/01/23

¹ Prior to January 3, 2020, the expense limit for A-Class, C-Class and P-Class shares of the Fund was 1.42%, 2.12% and 1.32%, respectively.

GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2022, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

	2023		2024		2025		Total
A-Class	$	—	$	1,470	$	10,015	$	11,485
C-Class		15,935		4,260		4,648		24,843
P-Class		2,623		2,971		2,276		7,870
Institutional Class		24,589		28,324		17,866		70,779

During the year ended September 30, 2022, GI recouped $30,838 from the Fund.

For the year ended September 30, 2022, GFD retained sales charges of $144,088 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

30 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

Note 3 - Federal Income Tax Information

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

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

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	14,921,805	$	28,697,141	$	43,618,946

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Net Unrealized Appreciation (Depreciation)		Accumulated Capital and Other Losses		Total
$	4,095,772	$	28,162,093	$	11,489,517	$	—	$	43,747,382

THE GUGGENHEIM FUNDS ANNUAL REPORT | 31

NOTES TO FINANCIAL STATEMENTS (continued)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, the Fund had no capital loss carryforwards.

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to losses deferred due to wash sales, reclassification of distributions, and distributions in connection with redemption of fund shares. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences:

Paid In Capital		Total Distributable Earnings/(Loss)
$	4,500,437	$	(4,500,437	)

At September 30, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	347,549,686	$	50,407,585	$	(38,918,068	)	$	11,489,517

Note 4 – Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — unadjusted quoted prices in active markets for identical assets or liabilities.

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NOTES TO FINANCIAL STATEMENTS (continued)

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements.

The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

Note 5 – Securities Transactions

For the year ended September 30, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	156,669,040	$	198,259,167

Note 6 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather

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NOTES TO FINANCIAL STATEMENTS (concluded)

than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.

Note 7 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

Note 8 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

34 | THE GUGGENHEIM FUNDS ANNUAL REPORT

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim SMid Cap Value Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim SMid Cap Value Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded)

audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 29, 2022

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OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See the qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income			Qualified Short-Term Capital Gain
	44.44	%		43.89	%		0.01	%		100.00	%

With respect to the taxable year ended September 30, 2022, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:

From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
$	28,697,141	$	4,500,437

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

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OTHER INFORMATION (Unaudited)(continued)

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

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OTHER INFORMATION (Unaudited)(continued)

● Guggenheim Alpha Opportunity Fund
(“Alpha Opportunity Fund”)   ● Guggenheim Core Bond Fund
(“Core Bond Fund”)   ● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)   ● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)   ● Guggenheim Macro Opportunities Fund
(“Macro Opportunities Fund”)   ● Guggenheim Municipal Income Fund
(“Municipal Income Fund”)   ● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)   ● Guggenheim StylePlus—Large Core Fund
(“StylePlus—Large Core Fund”)   ● Guggenheim Total Return Bond Fund
(“Total Return Bond Fund”)   ● Guggenheim World Equity Income Fund
(“World Equity Income Fund”) ● Guggenheim Capital Stewardship Fund
(“Capital Stewardship Fund”)   ● Guggenheim Diversified Income Fund
(“Diversified Income Fund”)   ● Guggenheim High Yield Fund
(“High Yield Fund”)   ● Guggenheim Limited Duration Fund (“Limited Duration Fund”)   ● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)   ● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)   ● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)   ● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)   ● Guggenheim Ultra Short Duration Fund
(“Ultra Short Duration Fund”)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

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OTHER INFORMATION (Unaudited)(continued)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.
2	The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
3	Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.

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OTHER INFORMATION (Unaudited)(continued)

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund,

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OTHER INFORMATION (Unaudited)(continued)

Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).⁴ Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel

⁴ On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting.

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OTHER INFORMATION (Unaudited)(continued)

regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.⁵ As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

⁵ Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements.

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OTHER INFORMATION (Unaudited)(continued)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s

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OTHER INFORMATION (Unaudited)(continued)

relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.

Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.

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OTHER INFORMATION (Unaudited)(continued)

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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OTHER INFORMATION (Unaudited)(continued)

In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser. Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive

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OTHER INFORMATION (Unaudited)(continued)

and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

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OTHER INFORMATION (Unaudited)(continued)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

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OTHER INFORMATION (Unaudited)(continued)

Sub-Advisory Agreements

Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.

Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that the GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

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OTHER INFORMATION (Unaudited)(concluded)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Member, Board of Directors, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present); Vice Chairman, VettaFi (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022);Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and President of Mutual Funds Boards, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since August 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third

THE GUGGENHEIM FUNDS ANNUAL REPORT | 61

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies.

You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the

62 | THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 63

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

64 | THE GUGGENHEIM FUNDS ANNUAL REPORT

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9.30.2022

Guggenheim Funds Annual Report

Guggenheim Capital Stewardship Fund

GuggenheimInvestments.com CSF-ANN-0922x0923

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
CAPITAL STEWARDSHIP FUND	7
NOTES TO FINANCIAL STATEMENTS	15
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	20
OTHER INFORMATION	21
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	30
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	36
LIQUIDITY RISK MANAGEMENT PROGRAM	39

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2022

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Capital Stewardship Fund (the “Fund”). The report covers the annual fiscal period ended September 30, 2022.

Concinnity Advisors, LP, serves as the Fund’s sub-adviser (the “Sub-Adviser”).

The Investment Adviser is 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 Adviser.

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

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

Sincerely,

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.

2 | 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 | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2022

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.

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.

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.

4 | 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 Fund’s costs in two ways:

Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the 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 Fund’s 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 Fund’s prospectus.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1			Fund Return			Beginning Account Value March 31, 2022		Ending Account Value September 30, 2022		Expenses Paid During Period2
Table 1. Based on actual Fund Institutional Class return3
		1.02	%		(17.54	%)	$	1,000.00	$	824.60	$	4.67
Table 2. Based on hypothetical 5% return (before expenses)
		1.02	%		5.00	%	$	1,000.00	$	1,019.95	$	5.16

1	Annualized and 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.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Capital Stewardship Fund (the “Fund”). Concinnity Advisors, LP serves as the Fund’s unaffiliated sub-adviser. The Fund is managed by a team of seasoned professionals led by Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Peter Derby, Portfolio Manager at Concinnity. 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 Guggenheim Capital Stewardship Fund Institutional Class provided a total return of -15.74%, underperforming the S&P 500 Index (“Index”), the Fund’s benchmark, which returned -15.47% for the same period.

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

During the Reporting Period, the Fund underperformed its benchmark by 0.27%. The contribution from sector allocation effect and security selection effect were 1.3% and -0.7%, respectively.

Across the 11 S&P sectors, relatively speaking, the Health Care sector added 1.4%. The Financials sector detracted 1.2%.

The top individual contributors to return were Chevron Corp., Bristol Myers Squibb, and H&R Block Inc. The top individual detractors were Intel Corp., Amazon.com, Inc., and Alphabet, Inc.

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

As of end of the Reporting Period, the Fund is fully invested, with less than 1% in cash or cash equivalents. Relative to its benchmark, the Fund is overweight in the Health Care sector and Energy sector by 5% and 4%, respectively. The Fund is underweight in the Communication Services sector and the Consumer Discretionary sector by 4% and 3%, respectively.

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

CAPITAL STEWARDSHIP FUND

OBJECTIVE: Seeks long-term capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Cumulative Fund Performance*

Inception Date: September 26, 2014

Ten Largest Holdings (% of Total Net Assets)
Apple, Inc.	5.8%
Microsoft Corp.	5.0%
Johnson & Johnson	2.9%
Chevron Corp.	2.7%
Alphabet, Inc. — Class A	2.6%
Bristol-Myers Squibb Co.	2.2%
Texas Instruments, Inc.	2.2%
Gilead Sciences, Inc.	2.1%
Home Depot, Inc.	2.0%
Amazon.com, Inc.	2.0%
Top Ten Total	29.5%
“Ten Largest Holdings” excludes any temporary cash investments.

Average Annual Returns*
Periods Ended September 30, 2022

	1 Year	5 Year	Since Inception (09/26/14)
Capital Stewardship Fund Institutional Class	(15.74%)	7.58%	7.73%
S&P 500 Index	(15.47%)	9.24%	9.74%

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

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2022
CAPITAL STEWARDSHIP FUND

	Shares		Value
COMMON STOCKS† - 99.7%
Consumer, Non-cyclical - 31.7%
Johnson & Johnson		29,803	$	4,868,618
Bristol-Myers Squibb Co.		51,551		3,664,761
Gilead Sciences, Inc.		56,268		3,471,173
Colgate-Palmolive Co.		43,113		3,028,689
CVS Health Corp.		26,379		2,515,765
Amgen, Inc.		10,195		2,297,953
Campbell Soup Co.		45,455		2,141,840
Cigna Corp.		7,624		2,115,431
General Mills, Inc.		26,269		2,012,468
Merck & Company, Inc.		22,886		1,970,942
Becton Dickinson and Co.		8,487		1,891,158
AbbVie, Inc.		12,702		1,704,736
Kellogg Co.		20,229		1,409,152
Quest Diagnostics, Inc.		11,059		1,356,829
Mondelez International, Inc. — Class A		24,682		1,353,314
UnitedHealth Group, Inc.		2,494		1,259,570
Avery Dennison Corp.		7,466		1,214,718
J M Smucker Co.		8,364		1,149,297
PepsiCo, Inc.		6,908		1,127,800
United Rentals, Inc.*		4,044		1,092,365
Kimberly-Clark Corp.		9,609		1,081,397
Hershey Co.		4,900		1,080,303
Pfizer, Inc.		23,181		1,014,401
Procter & Gamble Co.		7,245		914,681
Regeneron Pharmaceuticals, Inc.*		1,294		891,398
Eli Lilly & Co.		2,698		872,398
Humana, Inc.		1,590		771,452
Automatic Data Processing, Inc.		3,358		759,546
Chemed Corp.		1,300		567,528
Booz Allen Hamilton Holding Corp.		5,384		497,213
Vertex Pharmaceuticals, Inc.*		1,523		440,969
HCA Healthcare, Inc.		2,124		390,370
Kroger Co.		8,548		373,975
DaVita, Inc.*		4,447		368,078
Centene Corp.*		3,782		294,277
Abbott Laboratories		2,827		273,541
Hormel Foods Corp.		5,030		228,563
H&R Block, Inc.		4,408		187,516
PayPal Holdings, Inc.*		1,967		169,300
Total Consumer, Non-cyclical				52,823,485
Technology - 23.9%
Apple, Inc.		70,390		9,727,898
Microsoft Corp.		35,809		8,339,916
Texas Instruments, Inc.		23,230		3,595,539
International Business Machines Corp.		20,619		2,449,743
Intel Corp.		88,622		2,283,789
Dell Technologies, Inc. — Class C		37,123		1,268,493
Analog Devices, Inc.		8,657		1,206,266
SS&C Technologies Holdings, Inc.		24,210		1,156,027
Jack Henry & Associates, Inc.		6,239		1,137,183
Dropbox, Inc. — Class A*		46,529		964,081
Skyworks Solutions, Inc.		11,243		958,691
NetApp, Inc.		13,970		864,045
KLA Corp.		2,381		720,562
Seagate Technology Holdings plc		12,080		643,018
HP, Inc.		23,706		590,754
Akamai Technologies, Inc.*		7,177		576,457
Lam Research Corp.		1,566		573,156
Cognizant Technology Solutions Corp. — Class A		9,645		554,009
NVIDIA Corp.		4,349		527,925
Fiserv, Inc.*		5,239		490,213
Applied Materials, Inc.		5,576		456,842
Broadridge Financial Solutions, Inc.		2,141		308,989
Paychex, Inc.		1,615		181,219
Intuit, Inc.		427		165,386
Total Technology				39,740,201
Financial - 9.7%
Prudential Financial, Inc.		24,983		2,143,042
Royal Bank of Canada		22,774		2,050,571
Toronto-Dominion Bank		29,858		1,831,191
Bank of Montreal		20,527		1,798,986
Canadian Imperial Bank of Commerce		39,456		1,726,595
Travelers Companies, Inc.		10,462		1,602,778
MetLife, Inc.		17,575		1,068,209
Citigroup, Inc.		20,268		844,568
U.S. Bancorp		20,134		811,803
Visa, Inc. — Class A		4,089		726,411
Western Union Co.		41,676		562,626
Mastercard, Inc. — Class A		1,872		532,284
Bank of America Corp.		8,041		242,838
Principal Financial Group, Inc.		2,956		213,275
Total Financial				16,155,177
Communications - 8.8%
Alphabet, Inc. — Class A*		44,850		4,289,902
Amazon.com, Inc.*		29,413		3,323,669
Verizon Communications, Inc.		42,962		1,631,267
Motorola Solutions, Inc.		6,582		1,474,171
Cisco Systems, Inc.		31,878		1,275,120
CDW Corp.		6,137		957,863
Meta Platforms, Inc. — Class A*		5,589		758,315
F5, Inc.*		3,449		499,174
Comcast Corp. — Class A		7,042		206,542
Netflix, Inc.*		793		186,704
Total Communications				14,602,727
Energy - 8.5%
Chevron Corp.		31,277		4,493,566
Kinder Morgan, Inc.		183,456		3,052,708
Phillips 66		32,668		2,636,961
Valero Energy Corp.		20,302		2,169,269
Cheniere Energy, Inc.		7,084		1,175,306
ONEOK, Inc.		13,915		713,005
Total Energy				14,240,815
Consumer, Cyclical - 6.7%
Home Depot, Inc.		12,154		3,353,775
Lowe’s Companies, Inc.		7,889		1,481,633

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
CAPITAL STEWARDSHIP FUND

	Shares		Value
Dollar General Corp.		3,998	$	958,960
Magna International, Inc.		19,854		941,477
Tesla, Inc.*		3,515		932,354
Cummins, Inc.		3,520		716,355
NVR, Inc.*		161		641,920
Starbucks Corp.		5,556		468,149
Bath & Body Works, Inc.		12,334		402,088
PulteGroup, Inc.		10,029		376,087
Lululemon Athletica, Inc.*		1,300		363,428
AutoNation, Inc.*		3,400		346,358
Gentex Corp.		6,945		165,569
Total Consumer, Cyclical				11,148,153
Industrial - 5.7%
General Dynamics Corp.		9,371		1,988,245
3M Co.		14,145		1,563,023
Oshkosh Corp.		14,936		1,049,851
Lennox International, Inc.		3,998		890,234
Owens Corning		11,170		878,074
L3Harris Technologies, Inc.		3,661		760,866
Waste Management, Inc.		4,435		710,532
Republic Services, Inc. — Class A		3,982		541,711
Keysight Technologies, Inc.*		3,430		539,745
Littelfuse, Inc.		1,612		320,288
United Parcel Service, Inc. — Class B		1,293		208,871
Total Industrial				9,451,440
Utilities - 4.7%
WEC Energy Group, Inc.		30,513		2,728,778
Duke Energy Corp.		27,163		2,526,702
Exelon Corp.		45,402		1,700,759
NextEra Energy, Inc.		8,757		686,636
American Water Works Company, Inc.		1,306		169,989
Total Utilities				7,812,864
Total Common Stocks
(Cost $179,659,270)				165,974,862
EXCHANGE-TRADED FUNDS† - 0.7%
SPDR S&P 500 ETF Trust		3,500		1,250,130
Total Exchange-Traded Funds
(Cost $1,518,700)				1,250,130
MONEY MARKET FUND† - 0.4%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%1		638,870		638,870
Total Money Market Fund
(Cost $638,870)				638,870
Total Investments - 100.8%
(Cost $181,816,840)			$	167,863,862
Other Assets & Liabilities, net - (0.8)%				(1,395,103	)
Total Net Assets - 100.0%			$	166,468,759

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
1	Rate indicated is the 7-day yield as of September 30, 2022.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
CAPITAL STEWARDSHIP FUND

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	$	165,974,862	$	—	$	—	$	165,974,862
Exchange-Traded Funds		1,250,130		—		—		1,250,130
Money Market Fund		638,870		—		—		638,870
Total Assets	$	167,863,862	$	—	$	—	$	167,863,862

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

CAPITAL STEWARDSHIP FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments, at value (cost $181,816,840)	$	167,863,862
Prepaid expenses		10,562
Receivables:
Dividends		111,575
Foreign tax reclaims		6,988
Interest		1,132
Total assets		167,994,119
Liabilities:
Overdraft due to custodian bank		4,735
Payable for:
Fund shares redeemed		1,341,278
Management fees		132,738
Fund accounting/administration fees		10,173
Trustees’ fees*		3,468
Transfer agent/maintenance fees		2,256
Miscellaneous		30,712
Total liabilities		1,525,360
Net assets	$	166,468,759
Net assets consist of:
Paid in capital	$	182,700,944
Total distributable earnings (loss)		(16,232,185	)
Net assets	$	166,468,759
Capital shares outstanding		6,967,512
Net asset value per share	$	23.89

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends (net of foreign withholding tax of $15,038)	$	3,985,480
Interest		3,628
Total investment income		3,989,108
Expenses:
Management fees		1,876,195
Transfer agent/maintenance fees		25,167
Fund accounting/administration fees		133,308
Professional fees		38,642
Trustees’ fees*		16,676
Custodian fees		7,324
Miscellaneous		21,630
Total expenses		2,118,942
Less:
Earnings credits applied		(135	)
Net expenses		2,118,807
Net investment income		1,870,301
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		3,050,146
Investments sold short		6,183
Net realized gain		3,056,329
Net change in unrealized appreciation (depreciation) on:
Investments		(35,592,196	)
Net change in unrealized appreciation (depreciation)		(35,592,196	)
Net realized and unrealized loss		(32,535,867	)
Net decrease in net assets resulting from operations	$	(30,665,566	)

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

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

CAPITAL STEWARDSHIP FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,870,301		$	1,657,454
Net realized gain on investments		3,056,329			56,921,577
Net change in unrealized appreciation (depreciation) on investments		(35,592,196	)		(6,631,844	)
Net increase (decrease) in net assets resulting from operations		(30,665,566	)		51,947,187
Distributions to shareholders		(54,426,863	)		(13,020,049	)
Capital share transactions:
Proceeds from sale of shares		106,639,651			8,500,000
Distributions reinvested		54,379,479			12,936,786
Cost of shares redeemed		(135,570,764	)		(41,001,933	)
Net increase (decrease) from capital share transactions		25,448,366			(19,565,147	)
Net increase (decrease) in net assets		(59,644,063	)		19,361,991
Net assets:
Beginning of year		226,112,822			206,750,831
End of year	$	166,468,759		$	226,112,822
Capital share activity:
Shares sold		3,780,096			271,840
Shares issued from reinvestment of distributions		1,772,473			402,138
Shares redeemed		(4,747,908	)		(1,164,212	)
Net increase (decrease) in shares		804,661			(490,234	)

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

CAPITAL STEWARDSHIP FUND

FINANCIAL HIGHLIGHTS

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

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	36.69		$	31.08		$	28.23		$	31.23		$	29.11
Income (loss) from investment operations:
Net investment income (loss)a		.27			.25			.28			.33			.28
Net gain (loss) on investments (realized and unrealized)		(4.05	)		7.28			3.43			.05			4.34
Total from investment operations		(3.78	)		7.53			3.71			.38			4.62
Less distributions from:
Net investment income		(.18	)		(.28	)		(.39	)		(.32	)		(.34	)
Net realized gains		(8.84	)		(1.64	)		(.47	)		(3.06	)		(2.16	)
Total distributions		(9.02	)		(1.92	)		(.86	)		(3.38	)		(2.50	)
Net asset value, end of period	$	23.89		$	36.69		$	31.08		$	28.23		$	31.23
Total Return		(15.74	%)		25.11	%		13.31	%		3.56	%		16.50	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	166,469		$	226,113		$	206,751		$	210,053		$	220,587
Ratios to average net assets:
Net investment income (loss)		0.90	%		0.70	%		0.96	%		1.23	%		0.93	%
Total expensesb		1.02	%		1.02	%		1.04	%		1.05	%		1.05	%
Portfolio turnover rate		162	%		154	%		147	%		131	%		164	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Does not include expenses of the underlying funds in which the Fund invests.

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Capital Stewardship Fund (the “Fund”), a diversified investment company. At September 30, 2022, Institutional Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM” or “the Adviser”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Concinnity Advisors, LP (the “Sub-Adviser”) serves as the subadviser to the Fund.

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

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

The NAV of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the Fund.

(a) Valuation of Investments

The Board of Trustees of the Fund (the “Board”) adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/or other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets

THE GUGGENHEIM FUNDS ANNUAL REPORT | 15

NOTES TO FINANCIAL STATEMENTS (continued)

which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly review the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.

Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are generally valued at the last quoted sale price.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.

(b) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

(c) Distributions

Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares, unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

(d) Expenses

Certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

(e) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2022, are disclosed in the Statement of Operations.

(f) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 3.08% at September 30, 2022.

(g) Indemnifications

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

16 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Note 2 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.90% of the average daily net assets of the Fund.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

Note 3 – Federal Income Tax Information

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

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

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	38,843,524	$	15,583,339	$	54,426,863

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	3,520,938	$	9,499,111	$	13,020,049

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses		Total
$	291,687	$	—	$	(16,523,872	)	$	—	$	(16,232,185	)

THE GUGGENHEIM FUNDS ANNUAL REPORT | 17

NOTES TO FINANCIAL STATEMENTS (continued)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, the Fund had no capital loss carryforwards.

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to reclassification of distributions, losses deferred due to wash sales, and distributions in connection with redemption of fund shares. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences:

Paid In Capital		Total Distributable Earnings/(Loss)
$	3,345,710	$	(3,345,710	)

At September 30, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	184,387,734	$	6,155,989	$	(22,679,861	)	$	(16,523,872	)

Note 4 – Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

18 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

Note 5 – Securities Transactions

For the year ended September 30, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	336,901,143	$	368,576,151

Note 6 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

Note 7 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Capital Stewardship Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Capital Stewardship Fund (the “Fund”) (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 29, 2022

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OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income			Qualified Short-Term Capital Gain
	13.76	%		13.76	%		0.03	%		100.00	%

With respect to the taxable year ended September 30, 2022, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:

From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
$	15,583,339	$	3,345,710

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

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OTHER INFORMATION (Unaudited)(continued)

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

● Guggenheim Alpha Opportunity Fund
(“Alpha Opportunity Fund”)   ● Guggenheim Core Bond Fund (“Core Bond Fund”)   ● Guggenheim Floating Rate Strategies Fund
(“Floating Rate Strategies Fund”)   ● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)   ● Guggenheim Macro Opportunities Fund
(“Macro Opportunities Fund”)   ● Guggenheim Municipal Income Fund
(“Municipal Income Fund”)   ● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)   ● Guggenheim StylePlus—Large Core Fund
(“StylePlus—Large Core Fund”)   ● Guggenheim Total Return Bond Fund
(“Total Return Bond Fund”)   ● Guggenheim World Equity Income Fund
(“World Equity Income Fund”) ● Guggenheim Capital Stewardship Fund
(“Capital Stewardship Fund”)   ● Guggenheim Diversified Income Fund
(“Diversified Income Fund”)   ● Guggenheim High Yield Fund (“High Yield Fund”)   ● Guggenheim Limited Duration Fund (“Limited Duration Fund”)   ● Guggenheim Market Neutral Real Estate Fund
(“Market Neutral Real Estate Fund”)   ● Guggenheim Risk Managed Real Estate Fund
(“Risk Managed Real Estate Fund”)   ● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)   ● Guggenheim StylePlus—Mid Growth Fund
(“StylePlus—Mid Growth Fund”)   ● Guggenheim Ultra Short Duration Fund
(“Ultra Short Duration Fund”)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners,

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OTHER INFORMATION (Unaudited)(continued)

Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.
2	The investment management agreements pertaining to the SI--Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub--Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
3	Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.

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OTHER INFORMATION (Unaudited)(continued)

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund, Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).⁴ Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

⁴ On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting.

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OTHER INFORMATION (Unaudited)(continued)

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.⁵ As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.

⁵ Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements.

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OTHER INFORMATION (Unaudited)(continued)

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.

Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

26 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group. In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense

THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

OTHER INFORMATION (Unaudited)(continued)

waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreements

Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

28 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(concluded)

With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.

Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that the GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 29

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Member, Board of Directors, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

30 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present); Vice Chairman, VettaFi (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

THE GUGGENHEIM FUNDS ANNUAL REPORT | 31

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020).
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

32 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and President of Mutual Funds Boards, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since August 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).

34 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law. In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies.

You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com. European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other

THE GUGGENHEIM FUNDS ANNUAL REPORT | 37

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it.

See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information. We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

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If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

38 | THE GUGGENHEIM FUNDS ANNUAL REPORT

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.

Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 39

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9.30.2022

Guggenheim Funds Annual Report

Guggenheim Macro Opportunities Fund

GuggenheimInvestments.com MO-ANN-0922x0923

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
MACRO OPPORTUNITIES FUND	9
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS	102
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	134
OTHER INFORMATION	136
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	151
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	160
LIQUIDITY RISK MANAGEMENT PROGRAM	164

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2022

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Macro Opportunities Fund (the “Fund”) for the annual fiscal period ended September 30, 2022.

The Investment Adviser is 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 Fund. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.

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

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

Sincerely,

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.

Macro Opportunities Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The intrinsic value of the underlying stocks in which the Fund invests may never be realized or the stock may decline in value. ● When market conditions are deemed appropriate, the Fund may use 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

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2022

decrease in the market value of the Fund’s portfolio. ● The use of short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. Theoretically, stocks sold short have the risk of unlimited losses. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● A highly liquid secondary market may not exist for the commodity-linked structured notes the Fund invests in, and there can be no assurance that a highly liquid secondary market will develop. ● The Fund’s exposure to the commodity markets may subject the Fund to greater volatility as commodity-linked investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity such as droughts, floods, weather, embargos, tariffs and international economic, political and regulatory developments. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

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.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2022

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.

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.

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.

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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

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 Fund’s costs in two ways:

Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the 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.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

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 Fund’s 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 Fund’s prospectus.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2022	Ending Account Value September 30, 2022	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	1.41%	(8.07%)	$ 1,000.00	$ 919.30	$ 6.78
C-Class	2.16%	(8.38%)	1,000.00	916.20	10.38
P-Class	1.41%	(8.06%)	1,000.00	919.40	6.78
Institutional Class	1.00%	(7.86%)	1,000.00	921.40	4.82
R6-Class	1.00%	(7.86%)	1,000.00	921.40	4.82
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	1.41%	5.00%	$ 1,000.00	$ 1,018.00	$ 7.13
C-Class	2.16%	5.00%	1,000.00	1,014.24	10.91
P-Class	1.41%	5.00%	1,000.00	1,018.00	7.13
Institutional Class	1.00%	5.00%	1,000.00	1,020.05	5.06
R6-Class	1.00%	5.00%	1,000.00	1,020.05	5.06

1	This ratio represents annualized net expenses, which may include short interest expense. Excluding these expenses, the operating expense ratios for the Fund would be 1.32%, 2.07%, 1.32%, 0.91% and 0.91% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively. Excludes expenses of the underlying funds in which the Fund invests.
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.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Macro Opportunities Fund (“Fund”). Guggenheim Partners Advisors, LLC, an affiliate of GPIM, serves as the Fund’s sub-adviser (“GPA” or the “Sub-Adviser”). The Fund is managed by a team of seasoned professionals at GPIM and GPA. This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of GPIM; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager of GPIM; and Adam J. Bloch, Managing Director and Portfolio Manager of GPIM. 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 returned -10.77%¹. The comparison index is the ICE BofA 3-Month Treasury Bill Index, which returned 0.62% for the same period.

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

The Fund ended the Reporting Period down -10.77% while the benchmark finished up 0.62%. The dramatic rise in interest rates was a significant driver of performance, detracting roughly -6.5% from the Fund’s performance over the Reporting Period. The Fund’s curve positioning, however, did help moderate the total detraction from rates over the Reporting Period. The Fund’s bear flattener bias benefitted performance as the rise in front end yields outpaced that of longer maturity yields. Bear flattening refers to the yield curve for bonds in which short-term interest rates rise more rapidly than long-term interest rates. The performance effect from the widening in credit spreads was the largest component of performance detracting approximately -7.7%. Over the Reporting Period, we saw spreads in Investment Grade Corporates, High Yield Corporates, and A-rated Collateralized Loan Obligations (“CLOs”) widen by 75 basis points, 263 basis points, and 177 basis points, respectively. Carry positively contributed about 4.5% on an absolute basis to performance. Carry refers to the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used interest rate futures, options, swaptions, and swaps to help manage duration, generate additional yield, and for hedging purposes. Credit default swaps and total return swaps were used to both obtain and hedge existing index exposure. Forward foreign currency contracts and currency options were used for hedging and income producing purposes. Management also employed futures, options, total return swaps and interest

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(continued) September 30, 2022

rate swaps opportunistically for speculative purposes. Over the Reporting Period, interest rate swaps and interest rate curve caps detracted from performance while performance from futures and swaptions was incrementally positive. Options on equities, which functioned as hedges to the Fund’s credit positioning, contributed to performance. Performance from credit default swaps and credit default swap index (CDX) positions were immaterial. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period. Futures and options on various commodities detracted from performance over the Reporting Period.

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

At 28% of net asset value (“NAV”), securitized credit continues to be a significant and growing asset class allocation within the Fund. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, picking credit quality and structural protection at attractive spreads versus comparably rated corporate credit. We believe a unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar price discounts given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. We believe this dynamic presents a compelling total return opportunity as investors are now able to capture not only the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also an accretion to par should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage (i.e., the offered coupon) given the room for price appreciation above par ($100) is limited due to call structures. To this end, our buying efforts have been concentrated in the secondary market in subsectors like AA-rated CLOs, which as of the end of the Reporting Period traded around $94.98 // +273dm (using Palmer Square CLO Index as a proxy). In primary markets, we are finding opportunities in the Non-Agency Residential Mortgage-Backed Securities (“RMBS”) sector in senior tranches of Non-Qualified Mortgage deals, which price at dollar price discounts and offer yields and spreads comparable to BB-rated corporate credit.

Corporate credit totaled approximately 71% of the Fund’s NAV, with roughly 18% Investment Grade rated and 53% High Yield. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across sectors we expect them to start gradually deteriorating over the next several quarters and for default rates to pick up. However, all spread asset classes have already materially re-priced lower this year due to tighter financial conditions. Credit spread valuations are broadly in their 70th – 80th widest percentiles versus long term historical ranges, and absolute yields are at the highest levels since 2009. At current valuations the long-term value across credit assets is compelling although we expect volatility to remain elevated in the near-term. The Fund has taken advantage of dislocations across corporate credit by purchasing high credit quality investment grade corporates at attractive absolute yields, while simultaneously trimming lower grade categories, like leveraged loans, that have performed well on a relative basis this year and have greater risks going into a potential economic slowdown.

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2022

We continued to add duration incrementally throughout the Reporting Period as rates continued to climb and hawkish rhetoric intensified. Duration adds were made via two main tools: i) adding duration at the long end of the yield curve using Treasury Strips and ii) an increased allocation to Agency Mortgage-Backed Securities (“MBS”). As the Federal Reserve continues to emphasize its commitment to combatting inflation, we feel the long end of the yield curve should benefit through some combination of lower inflation expectations and lower growth expectations. The Agency MBS allocation was viewed as an efficient means to add duration via a highly liquid asset class while picking yield to Treasuries, upgrade the credit quality of the Fund, and monetize the elevated level of rate volatility. As of the end of the Reporting Period, the Fund had 3.7 years of duration.

Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. With investment grade rated debt now yielding close to 6% and the Fund’s gross yield at 8.9%, we believe the carry profile alone for such opportunities provides a significantly higher buffer to performance volatility from rates and spreads. Importantly, we believe examples of market distress and falling inflation expectations are signaling we are nearing a ceiling for interest rates and potentially some moderation in rate volatility, all of which would prove to be massive tailwinds to fixed income valuations.

The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by Guggenheim Investments. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the Reporting Period, investment in the Short Term Investment Vehicles detracted from Fund performance.

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

MACRO OPPORTUNITIES FUND

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

Consolidated Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
Institutional Class	November 30, 2011
R6-Class	March 13, 2019

Ten Largest Holdings (% of Total Net Assets)
Uniform MBS 30 Year	6.3%
Guggenheim Risk Managed Real Estate Fund — Institutional Class	1.1%
U.S. Treasury Bonds due 08/15/51	0.9%
KKR Acquisition Holdings I Corp. — Class A	0.8%
Guggenheim Ultra Short Duration Fund — Institutional Class	0.7%
Midcap Funding XLVI Trust, 6.16%	0.7%
TSGE, 6.25%	0.7%
VB-S1 Issuer LLC - VBTEL, 5.27%	0.6%
VanEck Gold Miners ETF	0.6%
BP Capital Markets plc,4.88%	0.5%
Top Ten Total	12.9%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2022

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	9.5%
AA	2.0%
A	7.6%
BBB	16.4%
BB	16.4%
B	24.0%
CCC	2.5%
CC	2.7%
C	0.1%
D	0.1%
NR2	5.4%
Other Instruments	13.3%
Total Investments	100.0%

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2022

Cumulative Fund Performance*

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2022

Average Annual Returns*

Periods Ended September 30, 2022

	1 Year	5 Year	10 Year
A-Class Shares	(10.77%)	0.78%	2.90%
A-Class Shares with sales charge‡	(14.33%)	(0.04%)	2.40%
C-Class Shares	(11.41%)	0.03%	2.14%
C-Class Shares with CDSC§	(12.27%)	0.03%	2.14%
Institutional Class Shares	(10.39%)	1.18%	3.28%
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	(10.77%)	0.77%	1.99%
ICE BofA 3-Month U.S. Treasury Bill Index	0.62%	1.15%	0.90%

	1 Year	Since Inception (03/13/19)
R6-Class Shares	(10.39%)	1.01%
ICE BofA 3-Month U.S. Treasury Bill Index	0.62%	0.88%

*	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 is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 15

CONSOLIDATED SCHEDULE OF INVESTMENTS	September 30, 2022
MACRO OPPORTUNITIES FUND

	Shares		Value
COMMON STOCKS† - 2.2%
Financial - 2.0%
KKR Acquisition Holdings I Corp. — Class A*,1		5,062,315	$	49,813,180
RXR Acquisition Corp. — Class A*,1		1,087,275		10,698,786
Aequi Acquisition Corp. — Class A*,1		999,157		9,981,579
AfterNext HealthTech Acquisition Corp. — Class A*,1		895,600		8,750,012
MSD Acquisition Corp. — Class A*,1		833,026		8,246,957
Conyers Park III Acquisition Corp. — Class A*,1		832,100		8,088,012
TPG Pace Beneficial II Corp.*,1		807,638		7,898,619
Waverley Capital Acquisition Corp. 1 — Class A*,††,1		786,700		7,686,059
Acropolis Infrastructure Acquisition Corp. — Class A*,1		578,278		5,612,188
Blue Whale Acquisition Corp. I — Class A*,1		477,700		4,628,913
Colicity, Inc. — Class A*,1		217,843		2,143,575
Pershing Square Tontine Holdings Ltd. — Class A†††,1		6,864,930		686
Total Financial				123,548,566
Utilities - 0.1%
Texgen Power LLC*,††		180,169		4,684,394
Consumer, Cyclical - 0.1%
ATD New Holdings, Inc.*,††		42,478		2,973,460
Communications - 0.0%
Vacasa, Inc. — Class A*		503,817		1,546,718
Figs, Inc. — Class A*,2		55,695		459,484
Total Communications				2,006,202
Energy - 0.0%
Permian Production Partners LLC†††		573,522		470,288
Consumer, Non-cyclical - 0.0%
Cengage Learning Holdings II, Inc.*,††		21,660		259,920
Targus Group International Equity, Inc.*,†††,3		12,773		32,125
Save-A-Lot*,††		22,703		9,467
Total Consumer, Non-cyclical				301,512
Technology - 0.0%
Qlik Technologies, Inc. - Class A*,†††		177		266,674
Qlik Technologies, Inc. - Class B*,†††		43,738		4
Total Technology				266,678
Industrial - 0.0%
BP Holdco LLC*,†††,3		37,539		22,763
Vector Phoenix Holdings, LP*,†††		37,539		8,970
API Heat Transfer Parent LLC*,†††		1,763,707		177
Total Industrial				31,910
Total Common Stocks
(Cost $131,959,216)				134,283,010

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Shares		Value
PREFERRED STOCKS†† - 6.8%
Financial - 6.4%
Bank of America Corp.
4.13%		1,078,000	$	18,563,160
4.38%		736,000		13,454,080
4.38%*		13,850,000		11,114,625
6.13%*		5,800,000		5,481,000
First Republic Bank
4.25%		1,168,000		20,825,440
4.50%		725,600		13,445,368
4.13%		369,600		6,357,120
Wells Fargo & Co.
3.90%*		25,750,000		21,774,844
4.70%		982,000		18,196,460
Citigroup, Inc.
3.88%*		30,600,000		25,233,678
4.00%*		13,100,000		11,036,750
Equitable Holdings, Inc.
4.95%*,4		24,550,000		23,015,625
4.30%		616,000		10,318,000
Markel Corp.
6.00%*		32,370,000		31,417,753
Public Storage
4.63%		855,064		17,229,540
4.13%		265,621		4,847,583
Bank of New York Mellon Corp.
3.75%*,4		20,550,000		15,874,875
4.70%*		4,500,000		4,308,750
Kuvare US Holdings, Inc.
7.00% due 02/17/51*,5		19,150,000		19,293,625
W R Berkley Corp.
4.13% due 03/30/61		878,365		15,371,387
4.25% due 09/30/60		115,042		1,954,563
Goldman Sachs Group, Inc.
4.13%*		20,500,000		16,297,500
Charles Schwab Corp.
4.00%*,4		18,700,000		13,736,704
Prudential Financial, Inc.
4.13% due 09/01/60		648,948		12,953,002
MetLife, Inc.
3.85%*		12,200,000		10,914,058
Reinsurance Group of America, Inc.
7.13% due 10/15/52*		300,400		7,555,060
CNO Financial Group, Inc.
5.13% due 11/25/60		324,000		6,356,880
Assurant, Inc.
5.25% due 01/15/61		258,000		5,490,240
American Financial Group, Inc.
4.50% due 09/15/60		270,159		5,346,447
Selective Insurance Group, Inc.
4.60%		246,000		4,297,620
PartnerRe Ltd.
4.88%		208,352		3,925,352
Total Financial				395,987,089
Government - 0.4%
CoBank ACB
4.25%*,4		20,000,000		16,790,617
Farmer Mac
5.75%		378,000		8,807,400
Total Government				25,598,017
Industrial - 0.0%
API Heat Transfer Intermediate†††,*		218		—
Total Preferred Stocks
(Cost $522,154,943)				421,585,106
WARRANTS† - 0.0%
KKR Acquisition Holdings I Corp. — Class A
Expiring 12/31/27*,1		1,265,578		151,870
Ginkgo Bioworks Holdings, Inc.
Expiring 08/01/26*		128,004		92,163
AfterNext HealthTech Acquisition Corp. — Class A
Expiring 07/09/23*,1		298,533		47,765
Conyers Park III Acquisition Corp. — Class A
Expiring 08/12/28*		277,366		39,608

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Shares		Value
Acropolis Infrastructure Acquisition Corp. — Class A
Expiring 03/31/26*,1		192,759	$	19,295
Blue Whale Acquisition Corp. I — Class A
Expiring 07/09/23*,1		119,424		17,818
MSD Acquisition Corp. — Class A
Expiring 05/13/23*,1		166,604		14,228
Aequi Acquisition Corp. — Class A
Expiring 11/30/27*,1		333,052		13,322
Waverley Capital Acquisition Corp. 1 — Class A
Expiring 04/30/27*,1		262,232		11,722
RXR Acquisition Corp.
Expiring 03/08/26*,1		217,453		5,458
Colicity, Inc. — Class A
Expiring 12/31/27*,1		43,567		2,091
Pershing Square Tontine Holdings Ltd. — Class A
Expiring 07/24/25*,†††,1		762,770		76
Total Warrants
(Cost $4,970,723)				415,416
RIGHTS† - 0.0%
Financial - 0.0%
BlackRock Corporate High Yield Fund, Inc.
Expires 10/13/22		1,674,130		3,683
Total Rights
(Cost $15,941)				3,683
EXCHANGE-TRADED FUNDS† - 0.6%
VanEck Gold Miners ETF		1,430,590		34,505,831
Total Exchange-Traded Funds
(Cost $54,624,676)				34,505,831
MUTUAL FUNDS† - 2.8%
Guggenheim Risk Managed Real Estate Fund — Institutional Class3		2,255,589		67,397,011
Guggenheim Ultra Short Duration Fund — Institutional Class3		4,774,129		45,783,897
Guggenheim Alpha Opportunity Fund — Institutional Class3		1,010,531		24,848,949
Guggenheim Strategy Fund II3		751,601		18,015,885
Guggenheim Strategy Fund III3		729,098		17,512,927
Total Mutual Funds
(Cost $184,314,054)				173,558,669
CLOSED-END FUNDS† - 0.9%
BlackRock Corporate High Yield Fund, Inc.		1,674,130		14,313,812
Blackstone Strategic Credit Fund		1,225,934		13,031,678
BlackRock Credit Allocation Income Trust		1,124,760		10,730,210
Eaton Vance Limited Duration Income Fund		791,358		7,288,407
Ares Dynamic Credit Allocation Fund, Inc.		479,990		5,639,883
BlackRock Debt Strategies Fund, Inc.		488,322		4,355,832

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Shares		Value
Western Asset High Income Opportunity Fund, Inc.		882,357	$	3,247,074
Total Closed-End Funds
(Cost $64,114,825)				58,606,896
MONEY MARKET FUNDS† - 0.7%
Western Asset Institutional U.S. Treasury Reserves — Institutional Shares, 2.47%6		18,145,780		18,145,780
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 2.45%6		15,052,680		15,052,680
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.15%6		8,322,253		8,322,253
Total Money Market Funds
(Cost $41,520,713)				41,520,713
	Face Amount~
CORPORATE BONDS†† - 34.8%
Financial - 9.3%
Pershing Square Holdings Ltd.
3.25% due 10/01/31		33,500,000		25,079,105
3.25% due 11/15/305		15,100,000		11,656,596
NFP Corp.
6.88% due 08/15/285		28,700,000		22,386,000
7.50% due 10/01/305		4,150,000		3,937,946
4.88% due 08/15/285		3,950,000		3,370,594
Wilton RE Ltd.
6.00%5,7,8		31,350,000		27,291,116
LPL Holdings, Inc.
4.00% due 03/15/295		24,100,000		20,670,088
4.38% due 05/15/315		6,350,000		5,265,507
GLP Capital Limited Partnership / GLP Financing II, Inc.
4.00% due 01/15/31		22,640,000		18,506,297
5.30% due 01/15/29		6,950,000		6,334,624
Liberty Mutual Group, Inc.
4.30% due 02/01/615		36,940,000		23,188,785
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/315		21,650,000		15,693,088
2.88% due 10/15/265		8,750,000		7,175,000
CBS Studio Center
5.29% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,†††		22,000,000		22,220,000
Iron Mountain, Inc.
5.63% due 07/15/325		25,025,000		20,020,000
4.50% due 02/15/315		925,000		715,192
Home Point Capital, Inc.
5.00% due 02/01/265		32,129,000		20,120,786
United Wholesale Mortgage LLC
5.50% due 11/15/255		12,600,000		10,990,728
5.50% due 04/15/295		7,150,000		5,434,000
5.75% due 06/15/275		4,550,000		3,605,432
Host Hotels & Resorts, LP
3.50% due 09/15/304		24,000,000		19,139,419
Starwood Property Trust, Inc.
4.38% due 01/15/275		21,000,000		17,902,185
FS KKR Capital Corp.
3.25% due 07/15/274		21,000,000		17,296,581
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/285		23,000,000		16,962,500

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Global Atlantic Finance Co.
4.70% due 10/15/515,8		22,350,000	$	16,813,300
JPMorgan Chase & Co.
5.72% due 09/14/338		16,800,000		15,886,828
Nationwide Mutual Insurance Co.
4.35% due 04/30/504,5		21,150,000		15,734,359
Hampton Roads PPV LLC
6.62% due 06/15/535		16,800,000		14,012,594
Kennedy-Wilson, Inc.
5.00% due 03/01/31		16,825,000		12,199,135
4.75% due 02/01/30		250,000		185,425
4.75% due 03/01/29		25,000		19,080
Sherwood Financing plc
4.50% due 11/15/265		EUR 15,600,000		11,611,182
Wilton Re Finance LLC
5.88% due 03/30/335,8		11,815,000		11,598,922
Ceamer Finance LLC
6.92% due 05/15/38†††		11,050,000		10,595,135
Hunt Companies, Inc.
5.25% due 04/15/295		13,700,000		10,490,501
Corebridge Financial, Inc.
6.88% due 12/15/525,8		10,750,000		9,830,420
First American Financial Corp.
4.00% due 05/15/304		11,760,000		9,805,215
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer
4.25% due 10/15/275		10,000,000		8,541,778
OneAmerica Financial Partners, Inc.
4.25% due 10/15/504,5		11,550,000		8,483,894
Jane Street Group / JSG Finance, Inc.
4.50% due 11/15/295		9,650,000		8,299,000
SLM Corp.
3.13% due 11/02/26		10,000,000		8,277,700
OneMain Finance Corp.
4.00% due 09/15/30		11,750,000		8,245,093
HUB International Ltd.
5.63% due 12/01/295		8,500,000		7,097,500
7.00% due 05/01/265		750,000		711,311
QBE Insurance Group Ltd.
5.88% 5,7,8		7,550,000		6,998,548
PartnerRe Finance B LLC
4.50% due 10/01/504,8		6,460,000		5,418,922
AmWINS Group, Inc.
4.88% due 06/30/295		6,025,000		5,001,127
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/285		5,303,000		4,918,798
American Equity Investment Life Holding Co.
5.00% due 06/15/27		4,813,000		4,566,133
Iron Mountain Information Management Services, Inc.
5.00% due 07/15/325		3,350,000		2,593,211
SBA Communications Corp.
3.13% due 02/01/29		3,100,000		2,493,237
Prudential Financial, Inc.
5.13% due 03/01/528		2,750,000		2,384,085
Atlas Mara Ltd.
due 12/31/21†††,9,10		4,642,499		1,624,875
Platinum for Belize Blue Investment Company LLC
1.60% due 10/20/40†††,5,11		1,900,000		1,565,394
Total Financial				570,964,271

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Communications - 4.8%
British Telecommunications plc
4.88% due 11/23/815,8		28,200,000	$	22,925,524
4.25% due 11/23/815,8		5,250,000		4,428,998
McGraw-Hill Education, Inc.
8.00% due 08/01/295		26,800,000		22,002,130
5.75% due 08/01/285		4,550,000		3,799,323
Level 3 Financing, Inc.
4.25% due 07/01/285		22,035,000		17,187,520
3.75% due 07/15/295		7,600,000		5,567,000
3.88% due 11/15/295		2,600,000		2,048,439
CSC Holdings LLC
4.13% due 12/01/305		21,250,000		15,878,000
3.38% due 02/15/315		2,975,000		2,097,375
4.63% due 12/01/305		2,715,000		1,846,200
Altice France S.A.
5.13% due 07/15/295		13,250,000		9,899,207
5.50% due 10/15/295		11,760,000		8,848,035
LCPR Senior Secured Financing DAC
5.13% due 07/15/295		16,250,000		12,237,338
6.75% due 10/15/275		5,400,000		4,482,000
Virgin Media Finance plc
5.00% due 07/15/305		21,400,000		15,737,453
UPC Broadband Finco BV
4.88% due 07/15/315		20,200,000		15,675,806
CCO Holdings LLC / CCO Holdings Capital Corp.
4.50% due 06/01/335		14,265,000		10,538,554
4.25% due 02/01/315		3,310,000		2,538,902
VZ Secured Financing BV
5.00% due 01/15/325		16,950,000		12,663,276
Vodafone Group plc
5.13% due 06/04/818		16,875,000		11,413,913
Cable One, Inc.
4.00% due 11/15/305		12,575,000		9,788,506
Rogers Communications, Inc.
4.55% due 03/15/524,5		9,800,000		7,816,198
Radiate Holdco LLC / Radiate Finance, Inc.
4.50% due 09/15/265		9,300,000		7,628,139
AMC Networks, Inc.
4.25% due 02/15/29		10,200,000		7,541,477
Paramount Global
4.95% due 05/19/504		10,340,000		7,348,127
Sirius XM Radio, Inc.
4.13% due 07/01/305		8,900,000		7,234,276
Match Group Holdings II LLC
4.63% due 06/01/285		7,700,000		6,727,875
Virgin Media Secured Finance plc
4.50% due 08/15/305		7,950,000		6,204,580
Telenet Finance Luxembourg Notes SARL
5.50% due 03/01/28		7,000,000		6,070,890
Switch Ltd.
3.75% due 09/15/285		5,135,000		5,102,906
Cengage Learning, Inc.
9.50% due 06/15/245		5,039,000		4,724,062
Ziggo BV
4.88% due 01/15/305		5,275,000		4,167,250
Cogent Communications Group, Inc.
7.00% due 06/15/275		3,750,000		3,526,711
Virgin Media Vendor Financing Notes IV DAC
5.00% due 07/15/285		3,650,000		2,951,938
Charter Communications Operating LLC / Charter Communications Operating Capital
3.90% due 06/01/52		3,500,000		2,166,891

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Lamar Media Corp.
4.00% due 02/15/30		2,400,000	$	2,010,912
TripAdvisor, Inc.
7.00% due 07/15/255		1,800,000		1,749,976
Zayo Group Holdings, Inc.
4.00% due 03/01/275		700,000		561,715
Total Communications				295,137,422
Consumer, Non-cyclical - 4.4%
Medline Borrower, LP
3.88% due 04/01/294,5		38,500,000		30,865,065
5.25% due 10/01/295		7,200,000		5,436,000
US Foods, Inc.
6.25% due 04/15/255		11,950,000		11,738,485
4.75% due 02/15/295		6,550,000		5,606,800
4.63% due 06/01/305		2,675,000		2,213,576
Kraft Heinz Foods Co.
5.20% due 07/15/45		5,725,000		4,974,340
4.38% due 06/01/46		6,320,000		4,913,156
5.00% due 06/04/424		2,490,000		2,162,907
4.88% due 10/01/494		2,025,000		1,668,975
DaVita, Inc.
4.63% due 06/01/305		9,649,000		7,465,914
3.75% due 02/15/315		6,050,000		4,310,625
Bausch Health Companies, Inc.
4.88% due 06/01/285		15,600,000		10,057,320
Block, Inc.
2.75% due 06/01/26		11,031,000		9,480,721
Nielsen Finance LLC / Nielsen Finance Co.
4.75% due 07/15/315		6,625,000		6,495,018
4.50% due 07/15/295		2,550,000		2,538,716
Sabre GLBL, Inc.
7.38% due 09/01/255		8,222,000		7,363,877
9.25% due 04/15/255		1,308,000		1,252,292
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/275		7,300,000		6,133,241
5.25% due 04/15/245		1,900,000		1,833,500
Sotheby’s/Bidfair Holdings, Inc.
5.88% due 06/01/295		9,400,000		7,765,528
IQVIA, Inc.
5.00% due 05/15/275		6,650,000		6,201,125
5.00% due 10/15/265		1,350,000		1,286,358
Option Care Health, Inc.
4.38% due 10/31/295		8,725,000		7,372,625
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
5.00% due 12/31/265		5,500,000		4,826,525
7.00% due 12/31/275		2,991,000		2,288,115
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
4.38% due 02/02/525		6,500,000		4,356,690
3.75% due 12/01/314,5		3,400,000		2,721,836
BCP V Modular Services Finance II plc
4.75% due 10/30/285		EUR 9,000,000		7,056,748
Cheplapharm Arzneimittel GmbH
5.50% due 01/15/285		8,085,000		6,670,125
CPI CG, Inc.
8.63% due 03/15/265		7,077,000		6,578,496
TreeHouse Foods, Inc.
4.00% due 09/01/28		7,575,000		6,040,229
HealthEquity, Inc.
4.50% due 10/01/295		6,900,000		5,828,706
Service Corporation International
3.38% due 08/15/30		5,275,000		4,125,525
4.00% due 05/15/31		1,650,000		1,326,913
Smithfield Foods, Inc.
3.00% due 10/15/305		7,000,000		5,404,983
Grifols Escrow Issuer S.A.
4.75% due 10/15/285		6,750,000		5,212,821

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
5.63% due 08/15/265		5,232,000	$	4,645,388
Spectrum Brands, Inc.
5.50% due 07/15/305		5,600,000		4,378,820
HCA, Inc.
3.50% due 07/15/51		6,950,000		4,303,228
Rent-A-Center, Inc.
6.38% due 02/15/294,5		5,450,000		4,251,000
Central Garden & Pet Co.
4.13% due 04/30/315		5,300,000		4,167,125
ADT Security Corp.
4.88% due 07/15/325		5,150,000		4,153,282
Chrome Bidco
3.50% due 05/31/285		EUR 4,800,000		3,722,444
WW International, Inc.
4.50% due 04/15/295		7,050,000		3,684,233
Carriage Services, Inc.
4.25% due 05/15/295		4,575,000		3,618,021
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
due 04/01/295,9		4,400,000		3,473,365
APi Group DE, Inc.
4.75% due 10/15/295		3,800,000		3,148,877
CAB SELAS
3.38% due 02/01/285		EUR 4,100,000		3,061,237
Post Holdings, Inc.
4.63% due 04/15/305		1,725,000		1,416,656
5.50% due 12/15/295		1,300,000		1,123,853
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
5.00% due 02/01/265		2,775,000		2,376,316
Charles River Laboratories International, Inc.
4.00% due 03/15/315		2,500,000		2,016,059
Molina Healthcare, Inc.
4.38% due 06/15/285		1,770,000		1,597,425
Par Pharmaceutical, Inc.
due 04/01/275,9		1,825,000		1,441,784
Tenet Healthcare Corp.
4.63% due 06/15/285		975,000		852,117
5.13% due 11/01/275		550,000		493,508
Syneos Health, Inc.
3.63% due 01/15/295		1,600,000		1,274,048
Altria Group, Inc.
4.45% due 05/06/504		1,670,000		1,115,682
Performance Food Group, Inc.
6.88% due 05/01/255		304,000		302,100
Total Consumer, Non-cyclical				272,190,444
Consumer, Cyclical - 4.4%
Marriott International, Inc.
2.85% due 04/15/314		14,730,000		11,565,437
4.63% due 06/15/304		10,900,000		9,850,115
5.75% due 05/01/25		8,440,000		8,523,275
3.50% due 10/15/324		8,150,000		6,554,411
Delta Air Lines, Inc. / SkyMiles IP Ltd.
4.75% due 10/20/284,5		24,150,000		22,492,239
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/274,5		18,715,000		18,317,868
1011778 BC ULC / New Red Finance, Inc.
4.00% due 10/15/305		22,200,000		17,484,276
Hilton Domestic Operating Company, Inc.
4.00% due 05/01/315		15,900,000		12,852,447
3.63% due 02/15/325		4,150,000		3,178,480
5.75% due 05/01/284,5		525,000		490,875
Delta Air Lines, Inc.
7.00% due 05/01/254,5		14,155,000		14,246,328

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Hyatt Hotels Corp.
5.63% due 04/23/25		7,350,000	$	7,267,726
5.75% due 04/23/30		6,530,000		6,329,820
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.
4.63% due 01/15/295		15,975,000		13,219,312
JB Poindexter & Company, Inc.
7.13% due 04/15/265		11,725,000		10,845,625
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.00% due 06/01/315		11,350,000		9,316,080
5.88% due 03/01/27		660,000		622,644
Boyne USA, Inc.
4.75% due 05/15/295		11,310,000		9,474,776
British Airways Class A Pass Through Trust
4.25% due 11/15/324,5		7,974,324		7,174,393
Wabash National Corp.
4.50% due 10/15/285		9,100,000		7,054,365
Scotts Miracle-Gro Co.
4.00% due 04/01/31		9,900,000		6,969,600
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
5.75% due 01/20/265		6,495,000		5,728,525
Papa John’s International, Inc.
3.88% due 09/15/295		7,025,000		5,615,319
Penn Entertainment, Inc.
4.13% due 07/01/295		6,975,000		5,339,050
Aramark Services, Inc.
6.38% due 05/01/255		5,100,000		4,998,000
American Airlines Class AA Pass Through Trust
3.58% due 01/15/28		2,326,734		2,077,311
3.35% due 10/15/29		1,253,618		1,093,279
3.65% due 02/15/294		1,087,418		959,783
3.15% due 02/15/32		1,037,315		865,050
Superior Plus Limited Partnership / Superior General Partner, Inc.
4.50% due 03/15/295		4,800,000		3,964,128
Beacon Roofing Supply, Inc.
4.13% due 05/15/295		4,589,000		3,716,677
Asbury Automotive Group, Inc.
4.63% due 11/15/295		4,472,000		3,574,783
Station Casinos LLC
4.63% due 12/01/315		3,800,000		2,870,083
Air Canada Class A Pass Through Trust
5.25% due 04/01/295		3,030,748		2,848,530
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.
6.63% due 03/01/305		3,500,000		2,805,600
Six Flags Theme Parks, Inc.
7.00% due 07/01/255		2,757,000		2,755,839
PetSmart, Inc. / PetSmart Finance Corp.
4.75% due 02/15/285		2,800,000		2,396,210
Allison Transmission, Inc.
3.75% due 01/30/315		2,925,000		2,242,276
Michaels Companies, Inc.
5.25% due 05/01/285		3,114,000		2,185,966
Air Canada
4.63% due 08/15/29†††,5		CAD 3,550,000		2,166,108
Vail Resorts, Inc.
6.25% due 05/15/255		1,525,000		1,504,290
United Airlines, Inc.
4.63% due 04/15/295		1,700,000		1,406,648

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
WMG Acquisition Corp.
3.00% due 02/15/315		1,275,000	$	967,928
United Airlines Class AA Pass Through Trust
4.15% due 08/25/31		1,005,170		903,198
CD&R Smokey Buyer, Inc.
6.75% due 07/15/255		950,000		861,099
Wyndham Hotels & Resorts, Inc.
4.38% due 08/15/285		700,000		615,318
Tempur Sealy International, Inc.
3.88% due 10/15/315		375,000		274,688
Total Consumer, Cyclical				268,565,778
Industrial - 3.9%
Boeing Co.
5.15% due 05/01/304		32,030,000		29,629,280
5.71% due 05/01/404		16,010,000		13,984,136
5.81% due 05/01/504		16,010,000		13,912,559
New Enterprise Stone & Lime Company, Inc.
5.25% due 07/15/285		11,300,000		9,339,733
9.75% due 07/15/285		10,350,000		8,730,376
Standard Industries, Inc.
4.38% due 07/15/305		11,025,000		8,434,125
3.38% due 01/15/315		6,552,000		4,608,022
5.00% due 02/15/275		3,290,000		2,911,354
IP Lending I LLC
4.00% due 09/08/25†††,5		15,347,531		13,945,990
Great Lakes Dredge & Dock Corp.
5.25% due 06/01/295		15,785,000		12,163,858
Artera Services LLC
9.03% due 12/04/255		14,385,000		11,579,925
TopBuild Corp.
4.13% due 02/15/325		8,850,000		6,739,202
3.63% due 03/15/295		5,550,000		4,381,670
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
4.13% due 08/15/265		11,680,000		9,725,119
Pactiv Evergreen Group Issuer Incorporated/Pactiv Evergreen Group Issuer LLC
4.00% due 10/15/275		11,150,000		9,348,132
Flowserve Corp.
3.50% due 10/01/304		10,270,000		8,444,804
Dyal Capital Partners IV
3.65% due 02/22/41†††		10,950,000		8,203,541
Arcosa, Inc.
4.38% due 04/15/295		9,400,000		7,990,000
GrafTech Finance, Inc.
4.63% due 12/15/285		10,000,000		7,475,000
Mauser Packaging Solutions Holding Co.
8.50% due 04/15/245		6,550,000		6,222,500
5.50% due 04/15/245		800,000		760,000
IP Lending II Ltd.
3.65% due 07/15/25†††,5		7,450,000		6,648,514
Deuce FinCo plc
5.50% due 06/15/275		GBP 7,350,000		6,114,945
Atkore, Inc.
4.25% due 06/01/315		7,625,000		6,097,712
BWX Technologies, Inc.
4.13% due 06/30/285		6,700,000		5,851,646
PGT Innovations, Inc.
4.38% due 10/01/295		6,100,000		5,003,836
Adevinta ASA
3.00% due 11/15/27		EUR 3,433,000		2,879,608
Howmet Aerospace, Inc.
5.95% due 02/01/37		2,925,000		2,643,425
6.88% due 05/01/25		53,000		53,386
TK Elevator US Newco, Inc.
5.25% due 07/15/275		3,000,000		2,550,630

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Harsco Corp.
5.75% due 07/31/275		4,075,000	$	2,546,016
EnerSys
5.00% due 04/30/235		1,900,000		1,873,875
Builders FirstSource, Inc.
6.38% due 06/15/325		800,000		710,595
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
4.00% due 09/01/295		950,000		695,735
Waste Pro USA, Inc.
5.50% due 02/15/265		600,000		527,118
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/265		525,000		473,812
TransDigm, Inc.
8.00% due 12/15/255		225,000		228,197
JELD-WEN, Inc.
6.25% due 05/15/255		100,000		94,000
Total Industrial				243,522,376
Energy - 2.9%
BP Capital Markets plc
4.88%4,7,8		39,360,000		33,849,600
ITT Holdings LLC
6.50% due 08/01/294,5		39,200,000		30,410,176
Occidental Petroleum Corp.
7.95% due 06/15/39		12,735,000		14,271,481
4.50% due 07/15/44		2,850,000		2,380,139
4.63% due 06/15/45		1,700,000		1,406,989
4.40% due 04/15/46		900,000		739,705
Midwest Connector Capital Company LLC
4.63% due 04/01/294,5		18,763,000		16,741,350
Targa Resources Partners Limited Partnership / Targa Resources Partners Finance Corp.
6.88% due 01/15/294		12,632,000		12,406,917
4.88% due 02/01/314		5,000,000		4,300,000
NuStar Logistics, LP
6.38% due 10/01/30		19,025,000		16,279,046
5.63% due 04/28/27		450,000		392,369
Parkland Corp.
4.63% due 05/01/305		20,000,000		16,213,500
Global Partners Limited Partnership / GLP Finance Corp.
6.88% due 01/15/29		7,750,000		6,975,000
7.00% due 08/01/27		2,200,000		2,003,166
Kinetik Holdings, LP
5.88% due 06/15/305		6,100,000		5,585,520
DT Midstream, Inc.
4.13% due 06/15/295		5,250,000		4,436,250
Holly Energy Partners Limited Partnership / Holly Energy Finance Corp.
6.38% due 04/15/275		4,050,000		3,867,750
DCP Midstream Operating, LP
3.25% due 02/15/32		4,750,000		3,754,960
TransMontaigne Partners Limited Partnership / TLP Finance Corp.
6.13% due 02/15/26		700,000		584,500
Total Energy				176,598,418
Technology - 1.9%
AthenaHealth Group, Inc.
6.50% due 02/15/305		26,650,000		21,068,691
Qorvo, Inc.
4.38% due 10/15/29		11,220,000		9,611,388
3.38% due 04/01/315		9,225,000		6,910,909
NCR Corp.
5.25% due 10/01/305		11,425,000		8,621,961
5.13% due 04/15/295		6,350,000		4,762,627
6.13% due 09/01/295		25,000		21,526
Twilio, Inc.
3.88% due 03/15/31		15,100,000		11,853,077

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
CDW LLC / CDW Finance Corp.
3.57% due 12/01/31		14,000,000	$	10,900,016
TeamSystem SpA
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 02/15/28◊		EUR 11,750,000		10,450,970
Booz Allen Hamilton, Inc.
3.88% due 09/01/285		11,800,000		10,151,105
Boxer Parent Company, Inc.
6.50% due 10/02/25		EUR 8,500,000		7,789,376
7.13% due 10/02/255		375,000		367,528
Playtika Holding Corp.
4.25% due 03/15/295		8,750,000		6,997,725
Broadcom, Inc.
3.19% due 11/15/364,5		6,400,000		4,377,255
MSCI, Inc.
3.88% due 02/15/315		883,000		743,454
ACI Worldwide, Inc.
5.75% due 08/15/265		400,000		377,880
Total Technology				115,005,488
Basic Materials - 1.8%
Alcoa Nederland Holding BV
5.50% due 12/15/275		15,125,000		14,106,331
6.13% due 05/15/285		7,450,000		7,038,885
4.13% due 03/31/294,5		4,900,000		4,109,457
Carpenter Technology Corp.
6.38% due 07/15/28		8,315,000		7,711,331
7.63% due 03/15/30		6,250,000		6,017,500
WR Grace Holdings LLC
4.88% due 06/15/275		13,750,000		11,819,912
Kaiser Aluminum Corp.
4.50% due 06/01/315		13,250,000		9,695,555
4.63% due 03/01/284,5		650,000		530,347
Minerals Technologies, Inc.
5.00% due 07/01/285		11,230,000		9,773,778
EverArc Escrow SARL
5.00% due 10/30/295		11,525,000		9,303,499
SCIL IV LLC / SCIL USA Holdings LLC
5.38% due 11/01/265		10,675,000		8,246,437
Clearwater Paper Corp.
4.75% due 08/15/285		5,539,000		4,850,081
HB Fuller Co.
4.25% due 10/15/28		5,250,000		4,417,350
Novelis Sheet Ingot GmbH
3.38% due 04/15/29		EUR 4,500,000		3,463,320
Compass Minerals International, Inc.
6.75% due 12/01/275		2,634,000		2,475,368
ArcelorMittal S.A.
4.55% due 03/11/264		2,450,000		2,344,978
Arconic Corp.
6.00% due 05/15/255		2,275,000		2,189,837
Ingevity Corp.
3.88% due 11/01/285		1,000,000		826,785
Mirabela Nickel Ltd.
due 06/24/199,10		1,885,418		94,271
Total Basic Materials				109,015,022
Utilities - 1.4%
Midcap Funding XLVI Trust
6.16% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/23◊,†††		43,400,000		43,277,258
Cheniere Corpus Christi Holdings LLC
3.52% due 12/31/39†††		21,800,000		17,074,829
Clearway Energy Operating LLC
3.75% due 02/15/315		13,450,000		10,683,032
AES Corp.
3.95% due 07/15/304,5		9,760,000		8,357,488

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Terraform Global Operating LLC
6.13% due 03/01/265		8,285,000	$	7,767,188
Atlantica Sustainable Infrastructure plc
4.13% due 06/15/285		1,550,000		1,304,983
Basic Energy Services, Inc.
due 10/15/23†††,9		1,438,000		39,545
Total Utilities				88,504,323
Total Corporate Bonds
(Cost $2,621,380,925)				2,139,503,542
SENIOR FLOATING RATE INTERESTS††,◊ - 28.3%
Consumer, Cyclical - 6.9%
MB2 Dental Solutions LLC
9.70% (3 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††		35,581,776		34,904,457
FR Refuel LLC
8.42% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 11/08/28†††		23,495,767		22,438,457
Packers Holdings LLC
6.01% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28		22,783,434		20,861,196
Zephyr Bidco Ltd.
6.44% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 07/23/25		GBP 20,850,000		19,092,767
9.19% (1 Month GBP SONIA + 7.50%, Rate Floor: 7.50%) due 07/23/26		GBP 1,540,417		1,404,140
Pacific Bells LLC
8.31% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28		19,851,546		18,461,938
BGIS (BIFM CA Buyer, Inc.)
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26		17,854,317		17,274,052
BCPE Empire Holdings, Inc.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/11/26		16,994,265		16,241,971
Mavis Tire Express Services TopCo Corp.
7.25% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 05/04/28		17,182,500		16,076,462
BRE/Everbright M6 Borrower LLC
8.05% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 09/09/26		14,288,690		13,836,167
Truck Hero, Inc.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 01/31/28		15,619,321		13,575,845
PAI Holdco, Inc.
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 10/28/27		13,980,814		13,223,474

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
SP PF Buyer LLC
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25		15,268,484	$	12,504,888
Breitling Financing SARL
4.62% (3 Month EURIBOR + 3.43%, Rate Floor: 3.43%) due 10/25/28		EUR 13,900,000		12,312,188
CNT Holdings I Corp.
6.25% (1 Month Term SOFR + 3.50%, Rate Floor: 4.25%) due 11/08/27		11,768,889		11,190,919
Loire Finco Luxembourg SARL
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/27		10,639,009		9,965,241
Rent-A-Center, Inc.
6.06% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28		10,448,184		9,455,607
CHG Healthcare Services, Inc.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 09/29/28		9,131,000		8,752,429
Flamingo
4.62% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/24/28		EUR 10,000,000		8,740,468
CD&R Firefly Bidco Ltd.
3.49% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/23/25		EUR 6,000,000		5,413,878
5.55% (1 Month GBP SONIA + 4.25%, Rate Floor: 4.25%) due 06/23/25		GBP 3,350,000		3,273,421
ImageFIRST Holdings LLC
8.17% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 04/27/28		8,843,097		8,356,727
Verisure Holding AB
3.75% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26		EUR 7,651,053		6,767,691
3.47% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28		EUR 1,770,000		1,552,632
NFM & J LLC
8.87% (1 Month USD LIBOR + 5.75%, Rate Floor: 6.75%) due 11/30/27†††		8,363,096		8,155,528
First Brands Group LLC
7.94% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 03/30/27		7,411,876		7,107,989

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
BCP V Modular Services Holdings IV Ltd.
5.69% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 12/15/28		EUR 8,200,000	$	7,044,301
PetSmart LLC
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28		7,425,000		7,010,462
Holding SOCOTEC
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/30/28		7,078,500		6,547,613
Camin Cargo Control, Inc.
9.62% (1 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 06/04/26†††		6,579,852		6,445,469
United Petfood
3.00% (6 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 04/24/28		EUR 7,000,000		6,224,669
Accuride Corp.
8.92% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23		6,980,058		5,970,881
Congruex Group LLC
8.48% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 05/03/29†††		6,134,625		5,950,586
The Facilities Group
8.86% ((1 Month USD LIBOR + 5.75%) and (3 Month USD LIBOR + 5.75%), Rate Floor: 6.75%) due 11/30/27†††		5,846,070		5,700,973
AlixPartners, LLP
4.44% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 02/04/28		EUR 5,910,000		5,365,223
Fertitta Entertainment LLC
7.03% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/27/29		5,522,250		5,113,824
Scientific Games Holdings, LP
5.62% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/04/29		5,500,000		5,081,780
Galls LLC
9.58% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 01/31/25†††		3,475,130		3,353,500
9.56% (3 Month USD LIBOR + 6.75%, Rate Floor: 8.25%) due 01/31/25†††		466,730		450,394
9.60% ((1 Month USD LIBOR + 6.75%) and (3 Month USD LIBOR + 6.75%), Rate Floor: 7.75%) due 01/31/24†††		452,301		436,471

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25		4,716,294	$	3,938,105
Sovos Brands Intermediate, Inc.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 06/08/28		3,998,759		3,798,821
Alexander Mann
7.19% (3 Month GBP SONIA + 5.00%, Rate Floor: 5.00%) due 06/16/25		GBP 3,000,000		3,182,686
Cast & Crew Payroll LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/26		3,213,291		3,124,925
SHO Holding I Corp.
8.06% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/26/24		3,604,429		3,063,765
8.04% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24		60,373		51,317
Apro LLC
6.89% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/16/26		3,258,750		3,095,813
Eagle Parent Corp.
7.80% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29		3,184,000		3,091,123
Checkers Drive-In Restaurants, Inc.
7.32% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 04/25/24		3,270,300		2,747,052
WESCO
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/14/24†††		2,300,773		2,266,790
Adevinta ASA
4.44% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/26/28		EUR 2,340,000		2,155,837
CCRR Parent, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/06/28		1,871,500		1,798,979
TTF Holdings Intermediate LLC
7.13% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 03/31/28		1,565,285		1,518,326
EG Finco Ltd.
6.98% (3 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 02/07/25		GBP 955,000		918,505
Total Consumer, Cyclical				426,388,722

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Consumer, Non-cyclical - 5.9%
Women’s Care Holdings, Inc.
7.87% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28		31,501,250	$	29,348,770
Mission Veterinary Partners
7.25% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28		21,235,500		19,934,826
HAH Group Holding Co. LLC
8.71% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27		12,195,615		11,585,834
8.71% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27†††		7,960,000		7,562,000
Quirch Foods Holdings LLC
7.93% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/27/27†††		19,559,051		18,263,264
National Mentor Holdings, Inc.
7.18% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28		20,929,785		14,833,985
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28		479,283		339,691
Southern Veterinary Partners LLC
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27		15,696,690		14,813,752
Dhanani Group, Inc.
8.85% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 06/10/27†††		14,700,000		14,553,000
SCP Eye Care Services LLC
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28†††		12,430,679		12,368,526
7.32% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28†††		2,176,417		2,154,652
Blue Ribbon LLC
8.56% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28		16,914,872		14,398,785
PetIQ LLC
7.07% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28†††		15,602,500		14,354,300
LaserAway Intermediate Holdings II LLC
8.23% (3 Month USD LIBOR + 5.75%, Rate Floor: 6.50%) due 10/14/27		13,299,500		13,016,886

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Kronos Acquisition Holdings, Inc.
6.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		13,225,010	$	12,218,455
Florida Food Products LLC
8.12% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 10/18/28†††		12,889,842		11,794,206
Del Monte Foods, Inc.
7.37% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/16/29		11,650,000		11,135,419
Nidda Healthcare Holding GmbH
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26		EUR 11,387,239		9,914,364
Cambrex Corp.
6.63% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/04/26		10,101,381		9,656,314
EyeCare Partners LLC
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/15/28		8,084,375		7,538,680
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27		2,150,538		1,946,237
Sigma Holding BV (Flora Food)
3.74% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25		EUR 12,019,549		9,401,472
Hearthside Group Holdings LLC
6.80% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 05/23/25		6,688,680		5,190,416
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25		5,001,176		3,946,778
Resonetics LLC
6.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/28/28		8,662,500		8,207,719
Medical Solutions Parent Holdings, Inc.
6.38% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/01/28		7,719,752		7,333,765
Endo Luxembourg Finance Company I SARL
12.25% (Commercial Prime Lending Rate + 6.00%, Rate Floor: 7.75%) due 03/27/28		7,653,125		6,443,931
Gibson Brands, Inc.
7.94% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28†††		8,237,750		6,425,445

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Weber-Stephen Products LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27		7,232,385	$	5,842,393
7.38% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 10/30/27†††		422,875		338,300
Osmosis Holdings Australia II Pty Ltd.
6.35% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 07/30/28		6,533,625		6,055,886
Pearl Intermediate Parent LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25		6,384,810		5,882,006
CAB (Biogroup)
3.28% (3 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 02/09/28		EUR 6,500,000		5,650,024
Dermatology Intermediate Holdings III, Inc.
6.85% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29†††		5,630,770		5,349,231
7.12% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29		166,709		158,373
Confluent Medical Technologies, Inc.
7.30% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 02/16/29†††		5,273,500		4,930,722
Mascot Bidco Oy
5.13% (6 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 03/30/26		EUR 5,075,000		4,398,930
Confluent Health LLC
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28†††		4,810,082		4,208,822
Zep, Inc.
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/12/24		3,672,376		3,167,424
Sharp Midco LLC
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 12/31/28†††		3,283,500		3,086,490
IVC Acquisition Ltd.
4.39% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/13/26		EUR 3,400,000		3,064,832
Fender Musical Instruments Corp.
6.75% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/01/28		3,525,039		2,987,471

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Packaging Coordinators Midco, Inc.
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/30/27		2,524,372	$	2,393,937
Mamba Purchaser, Inc.
6.55% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 10/16/28		1,990,000		1,883,037
Care BidCo
4.19% (3 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 05/04/28†††		EUR 1,966,132		1,773,768
Certara Holdco, Inc.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/17/26†††		1,600,029		1,540,028
Recess Holdings, Inc.
6.55% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24		1,054,619		1,016,832
KDC US Holdings, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25		818,638		770,886
Moran Foods LLC
14.42% (3 Month USD LIBOR + 10.75%, Rate Floor: 11.75%) due 10/01/24		538,794		371,768
10.67% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 04/01/24		411,446		348,359
due 04/01/24		53,562		45,350
Triton Water Holdings, Inc.
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 03/31/28		619,358		554,412
TGP Holdings LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/29/28		205,341		160,809
Total Consumer, Non-cyclical				364,661,562
Industrial - 5.9%
CapStone Acquisition Holdings, Inc.
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27†††		26,065,324		25,413,691
United Airlines, Inc.
6.53% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28		25,181,250		23,988,666
Arcline FM Holdings LLC
7.00% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28†††		20,988,000		19,413,900
American Bath Group LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/23/27		20,543,462		17,811,182
Hunter Douglas, Inc.
6.34% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/26/29		21,000,000		17,188,500

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
AI Convoy Luxembourg SARL
5.05% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 01/18/27		8,169,469	$	7,893,750
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27		EUR 8,324,708		7,547,148
Mileage Plus Holdings LLC
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		14,487,500		14,521,111
TransDigm, Inc.
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25		14,007,131		13,419,392
NA Rail Hold Co. LLC
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.25%) due 10/19/26		13,704,887		13,208,085
DXP Enterprises, Inc.
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27		12,904,401		12,262,407
Charter Next Generation, Inc.
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27		12,919,875		12,233,571
Fugue Finance BV
3.74% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24		EUR 12,545,690		11,399,449
Service Logic Acquisition, Inc.
6.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27		11,979,524		11,215,829
6.97% ((1 Month USD LIBOR + 4.00%) and (2 Month USD LIBOR + 4.00%), Rate Floor: 4.75%) due 10/29/27		122,149		114,362
Merlin Buyer, Inc.
7.03% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/14/28		11,940,000		11,283,300
Minerva Bidco Ltd.
5.69% (3 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 07/30/25		GBP 11,000,000		11,193,842
TricorBraun Holdings, Inc.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28		10,817,597		10,138,793
Icebox Holdco III, Inc.
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/28		10,676,350		9,982,387
DG Investment Intermediate Holdings 2, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/28		10,418,471		9,689,178

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Dispatch Terra Acquisition LLC
7.92% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28†††		10,267,214	$	9,137,821
PECF USS Intermediate Holding III Corp.
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28		7,940,000		6,755,590
Pelican Products, Inc.
8.16% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28		6,752,358		6,144,646
TK Elevator Midco GmbH
6.87% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27		4,162,348		3,981,994
3.69% (1 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 01/29/27†††		EUR 2,212,267		1,935,657
Air Canada
6.42% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28		6,203,670		5,887,965
LTI Holdings, Inc.
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 07/24/26		3,885,375		3,642,539
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/08/25		2,335,337		2,155,516
Valcour Packaging LLC
5.22% (6 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 10/04/28		6,284,250		5,757,944
Park River Holdings, Inc.
5.53% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27		6,720,425		5,675,936
BWAY Holding Co.
5.81% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24		4,774,538		4,437,360
TSG Solutions Holding
4.49% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 03/30/29		EUR 4,400,000		4,059,100
Patriot Container Corp. (Wastequip)
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/20/25		4,668,358		3,979,775
STS Operating, Inc. (SunSource)
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24		4,084,819		3,889,075
YAK MAT (YAK ACCESS LLC)
13.64% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26†††		12,220,199		3,666,060

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
ILPEA Parent, Inc.
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 06/22/28†††		3,636,187	$	3,490,739
Rinchem Company LLC
8.15% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 03/02/29†††		3,541,125		3,377,348
Integrated Power Services Holdings, Inc.
7.47% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 11/22/28†††		3,485,498		3,363,506
Filtration Group Corp.
4.19% (1 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25		EUR 3,540,619		3,299,546
Saverglass
5.09% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 02/19/29		EUR 3,700,000		3,173,086
Protective Industrial Products, Inc.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27†††		3,238,349		3,044,048
Titan Acquisition Ltd. (Husky)
5.88% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25		3,132,830		2,798,651
MI Windows And Doors LLC
6.63% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/18/27		2,453,460		2,381,893
Pro Mach Group, Inc.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28		2,134,476		2,031,188
Waterlogic USA Holdings, Inc.
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 08/17/28		1,980,000		1,940,400
API Heat Transfer
12.00% (3 Month USD LIBOR, Rate Floor: 0.00%) (in-kind rate was 12.00%) due 01/01/24†††,12		1,287,526		643,763
12.00% (3 Month USD LIBOR, Rate Floor: 0.00% (in-kind rate was 12.00%) due 10/02/23†††,12		229,708		195,252
Duran Group Holding GMBH
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/29/24†††		EUR 416,090		389,680
4.04% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 12/20/24†††		EUR 81,858		76,662

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Transcendia Holdings, Inc.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/30/24		559,067	$	408,119
Total Industrial				361,639,402
Technology - 4.0%
Planview Parent, Inc.
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27		23,088,750		21,818,869
Datix Bidco Ltd.
6.01% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††		9,112,505		8,883,781
8.44% (6 Month GBP SONIA + 7.75%, Rate Floor: 8.44%) due 04/27/26†††		GBP 4,225,000		4,621,470
7.01% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/27/25†††		3,400,533		3,315,180
6.19% (6 Month GBP LIBOR + 4.50%, Rate Floor: 5.19%) due 04/28/25†††		GBP 1,000,000		1,088,702
9.26% (6 Month Term SOFR + 7.75%, Rate Floor: 7.75%) due 04/27/26†††		461,709		452,244
Peraton Corp.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		17,225,859		16,295,663
Polaris Newco LLC
6.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/04/26†††		14,084,714		12,789,822
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28		3,803,734		3,501,566
Project Ruby Ultimate Parent Corp.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28		17,336,000		16,135,482
Avalara, Inc.
due 08/12/28†††		16,000,000		15,804,471
Apttus Corp.
7.12% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28†††		17,127,000		15,671,205
Sitecore Holding III A/S
7.00% (3 Month EURIBOR + 7.00%, Rate Floor: 7.00%) due 03/12/26†††		EUR 8,665,010		8,404,969
10.27% (3 Month USD LIBOR + 7.00%, Rate Floor: 7.50%) due 03/12/26†††		7,056,876		6,984,051
Wrench Group LLC
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26		15,342,085		14,824,289
Atlas CC Acquisition Corp.
7.32% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28		15,752,114		13,775,224

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Aston FinCo SARL
6.96% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 10/09/26†††		GBP 12,837,988	$	13,189,664
Team.Blue Finco SARL
4.89% (3 Month EURIBOR + 3.70%, Rate Floor: 3.70%) due 03/30/28		EUR 14,000,000		12,486,524
Project Boost Purchaser LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26		6,912,500		6,532,312
Sportradar Capital SARL
4.21% (1 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/27		EUR 5,552,381		5,108,593
Imprivata, Inc.
7.28% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/01/27		4,850,000		4,678,746
VT TopCo, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25		4,310,650		4,095,118
Sitecore USA, Inc.
10.27% (3 Month USD LIBOR + 7.00%, Rate Floor: 7.50%) due 03/12/26†††		4,000,437		3,959,154
Taxware Holdings (Sovos Compliance LLC)
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28		3,775,697		3,592,576
AVS Group GmbH
4.13% (1 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 09/10/26		EUR 3,750,000		3,350,742
Greenway Health LLC
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/16/24		3,436,776		3,035,807
Concorde Lux
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/01/28		EUR 3,300,000		2,967,510
Ping Identity Corp.
6.88% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 11/22/28†††		2,736,250		2,715,728
RLDatix
5.69% (3 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 10/28/24†††		GBP 1,889,602		2,549,694
Verscend Holding Corp.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/27/25		2,369,797		2,292,778

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
24-7 Intouch, Inc.
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25		2,221,266	$	2,110,203
Misys Ltd.
6.87% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24		2,372,177		2,049,561
Boxer Parent Company, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25		1,811,258		1,712,508
Ep Purchaser LLC
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/06/28		1,492,500		1,452,202
Brave Parent Holdings, Inc.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25		1,202,100		1,169,042
Kar Finland Bidco Oy
4.50% (6 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 11/27/23†††		EUR 1,000,000		950,701
Conair Holdings LLC
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28		397,995		333,321
Total Technology				244,699,472
Financial - 3.0%
Jones Deslauriers Insurance Management, Inc.
7.75% (3 Month Canada Banker Acceptance Rate + 4.25%, Rate Floor: 5.00%) due 03/27/28†††		CAD 39,690,223		26,301,858
11.00% (3 Month Canada Banker Acceptance Rate + 7.50%, Rate Floor: 8.00%) due 03/26/29†††		CAD 11,674,000		7,651,561
Orion Advisor Solutions, Inc.
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/24/27		21,296,806		20,018,998
HighTower Holding LLC
6.73% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28		18,708,625		17,293,879
Eisner Advisory Group
10.50% (Commercial Prime Lending Rate + 4.25%, Rate Floor: 4.25%) due 07/28/28		10,950,000		10,621,500
8.40% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/28/28†††		6,098,045		5,762,652

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Camelia Bidco Banc Civica
6.96% (3 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 10/14/24		GBP 12,975,000	$	13,489,816
Higginbotham Insurance Agency, Inc.
8.37% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.00%) due 11/25/26†††		13,642,394		13,304,063
Duff & Phelps
6.78% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27		12,903,000		12,150,368
Franchise Group, Inc.
7.56% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26		12,625,841		11,763,117
Teneo Holdings LLC
8.38% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/11/25		10,742,658		10,116,039
Alter Domus
6.49% (1 Month SOFR + 3.50%, Rate Floor: 3.50%) due 02/17/28		10,342,500		9,954,656
HUB International Ltd.
5.77% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25		5,093,314		4,890,651
5.98% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25		2,597,989		2,498,954
Aretec Group, Inc.
7.38% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 10/01/25		6,460,051		6,325,488
Cross Financial Corp.
7.13% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27		4,688,156		4,539,682
Sandy Bidco BV
4.68% (1 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 08/17/29		EUR 4,700,000		4,261,002
USI, Inc.
6.92% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26		3,145,838		3,022,616
Nexus Buyer LLC
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26		1,307,260		1,252,525
Cobham Ultra SeniorCo SARL
7.06% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 08/03/29		500,000		477,500
Total Financial				185,696,925
Communications - 1.4%
Syndigo LLC
7.32% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27†††		27,136,750		24,423,075

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Xplornet Communications, Inc.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28		25,174,479	$	22,084,311
FirstDigital Communications LLC
7.31% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 12/17/26†††		10,550,000		10,328,561
Radiate Holdco LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26		7,665,167		7,074,029
Titan AcquisitionCo New Zealand Ltd. (Trade Me)
4.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/18/28		6,517,250		6,147,917
Zayo Group Holdings, Inc.
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27		6,146,447		5,117,717
McGraw Hill LLC
8.32% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28		4,331,872		3,985,322
Recorded Books, Inc.
7.08% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 08/29/25		4,143,341		3,977,608
Cincinnati Bell, Inc.
6.38% (1 Month Term SOFR + 3.35%, Rate Floor: 3.35%) due 11/22/28		992,500		949,902
Flight Bidco, Inc.
10.62% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26		1,000,000		902,500
SFR Group S.A.
6.91% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/14/26		433,125		391,978
Total Communications				85,382,920
Basic Materials - 0.8%
Illuminate Buyer LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27		11,927,339		10,779,333
NIC Acquisition Corp.
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27		10,886,230		8,445,864
Pregis TopCo LLC
6.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 07/31/26		6,484,500		6,144,064
CTEC III GmbH
4.33% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/16/29		EUR 6,800,000		5,853,012
GrafTech Finance, Inc.
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25		3,379,917		3,151,772

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
American Rock Salt Company LLC
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/09/28		2,718,610	$	2,503,377
Barentz Midco BV
4.94% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 11/30/27		EUR 2,400,000		2,177,501
Vectra Co.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/08/25		2,476,708		2,064,956
DCG Acquisition Corp.
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26		1,722,288		1,603,158
Ascend Performance Materials Operations LLC
8.42% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26		1,485,475		1,451,680
Schur Flexibles GmbH
4.25% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 09/12/27		EUR 3,150,000		1,173,184
Total Basic Materials				45,347,901
Utilities - 0.2%
Hamilton Projects Acquiror LLC
8.17% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27		12,575,206		12,323,702
Granite Generation LLC
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/09/26		698,388		666,960
Total Utilities				12,990,662
Energy - 0.2%
TransMontaigne Operating Company LP
6.52% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/17/28		6,540,550		6,184,940
Venture Global Calcasieu Pass LLC
5.74% (1 Month USD LIBOR + 2.63%, Rate Floor: 2.63%) due 08/19/26†††		5,471,685		5,458,006
Permian Production Partners LLC
11.12% (1 Month USD LIBOR + 6.00%, Rate Floor: 9.12%) (in-kind rate was 2.00%) due 11/24/25†††,12		1,132,127		1,129,297
Total Energy				12,772,243
Total Senior Floating Rate Interests
(Cost $1,932,154,103)				1,739,579,809
ASSET-BACKED SECURITIES†† - 20.0%
Collateralized Loan Obligations - 11.3%
LoanCore Issuer Ltd.
2021-CRE4 D, 4.90% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/35◊		20,500,000		19,405,960

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2019-CRE2 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,5		11,343,072	$	11,245,592
2021-CRE6 D, 5.67% (1 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 11/15/38◊,5		11,300,000		10,614,507
2021-CRE5 D, 5.82% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/15/36◊,5		8,250,000		7,820,258
2022-CRE7 D, 5.38% (30 Day Average SOFR + 3.10%, Rate Floor: 3.10%) due 01/17/37◊,5		6,400,000		6,107,069
FS Rialto
2021-FL3 D, 5.44% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 11/16/36◊,5		36,500,000		33,736,461
2021-FL2 D, 5.74% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 05/16/38◊,5		8,850,000		8,175,248
Fortress Credit Opportunities IX CLO Ltd.
2021-9A CR, 5.31% (3 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 10/15/33◊,5		35,000,000		31,651,322
2021-9A DR, 6.46% (3 Month USD LIBOR + 3.95%, Rate Floor: 3.95%) due 10/15/33◊,5		7,750,000		6,894,422
Palmer Square Loan Funding Ltd.
2022-1A B, 4.33% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 04/15/30◊,5		26,200,000		24,191,804
2021-3A C, 5.21% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/20/29◊,5		8,300,000		7,593,150
2022-1A C, 4.93% (3 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 04/15/30◊,5		3,400,000		3,153,729
LCCM Trust
2021-FL3 C, 5.42% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/15/38◊,5		28,865,000		26,995,957
2021-FL2 D, 5.72% (1 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 12/13/38◊,5		5,750,000		5,251,844
BXMT Ltd.
2020-FL2 C, 4.59% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/38◊		15,640,000		14,890,480
2020-FL2 D, 4.89% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 02/15/38◊,5		8,000,000		7,466,058
2020-FL3 D, 5.20% (30 Day Average SOFR + 2.91%, Rate Floor: 2.80%) due 11/15/37◊,5		7,350,000		7,081,537

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Diamond CLO Ltd.
2018-1A C, 5.36% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 07/22/30◊,5		10,624,293	$	10,590,686
2021-1A DR, 6.18% (3 Month USD LIBOR + 3.40%, Rate Floor: 3.40%) due 04/25/29◊,5		5,500,000		5,306,632
2018-1A D, 6.46% (3 Month USD LIBOR + 3.70%, Rate Floor: 3.70%) due 07/22/30◊,5		5,000,000		4,894,958
2021-1A CR, 5.18% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/29◊,5		1,322,000		1,311,960
Voya CLO Ltd.
2021-2A CR, 6.11% (3 Month USD LIBOR + 3.60%, Rate Floor: 3.60%) due 06/07/30◊,5		16,500,000		14,824,869
2013-1A INC, due 10/15/305,13		28,970,307		5,536,226
ACRES Commercial Realty Ltd.
2021-FL2 D, 6.04% (1 Month USD LIBOR + 3.10%, Rate Floor: 3.10%) due 01/15/37◊,5		8,350,000		7,925,094
2021-FL1 D, 5.59% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/36◊		7,250,000		6,701,407
2021-FL2 C, 5.59% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 01/15/37◊,5		5,250,000		5,073,723
MidOcean Credit CLO VII
2020-7A CR, 4.71% (3 Month USD LIBOR + 2.20%, Rate Floor: 0.00%) due 07/15/29◊,5		21,000,000		19,542,249
BSPDF Issuer Ltd.
2021-FL1 D, 5.57% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/15/36◊		19,975,000		18,507,698
BSPRT Issuer Ltd.
2021-FL6 D, 5.82% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/15/36◊,5		18,425,000		17,022,867
2021-FL7 D, 5.57% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 12/15/38◊,5		1,600,000		1,468,205
Golub Capital Partners CLO Ltd.
2018-36A C, 4.93% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 02/05/31◊,5		20,000,000		18,444,330
Golub Capital Partners CLO 49M Ltd.
2021-49A D, 6.56% (3 Month USD LIBOR + 3.85%, Rate Floor: 3.85%) due 08/26/33◊,5		18,100,000		16,009,903

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Anchorage Capital CLO 6 Ltd.
2021-6A DRR, 5.96% (3 Month USD LIBOR + 3.45%, Rate Floor: 3.45%) due 07/15/30◊,5		17,350,000	$	15,947,761
KREF Funding V LLC
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,†††		15,952,957		15,881,139
0.15% due 06/25/26†††,14		73,636,363		2,945
STWD Ltd.
2022-FL3 D, 5.04% (30 Day Average SOFR + 2.75%, Rate Floor: 2.75%) due 11/15/38◊,5		11,900,000		11,053,206
2021-FL2 D, 5.74% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 04/18/38◊,5		3,750,000		3,553,273
Cerberus Loan Funding XXX, LP
2020-3A C, 6.16% (3 Month USD LIBOR + 3.65%, Rate Floor: 3.65%) due 01/15/33◊,5		14,500,000		14,039,506
FS Rialto Issuer LLC
2022-FL5 C, 6.84% (1 Month Term SOFR + 3.92%, Rate Floor: 3.92%) due 06/19/37◊,5		6,950,000		6,816,124
2022-FL6 C, 7.25% (1 Month Term SOFR + 4.23%, Rate Floor: 4.23%) due 08/17/37◊,5		6,150,000		6,056,548
ABPCI Direct Lending Fund IX LLC
2021-9A BR, 5.27% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 11/18/31◊,5		11,550,000		10,608,891
Atlas Senior Loan Fund IX Ltd.
2018-9A C, 4.51% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/28◊,5		10,250,000		9,870,772
2018-9A SUB, due 04/20/285,13		9,600,000		566,256
Neuberger Berman Loan Advisers CLO 32 Ltd.
2021-32A DR, 5.44% (3 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 01/20/32◊,5		11,500,000		10,190,967
THL Credit Lake Shore MM CLO I Ltd.
2021-1A CR, 5.51% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/15/33◊,5		9,900,000		9,147,560
Cerberus Loan Funding XXXVI, LP
2021-6A B, 4.26% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/22/33◊,5		9,000,000		8,877,448
BCC Middle Market CLO LLC
2021-1A A1R, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,5		9,000,000		8,645,161

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A D, 5.61% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 01/20/33◊,5		9,950,000	$	8,547,920
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A BR, 5.61% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 04/20/31◊,5		9,200,000		8,524,113
Golub Capital Partners CLO 16 Ltd.
2021-16A CR2, 5.68% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 07/25/33◊,5		9,300,000		8,500,213
Marathon CLO V Ltd.
2017-5A A2R, 4.43% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/27◊,5		7,920,233		7,844,979
2013-5A SUB, due 11/21/275,13		5,500,000		295,350
Magnetite XXIX Ltd.
2021-29A D, 5.11% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/34◊,5		8,800,000		7,953,324
Venture XIV CLO Ltd.
2020-14A CRR, 5.29% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/29◊,5		8,000,000		7,551,598
ABPCI Direct Lending Fund CLO VII, LP
2021-7A BR, 5.32% (3 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 10/20/31◊,5		7,950,000		7,301,825
Dryden 37 Senior Loan Fund
2015-37A Q, due 01/15/315,13		9,500,000		7,251,395
CIFC Funding 2017-II Ltd.
2021-2A DR, 5.81% (3 Month USD LIBOR + 3.10%, Rate Floor: 3.10%) due 04/20/30◊,5		8,100,000		7,238,733
ACRE Commercial Mortgage Ltd.
2021-FL4 D, 5.59% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 12/18/37◊,5		7,350,000		7,108,657
Madison Park Funding XLVIII Ltd.
2021-48A D, 5.74% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/19/33◊,5		7,500,000		6,725,183
Octagon Loan Funding Ltd.
2014-1A SUB, due 11/18/315,13		19,435,737		6,058,119
Hull Street CLO Ltd.
2014-1A D, 6.34% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/18/26◊,5		5,785,000		5,685,976

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Cerberus Loan Funding XXXIII, LP
2021-3A C, 5.31% (3 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 07/23/33◊,5		5,900,000	$	5,362,088
CHCP Ltd.
2021-FL1 D, 5.96% (1 Month Term SOFR + 3.11%, Rate Floor: 3.00%) due 02/15/38◊,5		5,500,000		5,107,198
Telos CLO Ltd.
2017-6A CR, 5.34% (3 Month USD LIBOR + 2.60%, Rate Floor: 0.00%) due 01/17/27◊,5		5,092,865		5,076,273
ABPCI Direct Lending Fund CLO I LLC
2021-1A C2, 5.71% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/20/33◊,5		5,550,000		5,053,740
TCP Waterman CLO LLC
2016-1A A2, 6.29% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 12/15/28◊,5		4,981,633		4,984,153
WhiteHorse X Ltd.
2015-10A E, 8.04% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/27◊,5		5,004,114		4,623,703
Cerberus Loan Funding XXXV, LP
2021-5A C, 5.11% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 09/22/33◊,5		5,150,000		4,608,360
Cerberus Loan Funding XXVI, LP
2021-1A CR, 5.41% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 04/15/31◊,5		4,000,000		3,783,417
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A D, 5.49% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/16/33◊,5		4,050,000		3,576,152
BNPP IP CLO Ltd.
2014-2A E, 8.03% (3 Month USD LIBOR + 5.25%, Rate Floor: 0.00%) due 10/30/25◊,5		5,894,651		3,492,581
Dryden 50 Senior Loan Fund
2017-50A SUB, due 07/15/305,13		7,895,000		3,436,693
Dryden 41 Senior Loan Fund
2015-41A SUB, due 04/15/315,13		11,700,000		3,304,080
Carlyle Global Market Strategies CLO Ltd.
2012-3A SUB, due 01/14/325,13		6,400,000		2,085,760
2013-3X SUB, due 10/15/3013		4,938,326		748,650

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Silvermore CLO Ltd.
2014-1A B, 5.91% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 05/15/26◊,5		2,738,611	$	2,733,849
HGI CRE CLO Ltd.
2021-FL2 D, 5.09% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 09/17/36◊,5		1,600,000		1,456,014
2021-FL2 E, 5.39% (1 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/17/36◊,5		1,200,000		1,079,493
BDS Ltd.
2021-FL9 E, 5.59% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/16/38◊,5		2,700,000		2,510,114
Denali Capital CLO XI Ltd.
2018-1A BRR, 4.86% (3 Month USD LIBOR + 2.15%, Rate Floor: 0.00%) due 10/20/28◊,5		2,500,000		2,422,641
Treman Park CLO Ltd.
2015-1A SUB, due 10/20/285,13		18,918,010		2,352,076
Monroe Capital CLO Ltd.
2017-1A DR, 6.36% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/26◊,5		2,193,917		2,176,590
KVK CLO Ltd.
2013-1A SUB, due 01/14/285,13		11,900,000		2,093,722
AMMC CLO XI Ltd.
2012-11A SUB, due 04/30/315,13		5,650,000		1,891,055
Goldentree Loan Management US CLO 4 Ltd.
2021-4A DR, 5.93% (3 Month USD LIBOR + 3.15%, Rate Floor: 3.15%) due 04/24/31◊,5		2,000,000		1,752,085
PFP Ltd.
2021-7 E, 5.94% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/14/38◊,5		1,789,911		1,694,148
Venture XIII CLO Ltd.
2013-13A SUB, due 09/10/295,13		13,790,000		1,553,770
Babson CLO Ltd.
2014-IA SUB, due 07/20/255,13		11,900,000		742,560
Great Lakes CLO Ltd.
2014-1A SUB, due 10/15/295,13		1,500,000		629,250
Dryden Senior Loan Fund
due 01/15/3113		1,897,598		563,017
Avery Point II CLO Ltd.
2013-3X COM, due 01/18/2513		6,270,000		159,572
West CLO Ltd.
2013-1A SUB, due 11/07/255,13		5,300,000		6,943
OHA Credit Partners IX Ltd.
2013-9A ACOM, due 10/20/255,13		4,219,178		4,641
Copper River CLO Ltd.
2007-1A INC, due 01/20/21†††,10,13		8,150,000		3,423
Total Collateralized Loan Obligations				694,348,958

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Transport-Aircraft - 3.4%
AASET Trust
2017-1A, 3.97% due 05/16/425		22,018,706	$	17,460,834
2021-1A, 2.95% due 11/16/415		19,889,956		15,861,681
2021-2A, 3.54% due 01/15/475		3,824,538		2,878,966
2020-1A, 4.34% due 01/16/405		4,322,982		1,733,204
KDAC Aviation Finance Ltd.
2017-1A, 4.21% due 12/15/425		40,778,018		31,212,209
Falcon Aerospace Ltd.
2017-1, 4.58% due 02/15/425		13,873,076		12,579,196
2019-1, 3.60% due 09/15/395		5,889,752		4,679,716
2017-1, 6.30% due 02/15/425		3,838,675		3,312,349
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/435		12,067,985		10,559,015
2019-1A, 3.97% due 04/15/395		5,837,933		5,035,750
2016-1, 4.45% due 08/15/41		3,569,594		3,206,177
Sprite Ltd.
2021-1, 3.75% due 11/15/465		18,484,800		15,605,175
Raspro Trust
2005-1A, 3.64% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,5		15,020,380		13,927,920
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/405		16,955,497		12,486,416
AASET US Ltd.
2018-2A, 4.45% due 11/18/385		13,791,309		11,412,740
JOL Air Ltd.
2019-1, 3.97% due 04/15/445		10,905,400		9,066,918
Sapphire Aviation Finance II Ltd.
2020-1A, 4.34% due 03/15/405		9,117,555		5,628,647
2020-1A, 3.23% due 03/15/405		572,183		473,704
WAVE LLC
2019-1, 3.60% due 09/15/445		7,443,431		5,888,260
GAIA Aviation Ltd.
2019-1, 3.97% due 12/15/445,11		7,112,786		5,758,040
Navigator Aircraft ABS Ltd.
2021-1, 3.57% due 11/15/465		6,023,995		4,439,954
MAPS Ltd.
2018-1A, 4.21% due 05/15/435		4,966,170		4,423,835
Lunar Structured Aircraft Portfolio Notes
2021-1, 3.43% due 10/15/465		5,451,889		4,374,709
Slam Ltd.
2021-1A, 3.42% due 06/15/465		3,318,840		2,632,267
Castlelake Aircraft Structured Trust
2021-1A, 6.66% due 01/15/465		2,538,516		2,043,379
Stripes Aircraft Ltd.
2013-1 A1, 6.49% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/20/23◊,†††		762,830		729,624
Total Transport-Aircraft				207,410,685

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Financial - 2.9%
HarbourVest Structured Solutions IV Holdings, LP
4.60% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††		23,234,292	$	23,233,624
2.58% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††		EUR 12,900,000		12,640,344
HV Eight LLC
3.36% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25◊,†††		EUR 28,000,000		27,428,145
Madison Avenue Secured Funding Trust
2021-1, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,5		20,750,000		20,750,000
KKR Core Holding Company LLC
4.00% due 08/12/31†††		19,096,300		16,341,417
Bib Merchant Voucher Receivables Ltd.
4.18% due 04/07/28†††		13,738,237		13,358,697
Nassau LLC
2019-1, 3.98% due 08/15/345		13,480,305		12,830,182
Lam Trade Finance Group LLC
2.50% due 12/29/22		12,000,000		12,000,000
Thunderbird A
5.50% due 03/01/37†††		11,456,706		11,456,706
Lightning A
5.50% due 03/01/37†††		11,092,784		11,092,784
Ceamer Finance LLC
3.69% due 03/22/31†††		5,946,357		5,406,240
Aesf Vi Verdi, LP
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,†††		EUR 4,244,414		4,157,940
Thunderbird B
7.50% due 03/01/37†††		2,304,510		2,304,510
Lightning B
7.50% due 03/01/37†††		2,231,307		2,231,307
Total Financial				175,231,896
Infrastructure - 0.8%
VB-S1 Issuer LLC - VBTEL
2022-1A, 5.27% due 02/15/525		39,650,000		34,601,984
Hotwire Funding LLC
2021-1, 4.46% due 11/20/515		11,750,000		9,584,301
Secured Tenant Site Contract Revenue Notes Series
2018-1A, 4.70% due 06/15/4810		6,561,371		6,470,334
Total Infrastructure				50,656,619
Whole Business - 0.7%
TSGE
2017-1, 6.25% due 09/25/31†††		42,367,052		40,124,264
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/465		2,676,688		2,576,673
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.19% due 06/05/495		2,079,000		1,969,827

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Wendy’s Funding LLC
2018-1A, 3.88% due 03/15/485		381,000	$	338,630
Total Whole Business				45,009,394
Single Family Residence - 0.5%
FirstKey Homes Trust
2020-SFR2, 4.00% due 10/19/375		13,550,000		12,143,574
2020-SFR2, 4.50% due 10/19/375		13,250,000		12,021,143
2020-SFR2, 3.37% due 10/19/375		8,550,000		7,547,997
Total Single Family Residence				31,712,714
Net Lease - 0.3%
CARS-DB4, LP
2020-1A, 4.95% due 02/15/505		21,105,000		17,736,792
Collateralized Debt Obligations - 0.1%
Anchorage Credit Funding 4 Ltd.
2021-4A BR, 3.12% due 04/27/39		6,700,000		5,691,398
2021-4A CR, 3.52% due 04/27/395		4,250,000		3,322,305
Total Collateralized Debt Obligations				9,013,703
Total Asset-Backed Securities
(Cost $1,337,146,479)				1,231,120,761
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 15.8%
Government Agency - 8.3%
Uniform MBS 30 Year
due 11/15/5219		420,152,000		389,035,123
Fannie Mae
4.00% due 07/01/524		74,830,943		69,964,877
Freddie Mac
4.00% due 06/01/524		58,902,696		54,922,843
Total Government Agency				513,922,843
Residential Mortgage-Backed Securities - 5.9%
FKRT
2.21% due 11/30/58†††,10		33,850,000		32,195,688
JP Morgan Mortgage Acquisition Trust
2006-WMC4, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/36◊		21,891,674		12,025,979
2006-WMC3, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/36◊		8,786,537		6,316,488
2006-HE3, 3.40% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 11/25/36◊		5,390,310		4,619,297
2006-WMC4, 3.20% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/36◊		7,535,307		4,131,541
2006-WMC4, 3.16% (1 Month USD LIBOR + 0.08%, Rate Floor: 0.08%) due 12/25/36◊		3,186,192		1,741,896
Ameriquest Mortgage Securities Trust
2006-M3, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 10/25/36◊		20,099,587		11,672,180
2006-M3, 3.32% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 10/25/36◊		32,415,053		11,073,604
2006-M3, 3.18% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/36◊		13,475,536		4,603,712

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
WaMu Asset-Backed Certificates WaMu Series
2007-HE2, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 04/25/37◊		24,259,885	$	9,643,598
2007-HE2, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊		18,485,818		7,342,256
2007-HE4, 3.25% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/47◊		6,892,376		5,110,287
2007-HE4, 3.33% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/47◊		2,071,157		1,333,735
BRAVO Residential Funding Trust
2022-R1, 3.13% due 01/29/705,11		25,589,791		22,606,139
Long Beach Mortgage Loan Trust
2006-6, 3.58% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 07/25/36◊		14,031,128		5,815,722
2006-8, 3.40% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/36◊		16,784,677		5,163,222
2006-1, 3.46% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 02/25/36◊		3,797,013		3,259,057
2006-4, 3.40% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 05/25/36◊		10,056,045		3,242,420
2006-6, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/36◊		4,369,123		1,805,933
2006-8, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 09/25/36◊		4,548,332		1,398,177
2006-6, 3.28% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 07/25/36◊		2,529,193		1,043,210
RALI Series Trust
2006-QO6, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/46◊		30,690,871		7,277,539
2007-QO2, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/47◊		13,125,162		5,202,569
2006-QO8, 3.48% (1 Month USD LIBOR + 0.40%, Rate Floor: 0.40%) due 10/25/46◊		3,916,761		3,750,072
2006-QO6, 3.54% (1 Month USD LIBOR + 0.46%, Rate Floor: 0.46%) due 06/25/46◊		7,985,346		1,948,701

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2006-QO2, 3.62% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/46◊		5,947,913	$	1,339,481
2006-QO6, 3.60% (1 Month USD LIBOR + 0.52%, Rate Floor: 0.52%) due 06/25/46◊		5,038,073		1,248,692
2006-QO2, 3.76% (1 Month USD LIBOR + 0.68%, Rate Floor: 0.68%) due 02/25/46◊		3,182,638		745,346
2006-QO2, 3.52% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46◊		213,333		46,744
American Home Mortgage Assets Trust
2006-6, 3.29% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 12/25/46◊		7,783,882		6,412,155
2006-1, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 05/25/46◊		6,801,707		5,933,014
2006-3, 2.04% (1 Year CMT Rate + 0.94%, Rate Floor: 0.94%) due 10/25/46◊		5,213,992		3,719,304
Morgan Stanley IXIS Real Estate Capital Trust
2006-2, 3.30% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 11/25/36◊		22,062,898		7,995,623
2006-2, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/36◊		16,831,230		6,099,363
NYMT Loan Trust
2022-SP1, 5.25% due 07/25/625,11		14,204,925		13,608,247
Morgan Stanley ABS Capital I Incorporated Trust
2006-HE8, 3.30% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 10/25/36◊		19,748,433		9,624,814
2006-HE6, 3.28% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 09/25/36◊		4,390,162		1,692,827
2007-HE4, 3.31% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 02/25/37◊		3,860,152		1,290,338
IXIS Real Estate Capital Trust
2007-HE1, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 05/25/37◊		24,315,210		6,258,144
2007-HE1, 3.31% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/37◊		17,226,984		4,434,005

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 55

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
GSAMP Trust
2007-NC1, 3.21% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/46◊		18,747,585	$	10,404,280
Master Asset-Backed Securities Trust
2006-WMC3, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/36◊		10,255,706		3,915,714
2006-HE3, 3.28% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 08/25/36◊		9,603,787		3,032,917
2006-HE3, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/36◊		8,074,492		2,549,884
GSAA Home Equity Trust
2006-3, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36◊		10,707,407		6,062,181
2006-9, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/36◊		7,677,936		2,544,855
2007-7, 3.62% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/37◊		498,724		480,292
Citigroup Mortgage Loan Trust, Inc.
2007-AMC3, 3.33% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/37◊		10,293,041		8,997,041
CFMT LLC
2022-HB9, 3.25% (WAC) due 09/25/37◊,5		8,650,000		7,345,247
Home Equity Loan Trust
2007-FRE1, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊		7,301,267		6,797,796
First NLC Trust
2007-1, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/37◊,5		6,726,604		3,748,248
2007-1, 3.15% (1 Month USD LIBOR + 0.07%, Rate Floor: 0.07%) due 08/25/37◊,5		5,100,999		2,841,824
Lehman XS Trust Series
2006-18N, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 12/25/36◊		4,086,772		3,907,729
2006-10N, 3.50% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/46◊		2,602,158		2,507,896

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Argent Securities Trust
2006-W5, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/36◊		9,313,086	$	6,265,085
WaMu Asset-Backed Certificates WaMu Series Trust
2007-HE1, 3.31% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/37◊		7,590,128		3,793,038
2007-HE4, 3.25% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/47◊		2,900,780		1,867,783
Alternative Loan Trust
2007-OA7, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 05/25/47◊		6,638,886		5,636,513
ACE Securities Corporation Home Equity Loan Trust Series
2007-ASP1, 3.84% (1 Month USD LIBOR + 0.76%, Rate Floor: 0.76%) due 03/25/37◊		10,843,154		5,267,983
Citigroup Mortgage Loan Trust
2022-A, 6.17% due 09/25/625,11		5,085,729		4,982,144
OBX Trust
2022-NQM8, 6.10% due 09/25/625,11		4,900,000		4,783,580
HSI Asset Securitization Corporation Trust
2007-HE1, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/25/37◊		6,098,205		4,481,326
Finance of America HECM Buyout
2022-HB2, 6.00% (WAC) due 04/25/26◊,5		3,850,000		3,685,798
First Franklin Mortgage Loan Trust
2006-FF16, 3.50% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 12/25/36◊		7,648,140		3,568,060
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 1.94% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊		3,953,847		3,203,064
Morgan Stanley Mortgage Loan Trust
2006-9AR, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/36◊		8,489,365		2,637,364
Alliance Bancorp Trust
2007-OA1, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 07/25/37◊		2,096,076		1,763,145

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Nomura Resecuritization Trust
2015-4R, 2.20% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,5		1,941,134	$	1,725,771
Morgan Stanley Re-REMIC Trust
2010-R5, 2.40% due 06/26/365		568,087		509,073
Asset-Backed Securities Corporation Home Equity Loan Trust
2006-HE5, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 07/25/36◊		195,009		192,534
Total Residential Mortgage-Backed Securities				364,269,284
Commercial Mortgage-Backed Securities - 1.1%
BX Commercial Mortgage Trust
2021-VOLT, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,5		19,750,000		18,210,470
2019-XL, 5.12% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 10/15/36◊,5		1,989,000		1,904,365
GS Mortgage Securities Corporation Trust
2020-UPTN, 3.35% (WAC) due 02/10/37◊,5		8,256,000		7,125,213
2020-DUNE, 5.32% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 12/15/36◊,5		7,340,000		6,914,814
2020-DUNE, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/36◊,5		2,750,000		2,655,085
JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH
2021-NYAH, 5.46% (1 Month USD LIBOR + 2.64%, Rate Floor: 2.64%) due 06/15/38◊,5		15,000,000		13,934,457
SMRT
2022-MINI, 4.80% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/39◊,5		10,000,000		9,374,176
MHP Commercial Mortgage Trust
2022-MHIL, 5.46% (1 Month Term SOFR + 2.61%, Rate Floor: 2.61%) due 01/15/27◊,5		8,744,927		8,132,013
Wells Fargo Commercial Mortgage Trust
2015-NXS1, 2.63% due 05/15/48		96,395		96,242
Total Commercial Mortgage-Backed Securities				68,346,835

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Military Housing - 0.5%
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 0.70% (WAC) due 11/25/52◊,5,14		221,897,838	$	14,016,217
GMAC Commercial Mortgage Asset Corp.
2004-POKA, 6.36% due 09/10/44†††,5		9,000,000		8,843,990
Capmark Military Housing Trust
2007-AET2, 6.06% due 10/10/52†††,5		5,536,981		5,199,273
Total Military Housing				28,059,480
Total Collateralized Mortgage Obligations
(Cost $1,099,063,200)				974,598,442
U.S. GOVERNMENT SECURITIES†† - 2.1%
U.S. Treasury Bonds
due 08/15/514,15,16		164,620,000		56,778,212
due 05/15/444,15,16		23,270,000		9,567,950
due 11/15/444,15,16		23,280,000		9,354,535
due 02/15/464,15,16		23,450,000		9,055,468
U.S. Treasury Notes
3.25% due 08/31/244		23,020,000		22,604,561
1.75% due 03/15/254		22,052,000		20,765,059
Total U.S. Government Securities
(Cost $142,826,906)				128,125,785
FOREIGN GOVERNMENT DEBT†† - 1.0%
Government of Japan
(0.08)% due 10/03/2217		JPY 2,000,000,000		13,819,026
(0.16)% due 10/20/2217		JPY 1,000,000,000		6,909,881
(0.18)% due 10/17/2217		JPY 1,000,000,000		6,909,801
State of Israel
1.25% due 11/30/22		ILS 42,365,000		11,882,729
Province of Manitoba Canada T-Bill
3.19% due 10/19/2217		CAD 12,000,000		8,675,657
Ontario T-Bill
2.84% due 10/05/2217		CAD 10,000,000		7,239,129
3.19% due 10/12/2217		CAD 975,000		705,441
3.09% due 10/19/2217		CAD 450,000		325,406
Quebec T-Bill
3.08% due 10/07/2217		CAD 2,245,000		1,625,054
3.16% due 10/28/2217		CAD 780,000		563,528
3.11% due 10/21/2217		CAD 500,000		361,464
Newfoundland T-Bill
3.21% due 10/04/2217		CAD 900,000		651,515
3.16% due 10/27/2217		CAD 500,000		361,152
3.16% due 10/13/2217		CAD 400,000		289,435
Nova Scotia T-Bill
3.02% due 10/06/2217		CAD 1,500,000		1,085,695
Alberta T-Bill
2.89% due 10/04/2217		CAD 730,000		528,462
Total Foreign Government Debt
(Cost $63,318,044)				61,933,375
U.S. TREASURY BILLS†† - 0.2%
U.S. Treasury Bills
2.15% due 12/08/2217		11,750,000		11,686,425
2.82% due 01/12/2317		3,600,000		3,567,443
Total U.S. Treasury Bills
(Cost $15,273,214)				15,253,868
CONVERTIBLE BONDS†† - 0.2%
Consumer, Non-cyclical - 0.1%
Block, Inc.
due 05/01/2615		12,240,000		9,553,320
Communications - 0.1%
Cable One, Inc.
due 03/15/2615		5,750,000		4,367,125
Total Convertible Bonds
(Cost $15,047,293)				13,920,445

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
SENIOR FIXED RATE INTERESTS†† - 0.1%
Consumer, Cyclical - 0.1%
WESCO
5.25% due 06/14/24†††		CAD 3,854,753	$	2,750,527
Industrial - 0.0%
Schur Flexibles GmbH
15.00% due 09/30/26		EUR 400,913		389,007
9.50% due 09/30/26		EUR 229,072		224,514
Total Industrial				613,521
Total Senior Fixed Rate Interests
(Cost $3,569,464)				3,364,048
FEDERAL AGENCY DISCOUNT NOTES†† - 0.0%
Federal Home Loan Bank
2.50% due 10/03/2217		700,000		699,944
Total Federal Agency Discount Notes
(Cost $699,903)				699,944

	Contracts/ Notional Value
LISTED OPTIONS PURCHASED† - 0.8%
Put Options on:
Equity Options
S&P 500 Index Expiring November 2022 with strike price of $3,800.00 (Notional Value $275,734,178)		769	19,467,235
S&P 500 Index Expiring April 2023 with strike price of $4,000.00 (Notional Value $116,174,088)		324	14,968,800
S&P 500 Index Expiring December 2022 with strike price of $3,600.00 (Notional Value $305,494,824)		852	14,812,020
Total Equity Options			49,248,055
Total Listed Options Purchased
(Cost $31,787,855)			49,248,055

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
OTC OPTIONS PURCHASED†† - 0.1%
Call Options on:
Foreign Exchange Options
J.P. Morgan Securities plc Foreign Exchange EUR/NOK Expiring October 2022 with strike price of EUR 10.14 (Notional Value $11,070,045)		EUR 11,300,000	$	558,317
J.P. Morgan Securities plc Foreign Exchange EUR/NOK Expiring October 2022 with strike price of EUR 10.00 (Notional Value $3,869,617)		EUR 3,950,000		245,996
Goldman Sachs International Foreign Exchange EUR/NOK Expiring October 2022 with strike price of EUR 10.16 (Notional Value $3,722,670)		EUR 3,800,000		183,981
UBS AG Foreign Exchange EUR/AUD Expiring October 2022 with strike price of EUR 1.51 (Notional Value $10,923,097)		EUR 11,150,000		140,705
J.P. Morgan Securities plc Foreign Exchange USD/SEK Expiring October 2022 with strike price of $10.86		USD 4,000,000		113,519
Goldman Sachs International Foreign Exchange EUR/AUD Expiring October 2022 with strike price of EUR 1.48 (Notional Value $3,722,670)		EUR 3,800,000		109,572
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2022 with strike price of AUD 1.13 (Notional Value $10,930,150)		AUD 17,000,000		101,641
J.P. Morgan Securities plc Foreign Exchange EUR/AUD Expiring October 2022 with strike price of EUR 1.50 (Notional Value $3,820,635)		EUR 3,900,000		89,998
Bank of America, N.A. Foreign Exchange EUR/CAD Expiring October 2022 with strike price of EUR 1.31 (Notional Value $11,265,975)		EUR 11,500,000		81,702
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2022 with strike price of AUD 1.12 (Notional Value $3,857,700)		AUD 6,000,000		75,536

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
UBS AG Foreign Exchange USD/JPY Expiring November 2022 with strike price of $147.70		USD 11,500,000	$	68,080
Deutsche Bank AG Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.84 (Notional Value $11,070,045)		EUR 11,300,000		67,005
J.P. Morgan Securities plc Foreign Exchange EUR/CAD Expiring October 2022 with strike price of EUR 1.33 (Notional Value $3,673,688)		EUR 3,750,000		60,687
Goldman Sachs International Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.92 (Notional Value $10,923,097)		EUR 11,150,000		57,084
Deutsche Bank AG Foreign Exchange EUR/USD Expiring October 2022 with strike price of EUR 1.01 (Notional Value $11,363,940)		EUR 11,600,000		55,315
Bank of America, N.A. Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.73 (Notional Value $3,722,670)		EUR 3,800,000		50,357
Citibank, N.A. Foreign Exchange EUR/USD Expiring October 2022 with strike price of EUR 0.98 (Notional Value $4,653,338)		EUR 4,750,000		45,010
J.P. Morgan Securities plc Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 11.01 (Notional Value $11,265,975)		EUR 11,500,000		39,015
Deutsche Bank AG Foreign Exchange NOK/SEK Expiring October 2022 with strike price of NOK 1.07 (Notional Value $10,277,822)		NOK 112,000,000		2,898
Barclays Bank plc Foreign Exchange NOK/SEK Expiring October 2022 with strike price of NOK 1.08 (Notional Value $3,578,885)		NOK 39,000,000		68

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
J.P. Morgan Securities plc Foreign Exchange NOK/SEK Expiring October 2022 with strike price of NOK 1.09 (Notional Value $10,186,056)		NOK 111,000,000	$	—
Total Foreign Exchange Options			$	2,146,486
Put Options on:
Foreign Exchange Options
J.P. Morgan Securities plc Foreign Exchange NOK/SEK Expiring October 2022 with strike price of NOK 1.05 (Notional Value $10,186,056)		NOK 111,000,000		362,965
Deutsche Bank AG Foreign Exchange NOK/SEK Expiring October 2022 with strike price of NOK 1.04 (Notional Value $10,277,822)		NOK 112,000,000		232,617
Barclays Bank plc Foreign Exchange NOK/SEK Expiring October 2022 with strike price of NOK 1.08 (Notional Value $3,578,885)		NOK 39,000,000		207,513
Deutsche Bank AG Foreign Exchange EUR/USD Expiring October 2022 with strike price of EUR 0.96 (Notional Value $11,363,940)		EUR 11,600,000		84,971
Citibank, N.A. Foreign Exchange EUR/USD Expiring October 2022 with strike price of EUR 0.98 (Notional Value $4,653,338)		EUR 4,750,000		58,847
UBS AG Foreign Exchange USD/JPY Expiring November 2022 with strike price of $140.50		USD 11,500,000		58,075
J.P. Morgan Securities plc Foreign Exchange USD/SEK Expiring October 2022 with strike price of $10.86		USD 4,000,000		29,833
J.P. Morgan Securities plc Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.72 (Notional Value $11,265,975)		EUR 11,500,000		22,627
Bank of America, N.A. Foreign Exchange EUR/CAD Expiring October 2022 with strike price of EUR 1.36 (Notional Value $11,265,975)		EUR 11,500,000		18,954
J.P. Morgan Securities plc Foreign Exchange EUR/CAD Expiring October 2022 with strike price of EUR 1.33 (Notional Value $3,673,688)		EUR 3,750,000		16,799

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
J.P. Morgan Securities plc Foreign Exchange EUR/AUD Expiring October 2022 with strike price of EUR 1.50 (Notional Value $3,820,635)		EUR 3,900,000	$	14,588
Goldman Sachs International Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.64 (Notional Value $10,923,098)		EUR 11,150,000		7,802
Goldman Sachs International Foreign Exchange EUR/AUD Expiring October 2022 with strike price of EUR 1.48 (Notional Value $3,722,670)		EUR 3,800,000		3,560
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2022 with strike price of AUD 1.12 (Notional Value $3,857,700)		AUD 6,000,000		2,354
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2022 with strike price of AUD 1.10 (Notional Value $10,930,150)		AUD 17,000,000		1,378
Goldman Sachs International Foreign Exchange EUR/NOK Expiring October 2022 with strike price of EUR 10.16 (Notional Value $3,722,670)		EUR 3,800,000		1,260
UBS AG Foreign Exchange EUR/AUD Expiring October 2022 with strike price of EUR 1.45 (Notional Value $10,923,097)		EUR 11,150,000		601
Bank of America, N.A. Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.73 (Notional Value $3,722,670)		EUR 3,800,000		512
Deutsche Bank AG Foreign Exchange EUR/SEK Expiring October 2022 with strike price of EUR 10.56 (Notional Value $11,070,045)		EUR 11,300,000		199
J.P. Morgan Securities plc Foreign Exchange EUR/NOK Expiring October 2022 with strike price of EUR 10.00 (Notional Value $3,869,617)		EUR 3,950,000		18

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
J.P. Morgan Securities plc Foreign Exchange EUR/NOK Expiring October 2022 with strike price of EUR 9.74 (Notional Value $11,070,045)		EUR 11,300,000	$	2
Total Foreign Exchange Options				1,125,475
Total OTC Options Purchased
(Cost $1,825,256)				3,271,961
OTC INTEREST RATE SWAPTIONS PURCHASED††,18 - 0.6%
Call Swaptions on:
Interest Rate Swaptions
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2027 with exercise rate of 2.69%		USD 92,814,000		2,883,983
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2032 with exercise rate of 2.39%		USD 72,235,000		2,184,543
Citibank, N.A. 20-Year Interest Rate Swap Expiring April 2029 with exercise rate of 2.38%		USD 24,141,000		2,077,464
Citibank, N.A. 5-Year Interest Rate Swap Expiring April 2027 with exercise rate of 1.60% (Notional Value $75,085,274)		EUR 76,645,000		1,487,732
Barclays Bank plc 20-Year Interest Rate Swap Expiring April 2027 with exercise rate of 1.58% (Notional Value $20,930,625)		GBP 18,750,000		1,337,648
Total Interest Rate Swaptions				9,971,370
Put Swaptions on:
Interest Rate Swaptions
Citibank, N.A. 5-Year Interest Rate Swap Expiring April 2027 with exercise rate of 1.60% (Notional Value $75,085,274)		EUR 76,645,000		6,864,869
Barclays Bank plc 20-Year Interest Rate Swap Expiring April 2027 with exercise rate of 1.58% (Notional Value $20,930,625)		GBP 18,750,000		6,583,089
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2027 with exercise rate of 2.69%		USD 92,814,000		5,369,141
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2032 with exercise rate of 2.39%		USD 72,235,000		5,296,719

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 65

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
Citibank, N.A. 20-Year Interest Rate Swap Expiring April 2029 with exercise rate of 2.38%		USD 24,141,000	$	3,929,248
Total Interest Rate Swaptions				28,043,066
Total OTC Interest Rate Swaptions Purchased
(Cost $33,025,782)				38,014,436
Total Investments - 118.0%
(Cost $8,300,793,515)				7,263,113,795
LISTED OPTIONS WRITTEN† - (0.2)%
Call Options on:
Equity Options
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $33,825)		41		—
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $33,000)		40		—
Total Equity Options				—
Put Options on:
Equity Options
S&P 500 Index Expiring December 2022 with strike price of $3,200.00 (Notional Value $305,494,824)		852		(5,307,960	)
S&P 500 Index Expiring November 2022 with strike price of $3,400.00 (Notional Value $275,734,178)		769		(5,894,385	)
Total Equity Options				(11,202,345	)
Total Listed Options Written
(Premiums received $8,028,640)				(11,202,345	)
OTC OPTIONS WRITTEN†† - (0.1)%
Call Options on:
Foreign Exchange Options
Morgan Stanley Capital Services LLC Foreign Exchange EUR/JPY Expiring October 2022 with strike price of EUR 139.46 (Notional Value $2,645,055)		EUR 2,700,000		(1,188	)
J.P. Morgan Securities plc Foreign Exchange GBP/USD Expiring October 2022 with strike price of GBP 1.18 (Notional Value $2,679,120)		GBP 2,400,000		(2,750	)
UBS AG Foreign Exchange CAD/JPY Expiring October 2022 with strike price of CAD 109.18 (Notional Value $18,558,277)		CAD 25,500,000		(3,529	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
J.P. Morgan Securities plc Foreign Exchange USD/JPY Expiring October 2022 with strike price of $146.42		USD 2,800,000	$	(3,999	)
Deutsche Bank AG Foreign Exchange GBP/CAD Expiring October 2022 with strike price of GBP 1.55 (Notional Value $2,679,120)		GBP 2,400,000		(4,697	)
Deutsche Bank AG Foreign Exchange EUR/CHF Expiring October 2022 with strike price of EUR 0.98 (Notional Value $18,858,262)		EUR 19,250,000		(4,721	)
J.P. Morgan Securities plc Foreign Exchange GBP/USD Expiring October 2022 with strike price of GBP 1.17 (Notional Value $3,014,010)		GBP 2,700,000		(7,398	)
Bank of America, N.A. Foreign Exchange USD/JPY Expiring October 2022 with strike price of $138.65		USD 2,750,000		(14,690	)
J.P. Morgan Securities plc Foreign Exchange EUR/GBP Expiring October 2022 with strike price of EUR 0.90 (Notional Value $2,694,037)		EUR 2,750,000		(14,712	)
BNP Paribas Foreign Exchange USD/CAD Expiring October 2022 with strike price of $1.33		USD 3,000,000		(27,942	)
J.P. Morgan Securities plc Foreign Exchange GBP/USD Expiring October 2022 with strike price of GBP 1.15 (Notional Value $18,977,100)		GBP 17,000,000		(35,411	)
J.P. Morgan Securities plc Foreign Exchange EUR/JPY Expiring October 2022 with strike price of EUR 143.15 (Notional Value $18,613,350)		EUR 19,000,000		(136,709	)
Citibank, N.A. Foreign Exchange EUR/JPY Expiring October 2022 with strike price of EUR 139.94 (Notional Value $8,033,130)		EUR 8,200,000		(178,444	)
Deutsche Bank AG Foreign Exchange USD/JPY Expiring October 2022 with strike price of $143.90		USD 20,300,000		(179,751	)
Goldman Sachs International Foreign Exchange AUD/NZD Expiring November 2022 with strike price of AUD 1.14 (Notional Value $19,288,500)		AUD 30,000,000		(185,857	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
J.P. Morgan Securities plc Foreign Exchange EUR/CHF Expiring October 2022 with strike price of EUR 0.96 (Notional Value $18,907,245)		EUR 19,300,000	$	(214,329	)
BNP Paribas Foreign Exchange EUR/GBP Expiring October 2022 with strike price of EUR 0.88 (Notional Value $19,495,035)		EUR 19,900,000		(259,497	)
Bank of America, N.A. Foreign Exchange USD/CAD Expiring November 2022 with strike price of $1.37		USD 19,650,000		(261,659	)
Deutsche Bank AG Foreign Exchange USD/JPY Expiring October 2022 with strike price of $143.20		USD 22,300,000		(338,517	)
UBS AG Foreign Exchange GBP/CAD Expiring October 2022 with strike price of GBP 1.48 (Notional Value $9,823,440)		GBP 8,800,000		(379,895	)
Total Foreign Exchange Options				(2,255,695	)
Commodity Options
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,800.00 (Notional Value $1,003,200)		6		(1,620	)
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,795.00 (Notional Value $1,003,200)		6		(1,740	)
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,790.00 (Notional Value $1,003,200)		6		(1,920	)
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,735.00 (Notional Value $7,858,400)		47		(45,590	)
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,730.00 (Notional Value $7,858,400)		47		(50,290	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,725.00 (Notional Value $7,858,400)		47	$	(55,930	)
Total Commodity Options				(157,090	)
Put Options on:
Foreign Exchange Options
Deutsche Bank AG Foreign Exchange GBP/CAD Expiring October 2022 with strike price of GBP 1.49 (Notional Value $2,679,120)		GBP 2,400,000		(586	)
J.P. Morgan Securities plc Foreign Exchange USD/JPY Expiring October 2022 with strike price of $138.75		USD 2,800,000		(692	)
BNP Paribas Foreign Exchange USD/CAD Expiring October 2022 with strike price of $1.38		USD 3,000,000		(4,094	)
Bank of America, N.A. Foreign Exchange USD/JPY Expiring October 2022 with strike price of $146.48		USD 2,750,000		(5,912	)
Morgan Stanley Capital Services LLC Foreign Exchange EUR/JPY Expiring October 2022 with strike price of EUR 147.37 (Notional Value $2,645,055)		EUR 2,700,000		(10,801	)
J.P. Morgan Securities plc Foreign Exchange EUR/GBP Expiring October 2022 with strike price of EUR 0.87 (Notional Value $2,694,038)		EUR 2,750,000		(21,346	)
J.P. Morgan Securities plc Foreign Exchange GBP/USD Expiring October 2022 with strike price of GBP 1.12 (Notional Value $2,679,120)		GBP 2,400,000		(43,208	)
J.P. Morgan Securities plc Foreign Exchange GBP/USD Expiring October 2022 with strike price of GBP 1.11 (Notional Value $3,014,010)		GBP 2,700,000		(45,648	)
UBS AG Foreign Exchange GBP/CAD Expiring October 2022 with strike price of GBP 1.48 (Notional Value $9,823,440)		GBP 8,800,000		(48,024	)
Deutsche Bank AG Foreign Exchange USD/JPY Expiring October 2022 with strike price of $143.90		USD 20,300,000		(74,134	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
Citibank, N.A. Foreign Exchange EUR/JPY Expiring October 2022 with strike price of EUR 139.94 (Notional Value $8,033,130)		EUR 8,200,000	$	(77,428	)
Deutsche Bank AG Foreign Exchange USD/JPY Expiring October 2022 with strike price of $143.20		USD 22,300,000		(128,964	)
J.P. Morgan Securities plc Foreign Exchange EUR/CHF Expiring October 2022 with strike price of EUR 0.96 (Notional Value $18,907,245)		EUR 19,300,000		(137,295	)
Goldman Sachs International Foreign Exchange AUD/NZD Expiring November 2022 with strike price of AUD 1.14 (Notional Value $19,288,500)		AUD 30,000,000		(175,398	)
BNP Paribas Foreign Exchange EUR/GBP Expiring October 2022 with strike price of EUR 0.88 (Notional Value $19,495,035)		EUR 19,900,000		(223,880	)
Bank of America, N.A. Foreign Exchange USD/CAD Expiring November 2022 with strike price of $1.37		USD 19,650,000		(250,773	)
J.P. Morgan Securities plc Foreign Exchange EUR/JPY Expiring October 2022 with strike price of EUR 143.15 (Notional Value $18,613,350)		EUR 19,000,000		(321,057	)
Deutsche Bank AG Foreign Exchange EUR/CHF Expiring October 2022 with strike price of EUR 0.98 (Notional Value $18,858,262)		EUR 19,250,000		(343,541	)
UBS AG Foreign Exchange GBP/USD Expiring October 2022 with strike price of GBP 1.15 (Notional Value $18,977,100)		GBP 17,000,000		(664,873	)
UBS AG Foreign Exchange CAD/JPY Expiring October 2022 with strike price of CAD 109.18 (Notional Value $18,558,277)		CAD 25,500,000		(690,047	)
Total Foreign Exchange Options				(3,267,701	)
Commodity Options

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,660.00 (Notional Value $1,003,200)		6	$	(15,240	)
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,665.00 (Notional Value $1,003,200)		6		(16,560	)
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,670.00 (Notional Value $1,003,200)		6		(17,940	)
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,725.00 (Notional Value $7,691,200)		46		(298,080	)
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,730.00 (Notional Value $7,858,400)		47		(322,420	)
J.P. Morgan Securities LLC Gold Futures Contracts Expiring October 2022 with strike price of $1,735.00 (Notional Value $7,858,400)		47		(341,220	)
Total Commodity Options				(1,011,460	)
Total OTC Options Written
(Premiums received $7,002,035)				(6,691,946	)
OTC INTEREST RATE SWAPTIONS WRITTEN††,18 - 0.0%
Call Swaptions on:
Interest Rate Swaptions
J.P. Morgan Securities plc 5-Year Interest Rate Swap Expiring April 2025 with exercise rate of 2.70%		USD 22,032,000		(505,628	)
Total Interest Rate Swaptions				(505,628	)
Put Swaptions on:
Interest Rate Swaptions
J.P. Morgan Securities plc 5-Year Interest Rate Swap Expiring April 2025 with exercise rate of 2.70%		USD 22,032,000		(1,207,088	)
Total Interest Rate Swaptions				(1,207,088	)
Total OTC Interest Rate Swaptions Written
(Premiums received $1,546,646)				(1,712,716	)
Other Assets & Liabilities, net - (17.7)%				(1,087,394,299	)
Total Net Assets - 100.0%			$	6,156,112,489

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Appreciation (Depreciation)**
Commodity Futures Contracts Purchased†
Silver Futures Contracts		571		Dec 2022	$	54,273,550	$	(33,713	)
Gold 100 oz. Futures Contracts		389		Dec 2022		64,955,220		(2,997,232	)
					$	119,228,770	$	(3,030,945	)
Commodity Futures Contracts Sold Short†
Gold 100 oz. Futures Contracts		84		Dec 2022	$	14,026,320	$	429,981

Centrally Cleared Credit Default Swap Agreements Protection Sold††
Counterparty	Exchange	Index	Protection Premium Rate			Payment Frequency	Maturity Date
J.P. Morgan Securities LLC	ICE	CDX.NA.IG.33.V1		1.00	%	Quarterly		12/20/24

Notional Amount		Value		Upfront Premiums Paid		Unrealized Depreciation**
$	70,000,000	$	176,466	$	1,100,724	$	(924,258	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency		Maturity Date
JPM	CME	Receive	3-Month USD LIBOR	1.65%		Quarterly	03/17/31
JPM	CME	Receive	U.S. Secured Overnight Financing Rate	1.78%		Annually	03/11/32
JPM	LCH	Receive	6-Month Warsaw Interbank Offering Rate	4.98%		Semi-Annually	08/01/26
JPM	LCH	Receive	6-Month Budapest Interbank Offering Rate	9.08%		Semi-Annually	07/26/25
JPM	LCH	Pay	U.S. Secured Overnight Financing Rate	2.69%		Annually	04/21/32
JPM	LCH	Pay	Sterling Overnight Interbank Average Rate	1.58%		Annually	04/12/47
JPM	LCH	Receive	U.S. Secured Overnight Financing Rate	2.38%		Annually	04/16/49
JPM	LCH	Receive	3-Month Prague Interbank Offering Rate	6.11%		Quarterly	07/27/24
JPM	LCH	Receive	U.S. Secured Overnight Financing Rate	2.39%		Annually	04/12/37

Notional Amount~		Value			Upfront Premiums Paid (Received)			Unrealized Appreciation**
	180,000,000	$	29,085,480		$	1,429		$	29,084,051
	23,700,000		3,396,620			415			3,396,205
PLN	100,000,000		476,301			84			476,217
HUF	18,000,000,000		411,828			13,527			398,301
	4,024,000		83,008			(126,892	)		209,900
GBP	3,094,000		(663,203	)		(767,838	)		104,635
	2,476,000		136,430			52,097			84,333
CZK	920,000,000		35,463			(14,117	)		49,580
	3,046,000		89,088			86,098			2,990
		$	33,051,015		$	(755,197	)	$	33,806,212

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

Centrally Cleared Interest Rate Swap Agreements†† (continued)
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency		Maturity Date
JPM	LCH	Pay	3-Month Canadian Bankers Acceptances Rate	3.40%		Semi-Annually	07/27/29
JPM	LCH	Pay	Overnight Tokyo Average Rate	0.51%		Annually	07/29/32
JPM	LCH	Receive	U.S. Secured Overnight Financing Rate	2.70%		Annually	04/22/30
JPM	LCH	Pay	U.S. Secured Overnight Financing Rate	2.67%		Annually	04/19/27
JPM	LCH	Pay	6-Month EURIBOR	1.60%		Semi-Annually	04/12/32
JPM	LCH	Pay	1D Euro Short Term Rate	0.92%		Annually	04/12/27
JPM	LCH	Pay	Sterling Overnight Interbank Average Rate	0.85%		Annually	12/03/26
JPM	LCH	Pay	U.S. Secured Overnight Financing Rate	1.08%		Annually	12/06/28
JPM	LCH	Pay	U.S. Secured Overnight Financing Rate	1.23%		Annually	12/03/31
JPM	CME	Pay	U.S. Secured Overnight Financing Rate	2.78%		Annually	07/18/27

	Notional Amount~		Value			Upfront Premiums Paid (Received)			Unrealized Depreciation**
	CAD	28,300,000	$	7		$	115		$	(108	)
	JPY	995,000,000		(2,157	)		(1,427	)		(730	)
		4,094,000		(98,295	)		67,076			(165,371	)
		7,583,000		(294,766	)		256			(295,022	)
	EUR	23,925,000		(1,516,179	)		(1,180,634	)		(335,545	)
	EUR	6,017,000		(426,723	)		1,041			(427,764	)
	GBP	4,491,000		(803,775	)		(50,122	)		(753,653	)
		6,071,000		(892,169	)		(104,342	)		(787,827	)
		6,975,000		(1,207,471	)		(178,980	)		(1,028,491	)
		664,200,000		(30,064,362	)		3,101			(30,067,463	)
			$	(35,305,890	)	$	(1,443,916	)	$	(33,861,974	)
Total interest rate swap agreements			$	(2,254,875	)	$	(2,199,113	)	$	(55,762	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

Forward Foreign Currency Exchange Contracts^††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Bank of America, N.A.

EUR

Sell

280,777,000

281,195,358 USD

10/17/22

$

5,748,687

Morgan Stanley Capital Services LLC

GBP

Sell

80,400,000

92,672,417 USD

10/17/22

2,857,858

Morgan Stanley Capital Services LLC

CAD

Sell

55,647,000

42,334,334 USD

10/17/22

2,033,880

UBS AG

GBP

Buy

11,480,000

12,388,640 USD

10/05/22

431,764

Deutsche Bank AG

ILS

Sell

34,485,750

10,089,453 USD

11/30/22

353,911

JPMorgan Chase Bank, N.A.

NZD

Sell

13,280,000

7,782,944 USD

10/11/22

352,966

JPMorgan Chase Bank, N.A.

EUR

Buy

8,830,000

90,957,983 NOK

10/11/22

303,484

JPMorgan Chase Bank, N.A.

JPY

Sell

2,000,000,000

14,075,054 USD

10/03/22

256,028

Deutsche Bank AG

GBP

Buy

20,510,000

22,657,297 USD

10/05/22

247,451

UBS AG

AUD

Sell

14,814,113

9,694,933 USD

10/11/22

217,910

Bank of America, N.A.

USD

Buy

10,300,000

13,925,318 CAD

10/12/22

214,938

Bank of America, N.A.

CAD

Sell

8,878,583

6,642,528 USD

10/12/22

212,438

JPMorgan Chase Bank, N.A.

CAD

Sell

12,000,000

8,899,027 USD

10/19/22

208,476

JPMorgan Chase Bank, N.A.

EUR

Sell

55,668,002

54,776,201 USD

10/06/22

207,965

Barclays Bank plc

ILS

Sell

5,382,450

1,706,566 USD

11/30/22

187,067

UBS AG

EUR

Buy

25,030,000

24,388,154 USD

10/06/22

147,358

JPMorgan Chase Bank, N.A.

EUR

Sell

44,060,000

480,866,817 SEK

10/06/22

147,089

Morgan Stanley Capital Services LLC

GBP

Sell

12,701,792

14,321,691 USD

10/05/22

136,837

UBS AG

ILS

Sell

3,026,363

958,280 USD

11/30/22

103,919

UBS AG

EUR

Buy

12,280,000

11,772,204 CHF

10/06/22

102,273

JPMorgan Chase Bank, N.A.

GBP

Buy

3,380,000

3,676,152 USD

10/05/22

98,497

JPMorgan Chase Bank, N.A.

AUD

Sell

11,890,000

7,701,101 USD

10/11/22

94,718

Citibank, N.A.

NZD

Sell

1,791,400

1,090,855 USD

10/11/22

88,591

JPMorgan Chase Bank, N.A.

USD

Buy

22,820,000

3,287,408,294 JPY

10/13/22

85,934

JPMorgan Chase Bank, N.A.

USD

Buy

3,740,000

5,050,963 CAD

10/12/22

81,967

JPMorgan Chase Bank, N.A.

EUR

Buy

10,190,000

9,772,186 CHF

10/06/22

81,258

Bank of America, N.A.

USD

Buy

14,090,000

2,009,537,092 JPY

12/19/22

81,242

JPMorgan Chase Bank, N.A.

CAD

Sell

2,245,000

1,707,124 USD

10/07/22

81,220

Deutsche Bank AG

NOK

Sell

25,186,562

2,391,561 USD

10/11/22

77,987

JPMorgan Chase Bank, N.A.

JPY

Sell

862,938,546

6,041,158 USD

10/13/22

73,508

JPMorgan Chase Bank, N.A.

USD

Buy

8,210,000

1,167,968,900 JPY

12/19/22

67,929

Deutsche Bank AG

NZD

Sell

3,270,000

1,890,981 USD

10/11/22

61,461

JPMorgan Chase Bank, N.A.

GBP

Buy

1,195,000

1,275,349 USD

10/17/22

59,581

Goldman Sachs International

GBP

Buy

3,000,000

3,291,927 USD

10/05/22

58,353

Deutsche Bank AG

USD

Buy

2,950,000

3,994,064 CAD

10/12/22

57,399

Barclays Bank plc

EUR

Buy

3,160,000

3,047,335 USD

10/17/22

52,675

Bank of America, N.A.

EUR

Buy

5,120,000

4,972,063 USD

10/06/22

46,787

JPMorgan Chase Bank, N.A.

CAD

Sell

10,000,000

7,280,749 USD

10/05/22

38,379

Bank of America, N.A.

USD

Buy

10,560,000

1,521,773,900 JPY

10/13/22

36,175

UBS AG

GBP

Buy

800,000

1,186,880 CAD

10/27/22

34,365

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 75

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

Forward Foreign Currency Exchange Contracts^†† (continued)

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

UBS AG

CAD

Sell

1,500,000

1,111,764 USD

10/06/22

$

25,411

UBS AG

HUF

Sell

218,000,000

523,351 USD

11/02/22

22,301

JPMorgan Chase Bank, N.A.

CAD

Sell

1,325,000

981,599 USD

10/04/22

21,982

Bank of America, N.A.

NZD

Sell

4,050,000

2,287,828 USD

10/11/22

21,909

Bank of America, N.A.

GBP

Buy

2,390,000

2,647,795 USD

10/05/22

21,261

Goldman Sachs International

NZD

Sell

1,130,000

650,735 USD

10/11/22

18,516

Morgan Stanley Capital Services LLC

EUR

Buy

1,820,000

1,766,655 USD

10/06/22

17,389

Deutsche Bank AG

SEK

Sell

42,302,000

3,829,408 USD

10/06/22

17,070

JPMorgan Chase Bank, N.A.

CAD

Sell

975,000

722,458 USD

10/12/22

16,339

Morgan Stanley Capital Services LLC

NZD

Sell

410,000

244,992 USD

10/11/22

15,602

JPMorgan Chase Bank, N.A.

JPY

Sell

1,000,000,000

6,932,683 USD

10/20/22

12,529

JPMorgan Chase Bank, N.A.

CAD

Sell

400,000

301,283 USD

10/13/22

11,594

UBS AG

EUR

Buy

300,000

443,910 AUD

10/11/22

10,196

JPMorgan Chase Bank, N.A.

JPY

Sell

1,000,000,000

6,927,870 USD

10/17/22

9,712

Barclays Bank plc

NZD

Sell

560,000

321,902 USD

10/11/22

8,590

JPMorgan Chase Bank, N.A.

EUR

Buy

800,000

775,933 USD

10/06/22

8,263

JPMorgan Chase Bank, N.A.

EUR

Buy

1,280,000

1,229,184 CHF

10/20/22

8,177

Barclays Bank plc

USD

Buy

1,850,000

266,374,655 JPY

10/13/22

7,887

JPMorgan Chase Bank, N.A.

CAD

Sell

780,000

572,665 USD

10/28/22

7,792

Citibank, N.A.

EUR

Buy

600,000

84,006,000 JPY

10/27/22

7,305

Goldman Sachs International

AUD

Sell

620,000

402,593 USD

10/11/22

5,961

Barclays Bank plc

AUD

Sell

400,000

261,268 USD

10/11/22

5,377

JPMorgan Chase Bank, N.A.

CAD

Sell

500,000

367,097 USD

10/27/22

4,998

Barclays Bank plc

CAD

Sell

500,000

367,099 USD

10/21/22

4,994

Barclays Bank plc

CAD

Sell

450,000

330,389 USD

10/19/22

4,494

Citibank, N.A.

CAD

Sell

305,000

224,957 USD

10/04/22

4,064

Bank of America, N.A.

EUR

Buy

4,550,000

4,461,492 USD

10/17/22

2,130

Goldman Sachs International

USD

Buy

3,775,000

545,726,080 JPY

10/13/22

1,032

JPMorgan Chase Bank, N.A.

EUR

Buy

320,000

3,474,688 SEK

10/24/22

672

JPMorgan Chase Bank, N.A.

EUR

Buy

40,000

39,154 USD

12/30/22

339

Goldman Sachs International

EUR

Sell

2,090,000

2,048,737 USD

10/06/22

27

Goldman Sachs International

NZD

Sell

2,640,000

1,490,612 USD

10/11/22

—

Goldman Sachs International

USD

Buy

6,110,000

8,439,028 CAD

10/12/22

(1,754

)

Deutsche Bank AG

NZD

Buy

570,000

321,251 USD

10/11/22

(2,344

)

Morgan Stanley Capital Services LLC

EUR

Sell

120,000

115,202 USD

10/06/22

(2,427

)

Citibank, N.A.

EUR

Sell

560,000

546,099 USD

10/06/22

(2,838

)

Deutsche Bank AG

USD

Sell

1,960,000

2,700,809 CAD

10/12/22

(4,007

)

Deutsche Bank AG

AUD

Buy

2,380,000

1,527,779 USD

10/11/22

(5,223

)

JPMorgan Chase Bank, N.A.

USD

Sell

4,220,000

609,329,598 JPY

10/13/22

(6,182

)

Bank of America, N.A.

AUD

Buy

1,950,000

1,254,197 USD

10/11/22

(6,725

)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

Forward Foreign Currency Exchange Contracts^†† (concluded)

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Citibank, N.A.

NZD

Buy

420,000

241,847 USD

10/11/22

$

(6,863

)

Citibank, N.A.

AUD

Buy

660,000

430,633 USD

10/11/22

(8,411

)

Bank of America, N.A.

EUR

Sell

3,610,000

3,478,376 CHF

10/06/22

(12,166

)

JPMorgan Chase Bank, N.A.

USD

Sell

1,110,000

1,512,782 CAD

10/12/22

(14,405

)

Bank of America, N.A.

USD

Sell

2,700,000

3,698,082 CAD

11/03/22

(21,899

)

Deutsche Bank AG

EUR

Buy

1,500,000

1,472,880 CHF

10/06/22

(22,898

)

Goldman Sachs International

AUD

Buy

6,990,000

4,496,775 USD

10/11/22

(25,067

)

UBS AG

NZD

Buy

880,000

520,705 USD

10/11/22

(28,356

)

Deutsche Bank AG

CHF

Buy

2,900,816

2,970,025 USD

10/06/22

(29,063

)

Bank of America, N.A.

NZD

Buy

2,960,000

1,686,087 USD

10/11/22

(30,007

)

UBS AG

CAD

Buy

1,300,000

142,038,000 JPY

10/12/22

(40,677

)

Citibank, N.A.

GBP

Sell

2,960,000

3,261,621 USD

10/05/22

(43,988

)

JPMorgan Chase Bank, N.A.

EUR

Sell

4,318,000

4,216,289 USD

12/30/22

(46,976

)

Goldman Sachs International

NZD

Buy

1,790,000

1,052,620 USD

10/11/22

(51,138

)

UBS AG

GBP

Buy

1,500,000

1,731,450 USD

10/11/22

(56,058

)

Barclays Bank plc

NZD

Buy

1,470,000

882,351 USD

10/11/22

(59,906

)

Morgan Stanley Capital Services LLC

CHF

Buy

8,835,875

9,018,789 USD

10/06/22

(60,629

)

JPMorgan Chase Bank, N.A.

EUR

Buy

71,180,000

775,102,177 SEK

10/06/22

(79,928

)

Morgan Stanley Capital Services LLC

NZD

Buy

2,360,000

1,407,580 USD

10/11/22

(87,194

)

UBS AG

EUR

Sell

18,640,000

18,161,872 USD

10/06/22

(109,879

)

JPMorgan Chase Bank, N.A.

USD

Sell

8,978,000

1,270,941,634 JPY

12/19/22

(118,092

)

Deutsche Bank AG

EUR

Sell

22,490,000

21,925,021 USD

10/06/22

(120,671

)

UBS AG

GBP

Sell

3,290,000

3,513,657 USD

10/05/22

(160,483

)

JPMorgan Chase Bank, N.A.

AUD

Buy

26,230,000

16,975,127 USD

10/11/22

(195,022

)

JPMorgan Chase Bank, N.A.

SEK

Buy

267,979,369

24,357,123 USD

10/06/22

(206,303

)

Bank of America, N.A.

USD

Sell

20,232,000

2,863,660,594 JPY

12/19/22

(269,029

)

UBS AG

EUR

Sell

19,460,000

18,492,249 CHF

10/06/22

(327,378

)

Deutsche Bank AG

GBP

Sell

9,830,000

10,578,524 USD

10/05/22

(399,227

)

JPMorgan Chase Bank, N.A.

GBP

Sell

22,230,000

24,273,857 USD

10/05/22

(551,719

)

UBS AG

NOK

Buy

129,162,290

12,426,596 USD

10/11/22

(562,075

)

JPMorgan Chase Bank, N.A.

JPY

Buy

5,010,462,651

35,377,461 USD

10/13/22

(727,617

)

JPMorgan Chase Bank, N.A.

EUR

Sell

40,080,000

417,307,261 NOK

10/11/22

(969,458

)

JPMorgan Chase Bank, N.A.

NZD

Buy

31,520,000

18,642,143 USD

10/11/22

(1,007,134

)

$

9,673,022

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 77

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

OTC Interest Rate Swaptions Purchased
Counterparty/ Description	Floating Rate Type	Floating Rate Index	Payment Frequency		Fixed Rate		Expiration Date		Exercise Rate	Swaption Notional Amount		Swaption Value
Call
Deutsche Bank AG 5-Year Interest Rate Swap	Pay	SOFR	Annual	2.69%		04/19/27		2.69%		$	92,814,000	$	2,883,983
Deutsche Bank AG 5-Year Interest Rate Swap	Pay	SOFR	Annual	2.39%		04/08/32		2.39%			72,235,000		2,184,543
Citibank, N.A. 20-Year Interest Rate Swap	Pay	SOFR	Annual	2.38%		04/12/29		2.38%			24,141,000		2,077,464
Citibank, N.A. 5-Year Interest Rate Swap	Pay	6 Month EURIBOR	Semi-annual	1.60%		04/08/27		1.60%			75,085,274		1,487,732
Barclays Bank plc 20-Year Interest Rate Swap	Pay	SONIA	Annual	1.58%		04/12/27		1.58%			20,930,625		1,337,648
												$	9,971,370
Put
Citibank, N.A. 5-Year Interest Rate Swap	Receive	6 Month EURIBOR	Semi-annual	1.60%		04/08/27		1.60%			75,085,274		6,864,869
Barclays Bank plc 20-Year Interest Rate Swap	Receive	SONIA	Annual	1.58%		04/12/27		1.58%			20,930,625		6,583,089
Deutsche Bank AG 5-Year Interest Rate Swap	Receive	SOFR	Annual	2.69%		04/19/27		2.69%			92,814,000		5,369,141
Deutsche Bank AG 5-Year Interest Rate Swap	Receive	SOFR	Annual	2.39%		04/08/32		2.39%			72,235,000		5,296,719
Citibank, N.A. 20-Year Interest Rate Swap	Receive	SOFR	Annual	2.38%		04/12/29		2.38%			24,141,000		3,929,248
												$	28,043,066

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

OTC Interest Rate Swaptions Written

Counterparty/ Description

Floating Rate Type

Floating Rate Index

Payment Frequency

Fixed Rate

Expiration Date

Exercise Rate

Swaption Notional Amount

Swaption Value

Call

J.P. Morgan Securities plc 5-Year Interest Rate Swap

Receive

SOFR

Annual

2.70%

04/17/25

2.70%

$

22,032,000

$

(505,628

)

Put

J.P. Morgan Securities plc 5-Year Interest Rate Swap

Pay

SOFR

Annual

2.70%

04/17/25

2.70%

22,032,000

(1,207,088

)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Consolidated Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1	Special Purpose Acquisition Company (SPAC).
2	All or a portion of this security is pledged as listed options collateral at September 30, 2022.
3	Affiliated issuer.
4	All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2022, the total market value of segregated or earmarked securities was $725,529,402 — See Note 6.
5	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $2,631,428,890 (cost $3,089,023,944), or 42.7% of total net assets.
6	Rate indicated is the 7-day yield as of September 30, 2022.
7	Perpetual maturity.
8	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
9	Security is in default of interest and/or principal obligations.
10	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $40,388,591 (cost $48,365,418), or 0.7% of total net assets — See Note 10.
11	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2022. See table below for additional step information for each security.
12	Payment-in-kind security.
13	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
14	Security is an interest-only strip.
15	Zero coupon rate security.
16	Security is a principal-only strip.
17	Rate indicated is the effective yield at the time of purchase.
18	Swaptions - See additional disclosure in the swaptions table above for more information on swaptions.
19	Security is unsettled at period end and does not have a stated effective rate.
	AUD — Australian Dollar
	CAD — Canadian Dollar
	CDX.NA.IG.33.V1 — Credit Default Swap North American Investment Grade Series 33 Index Version 1
	CHF — Swiss Franc
	CME — Chicago Mercantile Exchange
	CMT — Constant Maturity Treasury
	CZK — Czech Koruna
	EUR — Euro

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

EURIBOR — European Interbank Offered Rate

GBP — British Pound

HUF — Hungarian Forint

ICE — Intercontinental Exchange

ILS — Israeli New Shekel

JPM — J.P. Morgan Securities LLC

JPY — Japanese Yen

LCH — London Clearing House

LIBOR — London Interbank Offered Rate

NOK — Norwegian Krone

plc — Public Limited Company

PLN — Poland Zloty

PPV — Public-Private Venture

REMIC — Real Estate Mortgage Investment Conduit

SARL — Société à Responsabilité Limitée

SEK — Swedish Krona

SOFR — Secured Overnight Financing Rate

SONIA — Sterling Overnight Index Average

WAC — Weighted Average Coupon

See Sector Classification in Other Information section.

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2022 (See Note 4 in the Notes to Consolidated Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs			Total
Common Stocks	$	117,868,023	$	15,613,300	$	801,687		$	134,283,010
Preferred Stocks		—		421,585,106		—	*		421,585,106
Warrants		415,340		—		76			415,416
Rights		3,683		—		—			3,683
Exchange-Traded Funds		34,505,831		—		—			34,505,831
Mutual Funds		173,558,669		—		—			173,558,669
Closed-End Funds		58,606,896		—		—			58,606,896
Money Market Funds		41,520,713		—		—			41,520,713
Corporate Bonds		—		2,012,142,353		127,361,189			2,139,503,542
Senior Floating Rate Interests		—		1,270,886,394		468,693,415			1,739,579,809
Asset-Backed Securities		—		1,023,977,652		207,143,109			1,231,120,761
Collateralized Mortgage Obligations		—		928,359,491		46,238,951			974,598,442
U.S. Government Securities		—		128,125,785		—			128,125,785
Foreign Government Debt		—		61,933,375		—			61,933,375
U.S. Treasury Bills		—		15,253,868		—			15,253,868
Convertible Bonds		—		13,920,445		—			13,920,445
Senior Fixed Rate Interests		—		613,521		2,750,527			3,364,048
Federal Agency Discount Notes		—		699,944		—			699,944
Options Purchased		49,248,055		3,271,961		—			52,520,016
Interest Rate Swaptions Purchased		—		38,014,436		—			38,014,436
Commodity Futures Contracts**		429,981		—		—			429,981
Interest Rate Swap Agreements**		—		33,806,212		—			33,806,212
Forward Foreign Currency Exchange Contracts**		—		16,154,238		—			16,154,238
Total Assets	$	476,157,191	$	5,984,358,081	$	852,988,954		$	7,313,504,226

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Options Written	$	11,202,345	$	6,691,946	$	—	$	17,894,291
Interest Rate Swaptions Written		—		1,712,716		—		1,712,716
Commodity Futures Contracts**		3,030,945		—		—		3,030,945
Credit Default Swap Agreements**		—		924,258		—		924,258
Interest Rate Swap Agreements**		—		33,861,974		—		33,861,974
Forward Foreign Currency Exchange Contracts**		—		6,481,216		—		6,481,216
Unfunded Loan Commitments (Note 9)		—		—		2,356,646		2,356,646
Total Liabilities	$	14,233,290	$	49,672,110	$	2,356,646	$	66,262,046

*	Security has a market value of $0.
**	This derivative is reported as unrealized appreciation/depreciation at period end.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $672,053,602 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

Category	Ending Balance at September 30, 2022		Valuation Technique	Unobservable Inputs		Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	96,909,685	Yield Analysis	Yield	6.4%-8.7%		7.6%
Asset-Backed Securities		89,477,056	Option adjusted spread off prior month end broker quote	Broker Quote	—		—
Asset-Backed Securities		20,752,945	Third Party Pricing	Broker Quote	—		—
Asset-Backed Securities		3,423	Model Price	Purchase Price	—		—
Collateralized Mortgage Obligations		32,195,688	Model Price	Market Comparable Yields	6.9%		—
Collateralized Mortgage Obligations		14,043,263	Option adjusted spread off prior month end broker quote	Broker Quote	—		—
Common Stocks		800,820	Enterprise Value	Valuation Multiple	2.6x-16.0x		7.7x
Common Stocks		867	Model Price	Liquidation Value	—		—

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

Category	Ending Balance at September 30, 2022		Valuation Technique	Unobservable Inputs		Input Range		Weighted Average*
Corporate Bonds	$	90,715,526	Option adjusted spread off prior month end broker quote	Broker Quote	—		—
Corporate Bonds		22,220,000	Yield Analysis	Yield	5.9%		—
Corporate Bonds		10,595,135	Option adjusted spread off Third Party Pricing	Trade Price	—		—
Corporate Bonds		2,205,653	Third Party Pricing	Vendor Price	—		—
Corporate Bonds		1,624,875	Model Price	Purchase Price	—		—
Senior Fixed Rate Interests		2,750,527	Yield Analysis	Yield	8.0%		—
Senior Floating Rate Interests		285,788,068	Third Party Pricing	Broker Quote	—		—
Senior Floating Rate Interests		127,383,507	Yield Analysis	Yield	7.5%-12.2%		9.8%
Senior Floating Rate Interests		19,608,365	Model Price	Market Comparable Yields	10.4%-11.7%		10.7%
Senior Floating Rate Interests		18,559,871	Model Price	Purchase Price	—		—
Senior Floating Rate Interests		14,553,000	Third Party Pricing	Trade Price	—		—
Senior Floating Rate Interests		9,137,821	Third Party Pricing	Vendor Price	—		—
Warrants		76	Model Price	Liquidation Value	—		—
Total Assets	$	859,326,171
Liabilities:
Unfunded Loan Commitments	$	2,356,646	Model Price	Purchase Price	—		—

* Inputs are weighted by the fair value of the instruments.

Significant changes in a quote, yield, market comparable yields, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $208,100,542 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $46,026,288 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2022:

	Assets
	Asset- Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Warrants
Beginning Balance	$	134,755,864		$	33,621,388		$	132,694,814		$	202,766,682		$	—
Purchases/(Receipts)		62,475,307			—			78,264,090			206,748,573			—
(Sales, maturities and paydowns)/Fundings		(12,349,162	)		(22,382,728	)		(42,863,877	)		(32,418,795	)		—
Amortization of premiums/discounts		240,799			(22,214	)		1,730,058			1,597,118			—
Total realized gains (losses) included in earnings		(1,435,657	)		(10,469	)		(57,499	)		32,479			—
Total change in unrealized appreciation (depreciation) included in earnings		(12,421,433	)		(2,361,987	)		(15,115,281	)		(19,797,148	)		—
Transfers into Level 3		35,877,391			37,394,961			—			134,827,428			76
Transfers out of Level 3		—			—			(27,291,116	)		(18,725,705	)		—
Ending Balance	$	207,143,109		$	46,238,951		$	127,361,189		$	475,030,632		$	76
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022	$	(14,112,940	)	$	(2,372,506	)	$	(9,589,873	)	$	(17,016,035	)	$	—

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
MACRO OPPORTUNITIES FUND

	Assets									Liabilities
	Common Stocks			Senior Fixed Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	1,167,187		$	3,044,928		$	508,050,863		$	(3,698,361	)
Purchases/(Receipts)		(101	)		—			347,487,869			(1,862,404	)
(Sales, maturities and paydowns)/Fundings		(826	)		(7,663	)		(110,023,051	)		3,251,868
Amortization of premiums/discounts		—			2,689			3,548,450			232,545
Total realized gains (losses) included in earnings		(6,599	)		62			(1,477,683	)		(127,631	)
Total change in unrealized appreciation (depreciation) included in earnings		(349,193	)		(289,489	)		(50,334,531	)		(152,663	)
Transfers into Level 3		686			—			208,100,542			—
Transfers out of Level 3		(9,467	)		—			(46,026,288	)		—
Ending Balance	$	801,687		$	2,750,527		$	859,326,171		$	(2,356,646	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022	$	(249,532	)	$	(289,489	)	$	(43,630,375	)	$	24,152

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, except GAIA Aviation Ltd. which is scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate(s)				Future Reset Date(s)
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70		6.13	%		01/30/25		—		—
Citigroup Mortgage Loan Trust 2022-A, 6.17% due 09/25/62		9.17	%		09/25/25		10.17	%	09/25/26
GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44		2.00	%		11/15/26		—		—
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62		8.25	%		07/01/25		9.25	%	07/01/26
OBX Trust 2022-NQM8, 6.10% due 09/25/62		7.10	%		10/01/26		—		—
Platinum for Belize Blue Investment									10/21/23 -
Company LLC, 1.60% due 10/20/40		2.10	%		10/21/22		3.60% - 4.47%		10/21/25

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
MACRO OPPORTUNITIES FUND

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/21		Additions		Reductions		Realized Gain (Loss)
Common Stocks
BP Holdco LLC*	$	26,465	$	—	$	—	$	—
Targus Group International Equity, Inc.*		31,107		—		—		—
Mutual Funds
Guggenheim Alpha Opportunity Fund — Institutional Class		26,522,954		212,702		—		—
Guggenheim Risk Managed Real Estate Fund — Institutional Class		71,222,266		13,574,919		—		—
Guggenheim Strategy Fund II		17,552,529		1,210,789		—		—
Guggenheim Strategy Fund III		15,636,354		2,653,059		—		—
Guggenheim Ultra Short Duration Fund — Institutional Class		46,880,462		700,367		—		—
	$	177,872,137	$	18,351,836	$	—	$	—

Security Name	Change in Unrealized Appreciation (Depreciation)			Value 09/30/22		Shares 09/30/22		Investment Income		Capital Gain Distributions
Common Stocks
BP Holdco LLC*	$	(3,702	)	$	22,763		37,539	$	—	$	—
Targus Group International Equity, Inc.*		1,018			32,125		12,773		—		—
Mutual Funds
Guggenheim Alpha Opportunity Fund — Institutional Class		(1,886,707	)		24,848,949		1,010,531		212,702		—
Guggenheim Risk Managed Real Estate Fund — Institutional Class		(17,400,174	)		67,397,011		2,255,589		1,464,428		3,660,423
Guggenheim Strategy Fund II		(747,433	)		18,015,885		751,601		365,409		—
Guggenheim Strategy Fund III		(776,486	)		17,512,927		729,098		357,091		—
Guggenheim Ultra Short Duration Fund — Institutional Class		(1,796,932	)		45,783,897		4,774,129		692,697		—
	$	(22,610,416	)	$	173,613,557			$	3,092,327	$	3,660,423

* Non-income producing security.

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 87

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES

MACRO OPPORTUNITIES FUND

September 30, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $8,116,461,181)	$	7,089,500,238
Investments in affiliated issuers, at value (cost $184,332,334)		173,613,557
Foreign currency, at value (cost $7,181,597)		7,184,327
Cash		16,314,399
Segregated cash with broker		7,211,350
Unamortized upfront premiums paid on credit default swap agreements		1,100,724
Unamortized upfront premiums paid on interest rate swap agreements		225,239
Unrealized appreciation on forward foreign currency exchange contracts		16,154,238
Prepaid expenses		192,906
Receivables:
Securities sold		424,338,725
Interest		57,399,497
Fund shares sold		8,216,950
Dividends		1,043,584
Variation margin on futures contracts		887,390
Swap settlement		303,021
Foreign tax reclaims		26,649
Protection fees on credit default swap agreements		21,389
Variation margin on credit default swap agreements		2,539
Total assets		7,803,736,722
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $2,938,452)	$	2,356,646
Reverse repurchase agreements (Note 6)		672,053,602
Options written, at value (premiums received $16,577,321)		19,607,007
Segregated cash due to broker		41,061,894
Unamortized upfront premiums received on interest rate swap agreements		2,424,352
Unrealized depreciation on forward foreign currency exchange contracts		6,481,216
Payable for:
Securities purchased		859,336,585
Fund shares redeemed		34,195,370
Management fees		3,988,983
Distributions to shareholders		2,262,961
Transfer agent/maintenance fees		912,476
Variation margin on interest rate swap agreements		397,448
Distribution and service fees		229,277
Fund accounting/administration fees		51,980
Due to Investment Adviser		13,166
Trustees’ fees*		2,384
Miscellaneous		2,248,886
Total liabilities		1,647,624,233
Net assets	$	6,156,112,489

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

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

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (concluded)

MACRO OPPORTUNITIES FUND

September 30, 2022

Net assets consist of:
Paid in capital	$	7,288,591,502
Total distributable earnings (loss)		(1,132,479,013	)
Net assets	$	6,156,112,489
A-Class:
Net assets	$	327,392,888
Capital shares outstanding		14,012,322
Net asset value per share	$	23.36
Maximum offering price per share (Net asset value divided by 96.00%)	$	24.33
C-Class:
Net assets	$	145,468,746
Capital shares outstanding		6,230,448
Net asset value per share	$	23.35
P-Class:
Net assets	$	161,232,245
Capital shares outstanding		6,897,610
Net asset value per share	$	23.38
Institutional Class:
Net assets	$	5,397,130,878
Capital shares outstanding		230,666,503
Net asset value per share	$	23.40
R6-Class:
Net assets	$	124,887,732
Capital shares outstanding		5,339,214
Net asset value per share	$	23.39

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

CONSOLIDATED STATEMENT OF OPERATIONS

MACRO OPPORTUNITIES FUND

Year Ended September 30, 2022

Investment Income:
Dividends from securities of unaffiliated issuers	$	17,673,044
Dividends from securities of affiliated issuers		3,092,327
Interest from securities of unaffiliated issuers (net of foreign withholding tax of $24,448)		345,298,119
Total investment income		366,063,490
Expenses:
Management fees		66,611,239
Distribution and service fees:
A-Class		982,746
C-Class		1,828,019
P-Class		460,055
Transfer agent/maintenance fees:
A-Class		410,653
C-Class		179,283
P-Class		269,283
Institutional Class		5,948,054
R6-Class		7,506
Fund accounting/administration fees		4,556,515
Interest expense		2,774,332
Professional fees		608,171
Line of credit fees		469,859
Custodian fees		161,073
Trustees’ fees*		47,819
Miscellaneous		1,007,965
Recoupment of previously waived fees:
A-Class		225,244
C-Class		116,102
P-Class		93,697
R6-Class		122
Total expenses		86,757,737
Less:
Expenses reimbursed by Adviser:
A-Class		(39,991	)
C-Class		(18,242	)
P-Class		(82,405	)
Institutional Class		(6,364,004	)
R6-Class		(18,144	)
Expenses waived by Adviser		(2,698,849	)
Earnings credits applied		(21,367	)
Total waived/reimbursed expenses		(9,243,002	)
Net expenses		77,514,735
Net investment income		288,548,755

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

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

CONSOLIDATED STATEMENT OF OPERATIONS (concluded)

MACRO OPPORTUNITIES FUND

Year Ended September 30, 2022

Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	(46,636,319	)
Distributions received from affiliated investment companies		3,660,423
Investments sold short		245,563
Swap agreements		(4,777,275	)
Futures contracts		(32,318,900	)
Options purchased		8,074,027
Options written		35,015,405
Forward foreign currency exchange contracts		82,184,788
Foreign currency transactions		(17,053,602	)
Net realized gain		28,394,110
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,135,880,788	)
Investments in affiliated issuers		(22,610,416	)
Investments sold short		(258,791	)
Swap agreements		1,482,273
Futures contracts		6,617,671
Options purchased		13,830,043
Options written		(4,543,650	)
Forward foreign currency exchange contracts		(4,423,740	)
Foreign currency translations		1,040,996
Net change in unrealized appreciation (depreciation)		(1,144,746,402	)
Net realized and unrealized loss		(1,116,352,292	)
Net decrease in net assets resulting from operations	$	(827,803,537	)

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

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

MACRO OPPORTUNITIES FUND

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	288,548,755		$	239,774,083
Net realized gain on investments		28,394,110			137,673,804
Net change in unrealized appreciation (depreciation) on investments		(1,144,746,402	)		43,672,282
Net increase (decrease) in net assets resulting from operations		(827,803,537	)		421,120,169
Distributions to shareholders:
A-Class		(14,450,678	)		(14,764,867	)
C-Class		(5,329,080	)		(6,958,834	)
P-Class		(6,862,970	)		(4,838,625	)
Institutional Class		(271,453,423	)		(238,591,049	)
R6-Class		(6,954,612	)		(6,773,294	)
Total distributions to shareholders		(305,050,763	)		(271,926,669	)
Capital share transactions:
Proceeds from sale of shares
A-Class		126,958,094			235,685,397
C-Class		17,647,591			45,952,659
P-Class		141,236,656			95,919,416
Institutional Class		2,865,859,194			3,976,890,531
R6-Class		39,129,088			71,972,977
Distributions reinvested
A-Class		12,395,501			12,141,681
C-Class		4,714,100			6,099,243
P-Class		6,862,970			4,835,559
Institutional Class		236,975,014			208,271,783
R6-Class		6,954,612			6,770,877
Cost of shares redeemed
A-Class		(190,135,392	)		(135,116,396	)
C-Class		(58,112,906	)		(71,617,733	)
P-Class		(120,265,759	)		(39,880,927	)
Institutional Class		(3,617,935,972	)		(1,501,457,579	)
R6-Class		(92,877,977	)		(22,498,771	)
Net increase (decrease) from capital share transactions		(620,595,186	)		2,893,968,717
Net increase (decrease) in net assets		(1,753,449,486	)		3,043,162,217
Net assets:
Beginning of year		7,909,561,975			4,866,399,758
End of year	$	6,156,112,489		$	7,909,561,975

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

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (concluded)

MACRO OPPORTUNITIES FUND

	Year Ended September 30, 2022			Year Ended September 30, 2021
Capital share activity:
Shares sold
A-Class		4,889,782			8,625,070
C-Class		674,828			1,685,027
P-Class		5,424,419			3,504,866
Institutional Class		110,104,278			145,580,629
R6-Class		1,482,039			2,630,538
Shares issued from reinvestment of distributions
A-Class		488,657			446,031
C-Class		186,340			224,373
P-Class		273,119			177,495
Institutional Class		9,317,790			7,636,796
R6-Class		273,699			248,502
Shares redeemed
A-Class		(7,374,841	)		(4,959,407	)
C-Class		(2,275,909	)		(2,626,829	)
P-Class		(4,789,373	)		(1,476,585	)
Institutional Class		(142,390,344	)		(55,109,331	)
R6-Class		(3,655,968	)		(829,134	)
Net increase (decrease) in shares		(27,371,484	)		105,758,041

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

CONSOLIDATED STATEMENT OF CASH FLOWS

MACRO OPPORTUNITIES FUND

Year Ended September 30, 2022

Cash Flows from Operating Activities:
Net decrease in net assets resulting from operations	$	(827,803,537	)
Adjustments to Reconcile Net Decrease in Net Assets Resulting from Operations to
Net Cash Provided by Operating and Investing Activities:
Net change in unrealized (appreciation) depreciation on investments		1,158,749,995
Net change in unrealized (appreciation) depreciation on options purchased		(13,830,043	)
Net change in unrealized (appreciation) depreciation on options written		4,543,650
Net change in unrealized (appreciation) depreciation on forward foreign currency exchange contracts		4,423,740
Net realized loss on investments		42,730,333
Net realized gain on options purchased		(8,074,027	)
Net realized gain on options written		(35,015,405	)
Net accretion of bond discount and amortization of bond premium		(46,638,047	)
Purchase of long-term investments		(2,540,481,824	)
Proceeds from sale of long-term investments		1,671,629,998
Net proceeds from sale of short-term investments		518,698,170
Return of capital distributions received from investments		3,288,084
Corporate actions and other payments		4,570,102
Premiums received on options written		71,863,535
Cost of closing options written		(34,080,430	)
Commitment fees received and repayments of unfunded commitments		(1,390,119	)
Decrease in segregated cash with broker		38,597,883
Increase in unamortized upfront premiums paid on credit default swap agreements		(1,100,724	)
Increase in unamortized upfront premiums paid on interest rate swap agreements		(28,058	)
Increase in prepaid expenses		(49,347	)
Decrease in securities sold receivable		296,489,577
Increase in interest receivable		(13,944,907	)
Increase in dividends receivable		(496,631	)
Decrease in variation margin on futures contracts receivable		2,252,690
Increase in swap settlement receivable		(269,464	)
Increase in foreign tax reclaims receivable		(26,649	)
Increase in protection fees on credit default swap agreements receivable		(21,389	)
Decrease in variation margin on credit default swap agreements receivable		271,247
Decrease in amortized upfront premiums received on credit default swap agreements		(16,110,272	)
Increase in segregated cash due to broker		4,658,293
Increase in unamortized upfront premiums received on interest rate swap agreements		2,240,253
Decrease in securities purchased payable		(164,622,811	)
Decrease in management fees payable		(283,971	)
Increase in transfer agent/maintenance fees payable		455,687
Decrease in variation margin on interest rate swap agreements payable		(438,326	)
Decrease in distribution and service fees payable		(65,132	)
Decrease in fund accounting/administration fees payable		(369,082	)
Decrease in due to investment adviser payable		(3,410	)
Decrease in protection fees on credit default swap agreements payable		(269,347	)
Decrease in trustees’ fees payable*		(53,437	)
Increase in miscellaneous		479,517
Net Cash Provided by Operating and Investing Activities		120,476,365

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

CONSOLIDATED STATEMENT OF CASH FLOWS (concluded)

MACRO OPPORTUNITIES FUND

Year Ended September 30, 2022

Cash Flows From Financing Activities:
Distributions to shareholders	$	(37,236,037	)
Proceeds from sale of shares		3,200,795,026
Cost of shares redeemed		(4,058,923,756	)
Proceeds from reverse repurchase agreements		7,546,096,076
Payments made on reverse repurchase agreements		(6,880,641,685	)
Net Cash Used in Financing Activities		(229,910,376	)
Net decrease in cash		(109,434,011	)
Cash at Beginning of Year (including foreign cash)		132,932,737
Cash at End of Year (including foreign cash)	$	23,498,726
Supplemental Disclosure of Cash Flow Information:
Cash paid during the year for interest	$	1,199,617
Supplemental Disclosure of Cash Financing Activity:
Dividend reinvestment	$	267,902,197

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

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 95

CONSOLIDATED FINANCIAL HIGHLIGHTS

MACRO OPPORTUNITIES FUND

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	27.19		$	26.31		$	25.82		$	26.53		$	26.67
Income (loss) from investment operations:
Net investment income (loss)a		.89			.91			.74			.72			.72
Net gain (loss) on investments (realized and unrealized)		(3.77	)		1.04			.61			(.62	)		(.08	)
Total from investment operations		(2.88	)		1.95			1.35			.10			.64
Less distributions from:
Net investment income		(.95	)		(1.07	)		(.86	)		(.79	)		(.78	)
Net realized gains		—			—			—			(.02	)		—
Total distributions		(.95	)		(1.07	)		(.86	)		(.81	)		(.78	)
Net asset value, end of period	$	23.36		$	27.19		$	26.31		$	25.82		$	26.53
Total Returnb		(10.77	%)		7.49	%		5.39	%		0.41	%		2.42	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	327,393		$	435,293		$	312,986		$	461,781		$	714,630
Ratios to average net assets:
Net investment income (loss)		3.46	%		3.35	%		2.90	%		2.76	%		2.72	%
Total expensesc		1.42	%		1.43	%		1.51	%		1.47	%		1.43	%
Net expensesd,e,f		1.37	%		1.37	%		1.39	%		1.39	%		1.33	%
Portfolio turnover rate		25	%		84	%		130	%		46	%		66	%

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

CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)

MACRO OPPORTUNITIES FUND

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

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	27.17		$	26.29		$	25.80		$	26.52		$	26.65
Income (loss) from investment operations:
Net investment income (loss)a		.70			.72			.55			.52			.53
Net gain (loss) on investments (realized and unrealized)		(3.76	)		1.03			.61			(.62	)		(.08	)
Total from investment operations		(3.06	)		1.75			1.16			(.10	)		.45
Less distributions from:
Net investment income		(.76	)		(.87	)		(.67	)		(.60	)		(.58	)
Net realized gains		—			—			—			(.02	)		—
Total distributions		(.76	)		(.87	)		(.67	)		(.62	)		(.58	)
Net asset value, end of period	$	23.35		$	27.17		$	26.29		$	25.80		$	26.52
Total Returnb		(11.41	%)		6.70	%		4.60	%		(0.37	%)		1.69	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	145,469		$	207,739		$	219,866		$	321,576		$	433,121
Ratios to average net assets:
Net investment income (loss)		2.70	%		2.64	%		2.15	%		2.00	%		1.98	%
Total expensesc		2.17	%		2.18	%		2.25	%		2.20	%		2.18	%
Net expensesd,e,f		2.12	%		2.12	%		2.15	%		2.13	%		2.09	%
Portfolio turnover rate		25	%		84	%		130	%		46	%		66	%

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

CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)

MACRO OPPORTUNITIES FUND

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	27.20		$	26.32		$	25.82		$	26.54		$	26.68
Income (loss) from investment operations:
Net investment income (loss)a		.90			.91			.74			.71			.73
Net gain (loss) on investments (realized and unrealized)		(3.77	)		1.04			.62			(.62	)		(.09	)
Total from investment operations		(2.87	)		1.95			1.36			.09			.64
Less distributions from:
Net investment income		(.95	)		(1.07	)		(.86	)		(.79	)		(.78	)
Net realized gains		—			—			—			(.02	)		—
Total distributions		(.95	)		(1.07	)		(.86	)		(.81	)		(.78	)
Net asset value, end of period	$	23.38		$	27.20		$	26.32		$	25.82		$	26.54
Total Return		(10.77	%)		7.48	%		5.42	%		0.37	%		2.42	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	161,232		$	162,928		$	99,575		$	126,334		$	160,578
Ratios to average net assets:
Net investment income (loss)		3.51	%		3.33	%		2.91	%		2.73	%		2.73	%
Total expensesc		1.45	%		1.45	%		1.50	%		1.46	%		1.46	%
Net expensesd,e,f		1.37	%		1.37	%		1.40	%		1.39	%		1.33	%
Portfolio turnover rate		25	%		84	%		130	%		46	%		66	%

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

CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)

MACRO OPPORTUNITIES FUND

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

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	27.23		$	26.34		$	25.85		$	26.57		$	26.71
Income (loss) from investment operations:
Net investment income (loss)a		.99			1.02			.85			.81			.84
Net gain (loss) on investments (realized and unrealized)		(3.76	)		1.05			.60			(.61	)		(.09	)
Total from investment operations		(2.77	)		2.07			1.45			.20			.75
Less distributions from:
Net investment income		(1.06	)		(1.18	)		(.96	)		(.90	)		(.89	)
Net realized gains		—			—			—			(.02	)		—
Total distributions		(1.06	)		(1.18	)		(.96	)		(.92	)		(.89	)
Net asset value, end of period	$	23.40		$	27.23		$	26.34		$	25.85		$	26.57
Total Return		(10.39	%)		7.91	%		5.84	%		0.77	%		2.83	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,397,131		$	6,906,534		$	4,097,303		$	5,396,868		$	6,065,678
Ratios to average net assets:
Net investment income (loss)		3.85	%		3.74	%		3.32	%		3.12	%		3.15	%
Total expensesc		1.09	%		1.08	%		1.17	%		1.13	%		1.08	%
Net expensesd,e,f		0.96	%		0.96	%		0.99	%		0.98	%		0.93	%
Portfolio turnover rate		25	%		84	%		130	%		46	%		66	%

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

CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)

MACRO OPPORTUNITIES FUND

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

R6-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Period Ended September 30, 2019g
Per Share Data
Net asset value, beginning of period	$	27.22		$	26.34		$	25.84		$	25.98
Income (loss) from investment operations:
Net investment income (loss)a		.98			1.02			.87			.36
Net gain (loss) on investments (realized and unrealized)		(3.75	)		1.04			.58			(.03	)
Total from investment operations		(2.77	)		2.06			1.45			.33
Less distributions from:
Net investment income		(1.06	)		(1.18	)		(.95	)		(.47	)
Total distributions		(1.06	)		(1.18	)		(.95	)		(.47	)
Net asset value, end of period	$	23.39		$	27.22		$	26.34		$	25.84
Total Return		(10.39	%)		7.91	%		5.81	%		1.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	124,888		$	197,067		$	136,669		$	676
Ratios to average net assets:
Net investment income (loss)		3.79	%		3.74	%		3.41	%		2.79	%
Total expensesc		1.00	%		1.01	%		1.09	%		1.11	%
Net expensesd,e,f		0.96	%		0.96	%		0.99	%		1.03	%
Portfolio turnover rate		25	%		84	%		130	%		46	%

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

CONSOLIDATED FINANCIAL HIGHLIGHTS (concluded)

MACRO OPPORTUNITIES FUND

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	0.06%	0.10%	0.03%	0.02%	0.04%
C-Class	0.06%	0.08%	0.05%	0.05%	0.11%
P-Class	0.05%	0.09%	0.03%	0.04%	0.04%
Institutional Class	—	—	0.00%*	0.00%*	—
R6-Class	0.00%*	0.00%*	0.00%*	0.00%*,g	N/A

	*	Less than 0.01%
f	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	1.33%	1.33%	1.33%	1.33%	1.31%
C-Class	2.08%	2.08%	2.08%	2.07%	2.06%
P-Class	1.33%	1.33%	1.33%	1.33%	1.31%
Institutional Class	0.92%	0.92%	0.92%	0.92%	0.90%
R6-Class	0.92%	0.92%	0.92%	0.92%g	N/A

^g Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Note 1 – Organization, Consolidation of Subsidiary and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Macro Opportunities Fund (the “Fund”), a diversified investment company. At September 30, 2022, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Partners Advisors, LLC (“GPA” or the “Sub-Adviser”) assists GPIM in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI, GFD and GPA are affiliated entities.

102 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Consolidation of Subsidiary

The consolidated financial statements of the Fund include the accounts of a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). Significant inter-company accounts and transactions have been eliminated in consolidation for the Fund.

The Fund may invest up to 25% of its total assets in its Subsidiary which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objectives and policies.

A summary of the Fund’s investment in its Subsidiary is as follows:

Inception Date of Subsidiary		Subsidiary Net Assets at September 30, 2022		% of Net Assets of the Fund at September 30, 2022
	01/08/15	$	32,349,141		0.5	%

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

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

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/or other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.

Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are generally valued at the last quoted sale price.

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

104 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.

Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Adviser.

Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued using a price provided by a pricing service.

The value of futures contracts are valued on the basis of the last sale price at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The value of interest rate swap agreements entered into by the Fund is valued on the basis of the last sale price on the primary exchange on which the swap is traded.

The value of other swap agreements entered into by the Fund is generally valued using an evaluated price provided by a third party pricing vendor.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

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

(b) Special Purpose Acquisition Companies

The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.

(c) U.S. Government and Agency Obligations

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

106 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

(d) Senior Floating Rate Interests and Loan Investments

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

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(e) Interest on When-Issued Securities

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

(f) Short Sales

When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

(g) Options

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

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

The Fund may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Fund’s holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.

(h) Futures Contracts

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

108 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

(i) Swap Agreements

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

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

(j) Currency Translations

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

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

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

(k) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

(l) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Consolidated Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2022, if any, are disclosed in the Fund’s Consolidated Statement of Assets and Liabilities.

(m) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

110 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Consolidated Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Consolidated Statement of Operations at the end of the commitment period.

(n) Distributions

The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.

(o) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

(p) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Consolidated Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2022, are disclosed in the Consolidated Statement of Operations.

(q) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 3.08% at September 30, 2022.

(r) Indemnifications

Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

Note 2 – Financial Instruments and Derivatives

As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Consolidated Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Consolidated Financial Statements.

Short Sales

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

Derivatives

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

The Fund utilized derivatives for the following purposes:

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

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

Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.

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

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Options Purchased and Written

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

The following table represents the Fund’s use and volume of call/put options purchased on a monthly basis:

	Average Notional Amount
Use	Call		Put
Duration, Hedge, Speculation, Income	$	2,586,076,850	$	536,877,188

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.

The following table represents the Fund’s use and volume of call/put options written on a monthly basis:

	Average Notional Amount
Use	Call		Put
Hedge, Income	$	207,565,981	$	346,175,212

Futures Contracts

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

The following table represents the Fund’s use and volume of futures on a monthly basis:

	Average Notional Amount
Use	Long		Short
Index exposure, Speculation	$	156,763,769	$	43,709,467

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing OTC swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return swaps, the Fund bears the risk of the loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

The following table represents the Fund’s use and volume of total return swaps on a monthly basis:

	Average Notional Amount
Use	Long		Short
Index exposure, Income	$	13,898,507	$	—

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

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The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:

	Average Notional Amount
Use	Pay Floating Rate		Receive Floating Rate
Duration, Hedge, Speculation	$	5,016,310,583	$	12,810,916,583

Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. The Fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:

	Average Notional Amount
Use	Protection Sold		Protection Purchased
Index exposure, Income	$	64,166,667	$	14,691,667

Forward Foreign Currency Exchange Contracts

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

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

The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:

	Average Value
Use	Purchased		Sold
Hedge, Income	$	374,598,627	$	898,536,855

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Fund’s Consolidated Statement of Assets and Liabilities as of September 30, 2022:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Commodity futures contracts	Variation margin on futures contracts
Credit/Interest rate swap contracts	Unamortized upfront premiums paid on interest rate swap agreements	Unamortized upfront premiums received on interest rate swap agreements
	Unamortized upfront premiums paid on credit default swap agreements	Variation margin on interest rate swap agreements
	Variation margin on credit default swap agreements
Equity/Currency/Commodity/Interest rate option contracts	Investments in unaffiliated issuers, at value	Options written, at value
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

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The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2022:

Asset Derivative Investments Value
	Futures Commodity Risk*		Swaps Interest Rate Risk*		Swaps Credit Risk*		Options Purchased Equity Risk		Options Purchased Foreign Currency Exchange Risk		Options Purchased Commodity Risk		Options Purchased Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2022
	$	429,981	$	33,806,212	$	–	$	49,248,055	$	3,271,961	$	–	$	38,014,436	$	16,154,238	$	140,924,883

Liability Derivative Investments Value
	Futures Commodity Risk*		Swaps Interest Rate Risk*		Swaps Credit Risk*		Options Written Equity Risk		Options Written Foreign Currency Exchange Risk		Options Written Commodity Risk		Options Written Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2022
	$	3,030,945	$	33,861,974	$	924,258	$	11,202,345	$	5,523,396	$	1,168,550	$	1,712,716	$	6,481,216	$	63,905,400

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Consolidated Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Consolidated Statement of Assets and Liabilities

The following is a summary of the location of derivative investments on the Fund’s Consolidated Statement of Operations for the year ended September 30, 2022:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Interest Rate/Commodity futures contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts
Interest Rate/Credit swap contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements
Equity/Interest Rate/Commodity/Foreign	Net realized gain (loss) on options purchased
Currency option contracts	Net change in unrealized appreciation (depreciation) on options purchased
	Net realized gain (loss) on options written
	Net change in unrealized appreciation (depreciation) on options written
Currency forward contracts	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Consolidated Statement of Operations categorized by primary risk exposure for the year ended September 30, 2022:

Realized Gain (Loss) on Derivative Investments Recognized on the Consolidated Statement of Operations
	Futures Equity Risk		Futures Interest Rate Risk		Futures Commodity Risk			Swaps Interest Rate Risk			Swaps Credit Risk			Options Written Equity Risk			Options Purchased Equity Risk		Options Purchased Commodity Risk
	$	162,937	$	6,325	$	(32,488,162	)	$	(178,563	)	$	(4,598,712	)	$	(9,130,720	)	$	26,858,357	$	(3,400,042	)

Options Purchased Foreign Currency Exchange Risk			Options Purchased Interest Rate Risk			Options Written Foreign Currency Exchange Risk		Options Written Commodity Risk		Options Written Interest Rate Risk			Forward Foreign Currency Exchange Risk		Total
$	(13,139,705	)	$	(2,244,583	)	$	39,584,010	$	5,858,237	$	(1,296,122	)	$	82,184,788	$	88,178,045

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Consolidated Statement of Operations
	Futures Equity Risk		Futures Interest Rate Risk		Futures Commodity Risk		Swaps Interest Rate Risk		Swaps Credit Risk			Options Written Equity Risk			Options Purchased Equity Risk		Options Purchased Commodity Risk
	$	—	$	—	$	6,617,671	$	2,266,061	$	(783,788	)	$	(4,479,780	)	$	16,156,519	$	—

Options Purchased Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk			Options Written Foreign Currency Exchange Risk		Options Written Commodity Risk		Options Written Interest Rate Risk			Forward Foreign Currency Exchange Risk			Total
$	1,505,794	$	(3,832,270	)	$	162,952	$	6,195	$	(233,017	)	$	(4,423,740	)	$	12,962,597

In conjunction with short sales and the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

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

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Foreign Investments

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

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

Note 3 – Offsetting

In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Consolidated Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

							Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities		Net Amount of Assets Presented on the Consolidated Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Forward foreign currency exchange contracts	$	16,154,238	$	—	$	16,154,238	$	(5,379,502	)	$	(10,774,736	)	$	—
Options purchased		41,286,397		—		41,286,397		(3,389,752	)		(3,014,756	)		34,881,889

							Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Consolidated Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged			Net Amount
Forward foreign currency exchange contracts	$	6,481,216	$	—	$	6,481,216	$	(4,899,776	)	$	—		$	1,581,440
Options written		8,404,662		—		8,404,662		(3,869,478	)		(27,000	)		4,508,184

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments and reverse repurchase agreements as of September 30, 2022.

Counterparty	Asset Type	Cash Pledged		Cash Received
Barclays Bank plc	Forward foreign currency exchange contracts, Options	$	—	$	2,950,000
BofA Securities, Inc.	Forward foreign currency exchange contracts, Options		—		6,590,000
Citibank, N.A.	Forward foreign currency exchange contracts		—		268,000
Citigroup	Reverse repurchase agreements		—		1,985,000
Goldman Sachs International	Forward foreign currency exchange contracts, Options		—		20,620,201
J.P. Morgan Securities LLC	Futures contracts		7,184,350		—
J.P. Morgan Securities LLC	Interest rate swap agreements		—		2,708,693
J.P. Morgan Securities LLC	Total return swap agreements, Options		27,000		—
Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts, Options		—		5,940,000
		$	7,211,350	$	41,061,894

Note 4 – Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

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Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

Note 5 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees at an annualized rate based on the average daily net assets as follows:

Average Daily Net Assets	Annualized Rate
$5 billion or less		0.89	%
> $5 billion		0.84	%

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Pursuant to an Investment Sub-Advisory Agreement between the Adviser and GPA, GPA, under the oversight supervision of the Board and the Adviser, assists the Adviser in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. As compensation for its services, the Adviser pays GPA a fee, payable monthly, in an amount equal to 0.005% of the Fund’s average daily net assets.

GI has contractually agreed to waive the management fee it receives from the Subsidiary in an amount equal to the management fee paid to GI by the Subsidiary. This undertaking will continue in effect for so long as the Fund invests in the Subsidiary, and may not be terminated by GI unless GI obtains the prior approval of the Fund’s Board for such termination. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2022, the Fund waived $247,471 related to advisory fees in the Subsidiary.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

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

	Limit			Effective Date		Contract End Date
A-Class		1.36	%		11/30/12		02/01/24
C-Class		2.11	%		11/30/12		02/01/24
P-Class		1.36	%		05/01/15		02/01/24
Institutional Class		0.95	%		11/30/12		02/01/24
R6-Class		0.95	%		03/13/19		02/01/24

GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2022, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

	2023		2024		2025		Total
A-Class	$	249,814	$	196,169	$	80,282	$	526,265
C-Class		150,071		102,752		37,685		290,508
P-Class		20,693		81,801		101,516		204,010
Institutional Class		5,879,352		6,245,889		7,075,307		19,200,548
R6-Class		41,632		59,463		38,182		139,277

For the year ended September 30, 2022, GI recouped $435,165 from the Fund.

If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2022, the Fund waived $1,126,015 related to investments in affiliated funds.

For the year ended September 30, 2022, GFD retained sales charges of $144,088 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

Note 6 – Reverse Repurchase Agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement, the Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.

For the year ended September 30, 2022, the Fund entered into reverse repurchase agreements:

Number of Days Outstanding		Balance at September 30, 2022		Average Balance Outstanding		Average Interest Rate
	365	$	672,053,602	$	156,250,784		1.77	%

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Consolidated Statement of Assets and Liabilities in conformity with U.S. GAAP:

							Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Consolidated Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Reverse repurchase agreements	$	672,053,602	$	—	$	672,053,602	$	(672,053,602	)	$	—	$	—

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

As of September 30, 2022, there was $672,053,602 in reverse repurchase agreements outstanding. The Fund had outstanding reverse repurchase agreements with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

Counterparty		Interest Rate(s)			Maturity Date		Face Value
Bank of Montreal			3.11	%*		Open Maturity	$	52,606,382
Bank of Montreal			(0.35	%)		10/03/2022		20,999,996
Barclays Capital, Inc.			3.00	%		10/03/2022		1,982,040
BMO Capital Markets Corp			3.27% - 3.30%	*		Open Maturity		87,452,302
BofA Securities, Inc.			3.23% - 3.30%	*		Open Maturity		246,298,666
Citigroup Global Markets, Inc.	3.09% (U.S Secured Overnight Financing Rate + 0.11%)**					Open Maturity		112,702,415
Credit Suisse Securities (USA) LLC			(1.25 - 3.40%	%)*		Open Maturity		27,528,257
Goldman Sachs & Co. LLC			3.20% - 3.40%	*		Open Maturity		50,290,765
J.P. Morgan Securities LLC			3.09	%		10/04/22		32,533,324
RBC Capital Markets LLC			3.25% - 3.30%	*		Open Maturity		39,659,455
							$	672,053,602

*	The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective as of September 30, 2022.
**	Variable rate. Rate indicated is the rate effective at September 30, 2022.

The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of period-end, aggregated by asset class of the related collateral pledged by the Fund:

	Overnight and Continuous		Up to 30 days		Total
Corporate Bonds	$	451,229,445	$	—	$	451,229,445
U.S. Government Securities		52,606,382		55,515,360		108,121,742
Collateralized Mortgage Obligations		112,702,415		—		112,702,415
Gross amount of recognized liabilities for reverse repurchase agreements	$	616,538,242	$	55,515,360	$	672,053,602

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Note 7 – Federal Income Tax Information

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

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

The Fund intends to invest up to 25% of its assets in the Subsidiary which is expected to provide the Fund with exposure to the commodities markets within the limitations of the U.S. federal income tax requirements under Subchapter M of the Internal Revenue Code. The Fund has received a private letter ruling from the IRS that concludes that the income the Fund receives from the Subsidiary will constitute qualifying income for purposes of Subchapter M of the Internal Revenue Code. The Subsidiary will be classified as a corporation for U.S. federal income tax purposes. A foreign corporation, such as the Subsidiary, will generally not be subject to U.S. federal income taxation unless it is deemed to be engaged in a U.S. trade or business. If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for U.S. federal income tax purposes and cannot be carried forward to reduce future income from the Subsidiary in subsequent years.

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	305,050,763	$	—	$	305,050,763

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	271,926,669	$	—	$	271,926,669

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses		Other Temporary Differences		Total
$	6,557,343	$	370,051	$	(1,196,735,483	)	$	—	$	57,329,076	$	(1,132,479,013	)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, the Fund had no capital loss carryforwards.

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in CLO securities, the “mark-to-market” of certain derivatives, investments in swaps, investments in bonds, foreign currency gains and losses, losses deferred due to wash sales, dividend payable, amortization, recharacterization of income from investments, and transactions with the Fund’s wholly owned foreign subsidiary. Additional differences may result from investments in partnerships, distribution reclass, the “mark-to-market” of certain foreign currency denominated securities, and the “mark-to-market” or disposition of certain Passive Foreign Investment Companies (PFICs). To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Consolidated Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences:

Paid In Capital			Total Distributable Earnings/(Loss)
$	(30,532,843	)	$	30,532,843

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

At September 30, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	8,321,849,963	$	—	$	(1,201,886,461	)	$	(1,201,886,461	)

Note 8 – Securities Transactions

For the year ended September 30, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	2,173,260,011	$	1,403,562,385

For the year ended September 30, 2022, the cost of purchases and proceeds from sales of government securities were as follows:

Purchases		Sales
$	367,221,813	$	268,067,613

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Loss
$	93,026,829	$	37,109,249	$	(162,868	)

130 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Note 9 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2022, were as follows:

Borrower	Maturity Date		Face Amount*		Value
Avalara, Inc.		08/12/28		1,600,000	$	19,553
Care BidCo		05/04/28		EUR 7,307,598		569,575
Confluent Health LLC		11/30/28		717,080		89,635
Dermatology Intermediate Holdings III, Inc.		04/02/29		888,409		44,420
Fontainbleau Vegas		09/30/25		26,500,000		—
Galls LLC		01/31/24		71,507		2,503
Higginbotham Insurance Agency, Inc.		11/25/26		5,230,899		129,726
Icebox Holdco		12/22/28		2,220,000		144,300
KKR Core Holding Company LLC		07/15/31		4,880,000		—
Lightning A		03/01/37		23,707,216		—
Lightning B		03/01/37		4,768,693		—
Medical Solutions Parent Holdings, Inc.		11/01/28		1,242,000		62,100
Polaris Newco LLC		06/04/26		2,682,803		417,928
RLDatix		10/21/24		GBP 6,610,398		29,665
RLDatix		04/27/26		912,001		18,696
Schur Flexibles GmbH		09/30/26		EUR 286,340		—
Service Logic Acquisition, Inc.		10/29/27		161,015		10,265
TGP Holdings LLC		06/29/28		19,659		4,263
The Facilities Group		11/30/27		2,644,784		65,642
Thunderbird A		03/01/37		23,343,294		—
Thunderbird B		03/01/37		4,695,490		—
Vertical (TK Elevator)		01/29/27		EUR 10,252,596		742,152
VT TopCo, Inc.		08/01/25		124,468		6,223
					$	2,356,646

*	The face amount is denominated in U.S. dollars unless otherwise indicated.
	EUR - Euro
	GBP - British Pound

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Note 10 – Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Restricted Securities	Acquisition Date		Cost		Value
Atlas Mara Ltd.
due 12/31/211		10/01/15	$	6,243,949	$	1,624,875
Copper River CLO Ltd.
2007-1A INC, due 01/20/212		05/09/14		—		3,423
FKRT
2.21% due 11/30/58		09/24/21		33,849,835		32,195,688
Mirabela Nickel Ltd.
due 06/24/191		12/31/13		1,710,483		94,271
Secured Tenant Site Contract Revenue Notes Series
2018-1A 4.70% due 06/15/48		05/25/18		6,561,151		6,470,334
			$	48,365,418	$	40,388,591

1	Security is in default of interest and/or principal obligations.
2	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.

Note 11 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through September 30, 2022, at which time the line of credit was renewed as a 364-day committed, $1,150,000,000 line of credit. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Consolidated Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.

Note 12 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (concluded)

broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

Note 13 – Subsequent Events

The Fund evaluated subsequent events through the date the consolidated financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s consolidated financial statements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 133

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Macro Opportunities Fund

Opinion on the Financial Statements

We have audited the accompanying consolidated statement of assets and liabilities of Guggenheim Macro Opportunities Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the consolidated schedule of investments, as of September 30, 2022, and the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the consolidated financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the consolidated results of its operations and its cash flows for the year then ended, the consolidated changes in its net assets for each of the two years in the period then ended and the consolidated financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded)

other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 29, 2022

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OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentages qualify as interest related dividends as permitted by IRC Section 871(k)(1). See qualified interest income column in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income
	3.35	%		3.00	%		88.04	%

With respect to the taxable year ended September 30, 2022, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:

From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
$	2,120,651	$	—

Guggenheim Partners Advisors, LLC

The Investment Adviser engaged Guggenheim Partners Advisors, LLC to provide investment sub-advisory services to the Fund, effective April 29, 2022. Guggenheim Partners Advisors, LLC assists the Investment Adviser in the supervision and direction of the investment strategy of the Fund in accordance with the Fund’s investment objectives, policies, and restrictions. The Investment Adviser, and not the Fund, compensates Guggenheim Partners Advisors, LLC for these services.

136 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

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OTHER INFORMATION (Unaudited)(continued)

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)   ● Guggenheim Core Bond Fund
(“Core Bond Fund”)   ● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)   ● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)   ● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)   ● Guggenheim Municipal Income Fund (“Municipal Income Fund”)   ● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)   ● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)   ● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)   ● Guggenheim World Equity Income Fund (“World Equity Income Fund”) ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)   ● Guggenheim Diversified Income Fund (“Diversified Income Fund”)   ● Guggenheim High Yield Fund
(“High Yield Fund”)   ● Guggenheim Limited Duration Fund (“Limited Duration Fund”)   ● Guggenheim Market Neutral
Real Estate Fund
(“Market Neutral Real Estate Fund”)   ● Guggenheim Risk Managed
Real Estate Fund
(“Risk Managed Real Estate Fund”)   ● Guggenheim SMid Cap Value Fund
(“SMid Cap Value Fund”)   ● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)   ● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)

138 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and

1

GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.

2

The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”

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OTHER INFORMATION (Unaudited)(continued)

direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.⁴ At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees,

3

Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.

4

On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting.

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expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund, Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”). Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate

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capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.⁵ As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.

⁵ Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements.

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With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors

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have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.

Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and

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three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.

In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In

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this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

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The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee

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considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreements

Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.

Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.

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Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Member, Board of Directors, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present); Vice Chairman, VettaFi (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and President of Mutual Funds Boards, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since August 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2012-present).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 159

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our

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legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third

THE GUGGENHEIM FUNDS ANNUAL REPORT | 161

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 163

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

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9.30.2022

Guggenheim Funds Annual Report

Guggenheim Floating Rate Strategies Fund

GuggenheimInvestments.com FR-ANN-0922x0923

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
FLOATING RATE STRATEGIES FUND	9
NOTES TO FINANCIAL STATEMENTS	49
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	68
OTHER INFORMATION	70
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	84
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	92
LIQUIDITY RISK MANAGEMENT PROGRAM	96

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2022

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim Floating Rate Strategies Fund (the “Fund”) for the annual fiscal period ended September 30, 2022.

The Investment Adviser is 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 Adviser.

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

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

Sincerely,

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.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2022

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

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.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2022

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.

Credit Suisse Leveraged Loan Index tracks the investable market of the U.S. dollar denominated leveraged loan market. It consists of issues rated “5B” or lower, meaning that the highest rated issues included in this index are Moody’s/S&P ratings of Baa1/BB+ or Ba1/BBB+. All loans are funded term loans with a tenor of at least one year and are made by issuers domiciled in developed countries.

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.

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.

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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

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 Fund’s costs in two ways:

Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the 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.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

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 Fund’s 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 Fund’s prospectus.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1			Fund Return			Beginning Account Value March 31, 2022		Ending Account Value September 30, 2022		Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class		1.02	%		(3.52	%)	$	1,000.00	$	964.80	$	5.02
C-Class		1.77	%		(3.84	%)		1,000.00		961.60		8.70
P-Class		1.02	%		(3.52	%)		1,000.00		964.80		5.02
Institutional Class		0.78	%		(3.40	%)		1,000.00		966.00		3.84
R6-Class		0.79	%		(3.40	%)		1,000.00		966.00		3.89
Table 2. Based on hypothetical 5% return (before expenses)
A-Class		1.02	%		5.00	%	$	1,000.00	$	1,019.95	$	5.16
C-Class		1.77	%		5.00	%		1,000.00		1,016.19		8.95
P-Class		1.02	%		5.00	%		1,000.00		1,019.95		5.16
Institutional Class		0.78	%		5.00	%		1,000.00		1,021.16		3.95
R6-Class		0.79	%		5.00	%		1,000.00		1,021.11		4.00

1	Annualized and excludes expenses of the underlying funds in which the Fund 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.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Floating Rate Strategies Fund (“Fund”). Guggenheim Partners Advisors, LLC, an affiliate of GPIM, serves as the Fund’s sub-adviser (“GPA” or the “Sub-Adviser”). The Fund is managed by a team of seasoned professionals at GPIM and GPA. This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of GPIM; and Thomas J. Hauser, Senior Managing Director and Portfolio Manager of GPIM. 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 -3.47%¹, underperforming the Credit Suisse Leveraged Loan Index, the Fund’s benchmark, which returned -2.62% for the same period.

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

Despite a strong finish to the fiscal year 2021, leveraged credit experienced a broad-based selloff throughout the 2022 year-to-date period on the back of geopolitical conflict, inflation pressures, and policy tightening in the form of rising interest rates. Performance has been negative across the leveraged credit sector for the Reporting Period. Leveraged loans, with their floating rate coupons, have been the outperformer, as the asset class has been insulated from the rate-driven portion of the selloff relative to high yield and investment grade bonds.

Looking at the technical environment for bank loans, supply and demand have remained largely in balance for the Reporting Period. Thus, while the loan market has traded off, the market has not seen significant forced selling. Retail fund outflows in recent quarters have been offset by resiliency in collateralized loan obligations (CLO) issuance, and, on the supply side, new issuance has declined materially amid the market volatility and declining bank risk tolerances, alleviating a supply-side technical overhang.

In terms of Fund performance, the primary driver of relative return for the Reporting Period was credit selection, primarily in avoiding of some of the worst-performing names in the benchmark. From a sector point of view, credit selection in the Consumer Non-Cyclicals sector was the strongest segment on a relative basis to the benchmark, whereas credit selection in the Consumer Cyclicals and Capital Goods sectors were slight detractors. By rating, the Fund had an up-in-quality bias for the period, underweight the CCC ratings segment and underweight defaulted issuers, which both also contributed to performance given investors’ flight to quality amid recession fears. The Fund’s small allocation to high yield bonds, which underperformed bank loans during the period due to their increased rate sensitivity, detracted from performance for the period.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2022

How did the Fund use derivatives during the Reporting Period?

The Fund used derivatives in the form of forward foreign currency exchange contracts to hedge currency exposure on foreign-denominated bonds. The hedges had a positive impact on performance for the period.

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

Bank loans continue to outperform other risk assets (high yield bonds, investment grade corporates, equities) in the year-to-date 2022 period given their floating rate coupons and seniority in the capital stack, but performance has not been completely insulated from credit risk concerns amid the rising probability of recession. Leveraged loan discount margins have widened 178 basis points over the previous two quarters, from 438 basis points on March 31 to 616 basis points on September 30, and, while we believe default and recession risks are elevated, we think current spreads offer opportunities to find credits that are trading cheap to their fundamentals and risk of default/loss. As new issuance has materially slowed year-to-date and without a large impetus to increase before year end, our focus remains on finding relative value opportunities in the secondary market.

The portfolio remains positioned up in quality, underweight the benchmark in both CCCs and in exposure to distressed issuers (names trading below 80). As we see volatility pick up, we remain well-positioned to take advantage of the discounted levels in the secondary market to add selectively using our bottom-up credit approach.

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 deduction of the sales charges or 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.

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

FLOATING RATE STRATEGIES FUND

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

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
Institutional Class	November 30, 2011
R6-Class	March 13, 2019

Ten Largest Holdings	(% of Total Net Assets)
SPDR Blackstone Senior Loan ETF	2.9%
Thevelia US LLC, 7.70%	0.9%
Wrench Group LLC, 7.67%	0.8%
Conair Holdings LLC, 7.42%	0.8%
Hunter Douglas, Inc., 6.34%	0.8%
STS Operating, Inc. (SunSource), 7.37%	0.8%
Del Monte Foods, Inc., 7.37%	0.8%
First Brands Group LLC, 7.94%	0.8%
Bombardier Recreational Products, Inc., 5.12%	0.8%
Xplornet Communications, Inc., 7.12%	0.8%
Top Ten Total	10.2%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2022

Cumulative Fund Performance*

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2022

Average Annual Returns*

Periods Ended September 30, 2022

	1 Year	5 Year	10 Year
A Class Shares	(3.47%)	1.86%	3.20%
A-Class Shares with sales charge‡	(6.38%)	1.25%	2.70%
C Class Shares	(4.15%)	1.11%	2.44%
C-Class Shares with CDSC§	(5.09%)	1.11%	2.44%
Institutional Class Shares	(3.20%)	2.11%	3.45%
Credit Suisse Leveraged Loan Index	(2.62%)	3.00%	3.70%

	1 Year	5 Year	Since Inception (05/01/15)
P Class Shares	(3.47%)	1.86%	2.36%
Credit Suisse Leveraged Loan Index	(2.62%)	3.00%	3.27%

	1 Year	Since Inception (03/13/19)
R6 Class Shares	(3.25%)	1.82%
Credit Suisse Leveraged Loan Index	(2.62%)	2.47%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Credit Suisse Leveraged Loan Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 3.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 3.00% maximum sales charge is used to calculated performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2022

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	0.0%**
BBB	6.2%
BB	29.8%
B	57.4%
CCC	1.1%
CC	0.5%
NR2	0.8%
Other Instruments	4.2%
Total Investments	100.0%

1	Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.
2	NR (not rated) securities do not necessarily indicate low credit quality.
**	Less than 0.1%.

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Shares		Value
COMMON STOCKS††† - 0.0%
Energy — 0.0%
Permian Production Partners LLC		401,481	$	329,214
Industrial — 0.0%
BP Holdco LLC*,1		244,278		148,128
Vector Phoenix Holdings, LP*		244,278		58,370
API Heat Transfer Parent LLC*		4,994,727		500
Total Industrial				206,998
Consumer, Non-cyclical — 0.0%
Targus Group International Equity, Inc.*,1		12,773		32,125
Total Common Stocks
(Cost $1,536,338)				568,337
PREFERRED STOCKS††† - 0.0%
Industrial — 0.0%
API Heat Transfer Intermediate*		618		—
Total Preferred Stocks
(Cost $493,920)				—
EXCHANGE-TRADED FUNDS† - 2.9%
SPDR Blackstone Senior Loan ETF		862,440		35,247,923
Total Exchange-Traded Funds
(Cost $38,956,747)				35,247,923
MONEY MARKET FUND† - 1.1%
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 2.45%2		13,591,356		13,591,356
Total Money Market Fund
(Cost $13,591,356)				13,591,356
	Face Amount~
SENIOR FLOATING RATE INTERESTS††,◊ - 91.0%
Industrial — 22.7%
Hunter Douglas, Inc.
6.34% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/26/29		11,800,000		9,658,300
STS Operating, Inc. (SunSource)
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24		10,058,017		9,576,037
American Bath Group LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/23/27		10,905,977		9,455,482
APi Group DE, Inc.
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/03/29		9,346,473		9,085,520
Mirion Technologies, Inc.
5.63% (6 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 10/20/28		9,428,750		9,000,496
TransDigm, Inc.
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25		4,923,535		4,709,558
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25		4,328,059		4,146,454

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Arcline FM Holdings LLC
7.00% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28†††		9,518,850	$	8,804,936
Pelican Products, Inc.
8.16% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28		9,199,043		8,371,129
Park River Holdings, Inc.
5.53% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27		9,860,864		8,328,288
Brown Group Holding LLC
5.62% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 06/07/28		8,742,946		8,291,198
Quikrete Holdings, Inc.
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/12/28		7,960,000		7,644,943
Beacon Roofing Supply, Inc.
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/19/28		7,900,000		7,603,750
Core & Main, LP
5.17% ((1 Month USD LIBOR + 2.50%) and (3 Month USD LIBOR + 2.50%), Rate Floor: 2.50%) due 07/27/28		7,623,000		7,270,436
BWAY Holding Co.
5.81% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24		7,634,138		7,095,015
Atlantic Aviation
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 09/22/28		7,394,125		7,044,457
Charter Next Generation, Inc.
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27		7,164,541		6,783,961
CPG International LLC
4.09% (6 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 04/28/29†††		7,000,000		6,737,500
PECF USS Intermediate Holding III Corp.
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28		7,886,151		6,709,774
Berry Global, Inc.
4.18% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26		6,911,938		6,683,567
Engineered Machinery Holdings, Inc.
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 05/19/28		6,947,500		6,669,600
LTI Holdings, Inc.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/08/25		6,920,029		6,387,187

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Aegion Corp.
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 05/17/28†††		6,964,818	$	6,355,396
Alliance Laundry Systems LLC
5.96% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/08/27		6,619,185		6,335,090
Titan Acquisition Ltd. (Husky)
5.88% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25		6,799,144		6,073,879
Cushman & Wakefield US Borrower LLC
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25		6,182,253		5,897,436
TricorBraun Holdings, Inc.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28		6,236,891		5,845,526
Icebox Holdco III, Inc.
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/28		5,977,107		5,588,595
Ring Container Technologies Group LLC
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 08/14/28		5,229,281		5,028,843
USIC Holding, Inc.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 05/12/28		5,303,944		4,956,960
Standard Industries, Inc.
6.68% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 09/22/28		5,062,000		4,902,243
Gardner Denver, Inc.
4.88% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 03/01/27		4,911,839		4,757,312
Reynolds Group Holdings, Inc.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/05/26		4,868,287		4,648,338
Duran Group Holding GMBH
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/29/24†††		EUR 3,791,039		3,550,412
4.04% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 12/20/24†††		EUR 736,721		689,960
Pro Mach Group, Inc.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28		4,368,229		4,156,850

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Filtration Group Corp.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 10/23/28		2,871,000	$	2,719,067
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25		1,339,058		1,283,406
US Farathane LLC
7.92% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/23/24		4,212,926		3,665,246
DG Investment Intermediate Holdings 2, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/28		3,851,378		3,581,781
Hillman Group, Inc.
5.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/14/28		3,663,174		3,491,004
Berlin Packaging LLC
6.38% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.25%) due 03/13/28		3,415,500		3,219,109
Osmose Utility Services, Inc.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 06/23/28		3,505,266		3,207,319
Savage Enterprises LLC
6.34% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 09/15/28		2,850,252		2,759,756
Ravago Holdings America, Inc.
6.18% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/06/28		2,807,250		2,687,942
Mileage Plus Holdings LLC
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		2,660,000		2,666,171
API Heat Transfer
12.00% (3 Month USD LIBOR) (in-kind rate was 12.00%) due 01/01/24†††,3		3,646,208		1,823,104
12.00% (3 Month USD LIBOR) (in-kind rate was 12.00%) due 10/02/23†††,3		650,522		552,944
United Airlines, Inc.
6.53% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28		2,338,064		2,227,334
Air Canada
6.42% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28		2,200,000		2,088,042
TK Elevator Midco GmbH
6.87% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27		1,866,998		1,786,101

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Protective Industrial Products, Inc.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27†††		1,836,888	$	1,726,675
Sundyne (Star US Bidco)
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/17/27		1,476,514		1,393,461
TAMKO Building Products, Inc.
6.08% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/29/26		1,178,734		1,110,462
YAK MAT (YAK ACCESS LLC)
13.64% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26†††		2,550,000		765,000
Griffon Corporation
5.49% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 01/24/29		403,000		386,546
Total Industrial				277,984,898
Consumer, Non-cyclical — 18.0%
Osmosis Holdings Australia II Pty Ltd.
6.35% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 07/30/28		5,985,000		5,547,377
4.50% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 07/31/28		5,092,593		4,726,588
Del Monte Foods, Inc.
7.37% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/16/29		10,000,000		9,558,300
Bombardier Recreational Products, Inc.
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27		9,953,254		9,505,358
Elanco Animal Health, Inc.
4.31% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27		9,523,234		9,041,168
Electron BidCo, Inc.
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.76%) due 11/01/28		9,452,500		8,941,025
VC GB Holdings I Corp.
6.38% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/21/28		9,875,375		8,597,798
Grifols Worldwide Operations USA, Inc.
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 11/15/27		8,730,304		8,270,741

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Medical Solutions Parent Holdings, Inc.
6.38% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/01/28		7,977,077	$	7,578,223
Hayward Industries, Inc.
5.62% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 05/30/28		7,702,500		7,249,978
Triton Water Holdings, Inc.
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 03/31/28		7,900,008		7,071,614
Kronos Acquisition Holdings, Inc.
6.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		7,319,625		6,762,528
Aramark Services, Inc.
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/11/25		6,900,000		6,658,500
Medline Borrower LP
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28		7,182,000		6,591,711
National Mentor Holdings, Inc.
7.18% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28		8,821,700		6,252,380
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28		276,228		195,777
Perrigo Investments LLC
5.63% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 04/20/29		6,483,750		6,370,284
Quirch Foods Holdings LLC
7.93% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/27/27†††		6,685,975		6,243,029
Mission Veterinary Partners
7.25% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28		6,442,462		6,047,862
HAH Group Holding Co. LLC
8.71% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27†††		6,268,500		5,955,075
Recess Holdings, Inc.
6.55% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24		5,521,178		5,323,355

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Weber-Stephen Products LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27		6,459,973	$	5,218,431
Froneri US, Inc.
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27		5,489,772		5,169,993
Chefs’ Warehouse, Inc.
7.93% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/23/29		4,850,000		4,813,625
US Foods, Inc.
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/14/26		4,961,637		4,807,628
Phoenix Newco, Inc.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 11/15/28		4,987,500		4,750,594
DaVita, Inc.
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/12/26		4,899,244		4,649,040
Southern Veterinary Partners LLC
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27		4,735,360		4,468,996
KDC US Holdings, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25		4,486,698		4,224,989
Dermatology Intermediate Holdings III, Inc.
6.85% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29†††		4,403,766		4,183,578
7.12% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29		130,381		123,862
Cidron New Bidco Ltd.
3.69% (1 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 04/16/25		EUR 4,125,000		3,793,601
Resonetics LLC
6.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/28/28		3,581,910		3,393,859
CHG PPC Parent LLC
6.13% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 12/08/28†††		3,034,750		2,898,186
Icon Luxembourg SARL
5.94% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 07/03/28		2,833,056		2,765,062

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Energizer Holdings, Inc.
5.31% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27		2,807,250	$	2,677,415
Agiliti
5.38% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/04/26		2,672,308		2,578,777
Sigma Holding BV (Flora Food)
3.74% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25		EUR 3,000,000		2,346,545
Pearl Intermediate Parent LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25		2,523,980		2,325,216
Blue Ribbon LLC
8.56% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28		2,728,205		2,322,385
TGP Holdings LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/29/28		2,958,397		2,316,809
Arctic Glacier Group Holdings, Inc.
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/24		2,272,564		1,998,152
Cambrex Corp.
6.63% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/04/26		1,831,477		1,750,782
Avantor Funding, Inc.
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 11/08/27		1,728,461		1,679,044
Endo Luxembourg Finance Company I SARL
12.25% (Commercial Prime Lending Rate + 6.00%, Rate Floor: 7.75%) due 03/27/28		1,896,000		1,596,432
Aveanna Healthcare LLC
6.80% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/17/28		1,106,965		880,038
Upstream Newco, Inc.
8.06% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 11/20/26		740,625		685,078
Total Consumer, Non-cyclical				220,906,788
Consumer, Cyclical — 15.2%
Thevelia US LLC
7.70% (3 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 06/18/29		11,770,500		11,123,123

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
First Brands Group LLC
7.94% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 03/30/27		9,959,869	$	9,551,515
Fertitta Entertainment LLC
7.03% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/27/29		9,452,500		8,753,393
Packers Holdings LLC
6.01% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28		8,991,979		8,233,325
AlixPartners, LLP
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28		8,125,342		7,788,709
Truck Hero, Inc.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 01/31/28		8,935,588		7,766,545
Stars Group (Amaya)
5.89% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26		7,583,263		7,285,620
WIRB - Copernicus Group, Inc.
7.46% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 01/08/27		7,370,058		6,915,546
Congruex Group LLC
8.48% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 05/03/29†††		6,982,500		6,773,025
Power Solutions (Panther)
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26		6,867,314		6,481,028
IBC Capital Ltd.
6.69% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23		7,071,805		6,473,672
American Tire Distributors, Inc.
9.03% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.00%) due 10/20/28		6,965,000		6,462,545
Alterra Mountain Co.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/17/28		6,623,710		6,408,439
Mavis Tire Express Services TopCo Corp.
7.25% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 05/04/28		6,842,853		6,402,378
Eagle Parent Corp.
7.80% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29		6,343,125		6,158,096
PetSmart LLC
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28		6,286,500		5,935,525

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Galaxy US Opco, Inc.
7.78% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 04/30/29†††		6,000,000	$	5,625,000
Scientific Games Holdings, LP
5.62% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/04/29		5,950,000		5,497,562
1011778 BC Unlimited Liability Co.
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/19/26		5,748,037		5,484,260
Entain Holdings (Gibraltar) Ltd.
6.17% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.99%) due 03/29/27		5,200,999		5,051,470
Zephyr Bidco Ltd.
6.44% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 07/23/25		GBP 5,265,000		4,821,267
Penn National Gaming, Inc.
5.88% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 05/03/29		4,788,000		4,595,139
Burlington Stores, Inc.
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/26/28		4,690,625		4,444,367
PCI Gaming Authority, Inc.
5.62% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/29/26		4,257,140		4,129,425
CNT Holdings I Corp.
6.25% (1 Month Term SOFR + 3.50%, Rate Floor: 4.25%) due 11/08/27		3,743,000		3,559,181
EG Finco Ltd.
5.19% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25		EUR 3,298,434		2,833,556
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25		765,600		712,490
Rent-A-Center, Inc.
6.06% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28		3,251,723		2,942,809
Michaels Stores, Inc.
7.92% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 04/14/28		3,236,273		2,595,491
TTF Holdings Intermediate LLC
7.13% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 03/31/28		2,661,120		2,581,287
Peloton Interactive, Inc.
8.35% (6 Month Term SOFR + 6.50%, Rate Floor: 6.50%) due 05/25/27		2,493,750		2,428,289

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Seren BidCo AB
6.57% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/16/28		2,183,500	$	2,060,678
BCPE Empire Holdings, Inc.
7.76% (1 Month Term SOFR + 4.63%, Rate Floor: 4.63%) due 06/11/26		2,039,750		1,942,862
Alexander Mann
7.19% (3 Month GBP SONIA + 5.00%, Rate Floor: 5.00%) due 06/16/25		GBP 1,540,000		1,633,779
American Trailer World Corp.
6.88% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/03/28		1,580,000		1,429,236
WW International, Inc.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28		1,653,750		1,150,398
Sweetwater Sound
7.38% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 08/07/28†††		1,233,977		1,122,919
SHO Holding I Corp.
8.06% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/26/24		558,656		474,858
8.04% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24		9,357		7,954
New Trojan Parent, Inc.
6.04% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28†††		207,704		163,048
Total Consumer, Cyclical				185,799,809
Technology — 12.0%
Wrench Group LLC
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26		10,454,192		10,101,363
Conair Holdings LLC
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28		12,037,908		10,081,748
Polaris Newco LLC
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28		10,288,888		9,471,539
Informatica LLC
5.88% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/27/28		9,452,500		9,151,249

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Ascend Learning LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/11/28		9,031,750	$	8,318,242
Misys Ltd.
6.87% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24		9,244,553		7,987,294
Emerald TopCo, Inc. (Press Ganey)
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26		8,528,771		7,739,859
Athenahealth Group, Inc.
6.58% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/15/29		8,333,173		7,449,856
WEX, Inc.
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/31/28		7,683,000		7,440,524
Peraton Corp.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		7,494,516		7,089,812
RealPage, Inc.
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 04/24/28		7,046,750		6,590,684
CoreLogic, Inc.
6.63% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 06/02/28		8,631,113		6,451,757
Entegris, Inc.
5.68% ((1 Month Term SOFR + 3.00%) and (6 Month Term SOFR + 3.00%), Rate Floor: 3.00%) due 07/06/29		6,500,000		6,442,215
Atlas CC Acquisition Corp.
7.32% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28		6,821,803		5,965,667
Boxer Parent Company, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25		6,048,145		5,718,400
Sabre GLBL, Inc.
8.13% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 06/30/28		3,396,875		3,137,863
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/17/27		1,382,500		1,234,462
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24		1,089,598		1,072,579
Verscend Holding Corp.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/27/25		4,334,753		4,193,874

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
CCC Intelligent Solutions, Inc.
4.37% (1 Month USD LIBOR + 1.25%, Rate Floor: 2.26%) due 09/21/28		3,970,000	$	3,831,050
Taxware Holdings (Sovos Compliance LLC)
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28		3,775,697		3,592,576
Epicor Software
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 07/30/27		3,702,771		3,460,943
Park Place Technologies, LLC
8.13% (1 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 11/10/27		3,638,048		3,444,030
Project Ruby Ultimate Parent Corp.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28		3,447,500		3,208,761
CDK Global, Inc.
6.61% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 07/06/29		3,000,000		2,884,440
Imprivata, Inc.
7.28% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/01/27		650,000		627,048
Ep Purchaser LLC
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/06/28		247,581		240,896
Total Technology				146,928,731
Financial — 9.4%
Teneo Holdings LLC
8.38% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/11/25		9,793,988		9,222,705
AqGen Island Holdings, Inc.
7.19% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/02/28		9,186,711		8,336,940
FleetCor Technologies Operating Company LLC
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/28/28		8,513,870		8,189,832
Aretec Group, Inc.
7.38% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 10/01/25		7,555,625		7,398,241
NFP Corp.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27		7,687,367		7,206,907
Jane Street Group LLC
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28		7,270,500		6,963,031

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Alliant Holdings Intermediate LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25		7,188,198	$	6,877,093
AmWINS Group, Inc.
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28		6,907,427		6,595,004
Focus Financial Partners LLC
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24		6,671,670		6,497,472
HarbourVest Partners, LP
4.76% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/03/25		6,154,741		5,927,816
Duff & Phelps
6.78% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27		4,935,656		4,647,759
Nexus Buyer LLC
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26		4,636,914		4,442,766
Citadel Securities, LP
5.65% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28		4,443,750		4,309,327
Franchise Group, Inc.
7.56% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26		3,955,564		3,685,280
Trans Union LLC
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28		3,712,911		3,589,940
Virtu Financial
6.12% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 01/13/29		3,600,000		3,441,384
Ryan Specialty Group LLC
6.13% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 09/01/27†††		3,528,000		3,404,520
Apex Group Treasury LLC
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/27/28†††		3,465,000		3,291,750
Cobham Ultra SeniorCo SARL
7.06% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 08/03/29		3,300,000		3,151,500
HighTower Holding LLC
6.73% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28		2,679,750		2,477,107
HUB International Ltd.
5.98% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25		2,128,338		2,047,205

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Blackstone Mortgage Trust, Inc.
6.53% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 05/09/29		1,845,375	$	1,762,333
Zodiac Pool Solutions LLC
5.13% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 01/29/29		1,687,250		1,630,609
Total Financial				115,096,521
Communications — 9.1%
Xplornet Communications, Inc.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28		10,832,436		9,502,755
Zayo Group Holdings, Inc.
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27		6,648,468		5,535,714
7.28% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/09/27		3,980,000		3,447,675
Titan AcquisitionCo New Zealand Ltd. (Trade Me)
4.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/18/28		9,452,500		8,916,827
UPC Broadband Holding BV
5.74% (1 Month USD LIBOR + 2.93%, Rate Floor: 2.93%) due 01/31/29		9,300,000		8,858,250
McGraw Hill LLC
8.32% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28		8,616,970		7,927,612
Virgin Media Bristol LLC
5.32% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28		7,916,233		7,542,428
WMG Acquisition Corp.
5.24% (1 Month USD LIBOR + 2.13%, Rate Floor: 2.13%) due 01/20/28		7,000,000		6,772,500
CSC Holdings LLC
5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/17/25		6,779,964		6,445,237
Ziggo Financing Partnership
5.32% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28		6,685,000		6,370,805
SBA Senior Finance II LLC
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/11/25		6,484,106		6,297,688
Playtika Holding Corp.
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28		6,482,844		6,197,015

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Authentic Brands
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24		5,353,601	$	5,218,422
Cengage Learning Acquisitions, Inc.
7.81% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26		5,132,198		4,634,221
SFR Group S.A.
6.20% (3 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 02/02/26		3,336,102		3,019,173
5.56% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/25		1,632,364		1,485,451
Radiate Holdco LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26		4,651,351		4,292,639
Telenet Financing USD LLC
4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28		4,000,000		3,785,000
Level 3 Financing, Inc.
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27		2,588,000		2,454,149
Recorded Books, Inc.
7.08% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 08/29/25		2,200,000		2,112,000
Cincinnati Bell, Inc.
6.38% (1 Month Term SOFR + 3.35%, Rate Floor: 3.35%) due 11/22/28		992,500		949,902
Total Communications				111,765,463
Basic Materials — 3.7%
Messer Industries USA, Inc.
6.17% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/02/26		9,353,371		8,926,670
Illuminate Buyer LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27		7,640,935		6,905,495
CTEC III GmbH
4.33% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/16/29		EUR 7,500,000		6,455,528
Diamond BC BV
5.56% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 09/29/28		5,260,250		4,836,800
Ascend Performance Materials Operations LLC
8.42% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26		3,385,851		3,308,823

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Asplundh Tree Expert LLC
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 09/07/27		3,242,614	$	3,154,610
NIC Acquisition Corp.
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27		3,998,160		3,101,892
INEOS Ltd.
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 01/29/26		2,567,500		2,388,853
GrafTech Finance, Inc.
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25		1,921,721		1,792,005
W.R. Grace Holdings LLC
7.44% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 09/22/28		1,736,875		1,621,807
DCG Acquisition Corp.
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26		1,695,766		1,578,470
Trinseo Materials Operating S.C.A.
5.62% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28		1,580,000		1,445,210
Total Basic Materials				45,516,163
Energy — 0.7%
TransMontaigne Operating Company LP
6.52% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/17/28		3,870,750		3,660,298
AL GCX Holdings LLC
5.92% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 05/17/29		3,700,000		3,642,650
Permian Production Partners LLC
11.12% (1 Month USD LIBOR + 6.00%, Rate Floor: 9.12%) (in-kind rate was 2.00%) due 11/24/25†††,3		806,698		804,681
Total Energy				8,107,629
Utilities — 0.3%
Granite Generation LLC
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/09/26		3,486,157		3,329,280
Total Senior Floating Rate Interests
(Cost $1,199,226,571)				1,115,435,282
CORPORATE BONDS†† - 3.7%
Consumer, Non-cyclical — 1.7%
Nathan’s Famous, Inc.
6.63% due 11/01/254		3,135,000		3,103,650
Sotheby’s
7.38% due 10/15/274		2,875,000		2,640,659
CPI CG, Inc.
8.63% due 03/15/264		2,689,000		2,499,587

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
5.00% due 02/01/264		2,875,000	$	2,461,949
Cheplapharm Arzneimittel GmbH
5.50% due 01/15/284		2,975,000		2,454,375
ADT Security Corp.
4.13% due 08/01/294		2,875,000		2,386,250
Tenet Healthcare Corp.
4.38% due 01/15/304		2,800,000		2,337,160
WW International, Inc.
4.50% due 04/15/294		2,875,000		1,502,435
HCA, Inc.
4.50% due 02/15/27		1,500,000		1,400,266
Total Consumer, Non-cyclical				20,786,331
Communications — 0.7%
VZ Secured Financing BV
5.00% due 01/15/324		3,500,000		2,614,836
LCPR Senior Secured Financing DAC
6.75% due 10/15/274		2,875,000		2,386,250
Altice France S.A.
5.50% due 10/15/294		2,850,000		2,144,294
McGraw-Hill Education, Inc.
5.75% due 08/01/284		1,575,000		1,315,150
Total Communications				8,460,530
Energy — 0.3%
Sabine Pass Liquefaction LLC
5.63% due 04/15/23		4,200,000		4,202,220
Consumer, Cyclical — 0.3%
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.
4.63% due 01/15/294		5,000,000		4,137,500
Industrial — 0.3%
New Enterprise Stone & Lime Company, Inc.
5.25% due 07/15/284		2,875,000		2,376,259
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/264		1,412,000		1,274,330
Total Industrial				3,650,589
Basic Materials — 0.2%
WR Grace Holdings LLC
4.88% due 06/15/274		1,975,000		1,697,769
Mirabela Nickel Ltd.
due 06/24/195,6		1,279,819		63,991
Total Basic Materials				1,761,760
Financial — 0.1%
Hunt Companies, Inc.
5.25% due 04/15/294		1,850,000		1,416,601
Lincoln Financing SARL
3.88% (3 Month EURIBOR + 3.88%, Rate Floor: 3.88%) due 04/01/24◊,4		EUR 350,000		334,323
Total Financial				1,750,924
Total Corporate Bonds
(Cost $53,661,861)				44,749,854
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 0.8%
Residential Mortgage-Backed Securities — 0.8%
RALI Series Trust
2006-QO6, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/46◊		10,477,997		2,484,583

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
2006-QO2, 3.52% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46◊		416,751	$	91,316
Washington Mutual Mortgage Pass-Through Certificates Trust
2007-OA6, 1.91% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/47◊		2,403,359		1,968,320
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 1.94% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊		1,624,351		1,315,909
American Home Mortgage Assets Trust
2006-4, 3.29% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 10/25/46◊		2,312,072		1,278,351
Lehman XS Trust Series
2006-16N, 3.46% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 11/25/46◊		1,338,509		1,156,587
Nomura Resecuritization Trust
2015-4R, 2.20% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,4		753,971		670,320
Alliance Bancorp Trust
2007-OA1, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 07/25/37◊		381,105		320,572
Morgan Stanley Re-REMIC Trust
2010-R5, 2.40% due 06/26/364		293,838		263,313
New Century Home Equity Loan Trust
2004-4, 3.88% (1 Month USD LIBOR + 0.80%, Rate Cap/Floor: 12.50%/0.80%) due 02/25/35◊		156,837		149,358
GSAA Home Equity Trust
2007-7, 3.62% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/37◊		132,112		127,230
Total Residential Mortgage-Backed Securities				9,825,859
Total Collateralized Mortgage Obligations
(Cost $12,773,455)				9,825,859
ASSET-BACKED SECURITIES†† - 0.1%
Collateralized Loan Obligations — 0.1%
Octagon Loan Funding Ltd.
2014-1A SUB, due 11/18/314,7		2,071,948		645,826
Treman Park CLO Ltd.
2015-1A COM, due 10/20/284,7		977,702		121,558
Avery Point II CLO Ltd.
2013-3X COM , due 01/18/257		1,361,673		34,654

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
OHA Credit Partners IX Ltd.
2013-9A ACOM, due 10/20/254,7		1,808,219	$	1,989
Total Collateralized Loan Obligations				804,027
Total Asset-Backed Securities
(Cost $389,515)				804,027
Total Investments — 99.5%
(Cost $1,320,629,763)			$	1,220,222,638
Other Assets & Liabilities, net — 0.5%				5,530,968
Total Net Assets — 100.0%			$	1,225,753,606

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Bank of America, N.A.

EUR

Sell

21,930,000

21,962,676 USD

10/17/22

$

448,999

Morgan Stanley Capital Services LLC

GBP

Sell

6,137,000

7,073,764 USD

10/17/22

218,143

JPMorgan Chase Bank, N.A.

GBP

Buy

127,000

137,627 USD

10/17/22

4,244

Citibank, N.A.

GBP

Buy

69,000

77,048 USD

10/17/22

32

JPMorgan Chase Bank, N.A.

EUR

Buy

1,053,000

1,043,835 USD

10/17/22

(10,825

)

$

660,593

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of September 30, 2022.
3	Payment-in-kind security.
4	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $40,786,383 (cost $48,146,779), or 3.3% of total net assets.
5	Security is in default of interest and/or principal obligations.
6	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $63,991 (cost $1,160,811), or less than 0.01% of total net assets — See Note 9.
7	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
	CMT — Constant Maturity Treasury
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	LIBOR — London Interbank Offered Rate
	REMIC — Real Estate Mortgage Investment Conduit
	SARL — Société à Responsabilité Limitée
	SOFR — Secured Overnight Financing Rate
	SONIA — Sterling Overnight Index Average
	See Sector Classification in Other Information section.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

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	$	—	$	—	$	568,337		$	568,337
Preferred Stocks		—		—		—	*		—
Exchange-Traded Funds		35,247,923		—		—			35,247,923
Money Market Fund		13,591,356		—		—			13,591,356
Senior Floating Rate Interests		—		1,043,964,544		71,470,738			1,115,435,282
Corporate Bonds		—		44,749,854		—			44,749,854
Collateralized Mortgage Obligations		—		9,825,859		—			9,825,859
Asset-Backed Securities		—		804,027		—			804,027
Forward Foreign Currency Exchange Contracts**		—		671,418		—			671,418
Total Assets	$	48,839,279	$	1,100,015,702	$	72,039,075		$	1,220,894,056

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Forward Foreign Currency Exchange Contracts**	$	—	$	10,825	$	—	$	10,825
Unfunded Loan Commitments (Note 8)		—		—		542,584		542,584
Total Liabilities	$	—	$	10,825	$	542,584	$	553,409

*	Security has a market value of $0.
**	This derivative is reported as unrealized appreciation/depreciation at period end.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
FLOATING RATE STRATEGIES FUND

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

Category	Ending Balance at September 30, 2022		Valuation Technique	Unobservable Inputs		Input Range		Weighted Average*
Assets:
Common Stocks	$	567,837	Enterprise Value	Valuation Multiple	2.6x-12.3x		4.2x
Common Stocks		500	Model Price	Liquidation Value	—		—
Senior Floating Rate Interests		2,376,048	Model Price	Purchase Price	—		—
Senior Floating Rate Interests		64,854,318	Third Party Pricing	Broker Quote	—		—
Senior Floating Rate Interests		4,240,372	Yield Analysis	Yield	7.5%		—
Total Assets	$	72,039,075
Liabilities:
Unfunded Loan Commitments	$	542,584	Model Price	Purchase price	—		—

* Inputs are weighted by the fair value of the instruments.

Significant changes in a quote, yield, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $8,409,892 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $1,992,028 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
FLOATING RATE STRATEGIES FUND

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2022:

	Assets												Liabilities
	Asset-Backed Securities			Senior Floating Rate Interests			Common Stocks			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	90		$	14,390,405		$	785,225		$	15,175,720		$	(7,155	)
Purchases/(Receipts)		—			59,763,080			—			59,763,080			(78,932	)
(Sales, maturities and paydowns)/Fundings		—			(6,930,777	)		(1,316	)		(6,932,093	)		93,369
Amortization of premiums/discounts		—			500,315			—			500,315			15,524
Total realized gains (losses) included in earnings		(723,185	)		(4,664	)		(10,513	)		(738,362	)		(77,967	)
Total change in unrealized appreciation (depreciation) included in earnings		723,095			(2,665,485	)		(205,059	)		(2,147,449	)		(487,423	)
Transfers into Level 3		—			8,409,892			—			8,409,892			—
Transfers out of Level 3		—			(1,992,028	)		—			(1,992,028	)		—
Ending Balance	$	—		$	71,470,738		$	568,337		$	72,039,075		$	(542,584	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022	$	—		$	(2,597,675	)	$	(212,050	)	$	(2,809,725	)	$	(478,027	)

Affiliated Transactions

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

Transactions during the year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/21		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 09/30/22		Shares 09/30/22
Common Stocks
BP Holdco LLC*	$	172,216	$	—	$	—	$	—	$	(24,088	)	$	148,128		244,278
Targus Group International Equity, Inc.*		31,108		—		—		—		1,017			32,125		12,773
	$	203,324	$	—	$	—	$	—	$	(23,071	)	$	180,253

* Non-income producing security.

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

STATEMENT OF ASSETS AND LIABILITIES

FLOATING RATE STRATEGIES FUND

September 30, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $1,320,538,482)	$	1,220,042,385
Investments in affiliated issuers, at value (cost $91,281)		180,253
Foreign currency, at value (cost 112,250)		113,094
Cash		6,314,009
Unrealized appreciation on forward foreign currency exchange contracts		671,418
Prepaid expenses		87,520
Receivables:
Securities sold		14,143,868
Interest		4,530,364
Fund shares sold		1,117,696
Other assets		7,850
Total assets		1,247,208,457
Liabilities:
Unfunded loan commitments, at value (Note 8) (commitment fees received $63,798)		542,584
Segregated cash due to broker		1,015,000
Unrealized depreciation on forward foreign currency exchange contracts		10,825
Payable for:
Securities purchased		12,949,895
Fund shares redeemed		5,414,296
Management fees		608,816
Distributions to shareholders		577,562
Distribution and service fees		81,531
Transfer agent/maintenance fees		58,367
Fund accounting/administration fees		13,670
Trustees’ fees*		8,442
Due to Investment Adviser		1,522
Miscellaneous		172,341
Total liabilities		21,454,851
Net assets	$	1,225,753,606
Net assets consist of:
Paid in capital	$	1,481,526,713
Total distributable earnings (loss)		(255,773,107	)
Net assets	$	1,225,753,606
A-Class:
Net assets	$	154,159,924
Capital shares outstanding		6,597,796
Net asset value per share	$	23.37
Maximum offering price per share (Net asset value divided by 97.00%)	$	24.09
C-Class:
Net assets	$	47,182,768
Capital shares outstanding		2,020,135
Net asset value per share	$	23.36
P-Class:
Net assets	$	43,603,241
Capital shares outstanding		1,865,344
Net asset value per share	$	23.38
Institutional Class:
Net assets	$	979,085,690
Capital shares outstanding		41,866,084
Net asset value per share	$	23.39
R6-Class:
Net assets	$	1,721,983
Capital shares outstanding		73,638
Net asset value per share	$	23.38

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

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

STATEMENT OF OPERATIONS

FLOATING RATE STRATEGIES FUND

Year Ended September 30, 2022

Investment Income:
Dividends from securities of unaffiliated issuers	$	2,119,744
Interest from securities of unaffiliated issuers		53,783,988
Total investment income		55,903,732
Expenses:
Management fees		7,873,587
Distribution and service fees:
A-Class		374,104
C-Class		516,181
P-Class		107,299
Transfer agent/maintenance fees:
A-Class		111,254
C-Class		56,248
P-Class		38,600
Institutional Class		710,995
R6-Class		707
Fund accounting/administration fees		720,264
Line of credit fees		270,762
Professional fees		82,493
Custodian fees		31,144
Trustees’ fees*		7,292
Interest expense		3,293
Miscellaneous		165,048
Recoupment of previously waived fees:
A-Class		42,546
C-Class		20,226
P-Class		17,700
Institutional Class		367,408
R6-Class		1,043
Total expenses		11,518,194
Less:
Expenses reimbursed by Adviser:
A-Class		(124,403	)
C-Class		(66,674	)
P-Class		(47,678	)
Institutional Class		(780,679	)
R6-Class		(793	)
Expenses waived by Adviser		(22,121	)
Earnings credits applied		(831	)
Total waived/reimbursed expenses		(1,043,179	)
Net expenses		10,475,015
Net investment income		45,428,717
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(6,404,668	)
Forward foreign currency exchange contracts		5,456,723
Foreign currency transactions		234,478
Net realized loss		(713,467	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(93,536,497	)
Investments in affiliated issuers		(23,071	)
Forward foreign currency exchange contracts		(88,011	)
Foreign currency translations		1,994
Net change in unrealized appreciation (depreciation)		(93,645,585	)
Net realized and unrealized loss		(94,359,052	)
Net decrease in net assets resulting from operations	$	(48,930,335	)

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

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

STATEMENTS OF CHANGES IN NET ASSETS

FLOATING RATE STRATEGIES FUND

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	45,428,717		$	27,738,320
Net realized (loss) on investments		(713,467	)		(13,132,511	)
Net change in unrealized appreciation (depreciation) on investments		(93,645,585	)		44,500,462
Net increase (decrease) in net assets resulting from operations		(48,930,335	)		59,106,271
Distributions:
Distributions to shareholders:
A-Class		(5,383,798	)		(3,412,072	)
C-Class		(1,451,264	)		(1,100,775	)
P-Class		(1,548,137	)		(813,511	)
Institutional Class		(37,281,786	)		(14,371,249	)
R6-Class		(115,580	)		(41,286	)
Return of capital
A-Class		—			(1,376,939	)
C-Class		—			(423,452	)
P-Class		—			(329,918	)
Institutional Class		—			(6,123,159	)
R6-Class		—			(15,347	)
Total distributions to shareholders		(45,780,565	)		(28,007,708	)
Capital share transactions:
Proceeds from sale of shares
A-Class		86,259,585			42,886,643
C-Class		18,060,964			11,618,216
P-Class		22,630,959			11,762,196
Institutional Class		926,922,817			417,183,606
R6-Class		21,224,287			425,184
Distributions reinvested
A-Class		4,723,427			3,444,538
C-Class		1,239,205			1,263,416
P-Class		1,548,137			1,140,824
Institutional Class		31,534,585			16,416,134
R6-Class		113,860			56,275
Cost of shares redeemed
A-Class		(49,092,897	)		(68,575,988	)
C-Class		(20,703,994	)		(26,924,208	)
P-Class		(12,692,806	)		(12,084,110	)
Institutional Class		(614,692,477	)		(247,889,580	)
R6-Class		(20,581,634	)		(924,217	)
Net increase from capital share transactions		396,494,018			149,798,929
Net increase in net assets		301,783,118			180,897,492
Net assets:
Beginning of year		923,970,488			743,072,996
End of year	$	1,225,753,606		$	923,970,488

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

FLOATING RATE STRATEGIES FUND

	Year Ended September 30, 2022			Year Ended September 30, 2021
Capital share activity:
Shares sold
A-Class		3,504,723			1,722,444
C-Class		730,311			466,982
P-Class		908,598			472,737
Institutional Class		37,486,066			16,736,374
R6-Class		844,995			17,355
Shares issued from reinvestment of distributions
A-Class		194,916			138,927
C-Class		51,183			51,013
P-Class		64,407			45,989
Institutional Class		1,301,654			660,993
R6-Class		4,639			2,270
Shares redeemed
A-Class		(2,019,443	)		(2,751,886	)
C-Class		(846,761	)		(1,086,812	)
P-Class		(519,050	)		(487,616	)
Institutional Class		(25,255,077	)		(9,995,214	)
R6-Class		(826,042	)		(37,009	)
Net increase in shares		15,625,119			5,956,547

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

FINANCIAL HIGHLIGHTS

FLOATING RATE STRATEGIES FUND

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

A-Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018
Per Share Data
Net asset value, beginning of period	$	25.09		$	24.08		$	25.23		$	25.92		$	26.01
Income (loss) from investment operations:
Net investment income (loss)a		.87			.83			1.02			1.17			1.04
Net gain (loss) on investments (realized and unrealized)		(1.72	)		1.02			(1.16	)		(.67	)		(.07	)
Total from investment operations		(.85	)		1.85			(.14	)		.50			.97
Less distributions from:
Net investment income		(.87	)		(.83	)		(.83	)		(1.19	)		(1.06	)
Return of capital		—			(.01	)		(.18	)		—			—
Total distributions		(.87	)		(.84	)		(1.01	)		(1.19	)		(1.06	)
Net asset value, end of period	$	23.37		$	25.09		$	24.08		$	25.23		$	25.92
Total Returnb		(3.47	%)		7.83	%		(0.50	%)		2.01	%		3.80	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	154,160		$	123,392		$	139,857		$	235,752		$	431,562
Ratios to average net assets:
Net investment income (loss)		3.57	%		3.36	%		4.23	%		4.60	%		4.02	%
Total expensesc		1.11	%		1.09	%		1.25	%		1.23	%		1.15	%
Net expensesd,e,f		1.02	%		1.05	%		1.10	%		1.07	%		1.03	%
Portfolio turnover rate		30	%		57	%		20	%		10	%		33	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

FINANCIAL HIGHLIGHTS (continued)

FLOATING RATE STRATEGIES FUND

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

C-Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018
Per Share Data
Net asset value, beginning of period	$	25.08		$	24.07		$	25.22		$	25.91		$	26.00
Income (loss) from investment operations:
Net investment income (loss)a		.68			.65			.84			.98			.85
Net gain (loss) on investments (realized and unrealized)		(1.71	)		1.02			(1.16	)		(.67	)		(.07	)
Total from investment operations		(1.03	)		1.67			(.32	)		.31			.78
Less distributions from:
Net investment income		(.69	)		(.65	)		(.68	)		(1.00	)		(.87	)
Return of capital		—			(.01	)		(.15	)		—			—
Total distributions		(.69	)		(.66	)		(.83	)		(1.00	)		(.87	)
Net asset value, end of period	$	23.36		$	25.08		$	24.07		$	25.22		$	25.91
Total Returnb		(4.15	%)		7.03	%		(1.24	%)		1.26	%		3.03	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	47,183		$	52,308		$	63,891		$	112,481		$	172,906
Ratios to average net assets:
Net investment income (loss)		2.78	%		2.61	%		3.47	%		3.86	%		3.29	%
Total expensesc		1.91	%		1.86	%		1.96	%		1.93	%		1.87	%
Net expensesd,e,f		1.77	%		1.80	%		1.85	%		1.82	%		1.78	%
Portfolio turnover rate		30	%		57	%		20	%		10	%		33	%

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

FINANCIAL HIGHLIGHTS (continued)

FLOATING RATE STRATEGIES FUND

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

P-Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018
Per Share Data
Net asset value, beginning of period	$	25.10		$	24.09		$	25.24		$	25.93		$	26.02
Income (loss) from investment operations:
Net investment income (loss)a		.88			.83			1.04			1.17			1.05
Net gain (loss) on investments (realized and unrealized)		(1.73	)		1.02			(1.18	)		(.67	)		(.08	)
Total from investment operations		(.85	)		1.85			(.14	)		.50			.97
Less distributions from:
Net investment income		(.87	)		(.83	)		(.83	)		(1.19	)		(1.06	)
Return of capital		—			(.01	)		(.18	)		—			—
Total distributions		(.87	)		(.84	)		(1.01	)		(1.19	)		(1.06	)
Net asset value, end of period	$	23.38		$	25.10		$	24.09		$	25.24		$	25.93
Total Return		(3.47	%)		7.83	%		(0.50	%)		2.01	%		3.80	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	43,603		$	35,430		$	33,251		$	135,036		$	385,306
Ratios to average net assets:
Net investment income (loss)		3.58	%		3.36	%		4.26	%		4.59	%		4.05	%
Total expensesc		1.14	%		1.06	%		1.37	%		1.22	%		1.15	%
Net expensesd,e,f		1.02	%		1.05	%		1.10	%		1.07	%		1.03	%
Portfolio turnover rate		30	%		57	%		20	%		10	%		33	%

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

FINANCIAL HIGHLIGHTS (continued)

FLOATING RATE STRATEGIES FUND

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

Institutional Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018
Per Share Data
Net asset value, beginning of period	$	25.11		$	24.10		$	25.25		$	25.95		$	26.03
Income (loss) from investment operations:
Net investment income (loss)a		.94			.89			1.09			1.23			1.11
Net gain (loss) on investments (realized and unrealized)		(1.73	)		1.02			(1.17	)		(.68	)		(.07	)
Total from investment operations		(.79	)		1.91			(.08	)		.55			1.04
Less distributions from:
Net investment income		(.93	)		(.89	)		(.88	)		(1.25	)		(1.12	)
Return of capital		—			(.01	)		(.19	)		—			—
Total distributions		(.93	)		(.90	)		(1.07	)		(1.25	)		(1.12	)
Net asset value, end of period	$	23.39		$	25.11		$	24.10		$	25.25		$	25.95
Total Return		(3.20	%)		8.08	%		(0.26	%)		2.21	%		4.08	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	979,086		$	711,583		$	504,449		$	1,065,820		$	2,227,970
Ratios to average net assets:
Net investment income (loss)		3.84	%		3.59	%		4.48	%		4.83	%		4.28	%
Total expensesc		0.87	%		0.85	%		0.97	%		0.92	%		0.84	%
Net expensesd,e,f		0.78	%		0.81	%		0.85	%		0.83	%		0.79	%
Portfolio turnover rate		30	%		57	%		20	%		10	%		33	%

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

FINANCIAL HIGHLIGHTS (continued)

FLOATING RATE STRATEGIES FUND

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

R6-Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019g
Per Share Data
Net asset value, beginning of period	$	25.11		$	24.10		$	25.25		$	25.38
Net investment income (loss)a		.82			.91			1.13			.69
Net gain (loss) on investments (realized and unrealized)		(1.62	)		1.01			(1.21	)		(.14	)
Total from investment operations		(.80	)		1.92			(.08	)		.55
Less distributions from:
Net investment income		(.93	)		(.90	)		(.88	)		(.68	)
Return of capital		—			(.01	)		(.19	)		—
Total distributions		(.93	)		(.91	)		(1.07	)		(.68	)
Net asset value, end of period	$	23.38		$	25.11		$	24.10		$	25.25
Total Return		(3.25	%)		8.06	%		(0.22	%)		2.20	%
Net assets, end of period (in thousands)	$	1,722		$	1,257		$	1,625		$	71,680
Net investment income (loss)		3.31	%		3.66	%		4.56	%		4.89	%
Total expensesc		0.82	%		0.83	%		0.86	%		0.85	%
Net expensesd,e,f		0.79	%		0.82	%		0.84	%		0.84	%
Portfolio turnover rate		30	%		57	%		20	%		10	%

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

FINANCIAL HIGHLIGHTS (concluded)

FLOATING RATE STRATEGIES FUND

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	0.03%	—	0.00%*	—	—
C-Class	0.04%	—	0.00%*	—	0.01%
P-Class	0.04%	0.00%*	0.00%*	—	—
Institutional Class	0.04%	0.00%*	0.00%*	—	—
R6-Class	0.03%	0.01%	0.00%*	0.00%*	N/A

* Less than 0.01%.

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	1.00%	1.01%	1.02%	1.02%	1.02%
C-Class	1.75%	1.76%	1.77%	1.77%	1.77%
P-Class	1.00%	1.01%	1.02%	1.02%	1.02%
Institutional Class	0.76%	0.77%	0.78%	0.78%	0.78%
R6-Classg	0.76%	0.77%	0.78%	0.78%	N/A

^g Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Floating Rate Strategies Fund (the “Fund”), a diversified investment company. At September 30, 2022, A-Class, C-Class, P-Class, Institutional Class, and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM” or the “ Adviser”) which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Partners Advisors, LLC (“GPA” or the “Sub-Adviser”) assists GPIM in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI, GFD and GPA are affiliated entities.

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 49

NOTES TO FINANCIAL STATEMENTS (continued)

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

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/or other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly review the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.

Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.

50 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are generally valued at the last quoted sale price.

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing services.

Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Adviser.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining

THE GUGGENHEIM FUNDS ANNUAL REPORT | 51

NOTES TO FINANCIAL STATEMENTS (continued)

information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

(b) Senior Floating Rate Interests and Loan Investments

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

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(c) Interest on When-Issued Securities

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

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(d) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

(e) Currency Translations

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

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

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

(f) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2022, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(g) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if

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NOTES TO FINANCIAL STATEMENTS (continued)

the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

(h) Distributions

The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.

(i) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

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NOTES TO FINANCIAL STATEMENTS (continued)

(j) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2022, are disclosed in the Statement of Operations.

(k) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 1.58% at September 30, 2022.

(l) Indemnifications

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

Note 2 – Derivatives

As part of its investment strategy, the Fund utilizes forward foreign currency exchange contracts. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

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

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NOTES TO FINANCIAL STATEMENTS (continued)

The Fund utilized derivatives for the following purposes:

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

Forward Foreign Currency Exchange Contracts

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

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

The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:

	Average Value
Use	Purchased		Sold
Hedge	$	700,856	$	30,483,746

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2022:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2022:

	Forward Foreign Currency Exchange Risk
Asset Derivative Investments Value	$	671,418
Liability Derivative Investments Value	$	10,825

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The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2022:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Currency forward contracts	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts

The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended September 30, 2022:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
	Forward Foreign Currency Exchange Risk
	$	5,456,723

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
	Forward Foreign Currency Exchange Risk
	$	(88,011	)

In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

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

Note 3 – Offsetting

In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral

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NOTES TO FINANCIAL STATEMENTS (continued)

received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs over-the-counter (“OTC”) derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

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NOTES TO FINANCIAL STATEMENTS (continued)

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Assets Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Forward foreign currency exchange contracts	$	671,418	$	—	$	671,418	$	(4,244	)	$	(667,142	)	$	32

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Forward foreign currency exchange contracts	$	10,825	$	—	$	10,825	$	(4,244	)	$	—	$	6,581

The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2022.

Counterparty		Asset Type	Cash Pledged		Cash Received
BofA Securities, Inc.	Forward foreign currency exchange contracts		$	—	$	635,000
Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts			—		380,000

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NOTES TO FINANCIAL STATEMENTS (continued)

Note 4 – Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although

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NOTES TO FINANCIAL STATEMENTS (continued)

quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

Note 5 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.65% of the average daily net assets of the Fund up to $5 billion; and 0.60% of the average daily net assets in excess of $5 billion.

Pursuant to an Investment Sub-Advisory Agreement between the Adviser and GPA, GPA, under the oversight supervision of the Board and the Adviser, assists the Adviser in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. As compensation for its services, the Adviser pays GPA a fee, payable monthly, in an amount equal to 0.005% of the Fund’s average daily net assets.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

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NOTES TO FINANCIAL STATEMENTS (continued)

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

	Limit			Effective Date		Contract End Date
A-Class		1.02	%		11/30/12		02/01/24
C-Class		1.77	%		11/30/12		02/01/24
P-Class		1.02	%		05/01/15		02/01/24
Institutional Class		0.78	%		11/30/12		02/01/24
R6-Class		0.78	%		03/13/19		02/01/24

GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2022, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

	2023		2024		2025		Fund Total
A-Class	$	272,258	$	62,574	$	114,896	$	449,728
C-Class		99,862		35,328		63,710		198,900
P-Class		205,400		3,944		45,054		254,398
Institutional Class		804,754		224,572		717,446		1,746,772
R6-Class		1,025		279		1,027		2,331

For the year ended September 30, 2022, GI recouped $448,923 from the Fund.

For the year ended September 30, 2022, GFD retained sales charges of $144,088 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services,

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NOTES TO FINANCIAL STATEMENTS (continued)

MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

Note 6 – Federal Income Tax Information

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

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

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Return of Capital		Total Distributions
$	45,780,565	$	—	$	—	$	45,780,565

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Ordinary Income		Long-Term Capital Gain		Return of Capital		Total Distributions
$	19,738,893	$	—	$	8,268,815	$	28,007,708

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
$	3,195,529	$	—	$	(107,763,511	)	$	(145,637,098	)	$	(5,568,027	)	$	(255,773,107	)

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NOTES TO FINANCIAL STATEMENTS (continued)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, capital loss carryforwards for the Fund were as follows:

Unlimited
Short-Term			Long-Term			Total Capital Loss Carryforward
$	(2,032,521	)	$	(143,604,577	)	$	(145,637,098	)

For the year ended September 30, 2022, the following capital loss carryforward amounts were utilized:

Utilized
$	40,650

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to foreign currency gains and losses, distribution payable, and investments in CLO securities and partnerships. Additional differences may result from the tax treatment of bond premium/discount amortization, losses deferred due to wash sales, and the “mark-to-market” of forward foreign currency exchange contracts. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences.

At September 30, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	1,327,505,774	$	—	$	(107,283,136	)	$	(107,283,136	)

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NOTES TO FINANCIAL STATEMENTS (continued)

Note 7 – Securities Transactions

For the year ended September 30, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	749,053,699	$	347,044,784

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Loss
$	569,625	$	9,572,375	$	(462,877	)

Note 8 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2022, were as follows:

Borrower	Maturity Date		Face Amount		Value
Athenahealth Group, Inc.		02/15/29	$	1,415,942	$	150,090
Aveanna Healthcare LLC		07/17/28		260,034		53,307
Dermatology Intermediate Holdings III, Inc.		04/02/29		694,816		34,741
Hillman Group, Inc.		07/14/28		800,000		37,600
Icebox Holdco		12/22/28		1,242,857		80,786
Medical Solutions Parent Holdings, Inc.		11/01/28		1,283,400		64,170
Osmosis Holdings Australia II Pty Ltd.		07/31/28		1,157,407		83,183
TGP Holdings LLC		06/29/28		178,482		38,707
			$	7,032,938	$	542,584

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NOTES TO FINANCIAL STATEMENTS (continued)

Note 9 – Restricted Securities

The security below is considered illiquid and restricted under guidelines established by the Board:

Restricted Securities	Acquisition Date		Cost		Value
Mirabela Nickel Ltd. due 06/24/191		12/31/13	$	1,160,811	$	63,991

¹ Security is in default of interest and/or principal obligations.

Note 10 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committe $1,230,000,000 line of credit from Citibank, N.A., which was in place through September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.

Note 11 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market

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NOTES TO FINANCIAL STATEMENTS (concluded)

or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

Note 12 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Floating Rate Strategies Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Floating Rate Strategies Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded)

other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 29, 2022

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OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentages qualify as interest related dividends as permitted by IRC Section 871(k)(1). See qualified interest income columnin the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income
	3.94	%		3.94	%		99.45	%

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

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OTHER INFORMATION (Unaudited)(continued)

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)   ● Guggenheim Core Bond Fund
(“Core Bond Fund”)   ● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)   ● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)   ● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”) ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)   ● Guggenheim Diversified Income Fund (“Diversified Income Fund”)   ● Guggenheim High Yield Fund
(“High Yield Fund”)   ● Guggenheim Limited Duration Fund (“Limited Duration Fund”)   ● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)

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● Guggenheim Municipal Income Fund (“Municipal Income Fund”)   ● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)   ● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)   ● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)   ● Guggenheim World Equity Income Fund (“World Equity Income Fund”) ● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)   ● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)   ● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)   ● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra

¹ GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.

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Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees,

2

The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”

3

Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.

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OTHER INFORMATION (Unaudited)(continued)

expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund, Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).⁴ Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.

⁴ On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA

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OTHER INFORMATION (Unaudited)(continued)

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other

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OTHER INFORMATION (Unaudited)(continued)

guidance.⁵ As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.

⁵ Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements.

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OTHER INFORMATION (Unaudited)(continued)

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.

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Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.

In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized

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OTHER INFORMATION (Unaudited)(continued)

as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

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OTHER INFORMATION (Unaudited)(continued)

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support

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OTHER INFORMATION (Unaudited)(continued)

the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreements

Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.

Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that the GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue.

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OTHER INFORMATION (Unaudited)(concluded)

Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Member, Board of Directors, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

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Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present); Vice Chairman, VettaFi (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

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Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and President of Mutual Funds Boards, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since August 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2012-present).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law. We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and

94 | THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority. We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at
CorporateDataPrivacy@GuggenheimPartners.com.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 95

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

96 | THE GUGGENHEIM FUNDS ANNUAL REPORT

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9.30.2022

Guggenheim Funds Annual Report

Guggenheim Total Return Bond Fund

GuggenheimInvestments.com TRB-ANN-0922x0923

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
TOTAL RETURN BOND FUND	9
NOTES TO FINANCIAL STATEMENTS	96
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	127
OTHER INFORMATION	129
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	144
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	153
LIQUIDITY RISK MANAGEMENT PROGRAM	157

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2022

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Total Return Bond Fund (the “Fund”) for the annual fiscal period ended September 30, 2022.

The Investment Adviser is 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 Adviser.

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

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

Sincerely,

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.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2022

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

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.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2022

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.

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.

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.

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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

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 Fund’s costs in two ways:

Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the 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.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

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 Fund’s 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 Fund’s prospectus.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1			Fund Return			Beginning Account Value March 31, 2022		Ending Account Value September 30, 2022		Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class		0.85	%		(11.11	%)	$	1,000.00	$	888.90	$	4.02
C-Class		1.60	%		(11.41	%)		1,000.00		885.90		7.56
P-Class		0.85	%		(11.08	%)		1,000.00		889.20		4.03
Institutional Class		0.56	%		(10.97	%)		1,000.00		890.30		2.65
R6-Class		0.56	%		(10.96	%)		1,000.00		890.40		2.65
Table 2. Based on hypothetical 5% return (before expenses)
A-Class		0.85	%		5.00	%	$	1,000.00	$	1,020.81	$	4.31
C-Class		1.60	%		5.00	%		1,000.00		1,017.05		8.09
P-Class		0.85	%		5.00	%		1,000.00		1,020.81		4.31
Institutional Class		0.56	%		5.00	%		1,000.00		1,022.26		2.84
R6-Class		0.56	%		5.00	%		1,000.00		1,022.26		2.84

1	Annualized and excludes expenses of the underlying funds in which the Fund invests, if any. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratio for the Fund would be 0.77%, 1.52%, 0.77%, 0.48% and 0.47% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively.
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.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Total Return Bond Fund (“Fund”). Guggenheim Partners Advisors, LLC, an affiliate of GPIM, serves as the Fund’s sub-adviser (“GPA” or the “Sub-Adviser”). The Fund is managed by a team of seasoned professionals at GPIM and GPA. This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of GPIM; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager of GPIM; and Adam J. Bloch, Managing Director and Portfolio Manager of GPIM. 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 returned -16.82%¹, underperforming the Fund’s benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -14.60% for the same period.

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

The Fund ended the Reporting Period down -16.82% while the Benchmark finished down -14.60%. The dramatic rise in interest rates drove the majority of absolute performance, detracting roughly -13.7% from the Fund’s performance over Reporting Period. The Fund’s performance from duration did, however, outperform the Benchmark on a relative basis, largely as a result of the Fund’s curve positioning over the Reporting Period. The Fund’s bear flattener bias benefitted performance as the rise in front end yields outpaced that of longer maturity yields. Bear flattening refers to the yield curve for bonds in which short-term interest rates rise more rapidly than long-term interest rates. The performance effect from the widening in credit spreads was negative on both an absolute and relative basis given the Fund’s overweight credit allocation versus the Benchmark. Over the Reporting Period, we saw spreads in Investment Grade Corporates, High Yield Corporates, and AAA CLOs widen by 75 basis points, 263 basis points, and 102 basis points, respectively. Carry positively contributed about 3.8% on an absolute basis and 1.2% on a relative basis to performance. Carry refers to the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used forwards, options, and swaps to help manage duration positioning, foreign exchange risk, and credit exposure. Over the Reporting Period, interest rate swaps and interest rate curve caps detracted from performance while performance from swaptions was immaterial. Options on equities, which functioned as hedges to the Fund’s

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(continued) September 30, 2022

credit positioning, contributed to performance. Performance from credit default swaps and credit default swap index (CDX) positions were immaterial. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period.

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

At 37% of net asset value (“NAV”), securitized credit continues to be a significant and growing asset class allocation within the Fund. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, picking credit quality and structural protection at attractive spreads versus comparably rated corporate credit. We believe a unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar price discounts given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. We believe this dynamic presents a compelling total return opportunity as investors are now able to capture not only the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also an accretion to par should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage (i.e., the offered coupon) given the room for price appreciation above par ($100) is limited due to call structures. To this end, our buying efforts have been concentrated in the secondary market in subsectors like AA-rated CLOs which as of the end of the Reporting Period traded around $94.98 // +273dm (using Palmer Square CLO Index as a proxy). In primary markets, we are finding opportunities in the Non-Agency Residential Mortgage-Backed Securities (“RMBS”) sector in senior tranches of Non-Qualified Mortgage deals, which price at dollar price discounts and offer yields and spreads comparable to BB-rated corporate credit.

Corporate credit totaled approximately 45% of the Fund’s NAV, with roughly 29% Investment Grade rated and 16% High Yield. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across sectors we expect them to start gradually deteriorating over the next several quarters and for default rates to pick up. However, all spread asset classes have already materially re-priced lower this year due to tighter financial conditions. Credit spread valuations are broadly in their 70th – 80th widest percentiles versus long term historical ranges, and absolute yields are at the highest levels since 2009. At current valuations the long-term value across credit assets is compelling although we expect volatility to remain elevated in the near-term. The Fund has taken advantage of dislocations across corporate credit by purchasing high credit quality investment grade corporates at attractive absolute yields, while simultaneously trimming lower grade categories, like leveraged loans, that have performed well on a relative basis this year and have greater risks going into a potential economic slowdown.

We continued to add duration incrementally throughout the Reporting Period as rates continued to climb and hawkish rhetoric intensified. Duration adds were made via two main tools: i) adding duration at the long end of the yield curve using Treasury Strips and ii) an increased allocation to Agency Mortgage-Backed Securities (“MBS”). As the Federal Reserve continues to emphasize

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2022

its commitment to combatting inflation, we feel the long end of the yield curve should benefit through some combination of lower inflation expectations and lower growth expectations. The Agency MBS allocation was viewed as an efficient means to add duration via a highly liquid asset class while picking yield to Treasuries, upgrade the credit quality of the Fund, and monetize the elevated level of rate volatility. As of the end of the Reporting Period, the Fund had 7.4 years of duration and the Benchmark had 6.7 years of duration.

Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. With investment grade rated debt now yielding close to 6% and the Fund’s gross yield at 7.0%, we believe the carry profile alone for such opportunities provides a significantly higher buffer to performance volatility from rates and spreads. Importantly, we believe examples of market distress and falling inflation expectations are signaling we are nearing a ceiling for interest rates and potentially some moderation in rate volatility, all of which would prove to be massive tailwinds to fixed income valuations.

The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by Guggenheim Investments. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the Reporting Period, investment in the Short Term Investment Vehicles detracted from Fund performance.

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

TOTAL RETURN BOND FUND

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

Holdings Diversification (Market Exposure as % of Net Assets)

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

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2022

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
Institutional Class	November 30, 2011
R6-Class	October 19, 2016

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	30.1%
AA	8.1%
A	13.2%
BBB	20.0%
BB	7.2%
B	6.3%
CCC	0.8%
CC	1.3%
C	0.1%
NR2	6.0%
Other Instruments	6.9%
Total Investments	100.0%

Ten Largest Holdings	(% of Total Net Assets)
Uniform MBS 30 Year	6.2%
U.S. Treasury Notes, 2.75%	5.0%
U.S. Treasury Bonds, 2.00%	2.9%
U.S. Treasury Notes, 2.63%	1.2%
U.S. Treasury Bonds due 02/15/46	0.7%
U.S. Treasury Bonds due 05/15/44	0.7%
FKRT, 2.21%	0.6%
U.S. Treasury Strip Principal	0.6%
HV Eight LLC, 3.36%	0.6%
Boeing Co., 5.81%	0.5%
Top Ten Total	19.0%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2022

Cumulative Fund Performance*

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2022

Average Annual Returns*

Periods Ended September 30, 2022

	1 Year	5 Year	10 Year
A-Class Shares	(16.82%)	0.21%	2.53%
A-Class Shares with sales charge‡	(20.16%)	(0.61%)	2.03%
C-Class Shares	(17.41%)	(0.53%)	1.78%
C-Class Shares with CDSC§	(18.21%)	(0.53%)	1.78%
Institutional Class Shares	(16.59%)	0.50%	2.86%
Bloomberg U.S. Aggregate Bond Index	(14.60%)	(0.27%)	0.89%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	(16.79%)	0.22%	1.48%
Bloomberg U.S. Aggregate Bond Index	(14.60%)	(0.27%)	(0.15%)

	1 Year	5 Year	Since Inception (10/19/16)
R6-Class Shares	(16.55%)	0.50%	1.08%
Bloomberg U.S. Aggregate Bond Index	(14.60%)	(0.27%)	(0.15%)

*	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 Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares will vary due to differences in fee structures.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 15

SCHEDULE OF INVESTMENTS	September 30, 2022
TOTAL RETURN BOND FUND

	Shares		Value
COMMON STOCKS† - 0.5%
Financial - 0.5%
KKR Acquisition Holdings I Corp. — Class A*,1		3,797,870	$	37,371,041
RXR Acquisition Corp. — Class A*,1		843,792		8,302,913
MSD Acquisition Corp. — Class A*,1		626,308		6,200,449
AfterNext HealthTech Acquisition Corp. — Class A*,1		611,700		5,976,309
TPG Pace Beneficial II Corp.*,1		604,770		5,914,590
Conyers Park III Acquisition Corp. — Class A*,1		570,000		5,540,400
Waverley Capital Acquisition Corp. 1 — Class A*,††,1		451,200		4,408,224
Acropolis Infrastructure Acquisition Corp. — Class A*,1		397,100		3,853,856
Blue Whale Acquisition Corp. I — Class A*,1		330,700		3,204,483
Colicity, Inc. — Class A*,1		174,986		1,721,862
Pershing Square Tontine Holdings Ltd. — Class A*,†††,1		9,249,470		925
Total Financial				82,495,052
Communications - 0.0%
Figs, Inc. — Class A*,19		198,762		1,639,787
Vacasa, Inc. — Class A*		361,641		1,110,238
Total Communications				2,750,025
Industrial - 0.0%
BP Holdco LLC*,†††,2		532		323
Vector Phoenix Holdings, LP*,†††		532		127
API Heat Transfer Parent LLC*,†††		73,183		7
Total Industrial				457
Total Common Stocks
(Cost $89,815,160)				85,245,534
PREFERRED STOCKS†† - 5.5%
Financial - 5.5%
Wells Fargo & Co.
3.90%		49,600,000		41,943,000
4.70%		2,184,000		40,469,520
4.38%		1,774,000		30,761,160
Bank of America Corp.
4.13%		2,218,000		38,193,960
4.38%		1,552,000		28,370,560
4.38%		27,700,000		22,229,250
6.13%		11,550,000		10,914,750
Equitable Holdings, Inc.
4.95%		70,950,000		66,515,625
4.30%		1,839,200		30,806,600
Citigroup, Inc.
3.88%		89,450,000		73,763,154
4.00%		26,450,000		22,284,125
First Republic Bank
4.25%		3,442,000		61,370,860
4.50%		842,800		15,617,084
4.13%		798,800		13,739,360
Markel Corp.
6.00%		82,610,000		80,179,813
Bank of New York Mellon Corp.
3.75%		65,200,000		50,367,000
4.70%		16,500,000		15,798,750
Charles Schwab Corp.
4.00%		73,350,000		53,881,672
JPMorgan Chase & Co.
3.65%		37,250,000		30,165,482
4.63%		1,180,000		22,986,400
MetLife, Inc.
3.85%		53,200,000		47,592,448

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Shares		Value
Public Storage
4.63%		1,630,763	$	32,859,875
4.13%		309,501		5,648,393
Arch Capital Group Ltd.
4.55%		1,616,000		30,316,160
W R Berkley Corp.
4.13%		1,448,221		25,343,867
4.25%		173,779		2,952,505
RenaissanceRe Holdings Ltd.
4.20%		1,304,000		23,002,560
American Financial Group, Inc.
4.50%		1,161,045		22,977,081
Reinsurance Group of America, Inc.
7.13%*		908,000		22,836,200
Goldman Sachs Group, Inc.
3.80%		25,830,000		20,014,076
Kuvare US Holdings, Inc.
7.00%4		15,650,000		15,767,375
CNO Financial Group, Inc.
5.13%		712,000		13,969,440
Assurant, Inc.
5.25%		558,400		11,882,752
Selective Insurance Group, Inc.
4.60%		538,000		9,398,860
Globe Life, Inc.
4.25%		336,900		5,801,418
Depository Trust & Clearing Corp.
3.38%4		4,750,000		3,607,631
Total Financial				1,044,328,766
Government - 0.0%
CoBank ACB
4.25% due 12/31/70		3,300,000		2,770,452
Industrial - 0.0%
API Heat Transfer Intermediate†††		9		—
Total Preferred Stocks
(Cost $1,316,381,503)				1,047,099,218
WARRANTS† - 0.0%
KKR Acquisition Holdings I Corp.
Expiring 12/31/27*,1		949,467		113,936
Ginkgo Bioworks Holdings, Inc.
Expiring 08/01/26*		100,946		72,681
AfterNext HealthTech Acquisition Corp.
Expiring 07/09/23*,1		203,900		32,624
Conyers Park III Acquisition Corp.
Expiring 08/12/28*		190,000		27,132
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/26*,1		132,366		13,250
Blue Whale Acquisition Corp.
Expiring 07/09/23*,1		82,674		12,335
MSD Acquisition Corp.
Expiring 05/13/23*,1		125,260		10,697
Waverley Capital Acquisition Corp.
Expiring 04/30/27*,1		150,400		6,723
RXR Acquisition Corp.
Expiring 03/08/26*,1		168,756		4,236
Colicity, Inc.
Expiring 12/31/27*,1		34,995		1,679
Pershing Square Tontine Holdings Ltd.
Expiring 07/24/25*,†††,1		1,027,718		103
Total Warrants
(Cost $2,495,705)				295,396
MUTUAL FUNDS† - 0.4%
Guggenheim Strategy Fund II2		1,111,655		26,646,371
Guggenheim Ultra Short Duration Fund — Institutional Class2		2,727,504		26,156,766

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Shares		Value
Guggenheim Strategy Fund III2		598,806	$	14,383,324
Total Mutual Funds
(Cost $69,805,516)				67,186,461
CLOSED-END FUNDS† - 0.1%
BlackRock MuniHoldings California Quality Fund, Inc.		1,085,407		11,657,271
Total Closed-End Funds
(Cost $15,984,039)				11,657,271
MONEY MARKET FUNDS† - 0.7%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%5		97,865,908		97,865,908
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.15%5		25,104,044		25,104,044
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 2.45%5		10,044,625		10,044,625
Total Money Market Funds
(Cost $133,014,577)				133,014,577

	Face Amount~
CORPORATE BONDS†† - 34.6%
Financial - 14.2%
Pershing Square Holdings Ltd.
3.25% due 10/01/31		104,800,000	78,456,424
3.25% due 11/15/304		64,600,000	49,868,616
Reliance Standard Life Global Funding II
2.75% due 05/07/254		96,010,000	89,584,654
Macquarie Bank Ltd.
3.62% due 06/03/304		93,835,000	75,945,492
3.05% due 03/03/363,4		16,600,000	12,154,594
Liberty Mutual Group, Inc.
4.30% due 02/01/614		94,150,000	59,101,898
3.95% due 05/15/604		33,870,000	21,393,439
4.13% due 12/15/513,4		3,600,000	2,781,245
Nationwide Mutual Insurance Co.
4.35% due 04/30/504		111,750,000	83,135,441
Wilton RE Ltd.
6.00% 3,4,6		93,150,000	81,089,869
GLP Capital Limited Partnership / GLP Financing II, Inc.
4.00% due 01/15/31		53,354,000	43,612,411
5.30% due 01/15/29		28,165,000	25,671,179
3.25% due 01/15/32		4,150,000	3,119,642
4.00% due 01/15/30		475,000	396,691
Fairfax Financial Holdings Ltd.
3.38% due 03/03/31		61,210,000	49,427,578
5.63% due 08/16/324		13,100,000	12,078,586
Reinsurance Group of America, Inc.
3.15% due 06/15/30		69,919,000	58,228,942
Fidelity National Financial, Inc.
3.40% due 06/15/30		52,430,000	42,741,029
2.45% due 03/15/31		17,490,000	12,969,354
FS KKR Capital Corp.
2.63% due 01/15/27		34,850,000	28,139,904
3.25% due 07/15/27		30,100,000	24,791,766

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Maple Grove Funding Trust I
4.16% due 08/15/514		77,700,000	$	52,619,020
Safehold Operating Partnership, LP
2.85% due 01/15/32		39,904,000		29,707,612
2.80% due 06/15/31		30,138,000		22,648,321
Host Hotels & Resorts, LP
3.50% due 09/15/30		44,458,000		35,454,178
2.90% due 12/15/31		20,200,000		14,825,155
Global Atlantic Finance Co.
4.70% due 10/15/513,4		38,300,000		28,812,054
3.13% due 06/15/314		28,750,000		21,054,065
JPMorgan Chase & Co.
2.96% due 05/13/313		29,530,000		23,390,598
2.52% due 04/22/313		19,520,000		15,429,802
4.49% due 03/24/313		10,750,000		9,778,657
Bank of America Corp.
2.59% due 04/29/313		56,740,000		44,998,283
3.00% (SOFR + 0.73%, Rate Floor: 0.00%) due 10/24/24◊		1,660,000		1,645,907
1.73% due 07/22/273		1,650,000		1,415,583
Deloitte LLP
3.56% due 05/07/30†††		30,700,000		26,184,833
3.76% due 05/07/35†††		10,200,000		8,251,129
3.66% due 05/07/32†††		9,450,000		7,934,858
7.33% due 11/20/26†††		4,800,000		5,003,457
Ares Finance Company II LLC
3.25% due 06/15/304		53,085,000		43,399,620
Nippon Life Insurance Co.
2.75% due 01/21/513,4		45,350,000		35,340,910
2.90% due 09/16/513,4		10,380,000		8,024,167
National Australia Bank Ltd.
2.33% due 08/21/304		22,400,000		16,678,747
2.99% due 05/21/314		19,350,000		14,887,881
3.35% due 01/12/373,4		14,550,000		11,172,256
First American Financial Corp.
4.00% due 05/15/30		40,560,000		33,817,987
2.40% due 08/15/31		11,875,000		8,483,024
United Wholesale Mortgage LLC
5.50% due 04/15/294		32,550,000		24,738,000
5.50% due 11/15/254		20,100,000		17,532,828
OneAmerica Financial Partners, Inc.
4.25% due 10/15/504		54,430,000		39,980,808
Bain Capital, LP
3.41% due 04/15/41†††		36,000,000		24,977,510
3.72% due 04/15/42†††		20,300,000		14,800,958
Macquarie Group Ltd.
2.69% due 06/23/323,4		31,550,000		23,758,928
2.87% due 01/14/333,4		17,350,000		13,037,499
5.03% due 01/15/303,4		800,000		752,439
1.63% due 09/23/273,4		720,000		602,605
1.34% due 01/12/273,4		570,000		487,844
Iron Mountain, Inc.
5.25% due 07/15/304		19,359,000		16,018,992
4.50% due 02/15/314		16,291,000		12,595,875
5.63% due 07/15/324		8,350,000		6,680,000
4.88% due 09/15/274		1,938,000		1,735,741
CBS Studio Center
5.29% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,†††		34,100,000		34,441,000

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/314		46,650,000	$	33,814,437
LPL Holdings, Inc.
4.00% due 03/15/294		30,200,000		25,901,936
4.38% due 05/15/314		9,350,000		7,753,148
Sumitomo Life Insurance Co.
3.38% due 04/15/813,4		39,700,000		32,157,000
Stewart Information Services Corp.
3.60% due 11/15/31		38,800,000		29,906,360
Jefferies Group LLC
2.75% due 10/15/32		40,440,000		28,811,227
6.50% due 01/20/43		720,000		675,498
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/284		39,450,000		29,094,375
Belrose Funding Trust
2.33% due 08/15/304		38,150,000		28,769,948
Assurant, Inc.
2.65% due 01/15/32		36,760,000		27,075,259
6.75% due 02/15/34		1,450,000		1,447,553
NFP Corp.
6.88% due 08/15/284		20,775,000		16,204,500
7.50% due 10/01/304		11,950,000		11,339,388
PricewaterhouseCoopers LLP
3.43% due 09/13/30†††		31,500,000		27,246,597
Crown Castle, Inc.
2.90% due 04/01/41		31,750,000		20,613,663
3.30% due 07/01/30		7,657,000		6,411,453
Massachusetts Mutual Life Insurance Co.
3.38% due 04/15/504		37,950,000		25,889,265
Standard Chartered plc
4.64% due 04/01/313,4		27,625,000		24,130,885
1.32% due 10/14/233,4		1,080,000		1,078,921
UBS Group AG
2.10% due 02/11/323,4		33,400,000		24,274,032
Americo Life, Inc.
3.45% due 04/15/314		32,210,000		24,181,833
Trustage Financial Group, Inc.
4.63% due 04/15/324		26,450,000		22,835,300
Kennedy-Wilson, Inc.
4.75% due 03/01/29		21,400,000		16,332,480
4.75% due 02/01/30		8,600,000		6,378,620
Teachers Insurance & Annuity Association of America
3.30% due 05/15/504		33,100,000		22,564,052
Westpac Banking Corp.
3.02% due 11/18/363		15,650,000		11,449,296
2.96% due 11/16/40		16,600,000		10,597,676
KKR Group Finance Company VIII LLC
3.50% due 08/25/504		31,910,000		21,904,106
Dyal Capital Partners III
4.40% due 06/15/40†††		26,750,000		21,425,568
Manulife Financial Corp.
2.48% due 05/19/27		17,800,000		15,867,046
4.06% due 02/24/323		4,815,000		4,275,864
Arch Capital Group Ltd.
3.64% due 06/30/50		29,500,000		20,082,928
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.
2.63% due 10/15/31		27,400,000		19,877,660
Brookfield Finance, Inc.
3.50% due 03/30/51		18,720,000		11,810,274
4.70% due 09/20/47		9,750,000		7,749,535
Hunt Companies, Inc.
5.25% due 04/15/294		25,000,000		19,143,250
Corebridge Financial, Inc.
6.88% due 12/15/523,4		15,980,000		14,613,034

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
4.35% due 04/05/424		4,950,000	$	3,808,342
Everest Reinsurance Holdings, Inc.
3.50% due 10/15/50		27,760,000		18,351,194
Kemper Corp.
2.40% due 09/30/30		22,380,000		17,152,267
Societe Generale S.A.
2.89% due 06/09/323,4		21,150,000		15,450,045
1.79% due 06/09/273,4		1,630,000		1,357,014
Central Storage Safety Project Trust
4.82% due 02/01/387		18,689,440		15,963,378
GA Global Funding Trust
2.90% due 01/06/324		17,480,000		13,285,585
1.25% due 12/08/234		1,650,000		1,570,517
AmFam Holdings, Inc.
2.81% due 03/11/314		19,050,000		14,790,424
QBE Insurance Group Ltd.
5.88% 3,4,6		15,700,000		14,553,272
Intercontinental Exchange, Inc.
3.00% due 06/15/50		22,190,000		14,505,470
Lincoln National Corp.
4.38% due 06/15/508		18,680,000		14,402,208
ABN AMRO Bank N.V.
2.47% due 12/13/293,4		18,000,000		14,268,049
Assured Guaranty US Holdings, Inc.
3.60% due 09/15/51		13,780,000		8,991,405
3.15% due 06/15/31		6,270,000		5,072,384
Prudential Financial, Inc.
3.70% due 10/01/503		17,050,000		13,466,090
PartnerRe Finance B LLC
4.50% due 10/01/503		13,970,000		11,718,629
Raymond James Financial, Inc.
3.75% due 04/01/51		15,300,000		10,791,308
CNO Financial Group, Inc.
5.25% due 05/30/29		11,125,000		10,359,811
KKR Group Finance Company X LLC
3.25% due 12/15/514		15,150,000		9,856,652
Penn Mutual Life Insurance Co.
3.80% due 04/29/614		14,970,000		9,651,818
Western & Southern Life Insurance Co.
3.75% due 04/28/614		13,360,000		9,054,632
Sumitomo Mitsui Financial Group, Inc.
2.22% due 09/17/31		11,900,000		8,901,112
Nasdaq, Inc.
3.25% due 04/28/50		13,150,000		8,625,077
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/254		8,050,000		7,906,512
American Equity Investment Life Holding Co.
5.00% due 06/15/27		8,252,000		7,828,741
Blackstone Holdings Finance Company LLC
3.20% due 01/30/524		12,150,000		7,776,453
Ceamer Finance LLC
6.92% due 05/15/38†††		7,500,000		7,191,268
New York Life Insurance Co.
3.75% due 05/15/504		9,300,000		6,876,362
Citigroup, Inc.
2.52% due 11/03/323		6,900,000		5,228,389
3.29% due 03/17/263		1,580,000		1,491,699
CNO Global Funding
1.75% due 10/07/264		7,400,000		6,401,791
W R Berkley Corp.
4.00% due 05/12/50		8,105,000		6,118,194
Cooperatieve Rabobank UA
4.66% due 08/22/283,4		6,200,000		5,847,212

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
NFL Trust XI SPV
3.53% due 10/05/35†††		7,000,000	$	5,831,566
Goldman Sachs Group, Inc.
3.65% 3,6		2,450,000		1,880,375
2.83% (SOFR + 0.54%, Rate Floor: 0.00%) due 11/17/23◊		1,660,000		1,655,605
1.22% due 12/06/23		1,650,000		1,581,965
Horace Mann Educators Corp.
4.50% due 12/01/25		4,560,000		4,356,508
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/284		4,682,000		4,342,789
Brookfield Finance LLC
3.45% due 04/15/50		6,820,000		4,305,652
HS Wildcat LLC
3.83% due 12/31/50†††		4,996,778		3,758,922
Home Point Capital, Inc.
5.00% due 02/01/264		5,454,000		3,415,567
Fort Knox Military Housing Privatization Project
5.82% due 02/15/524		1,857,552		1,731,811
3.16% (1 Month USD LIBOR + 0.34%) due 02/15/52◊,4		1,667,955		1,223,063
Commonwealth Bank of Australia
3.61% due 09/12/343,4		3,550,000		2,947,673
Old Republic International Corp.
3.85% due 06/11/51		4,100,000		2,814,568
Primerica, Inc.
2.80% due 11/19/31		3,500,000		2,748,186
Murphy’s Bowl LLC
3.20% due 06/30/56†††		3,500,000		2,469,670
KKR Group Finance Company III LLC
5.13% due 06/01/444		2,710,000		2,342,829
Enstar Group Ltd.
3.10% due 09/01/31		1,670,000		1,185,960
4.95% due 06/01/29		1,250,000		1,122,108
Iron Mountain Information Management Services, Inc.
5.00% due 07/15/324		2,750,000		2,128,755
New York Life Global Funding
2.51% (SOFR + 0.22%) due 02/02/23◊,4		2,070,000		2,067,412
American National Group, Inc.
6.14% due 06/13/324		2,000,000		1,861,377
Western Group Housing, LP
6.75% due 03/15/574		1,469,268		1,565,784
Bank of Nova Scotia
2.44% due 03/11/24		1,600,000		1,545,819
Jackson National Life Global Funding
1.75% due 01/12/254		1,650,000		1,516,279
Brighthouse Financial Global Funding
1.00% due 04/12/244		1,620,000		1,512,162
Danske Bank A/S
0.98% due 09/10/253,4		1,660,000		1,503,150
Ares Finance Company IV LLC
3.65% due 02/01/524		2,450,000		1,501,283
Lloyds Banking Group plc
3.51% due 03/18/263		1,580,000		1,479,133
Mitsubishi UFJ Financial Group, Inc.
4.08% due 04/19/283		1,580,000		1,470,487
BNP Paribas S.A.
1.32% due 01/13/273,4		1,640,000		1,397,729

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Mizuho Financial Group, Inc.
5.51% due 09/13/283		1,400,000	$	1,368,491
Transatlantic Holdings, Inc.
8.00% due 11/30/39		1,135,000		1,353,333
HSBC Holdings plc
5.21% due 08/11/283		1,440,000		1,346,216
Selective Insurance Group, Inc.
5.38% due 03/01/49		1,510,000		1,284,268
ING Groep N.V.
1.73% due 04/01/273		1,360,000		1,165,932
Athene Global Funding
2.67% due 06/07/314		1,550,000		1,159,393
Mid-Atlantic Military Family Communities LLC
5.24% due 08/01/504		1,087,287		958,379
Atlas Mara Ltd.
due 12/31/21†††,7,9		2,127,812		744,734
F&G Global Funding
2.30% due 04/11/274		790,000		680,286
Atlantic Marine Corporations Communities LLC
5.37% due 12/01/507		754,898		648,258
Pacific Beacon LLC
5.51% due 07/15/364		500,000		479,074
Swiss Re Finance Luxembourg S.A.
5.00% due 04/02/493,4		300,000		262,500
Pine Street Trust I
4.57% due 02/15/294		250,000		230,220
Peachtree Corners Funding Trust
3.98% due 02/15/254		215,000		207,473
Sompo International Holdings Ltd.
4.70% due 10/15/22		140,000		139,987
Total Financial				2,691,377,887
Consumer, Non-cyclical - 4.6%
Altria Group, Inc.
3.70% due 02/04/51		67,650,000		40,839,088
3.40% due 05/06/30		32,920,000		26,656,479
4.45% due 05/06/50		6,120,000		4,088,608
CoStar Group, Inc.
2.80% due 07/15/304		89,110,000		70,338,259
Medline Borrower, LP
3.88% due 04/01/294		54,700,000		43,852,443
Global Payments, Inc.
2.90% due 11/15/31		30,265,000		23,139,711
2.90% due 05/15/30		19,810,000		15,791,046
5.30% due 08/15/29		4,300,000		4,043,914
Smithfield Foods, Inc.
2.63% due 09/13/314		39,050,000		28,621,627
3.00% due 10/15/304		15,760,000		12,168,933
5.20% due 04/01/294		850,000		793,519
BAT Capital Corp.
3.98% due 09/25/50		41,450,000		25,357,233
4.70% due 04/02/27		17,390,000		16,226,038
DaVita, Inc.
3.75% due 02/15/314		38,095,000		27,142,687
4.63% due 06/01/304		14,190,000		10,979,512
Royalty Pharma plc
3.55% due 09/02/50		39,710,000		24,746,772
2.20% due 09/02/30		15,800,000		12,042,815
US Foods, Inc.
6.25% due 04/15/254		24,050,000		23,624,316
4.75% due 02/15/294		8,107,000		6,939,592
4.63% due 06/01/304		4,850,000		4,013,399
Becle, SAB de CV
2.50% due 10/14/314		44,100,000		34,133,400
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
3.00% due 05/15/324		29,125,000		21,508,813
4.38% due 02/02/524		10,200,000		6,836,652
5.13% due 02/01/284		2,250,000		2,108,858
Kraft Heinz Foods Co.
4.88% due 10/01/49		14,525,000		11,971,289
5.00% due 06/04/42		7,850,000		6,818,802
4.38% due 06/01/46		8,090,000		6,289,150
5.20% due 07/15/45		1,930,000		1,676,939

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Triton Container International Ltd.
3.15% due 06/15/314		33,500,000	$	24,535,443
Emory University
2.97% due 09/01/50		30,000,000		21,060,656
California Institute of Technology
3.65% due 09/01/2119		31,896,000		19,921,399
Catalent Pharma Solutions, Inc.
3.13% due 02/15/294		15,911,000		12,271,359
3.50% due 04/01/304		9,500,000		7,473,840
Yale-New Haven Health Services Corp.
2.50% due 07/01/50		32,350,000		19,125,652
Kimberly-Clark de Mexico SAB de CV
2.43% due 07/01/314		22,650,000		18,093,726
TriNet Group, Inc.
3.50% due 03/01/294		21,450,000		17,471,025
Health Care Service Corporation A Mutual Legal Reserve Co.
3.20% due 06/01/504		23,030,000		15,382,130
Universal Health Services, Inc.
2.65% due 10/15/304		18,660,000		13,805,333
Sabre GLBL, Inc.
7.38% due 09/01/254		12,825,000		11,486,465
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/274		13,450,000		11,300,287
Transurban Finance Company Pty Ltd.
2.45% due 03/16/314		14,400,000		11,138,298
Cheplapharm Arzneimittel GmbH
4.38% due 01/15/28		EUR 13,750,000		11,047,113
Central Garden & Pet Co.
4.13% due 04/30/314		9,275,000		7,292,469
4.13% due 10/15/30		3,975,000		3,164,001
Spectrum Brands, Inc.
3.88% due 03/15/314		13,475,000		9,186,985
5.50% due 07/15/304		850,000		664,642
GXO Logistics, Inc.
2.65% due 07/15/31		13,725,000		9,717,482
Bimbo Bakeries USA, Inc.
4.00% due 05/17/514		12,775,000		9,348,106
Block, Inc.
2.75% due 06/01/26		10,125,000		8,702,049
Nielsen Finance LLC / Nielsen Finance Co.
4.50% due 07/15/294		8,690,000		8,651,547
Moody’s Corp.
3.25% due 05/20/50		11,180,000		7,576,144
WW International, Inc.
4.50% due 04/15/294		12,900,000		6,741,362
OhioHealth Corp.
3.04% due 11/15/50		9,100,000		6,340,872
Syneos Health, Inc.
3.63% due 01/15/294		7,000,000		5,573,960
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
5.00% due 12/31/264		6,325,000		5,550,504
Johns Hopkins University
2.81% due 01/01/60		8,750,000		5,420,439
Duke University
2.83% due 10/01/55		7,894,000		5,164,177
HCA, Inc.
3.50% due 07/15/51		6,175,000		3,823,372
3.50% due 09/01/30		1,600,000		1,321,152
CPI CG, Inc.
8.63% due 03/15/264		5,524,000		5,134,889
Children’s Hospital Corp.
2.59% due 02/01/50		7,100,000		4,335,787
Children’s Health System of Texas
2.51% due 08/15/50		6,500,000		3,886,290
APi Group DE, Inc.
4.13% due 07/15/294		4,150,000		3,288,875
Avantor Funding, Inc.
4.63% due 07/15/284		3,659,000		3,256,309

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Sotheby’s/Bidfair Holdings, Inc.
5.88% due 06/01/294		3,900,000	$	3,221,868
Wisconsin Alumni Research Foundation
3.56% due 10/01/49		3,775,000		2,765,835
BCP V Modular Services Finance II plc
4.75% due 11/30/28		EUR 3,500,000		2,744,291
Providence St. Joseph Health Obligated Group
2.70% due 10/01/51		4,250,000		2,552,571
Memorial Sloan-Kettering Cancer Center
2.96% due 01/01/50		3,500,000		2,349,894
Tenet Healthcare Corp.
4.63% due 06/15/284		2,056,000		1,796,875
Beth Israel Lahey Health, Inc.
3.08% due 07/01/51		2,700,000		1,717,905
Service Corporation International
4.00% due 05/15/31		2,000,000		1,608,380
Quanta Services, Inc.
0.95% due 10/01/24		1,660,000		1,515,677
Anheuser-Busch InBev Worldwide, Inc.
8.00% due 11/15/39		1,030,000		1,225,244
Aetna, Inc.
6.75% due 12/15/37		1,150,000		1,172,475
Molina Healthcare, Inc.
4.38% due 06/15/284		1,290,000		1,164,225
Reynolds American, Inc.
6.15% due 09/15/43		1,340,000		1,118,775
Humana, Inc.
0.65% due 08/03/23		1,000,000		965,590
Triton Container International Limited / TAL International Container Corp.
3.25% due 03/15/32		1,050,000		776,426
AmerisourceBergen Corp.
0.74% due 03/15/23		358,000		352,222
Total Consumer, Non-cyclical				878,052,286
Industrial - 3.9%
Boeing Co.
5.81% due 05/01/50		114,650,000		99,629,912
5.71% due 05/01/40		68,110,000		59,491,536
3.63% due 02/01/31		21,400,000		17,763,045
5.04% due 05/01/27		17,150,000		16,521,651
FLNG Liquefaction 3 LLC
3.08% due 06/30/39†††		66,638,655		50,098,688
TD SYNNEX Corp.
2.65% due 08/09/31		40,600,000		30,263,352
2.38% due 08/09/28		20,500,000		16,531,517
Cellnex Finance Company S.A.
3.88% due 07/07/414		68,935,000		43,096,783
Vontier Corp.
2.95% due 04/01/31		34,250,000		24,632,600
2.40% due 04/01/28		19,150,000		14,953,661
Textron, Inc.
2.45% due 03/15/31		31,150,000		23,895,052
3.00% due 06/01/30		18,395,000		15,145,969
Flowserve Corp.
3.50% due 10/01/30		22,340,000		18,369,710
2.80% due 01/15/32		19,800,000		14,173,559
Dyal Capital Partners IV
3.65% due 02/22/41†††		41,800,000		31,315,798
Acuity Brands Lighting, Inc.
2.15% due 12/15/30		34,050,000		25,200,733
Standard Industries, Inc.
3.38% due 01/15/314		14,475,000		10,180,267
4.38% due 07/15/304		8,600,000		6,579,000
5.00% due 02/15/274		6,250,000		5,530,687
Stadco LA, LLC
3.75% due 05/15/56†††		31,000,000		21,953,811

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Ryder System, Inc.
3.35% due 09/01/25		22,380,000	$	21,170,629
Owens Corning
3.88% due 06/01/30		21,890,000		19,123,013
NFL Ventures, LP
3.02% due 04/15/35†††		20,000,000		17,666,797
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
4.13% due 08/15/264		18,961,000		15,787,497
GATX Corp.
4.00% due 06/30/30		14,265,000		12,360,289
4.70% due 04/01/29		400,000		371,764
CNH Industrial Capital LLC
1.88% due 01/15/26		12,960,000		11,539,832
TFI International, Inc.
3.35% due 01/05/33†††		14,000,000		10,791,481
Weir Group plc
2.20% due 05/13/264		12,815,000		10,766,621
National Basketball Association
2.51% due 12/16/24†††		10,500,000		9,865,292
Hardwood Funding LLC
3.19% due 06/07/30†††		8,000,000		6,936,869
2.83% due 06/07/31†††		2,000,000		1,667,862
3.13% due 06/07/36†††		1,000,000		788,236
Airbus SE
3.95% due 04/10/474		9,000,000		7,033,606
Amcor Flexibles North America, Inc.
2.63% due 06/19/30		8,580,000		6,893,328
Artera Services LLC
9.03% due 12/04/254		8,490,000		6,834,450
Norfolk Southern Corp.
4.10% due 05/15/21		9,100,000		6,037,527
Hillenbrand, Inc.
3.75% due 03/01/31		7,650,000		5,909,625
Mueller Water Products, Inc.
4.00% due 06/15/294		5,750,000		4,893,308
Huntington Ingalls Industries, Inc.
2.04% due 08/16/28		5,150,000		4,165,372
Virgin Media Vendor Financing Notes III DAC
4.88% due 07/15/28		GBP 5,000,000		4,154,556
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
4.00% due 09/01/294		3,750,000		2,746,324
Penske Truck Leasing Company, LP / PTL Finance Corp.
1.70% due 06/15/264		1,620,000		1,393,197
Trimble, Inc.
4.15% due 06/15/23		1,155,000		1,150,823
TransDigm, Inc.
6.25% due 03/15/264		1,075,000		1,042,750
Howmet Aerospace, Inc.
5.95% due 02/01/37		525,000		474,461
6.88% due 05/01/25		129,000		129,940
Adevinta ASA
3.00% due 11/15/27		EUR 417,000		349,780
Martin Marietta Materials, Inc.
0.65% due 07/15/23		360,000		347,584
JELD-WEN, Inc.
6.25% due 05/15/254		300,000		282,000
Carlisle Companies, Inc.
0.55% due 09/01/23		220,000		211,145
Fortune Brands Home & Security, Inc.
4.50% due 03/25/52		300,000		206,223
Hexcel Corp.
4.20% due 02/15/27		180,000		166,113

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Canadian National Railway Co.
6.71% due 07/15/36		110,000	$	118,353
Total Industrial				738,703,978
Consumer, Cyclical - 3.3%
Marriott International, Inc.
4.63% due 06/15/30		38,685,000		34,958,870
3.50% due 10/15/32		40,990,000		32,965,071
2.85% due 04/15/31		33,790,000		26,530,626
2.75% due 10/15/33		25,150,000		18,256,272
Alt-2 Structured Trust
2.95% due 05/14/31◊,†††		54,764,001		48,552,866
Delta Air Lines, Inc.
7.00% due 05/01/254		46,725,000		47,026,471
Delta Air Lines Inc. / SkyMiles IP Ltd.
4.50% due 10/20/254		45,200,000		43,873,681
Hyatt Hotels Corp.
5.75% due 04/23/30		23,885,000		23,152,796
5.63% due 04/23/25		18,750,000		18,540,117
1.30% due 10/01/23		1,660,000		1,596,721
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/274		37,002,500		36,217,307
Hilton Domestic Operating Company, Inc.
3.75% due 05/01/294		34,700,000		28,654,566
4.00% due 05/01/314		5,900,000		4,769,147
3.63% due 02/15/324		1,900,000		1,455,207
Choice Hotels International, Inc.
3.70% due 01/15/31		40,900,000		33,998,039
1011778 BC ULC / New Red Finance, Inc.
4.00% due 10/15/304		27,350,000		21,540,313
3.88% due 01/15/284		6,940,000		6,039,258
WMG Acquisition Corp.
3.00% due 02/15/314		18,650,000		14,158,320
3.75% due 12/01/294		10,750,000		8,931,100
Warnermedia Holdings, Inc.
5.14% due 03/15/524		27,350,000		19,878,486
Ferguson Finance plc
3.25% due 06/02/304		17,904,000		14,717,696
4.65% due 04/20/324		5,200,000		4,577,160
Walgreens Boots Alliance, Inc.
4.10% due 04/15/50		24,778,000		17,743,049
British Airways Class A Pass Through Trust
2.90% due 03/15/354		15,287,839		12,423,520
4.25% due 11/15/324		5,300,004		4,768,343
American Airlines Class AA Pass Through Trust
3.35% due 10/15/29		8,802,746		7,676,867
3.20% due 06/15/28		5,490,800		4,774,532
3.00% due 10/15/28		3,984,111		3,439,439
3.15% due 02/15/32		159,919		133,362
Steelcase, Inc.
5.13% due 01/18/29		17,427,000		14,909,077
Whirlpool Corp.
4.60% due 05/15/50		16,920,000		12,665,630
Scotts Miracle-Gro Co.
4.00% due 04/01/31		15,750,000		11,088,000
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.
4.63% due 01/15/294		10,500,000		8,688,750
Air Canada
3.88% due 08/15/264		8,650,000		7,428,188
Allison Transmission, Inc.
3.75% due 01/30/314		7,500,000		5,749,425
Levi Strauss & Co.
3.50% due 03/01/314		6,100,000		4,758,000
Delta Air Lines, Inc. / SkyMiles IP Ltd.
4.75% due 10/20/284		3,800,000		3,539,152
JB Poindexter & Company, Inc.
7.13% due 04/15/264		2,850,000		2,636,250

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Lowe’s Companies, Inc.
1.70% due 09/15/28		2,425,000	$	1,979,870
United Airlines, Inc.
4.38% due 04/15/264		1,750,000		1,561,875
PetSmart, Inc. / PetSmart Finance Corp.
4.75% due 02/15/284		1,750,000		1,497,631
Aramark Services, Inc.
5.00% due 02/01/284		1,525,000		1,358,333
HP Communities LLC
5.86% due 09/15/534		1,420,000		1,352,253
PulteGroup, Inc.
6.38% due 05/15/33		1,400,000		1,321,787
Lear Corp.
5.25% due 05/15/49		1,360,000		1,077,057
JetBlue Class A Pass Through Trust
4.00% due 11/15/32		135,277		120,248
Total Consumer, Cyclical				623,080,728
Communications - 2.8%
Level 3 Financing, Inc.
4.25% due 07/01/284		34,430,000		26,855,744
3.63% due 01/15/294		34,600,000		25,617,494
3.88% due 11/15/294		20,300,000		15,993,583
3.75% due 07/15/294		13,950,000		10,218,375
Paramount Global
4.95% due 01/15/31		32,701,000		28,846,640
4.95% due 05/19/50		39,600,000		28,141,764
Charter Communications Operating LLC / Charter Communications Operating Capital
2.80% due 04/01/31		53,050,000		40,103,035
3.90% due 06/01/52		21,650,000		13,403,770
2.25% due 01/15/29		2,500,000		1,957,432
4.40% due 12/01/61		650,000		414,097
British Telecommunications plc
4.88% due 11/23/813,4		47,450,000		38,575,039
4.25% due 11/23/813,4		8,250,000		6,959,854
9.63% due 12/15/30		2,310,000		2,668,862
Vodafone Group plc
4.13% due 06/04/813		40,375,000		27,959,688
UPC Broadband Finco BV
4.88% due 07/15/314		31,900,000		24,755,357
Rogers Communications, Inc.
4.55% due 03/15/524		29,625,000		23,628,046
McGraw-Hill Education, Inc.
5.75% due 08/01/284		24,975,000		20,854,524
T-Mobile USA, Inc.
2.63% due 04/15/26		13,850,000		12,551,147
2.88% due 02/15/31		7,250,000		5,842,340
Go Daddy Operating Company LLC / GD Finance Co., Inc.
3.50% due 03/01/294		22,100,000		18,075,148
Walt Disney Co.
3.80% due 05/13/60		21,990,000		16,218,849
CCO Holdings LLC / CCO Holdings Capital Corp.
4.50% due 05/01/32		18,275,000		13,937,794
4.25% due 02/01/314		2,125,000		1,629,960
Altice France S.A.
5.13% due 07/15/294		17,600,000		13,149,136
5.13% due 01/15/294		2,290,000		1,689,425
LCPR Senior Secured Financing DAC
5.13% due 07/15/294		13,750,000		10,354,670
6.75% due 10/15/274		5,071,000		4,208,930
CSC Holdings LLC
3.38% due 02/15/314		14,175,000		9,993,375
4.13% due 12/01/304		5,741,000		4,289,675
Virgin Media Secured Finance plc
4.50% due 08/15/304		17,850,000		13,931,039
Radiate Holdco LLC / Radiate Finance, Inc.
4.50% due 09/15/264		15,050,000		12,344,461

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
VeriSign, Inc.
2.70% due 06/15/31		13,950,000	$	10,821,690
Sirius XM Radio, Inc.
4.13% due 07/01/304		12,010,000		9,762,208
Ziggo BV
4.88% due 01/15/304		10,125,000		7,998,750
Amazon.com, Inc.
2.70% due 06/03/60		10,180,000		6,005,620
Virgin Media Vendor Financing Notes IV DAC
5.00% due 07/15/284		6,450,000		5,216,438
Lamar Media Corp.
3.63% due 01/15/31		5,600,000		4,404,456
AT&T, Inc.
2.75% due 06/01/31		5,360,000		4,290,518
Corning, Inc.
4.38% due 11/15/57		2,500,000		1,855,522
Switch Ltd.
3.75% due 09/15/284		1,782,000		1,770,862
Koninklijke KPN N.V.
8.38% due 10/01/30		1,140,000		1,257,239
Match Group Holdings II LLC
4.13% due 08/01/304		1,250,000		1,026,562
Virgin Media Finance plc
5.00% due 07/15/304		850,000		625,086
Motorola Solutions, Inc.
5.50% due 09/01/44		360,000		305,999
Total Communications				530,510,203
Energy - 2.5%
Galaxy Pipeline Assets Bidco Ltd.
3.25% due 09/30/404		91,750,000		67,070,869
2.94% due 09/30/404		57,826,599		43,887,011
1.75% due 09/30/274		1,828,641		1,661,110
BP Capital Markets plc
4.88% 3,6		114,865,000		98,783,900
Sabine Pass Liquefaction LLC
4.50% due 05/15/30		63,355,000		57,714,471
Qatar Energy
3.13% due 07/12/414		37,875,000		27,621,707
3.30% due 07/12/514		37,450,000		26,583,508
ITT Holdings LLC
6.50% due 08/01/294		38,600,000		29,944,714
Valero Energy Corp.
2.80% due 12/01/31		13,230,000		10,522,773
2.15% due 09/15/27		8,920,000		7,711,366
3.65% due 12/01/51		4,175,000		2,846,278
7.50% due 04/15/32		2,530,000		2,744,269
4.00% due 06/01/52		290,000		209,242
Occidental Petroleum Corp.
5.55% due 03/15/26		5,940,000		5,946,772
4.30% due 08/15/39		6,600,000		5,360,883
4.40% due 08/15/49		2,500,000		2,044,843
4.40% due 04/15/46		1,400,000		1,150,653
4.63% due 06/15/45		800,000		662,112
Midwest Connector Capital Company LLC
4.63% due 04/01/294		15,975,000		14,253,748
Cheniere Corpus Christi Holdings LLC
2.74% due 12/31/39		19,150,000		13,811,495
NuStar Logistics, LP
6.38% due 10/01/30		13,850,000		11,850,975
5.63% due 04/28/27		1,799,000		1,568,603
Magellan Midstream Partners, LP
3.25% due 06/01/30		13,260,000		11,290,355
3.95% due 03/01/50		1,600,000		1,136,014
Parkland Corp.
4.63% due 05/01/304		8,000,000		6,485,400
DCP Midstream Operating, LP
3.25% due 02/15/32		7,645,000		6,043,509
DT Midstream, Inc.
4.30% due 04/15/324		3,250,000		2,794,155
4.13% due 06/15/294		550,000		464,750
Phillips 66
3.70% due 04/06/23		2,250,000		2,242,440
Halliburton Co.
7.45% due 09/15/39		1,100,000		1,176,284

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Enterprise Products Operating LLC
5.10% due 02/15/45		1,340,000	$	1,141,151
Enbridge Energy Partners, LP
7.38% due 10/15/45		1,040,000		1,130,181
ONEOK Partners, LP
6.20% due 09/15/43		680,000		594,810
Total Energy				468,450,351
Technology - 1.2%
Broadcom, Inc.
4.93% due 05/15/374		33,182,000		27,360,927
4.15% due 11/15/30		19,480,000		16,860,815
3.19% due 11/15/364		3,135,000		2,144,171
2.60% due 02/15/334		1,660,000		1,185,608
CDW LLC / CDW Finance Corp.
3.57% due 12/01/31		42,240,000		32,886,906
Oracle Corp.
3.95% due 03/25/51		38,750,000		25,699,210
6.13% due 07/08/39		1,190,000		1,090,294
Qorvo, Inc.
4.38% due 10/15/29		21,000,000		17,989,230
3.38% due 04/01/314		8,675,000		6,498,876
NetApp, Inc.
2.70% due 06/22/30		22,405,000		18,206,243
Leidos, Inc.
2.30% due 02/15/31		20,050,000		14,855,446
4.38% due 05/15/30		2,650,000		2,322,492
MSCI, Inc.
3.63% due 09/01/304		17,718,000		14,578,317
3.88% due 02/15/314		1,769,000		1,489,434
Boxer Parent Company, Inc.
6.50% due 10/02/25		EUR 13,500,000		12,371,361
CGI, Inc.
2.30% due 09/14/31		16,050,000		11,845,304
Workday, Inc.
3.80% due 04/01/32		6,500,000		5,641,882
TeamSystem SpA
3.50% due 02/15/28		EUR 5,000,000		4,036,754
Booz Allen Hamilton, Inc.
3.88% due 09/01/284		4,550,000		3,914,198
Microchip Technology, Inc.
0.97% due 02/15/24		1,650,000		1,554,565
Skyworks Solutions, Inc.
0.90% due 06/01/23		500,000		485,088
Open Text Holdings, Inc.
4.13% due 02/15/304		210,000		167,708
Total Technology				223,184,829
Basic Materials - 1.1%
Newcrest Finance Pty Ltd.
3.25% due 05/13/304		48,900,000		40,747,888
4.20% due 05/13/504		26,390,000		18,951,948
Anglo American Capital plc
5.63% due 04/01/304		21,100,000		19,962,621
2.63% due 09/10/304		18,000,000		13,855,258
3.95% due 09/10/504		14,140,000		9,624,913
2.88% due 03/17/314		70,000		54,228
Minerals Technologies, Inc.
5.00% due 07/01/284		18,630,000		16,214,201
Alcoa Nederland Holding BV
4.13% due 03/31/294		8,600,000		7,212,517
5.50% due 12/15/274		6,525,000		6,085,541
6.13% due 05/15/284		2,800,000		2,645,487
Valvoline, Inc.
3.63% due 06/15/314		18,300,000		13,477,753
Yamana Gold, Inc.
2.63% due 08/15/31		14,350,000		10,613,060
4.63% due 12/15/27		3,000,000		2,730,869
Reliance Steel & Aluminum Co.
2.15% due 08/15/30		12,040,000		9,157,528
Corporation Nacional del Cobre de Chile
3.75% due 01/15/314		10,430,000		8,877,703

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
INEOS Quattro Finance 2 plc
2.50% due 01/15/26		EUR 8,500,000	$	6,833,657
Steel Dynamics, Inc.
2.40% due 06/15/25		5,950,000		5,500,916
Nucor Corp.
2.00% due 06/01/25		5,000,000		4,615,001
Carpenter Technology Corp.
6.38% due 07/15/28		2,125,000		1,970,725
Albemarle Corp.
5.45% due 12/01/44		1,500,000		1,302,568
WR Grace Holdings LLC
4.88% due 06/15/274		925,000		795,158
Total Basic Materials				201,229,540
Utilities - 1.0%
Cheniere Corpus Christi Holdings LLC
3.52% due 12/31/39†††		97,100,000		76,053,480
AES Corp.
3.95% due 07/15/304		27,890,000		23,882,207
3.30% due 07/15/254		3,750,000		3,457,987
NRG Energy, Inc.
2.45% due 12/02/274		26,000,000		21,284,834
Arizona Public Service Co.
3.35% due 05/15/50		23,140,000		15,128,842
Alexander Funding Trust
1.84% due 11/15/234		14,400,000		13,474,468
Enel Finance International N.V.
2.88% due 07/12/414		19,800,000		11,295,871
Clearway Energy Operating LLC
3.75% due 02/15/314		11,150,000		8,856,194
Entergy Texas, Inc.
1.50% due 09/01/26		1,650,000		1,424,955
Indiana Michigan Power Co.
6.05% due 03/15/37		1,310,000		1,316,944
NiSource, Inc.
5.65% due 02/01/45		1,370,000		1,268,141
Nevada Power Co.
6.65% due 04/01/36		1,180,000		1,248,654
Progress Energy, Inc.
6.00% due 12/01/39		1,290,000		1,244,276
Southern Power Co.
5.25% due 07/15/43		1,350,000		1,167,136
Consolidated Edison Company of New York, Inc.
5.10% due 06/15/33		1,080,000		1,037,359
Dominion Energy, Inc.
3.82% (3 Month USD LIBOR + 0.53%) due 09/15/23◊		1,030,000		1,025,195
Atmos Energy Corp.
0.63% due 03/09/23		800,000		787,227
ONE Gas, Inc.
0.85% due 03/11/23		404,000		397,702
OGE Energy Corp.
0.70% due 05/26/23		360,000		350,464
Total Utilities				184,701,936
Total Corporate Bonds
(Cost $8,366,380,761)				6,539,291,738
ASSET-BACKED SECURITIES†† - 24.9%
Collateralized Loan Obligations - 15.5%
BXMT Ltd.
2020-FL2 A, 3.84% (1 Month Term SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,4		76,225,000		75,099,538
2020-FL3 AS, 4.15% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,4		23,550,000		23,055,214
2020-FL3 C, 4.95% (30 Day Average SOFR + 2.66%, Rate Floor: 2.55%) due 11/15/37◊,4		16,125,000		15,550,682

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2020-FL2 B, 4.34% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 02/15/38◊,4		16,000,000	$	15,395,158
2020-FL3 B, 4.55% (30 Day Average SOFR + 2.26%, Rate Floor: 2.15%) due 11/15/37◊,7		10,600,000		10,283,971
2020-FL2 C, 4.59% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/38◊,7		5,360,000		5,103,131
2020-FL2 AS, 4.09% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38◊,7		5,200,000		5,027,734
LCCM Trust
2021-FL3 A, 4.27% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,4		98,500,000		93,960,706
2021-FL3 AS, 4.62% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/15/38◊,4		36,950,000		35,139,162
2021-FL3 B, 5.02% (1 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 11/15/38◊,4		20,750,000		19,823,027
LoanCore Issuer Ltd.
2021-CRE6 B, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/15/38◊,7		44,000,000		41,358,236
2021-CRE4 C, 4.10% (30 Day Average SOFR + 1.81%, Rate Floor: 1.70%) due 07/15/35◊,4		25,982,000		24,440,849
2021-CRE6 C, 5.12% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 11/15/38◊,4		22,825,000		21,203,848
2019-CRE2 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,4		17,640,463		17,488,865
2021-CRE5 D, 5.82% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/15/36◊,4		14,350,000		13,602,510
2019-CRE2 B, 4.52% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 05/15/36◊,7		11,575,000		11,311,988
2021-CRE4 D, 4.90% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/35◊,7		5,600,000		5,301,140
2019-CRE3 B, 4.42% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/15/34◊,7		4,410,000		4,332,473
Cerberus Loan Funding XXX, LP
2020-3A A, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,4		100,000,000		97,913,950

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2020-3A B, 5.01% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/33◊,4		10,200,000	$	9,859,965
HERA Commercial Mortgage Ltd.
2021-FL1 B, 4.59% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/38◊,4		49,562,000		46,653,325
2021-FL1 AS, 4.29% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/38◊,4		28,000,000		26,752,146
2021-FL1 C, 4.94% (1 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 02/18/38◊,4		19,200,000		18,144,657
2021-FL1 A, 4.04% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38◊,7		10,000,000		9,649,441
Woodmont Trust
2020-7A A1A, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,4		83,000,000		81,162,895
2020-7A B, 5.11% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/32◊,4		13,500,000		13,017,769
2020-7A A2, 4.76% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/32◊,4		7,000,000		6,865,328
Cerberus Loan Funding XXXII, LP
2021-2A A, 4.13% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,4		65,000,000		62,450,446
2021-2A C, 5.36% (3 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 04/22/33◊,4		20,925,000		19,102,424
2021-2A B, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/22/33◊,4		19,200,000		17,936,312
Golub Capital Partners CLO 33M Ltd.
2021-33A AR2, 4.86% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,4		104,600,001		99,371,684
Palmer Square Loan Funding Ltd.
2022-1A A2, 3.93% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,4		23,000,000		21,617,408
2021-3A B, 4.46% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/20/29◊,4		22,500,000		20,760,682
2021-1A A2, 3.96% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/29◊,4		19,000,000		18,246,405
2021-2A B, 4.38% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,4		10,500,000		9,640,910

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-1A B, 4.51% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/29◊,4		7,100,000	$	6,677,925
2021-2A C, 5.38% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 05/20/29◊,4		7,000,000		6,560,773
ABPCI Direct Lending Fund CLO II LLC
2021-1A A1R, 4.31% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,4		83,450,000		81,267,182
Cerberus Loan Funding XXXI, LP
2021-1A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,4		70,250,000		69,343,965
2021-1A C, 5.11% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 04/15/32◊,4		12,000,000		11,336,341
Golub Capital Partners CLO 36M Ltd.
2018-36A A, 4.13% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,4		76,300,000		75,177,322
KREF Funding V LLC
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,†††		67,947,779		67,641,888
0.15% due 06/25/26†††,10		313,636,364		12,545
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A A1R, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,4		50,650,000		49,536,206
2021-5A A2R, 4.61% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/31◊,4		15,975,000		15,215,580
THL Credit Lake Shore MM CLO I Ltd.
2021-1A A1R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,4		33,500,000		32,531,803
2021-1A BR, 4.51% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/15/33◊,4		30,400,000		28,661,500
ABPCI Direct Lending Fund CLO I LLC
2021-1A A1A2, 4.41% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,4		59,500,000		57,964,918
2021-1A B12, 4.71% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/20/33◊,4		2,500,000		2,335,536
Cerberus Loan Funding XXVI, LP
2021-1A AR, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,4		55,700,000		54,644,814

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-1A BR, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/31◊,4		3,250,000	$	3,128,227
ABPCI Direct Lending Fund IX LLC
2021-9A A1R, 4.17% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,4		34,150,000		33,013,126
2021-9A A2R, 4.57% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/18/31◊,4		26,000,000		24,540,680
CHCP Ltd.
2021-FL1 A, 4.01% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,4		27,978,242		27,445,019
2021-FL1 AS, 4.26% (1 Month Term SOFR + 1.41%, Rate Floor: 1.30%) due 02/15/38◊,4		22,250,000		21,266,000
2021-FL1 B, 4.61% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/38◊,7		5,900,000		5,612,492
2021-FL1 C, 5.06% (1 Month Term SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/38◊,7		2,950,000		2,762,418
FS Rialto
2021-FL3 C, 4.99% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 11/16/36◊,4		31,150,000		29,015,135
2021-FL2 C, 4.99% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 05/16/38◊,4		15,665,000		14,708,327
2021-FL3 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/36◊,7		8,000,000		7,506,552
Fortress Credit Opportunities IX CLO Ltd.
2021-9A A2TR, 4.31% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/33◊,4		46,200,000		44,673,266
2021-9A BR, 4.46% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 10/15/33◊,4		6,700,000		6,190,898
Owl Rock CLO IV Ltd.
2021-4A A1R, 4.58% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,4		36,500,000		34,800,352
2021-4A A2R, 4.88% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/20/33◊,4		16,750,000		15,551,814
Fortress Credit Opportunities XI CLO Ltd.
2018-11A A1T, 3.81% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,4		44,300,000		43,439,552

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2018-11A C, 5.01% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.00%) due 04/15/31◊,4		2,300,000	$	2,139,705
ABPCI Direct Lending Fund CLO VII, LP
2021-7A A1R, 4.20% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,4		39,500,000		37,725,660
2021-7A A2R, 4.62% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 10/20/31◊,4		8,250,000		7,805,545
Cerberus Loan Funding XXXIII, LP
2021-3A A, 4.07% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,4		34,500,000		33,172,709
2021-3A B, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,4		9,500,000		8,520,924
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A B, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/33◊,4		35,900,000		33,382,793
2021-9A C, 4.51% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/33◊,4		3,900,000		3,519,396
Cerberus Loan Funding XXXV, LP
2021-5A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,4		30,750,000		29,436,062
2021-5A B, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 09/22/33◊,4		8,000,000		7,431,033
ACRES Commercial Realty Ltd.
2021-FL1 C, 4.94% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/36◊,7		13,092,000		12,210,925
2021-FL1 D, 5.59% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/36◊,7		11,750,000		10,860,901
2021-FL2 B, 5.19% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/37◊,7		10,100,000		9,745,937
2021-FL2 AS, 4.69% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 01/15/37◊,7		3,500,000		3,360,189
LCM XXIV Ltd.
2021-24A BR, 4.11% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 03/20/30◊,4		24,200,000		23,064,589

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-24A CR, 4.61% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 03/20/30◊,4		13,050,000	$	11,823,603
Golub Capital Partners CLO 16 Ltd.
2021-16A A1R2, 4.39% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,4		26,750,000		25,547,884
2021-16A A2R2, 4.58% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/25/33◊,4		9,000,000		8,574,564
GPMT Ltd.
2019-FL2 C, 5.36% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 02/22/36◊,4		21,400,000		21,173,811
2019-FL2 B, 4.91% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/36◊,7		11,039,044		10,935,514
Golub Capital Partners CLO 49M Ltd.
2021-49A BR, 4.61% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/26/33◊,4		21,695,000		20,139,087
2021-49A CR, 5.31% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 08/26/33◊,4		12,600,000		11,327,124
Madison Park Funding XLVIII Ltd.
2021-48A B, 4.19% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,4		27,500,000		25,920,848
2021-48A C, 4.74% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/33◊,4		5,900,000		5,426,626
BDS Ltd.
2021-FL9 C, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/16/38◊,4		19,500,000		18,234,493
2020-FL5 B, 4.84% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/37◊,7		4,400,000		4,314,814
2021-FL9 D, 5.24% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/16/38◊,7		4,400,000		4,107,565
2020-FL5 AS, 4.39% (1 Month Term SOFR + 1.46%, Rate Floor: 1.35%) due 02/16/37◊,7		3,200,000		3,124,955
Golub Capital Partners CLO 17 Ltd.
2017-17A A1R, 4.43% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,4		29,900,000		29,456,783

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
BCC Middle Market CLO LLC
2021-1A A1R, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,4		30,450,000	$	29,249,463
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A B, 4.14% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/33◊,4		26,700,000		25,072,574
2021-40A C, 4.49% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/33◊,4		2,000,000		1,822,439
MidOcean Credit CLO VII
2020-7A BR, 4.11% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/15/29◊,4		27,500,000		25,941,542
OCP CLO Ltd.
2020-4A A2RR, 4.23% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/29◊,4		25,500,000		24,948,091
STWD Ltd.
2019-FL1 B, 4.64% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 07/15/38◊,7		11,210,000		10,841,547
2019-FL1 C, 4.99% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 07/15/38◊,7		8,800,000		8,488,505
2021-FL2 C, 5.04% (1 Month USD LIBOR + 2.10%, Rate Floor: 2.10%) due 04/18/38◊,7		2,820,000		2,690,464
2019-FL1 AS, 4.44% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 07/15/38◊,7		2,200,000		2,155,544
BSPDF Issuer Ltd.
2021-FL1 C, 5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/15/36◊,7		15,300,000		14,642,039
2021-FL1 B, 4.62% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/36◊,7		6,500,000		6,223,468
2021-FL1 D, 5.57% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/15/36◊,7		3,500,000		3,242,901
Madison Park Funding LIII Ltd.
2022-53A B, 4.22% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,4		24,000,000		22,749,430
Venture XIV CLO Ltd.
2020-14A CRR, 5.29% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/29◊,4		22,725,000		21,451,257
Magnetite XXIX Ltd.
2021-29A B, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/34◊,4		15,100,000		14,234,166

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-29A C, 4.16% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/34◊,4		7,700,000	$	6,986,016
Apres Static CLO Ltd.
2020-1A A2R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/15/28◊,4		21,750,000		21,123,219
NewStar Fairfield Fund CLO Ltd.
2018-2A A1N, 3.98% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/30◊,4		21,171,638		20,766,878
Golub Capital Partners CLO 54M L.P
2021-54A B, 4.68% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 08/05/33◊,4		21,000,000		19,465,005
Marathon CLO V Ltd.
2017-5A A2R, 4.43% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/27◊,4		18,020,137		17,848,919
2017-5A A1R, 3.85% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,4		1,465,610		1,461,287
AMMC CLO XIV Ltd.
2021-14A A2R2, 4.18% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/29◊,4		18,290,000		17,600,319
Anchorage Capital CLO 6 Ltd.
2021-6A CRR, 4.71% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 07/15/30◊,4		18,585,000		17,316,059
Recette CLO Ltd.
2021-1A BRR, 4.11% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/34◊,4		9,800,000		9,114,546
2021-1A CRR, 4.46% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 04/20/34◊,4		9,200,000		8,123,668
Neuberger Berman Loan Advisers CLO 32 Ltd.
2021-32A BR, 4.14% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/32◊,4		14,100,000		13,311,202
2021-32A CR, 4.44% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 01/20/32◊,4		4,200,000		3,818,605
BSPRT Issuer Ltd.
2021-FL7 C, 5.12% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 12/15/38◊,7		7,250,000		6,805,442
2021-FL6 C, 4.87% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/36◊,7		5,550,000		5,140,629

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-FL7 B, 4.87% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 12/15/38◊,7		4,875,000	$	4,625,197
Owl Rock CLO VI Ltd.
2021-6A B1, 5.28% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/21/32◊,4		17,450,000		16,393,109
KREF
2021-FL2 C, 4.94% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/39◊,4		16,600,000		15,746,465
Owl Rock CLO II Ltd.
2021-2A ALR, 4.26% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/33◊,4		15,600,000		14,998,464
Dryden 36 Senior Loan Fund
2020-36A CR3, 4.56% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/29◊,4		15,200,000		14,309,893
Golub Capital Partners CLO 25M Ltd.
2018-25A AR, 4.21% (3 Month USD LIBOR + 1.38%, Rate Floor: 1.38%) due 05/05/30◊,4		14,470,880		14,286,046
Octagon Investment Partners 49 Ltd.
2021-5A B, 4.06% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/33◊,4		12,800,000		12,021,441
Greystone Commercial Real Estate Notes
2021-FL3 C, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/39◊,7		12,000,000		11,006,670
Lake Shore MM CLO III LLC
2021-2A A1R, 4.22% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,4		10,000,000		9,757,911
Golub Capital Partners CLO 54M, LP
2021-54A A, 4.36% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,4		10,000,000		9,571,987
Neuberger Berman CLO XVI-S Ltd.
2021-16SA BR, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/34◊,4		10,200,000		9,525,554
Cerberus Loan Funding XXXVI, LP
2021-6A A, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,4		8,985,093		8,918,646
Neuberger Berman Loan Advisers CLO 47 Ltd.
2022-47A B, 4.10% (3 Month Term SOFR + 1.80%, Rate Floor: 1.80%) due 04/14/35◊,4		9,000,000		8,504,584

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Boyce Park CLO Ltd.
2022-1A B1, 2.37% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,4		8,800,000	$	8,179,292
Dryden 37 Senior Loan Fund
2015-37A Q, due 01/15/314,11		10,000,000		7,633,047
ACRE Commercial Mortgage Ltd.
2021-FL4 B, 4.39% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 12/18/37◊,7		3,100,000		3,016,548
2021-FL4 C, 4.74% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 12/18/37◊,7		3,100,000		3,003,293
HGI CRE CLO Ltd.
2021-FL2 B, 4.44% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/17/36◊,7		5,000,000		4,781,934
2021-FL2 C, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 09/17/36◊,7		1,000,000		938,110
Owl Rock CLO I Ltd.
2019-1A A, 4.78% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/31◊,4		5,650,000		5,452,656
Shackleton CLO Ltd.
2017-8A BR, 4.01% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 10/20/27◊,4		5,510,000		5,342,953
VOYA CLO
2021-2A BR, 4.66% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 06/07/30◊,4		4,950,000		4,619,412
Atlas Senior Loan Fund III Ltd.
2017-1A BR, 4.24% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 11/17/27◊,4		4,300,000		4,163,654
Elmwood CLO 19 Ltd.
2022-6A B1, due 10/17/34◊,4		4,000,000		3,997,871
Northwoods Capital XII-B Ltd.
2018-12BA B, 5.14% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/31◊,4		4,000,000		3,864,778
BRSP Ltd.
2021-FL1 D, 5.69% (1 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 08/19/38◊,7		3,800,000		3,547,967
MF1 Multifamily Housing Mortgage Loan Trust
2021-FL6 D, 5.49% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/36◊,7		3,800,000		3,499,728
Carlyle Global Market Strategies CLO Ltd.
2012-3A SUB, due 01/14/324,11		8,920,000		2,907,028

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Wellfleet CLO Ltd.
2018-2A A2R, 4.29% (3 Month USD LIBOR + 1.58%, Rate Floor: 1.58%) due 10/20/28◊,4		2,500,000	$	2,408,084
Diamond CLO Ltd.
2021-1A CR, 5.18% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/29◊,4		2,300,000		2,282,532
2021-1A BR, 4.48% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/25/29◊,4		74,868		74,801
Allegro CLO VII Ltd.
2018-1A C, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 06/13/31◊,4		2,500,000		2,301,229
Voya CLO Ltd.
2013-1A INC, due 10/15/304,11		10,575,071		2,020,896
TRTX Issuer Ltd.
2019-FL3 B, 4.79% (1 Month Term SOFR + 1.86%, Rate Floor: 1.75%) due 10/15/34◊,7		1,500,000		1,468,649
2019-FL3 A, 4.19% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 10/15/34◊,7		438,061		436,493
Treman Park CLO Ltd.
2015-1A SUB, due 10/20/284,11		6,859,005		852,780
Newfleet CLO Ltd.
2018-1A A1R, 3.66% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,4		775,636		769,221
Venture XIII CLO Ltd.
2013-13A SUB, due 09/10/294,11		3,700,000		416,893
Great Lakes CLO Ltd.
2014-1A SUB, due 10/15/294,11		461,538		193,615
Babson CLO Ltd.
2014-IA SUB, due 07/20/254,11		1,300,000		81,120
Atlas Senior Loan Fund IX Ltd.
2018-9A SUB, due 04/20/284,11		1,200,000		70,782
Avery Point II CLO Ltd.
2013-3X COM , due 01/18/2511		2,375,019		60,444
OHA Credit Partners IX Ltd.
2013-9A ACOM, due 10/20/254,11		1,808,219		1,989
Copper River CLO Ltd.
2007-1A INC, due 01/20/21†††,7,11		1,500,000		630
Total Collateralized Loan Obligations				2,922,359,794
Financial - 2.7%
HV Eight LLC
3.36% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25◊,†††		EUR 107,000,000		104,814,697

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Strategic Partners Fund VIII LP
5.04% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,†††		51,900,000	$	51,864,477
5.06% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,†††		21,900,000		21,884,020
Madison Avenue Secured Funding Trust
2021-1, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,4		70,150,000		70,150,000
KKR Core Holding Company LLC
4.00% due 08/12/31†††		65,584,832		56,123,391
Project Onyx
4.52% (3 Month Term SOFR + 2.40%, Rate Floor: 2.30%) due 01/26/27◊,†††		31,000,000		30,988,788
HarbourVest Structured Solutions IV Holdings, LP
4.60% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††		19,956,425		19,955,851
2.58% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††		EUR 11,100,000		10,876,575
Ceamer Finance LLC
3.69% due 03/22/31†††		23,066,908		20,971,705
Thunderbird A
5.50% due 03/01/37†††		18,995,745		18,995,745
Bib Merchant Voucher Receivables Ltd.
4.18% due 04/07/28†††		19,215,573		18,684,713
Lightning A
5.50% due 03/01/37†††		18,392,346		18,392,346
Aesf Vi Verdi, LP
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,†††		EUR 9,941,304		9,738,765
4.40% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,†††		8,197,841		8,200,084
Oxford Finance Funding
2020-1A, 3.10% due 02/15/284		13,869,459		13,701,756
Nassau LLC
2019-1, 3.98% due 08/15/344		13,967,545		13,293,924
Lam Trade Finance Group LLC
2.50% due 12/29/22		11,000,000		11,000,000
Industrial DPR Funding Ltd.
2016-1A, 5.24% due 04/15/264		2,322,687		2,287,884
Total Financial				501,924,721

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Transport-Aircraft - 2.2%
AASET Trust
2021-1A, 2.95% due 11/16/414		67,583,078	$	53,895,605
2021-2A, 2.80% due 01/15/474		23,494,895		18,570,513
2020-1A, 3.35% due 01/16/404		17,711,806		14,289,986
2019-1, 3.84% due 05/15/394		9,303,826		6,175,322
2017-1A, 3.97% due 05/16/424		5,841,697		4,632,466
2019-2, 3.38% due 10/16/394		2,021,475		1,437,472
Castlelake Aircraft Structured Trust
2021-1A, 3.47% due 01/15/464		55,124,596		48,296,649
Navigator Aircraft ABS Ltd.
2021-1, 2.77% due 11/15/464		45,705,552		38,839,632
Lunar Structured Aircraft Portfolio Notes
2021-1, 2.64% due 10/15/464		36,932,887		30,499,706
AASET US Ltd.
2018-2A, 4.45% due 11/18/384		36,500,997		30,205,718
Sprite Ltd.
2021-1, 3.75% due 11/15/464		34,936,272		29,493,781
Sapphire Aviation Finance II Ltd.
2020-1A, 3.23% due 03/15/404		28,418,408		23,527,293
KDAC Aviation Finance Ltd.
2017-1A, 4.21% due 12/15/424		27,761,132		21,248,856
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/404		25,160,569		18,528,819
MAPS Ltd.
2018-1A, 4.21% due 05/15/434		19,393,733		17,275,825
WAVE LLC
2019-1, 3.60% due 09/15/444		19,742,578		15,617,721
Falcon Aerospace Ltd.
2019-1, 3.60% due 09/15/394		11,564,873		9,188,897
2017-1, 4.58% due 02/15/424		4,588,991		4,160,996
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/434		14,066,381		12,307,534
2016-1, 4.45% due 08/15/41		147,417		132,408
Raspro Trust
2005-1A, 3.64% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,4		10,637,384		9,863,708
Slam Ltd.
2021-1A, 3.42% due 06/15/464		1,382,850		1,096,778
Stripes Aircraft Ltd.
2013-1 A1, 6.49% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/20/23◊,†††		156,653		149,833
Total Transport-Aircraft				409,435,518
Whole Business - 1.4%
Arbys Funding LLC
2020-1A, 3.24% due 07/30/504		95,599,000		80,931,532

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
SERVPRO Master Issuer LLC
2021-1A, 2.39% due 04/25/514		29,921,250	$	23,596,017
2022-1A, 3.13% due 01/25/524		23,382,500		18,566,079
Taco Bell Funding LLC
2021-1A, 2.29% due 08/25/514		23,393,225		18,692,169
2016-1A, 4.97% due 05/25/464		14,544,125		14,000,684
Wingstop Funding LLC
2020-1A, 2.84% due 12/05/504		25,308,750		21,507,401
2022-1A, 3.73% due 03/05/524		10,300,000		8,648,673
ServiceMaster Funding LLC
2020-1, 3.34% due 01/30/514		28,860,500		22,119,582
2020-1, 2.84% due 01/30/514		9,653,000		7,864,801
Domino’s Pizza Master Issuer LLC
2021-1A, 3.15% due 04/25/514		9,214,363		7,351,062
2017-1A, 4.12% due 07/25/474		7,926,500		7,288,441
Wendy’s Funding LLC
2019-1A, 3.78% due 06/15/494		12,346,125		11,312,162
2019-1A, 4.08% due 06/15/494		1,528,438		1,345,838
DB Master Finance LLC
2019-1A, 4.35% due 05/20/494		7,656,210		6,964,341
2021-1A, 2.79% due 11/20/514		6,699,375		5,255,559
Sonic Capital LLC
2021-1A, 2.64% due 08/20/514		11,472,120		8,211,055
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.19% due 06/05/494		3,356,100		3,179,865
Total Whole Business				266,835,261
Collateralized Debt Obligations - 1.0%
Anchorage Credit Funding 4 Ltd.
2021-4A AR, 2.72% due 04/27/394		108,450,000		99,334,647
2021-4A BR, 3.12% due 04/27/397		16,250,000		13,803,763
Anchorage Credit Funding 3 Ltd.
2021-3A A1R, 2.87% due 01/28/394		54,000,000		48,165,176
Anchorage Credit Funding Ltd.
2021-13A A1, 2.88% due 07/27/394		32,850,000		28,927,766
2021-13A B1, 3.23% due 07/27/397		6,345,000		5,391,954
2021-13A C2, 3.65% due 07/27/397		1,950,000		1,518,886
Total Collateralized Debt Obligations				197,142,192
Net Lease - 0.9%
STORE Master Funding I-VII
2016-1A, 3.96% due 10/20/464		27,605,690		25,724,338
2016-1A, 4.32% due 10/20/464		11,195,251		10,372,661
CF Hippolyta Issuer LLC
2022-1A, 6.11% due 08/15/624		20,500,000		19,425,823
2020-1, 2.28% due 07/15/604		10,125,538		8,854,757
Capital Automotive REIT
2020-1A, 3.48% due 02/15/504		22,102,328		19,877,660

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-1A, 2.76% due 08/15/514		6,594,500	$	5,027,814
CARS-DB4, LP
2020-1A, 3.81% due 02/15/504		19,940,381		17,375,631
2020-1A, 3.25% due 02/15/504		3,416,346		2,921,684
CMFT Net Lease Master Issuer LLC
2021-1, 2.91% due 07/20/514		10,050,000		8,257,848
2021-1, 3.04% due 07/20/514		5,050,000		3,921,021
2021-1, 3.44% due 07/20/514		3,215,000		2,507,857
2021-1, 2.51% due 07/20/514		3,000,000		2,464,120
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 2.26% due 11/20/504		15,000,000		13,226,531
STORE Master Funding I LLC
2015-1A, 4.17% due 04/20/454		9,580,058		9,033,042
New Economy Assets Phase 1 Sponsor LLC
2021-1, 2.41% due 10/20/614		10,000,000		8,355,996
CF Hippolyta LLC
2020-1, 2.60% due 07/15/604		4,413,814		3,569,808
STORE Master Funding LLC
2021-1A, 3.70% due 06/20/514		3,560,606		2,844,376
Capital Automotive LLC
2017-1A, 4.18% due 04/15/474		269,209		261,661
Total Net Lease				164,022,628
Single Family Residence - 0.6%
FirstKey Homes Trust
2020-SFR2, 4.50% due 10/19/374		21,640,000		19,633,022
2020-SFR2, 4.00% due 10/19/374		20,340,000		18,228,804
2020-SFR2, 3.37% due 10/19/374		13,010,000		11,485,315
2021-SFR1, 2.19% due 08/17/384		8,174,000		6,918,058
Home Partners of America Trust
2021-2, 2.65% due 12/17/264		47,059,662		40,600,281
2021-3, 2.80% due 01/17/414		15,695,303		13,430,474
Tricon Residential Trust
2021-SFR1, 2.59% due 07/17/384		7,000,000		6,021,840
Total Single Family Residence				116,317,794
Infrastructure - 0.3%
VB-S1 Issuer LLC - VBTEL
2022-1A, 4.29% due 02/15/524		40,900,000		35,779,520
Secured Tenant Site Contract Revenue Notes Series
2018-1A, 3.97% due 06/15/484		21,060,635		20,802,008
Hotwire Funding LLC
2021-1, 2.66% due 11/20/514		4,025,000		3,321,684
Total Infrastructure				59,903,212
Transport-Container - 0.3%
Textainer Marine Containers VII Ltd.
2020-1A, 2.73% due 08/21/454		53,228,450		48,036,441
MC Ltd.
2021-1, 2.63% due 11/05/354		11,194,986		9,653,863
Total Transport-Container				57,690,304

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Insurance - 0.0%
JGWPT XXIII LLC
2011-1A, 4.70% due 10/15/564		2,443,497	$	2,317,334
JGWPT XXIV LLC
2011-2A, 4.94% due 09/15/564		1,760,725		1,702,719
321 Henderson Receivables VI LLC
2010-1A, 5.56% due 07/15/594		836,932		827,454
Total Insurance				4,847,507
Total Asset-Backed Securities
(Cost $5,070,281,116)				4,700,478,931
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 21.5%
Government Agency - 9.7%
Uniform MBS 30 Year
due 11/15/5218		1,271,056,934		1,176,921,186
Fannie Mae
4.00% due 07/01/52		226,461,708		211,737,660
2.40% due 03/01/40		27,004,000		19,175,156
3.83% due 05/01/49		19,000,000		16,360,117
2.27% due 10/01/41		16,935,000		11,292,481
3.42% due 09/01/47		12,406,747		10,566,729
due 12/25/4312,14		12,221,159		9,225,939
2.07% due 10/01/50		13,049,040		9,196,180
2.57% due 08/01/51		12,382,650		8,666,258
2.00% due 09/01/50		11,710,524		8,150,369
2.31% due 10/01/41		9,435,000		6,339,004
1.76% due 08/01/40		9,360,000		6,216,321
2.17% due 03/01/51		8,638,000		5,907,411
2.44% due 10/01/51		8,500,000		5,583,483
2.10% due 07/01/50		7,430,256		5,259,775
2.43% due 12/01/51		7,401,000		5,103,475
2.49% due 12/01/39		6,700,872		5,025,717
2.41% due 12/01/41		7,100,000		4,836,717
due 10/25/4312,14		6,056,761		4,598,415
3.05% due 03/01/50		5,991,383		4,554,987
2.94% due 03/01/52		5,798,099		4,484,123
2.51% due 10/01/46		5,669,694		4,293,400
4.07% due 05/01/49		4,671,239		4,243,575
2.52% due 12/01/41		5,285,381		4,016,157
2.17% due 10/01/50		5,141,061		3,628,139
2.99% due 01/01/40		4,429,000		3,440,689
4.24% due 08/01/48		3,400,000		3,313,190
3.50% due 02/01/48		3,817,708		3,284,306
2.54% due 12/01/39		3,685,453		2,859,482
2.34% due 09/01/39		3,632,941		2,679,866
2.42% due 10/01/51		3,442,931		2,498,590
2.36% due 01/01/42		3,500,000		2,360,099
2.96% due 10/01/49		2,829,688		2,250,145
2.50% due 03/01/35		2,341,513		2,127,356
3.26% due 11/01/46		2,363,139		2,010,407
2.69% due 02/01/52		2,477,524		1,846,924
2.92% due 03/01/50		2,344,128		1,837,802
2.51% due 07/01/50		2,362,194		1,754,078
2.62% due 12/01/51		2,324,162		1,714,633
2.93% due 03/01/52		2,082,282		1,617,789
2.68% due 04/01/50		1,907,306		1,469,825
3.46% due 08/01/49		1,662,615		1,414,626
3.50% due 12/01/47		1,443,477		1,319,162
3.08% due 02/01/33		1,300,000		1,164,923
3.74% due 02/01/48		1,236,016		1,087,224
4.05% due 09/01/48		1,142,509		1,043,688
2.32% due 07/01/50		1,362,537		979,535
3.13% due 01/01/30		971,937		894,547
2.25% due 10/01/50		1,256,375		876,952
3.96% due 06/01/49		951,089		816,200
3.60% due 10/01/47		917,426		792,192
3.01% due 04/01/42		1,050,000		770,188
4.00% due 12/01/38		794,843		751,421
2.65% due 12/01/51		989,721		729,649
3.18% due 09/01/42		843,271		700,642
3.50% due 12/01/46		748,295		684,477
4.00% due 08/01/47		714,594		676,751
3.91% due 07/01/49		667,120		639,476
4.50% due 03/01/48		630,682		609,294
3.63% due 01/01/37		704,441		608,063
3.50% due 12/01/45		619,476		569,184
3.36% due 12/01/39		683,623		562,222
4.00% due 01/01/46		584,557		554,181
2.75% due 11/01/31		613,179		540,907
2.50% due 01/01/35		588,606		535,503
3.00% due 07/01/46		510,008		454,026
2.56% due 05/01/39		595,237		452,871
4.50% due 02/01/45		322,441		315,914
4.33% due 09/01/48		329,264		310,780
4.22% due 04/01/49		315,000		282,634

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
5.00% due 12/01/44		253,207	$	251,544
3.50% due 08/01/43		223,616		205,377
5.00% due 05/01/44		202,190		200,072
4.50% due 05/01/47		182,619		178,638
2.06% due 09/01/36		140,000		99,489
2.28% due 01/01/51		69,742		50,140
Freddie Mac
4.00% due 06/01/52		178,397,993		166,343,592
3.26% due 09/01/45		2,169,818		1,876,135
1.96% due 05/01/50		1,555,362		1,052,064
1.95% due 05/01/50		1,432,900		967,710
4.00% due 01/15/46		846,868		836,709
3.50% due 01/01/44		874,672		804,282
4.00% due 02/01/46		639,659		607,531
4.00% due 11/01/45		517,083		491,804
3.00% due 08/01/46		541,339		482,167
4.50% due 06/01/48		248,695		240,398
Fannie Mae-Aces
1.61% (WAC) due 03/25/35◊,10		229,938,302		25,773,209
Freddie Mac Seasoned Credit Risk Transfer Trust
2.00% due 11/25/59		12,012,544		10,202,406
2.00% due 05/25/60		9,781,426		8,307,604
FARM Mortgage Trust
2.18% (WAC) due 01/25/51◊,4		10,946,906		8,925,322
Freddie Mac Multifamily Structured Pass Through Certificates
0.64% (WAC) due 12/25/24◊,10		41,888,800		418,038
FREMF Mortgage Trust
0.13% due 05/25/464,10		660,233,285		167,567
Total Government Agency				1,842,066,985
Residential Mortgage-Backed Securities - 8.8%
CSMC Trust
2020-RPL5, 3.02% (WAC) due 08/25/60◊,4		73,650,796		70,563,038
2021-RPL7, 1.93% (WAC) due 07/27/61◊,4		63,645,706		58,250,364
2021-RPL4, 1.80% (WAC) due 12/27/60◊,4		42,558,644		39,588,519
2021-RPL1, 1.67% (WAC) due 09/27/60◊,4		28,992,032		27,228,084
BRAVO Residential Funding Trust
2022-R1, 3.13% due 01/29/704,13		81,887,331		72,339,645
2021-C, 1.62% due 03/01/614,13		68,822,848		62,749,741
2021-HE1, 3.78% (30 Day Average SOFR + 1.50%, Rate Floor: 0.00%) due 01/25/70◊,4		7,500,000		7,387,708
FKRT
2.21% due 11/30/58†††,7		117,200,000		111,472,220
PRPM LLC
2021-5, 1.79% due 06/25/264,13		65,608,913		59,007,698
2021-8, 1.74% (WAC) due 09/25/26◊,4		36,376,957		33,215,520
2022-1, 3.72% due 02/25/274,13		8,898,082		8,282,418
Legacy Mortgage Asset Trust
2021-GS2, 1.75% due 04/25/614,13		42,352,615		39,293,634
2021-GS3, 1.75% due 07/25/614,13		37,811,363		34,436,642
2021-GS5, 2.25% due 07/25/674,13		24,285,480		22,248,137
Towd Point Revolving Trust
4.83% due 09/25/647		81,500,000		78,757,525

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Morgan Stanley ABS Capital I Incorporated Trust
2006-NC5, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/36◊		26,392,189	$	14,493,242
2007-HE5, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 03/25/37◊		27,527,956		12,723,471
2006-HE6, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 09/25/36◊		23,666,187		9,168,418
2006-HE5, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/36◊		13,687,855		7,368,335
2006-HE4, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/36◊		8,547,639		4,730,342
2006-HE5, 3.58% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 08/25/36◊		8,201,661		4,337,750
2007-HE2, 3.21% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 01/25/37◊		8,360,500		4,129,555
2007-HE3, 3.19% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 12/25/36◊		5,790,354		3,081,084
2007-NC3, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 05/25/37◊		3,586,563		2,739,117
2007-HE6, 3.14% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/37◊		2,595,276		2,302,077
2007-HE3, 3.21% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/36◊,4		2,108,351		1,318,151
2006-HE6, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 09/25/36◊		2,999,939		1,159,374
LSTAR Securities Investment Ltd.
2021-1, 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,7		40,441,148		37,522,794
2021-2, 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,7		24,706,520		24,107,728
OSAT Trust
2021-RPL1, 2.12% due 05/25/654,13		62,532,975		58,006,275
Home Equity Loan Trust
2007-FRE1, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊		55,125,674		51,324,390

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
JP Morgan Mortgage Acquisition Trust
2006-WMC4, 3.21% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/36◊		65,025,176	$	41,944,145
2006-WMC4, 3.20% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/36◊		11,963,639		6,559,556
2006-WMC3, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 08/25/36◊		1,917,473		1,382,670
NYMT Loan Trust
2022-SP1, 5.25% due 07/25/624,13		43,055,618		41,247,066
Soundview Home Loan Trust
2006-OPT5, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 07/25/36◊		35,702,192		34,077,303
GSAMP Trust
2007-NC1, 3.21% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/46◊		26,148,226		14,511,387
2006-HE8, 3.31% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/37◊		10,107,000		8,620,898
2006-NC2, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/36◊		6,428,559		3,823,599
2007-NC1, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/46◊		5,834,052		3,001,821
Alternative Loan Trust
2007-OA4, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 05/25/47◊		16,798,459		14,420,888
2007-OH3, 3.66% (1 Month USD LIBOR + 0.58%, Rate Cap/Floor: 10.00%/0.58%) due 09/25/47◊		6,629,837		5,810,732
2006-43CB, 6.00% (1 Month USD LIBOR + 0.50%, Rate Cap/Floor: 6.00%/6.00%) due 02/25/37◊		6,237,606		3,679,404
2007-OA7, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 05/25/47◊		2,463,087		2,091,198
2007-OH3, 3.52% (1 Month USD LIBOR + 0.44%, Rate Cap/Floor: 10.00%/0.44%) due 09/25/47◊		659,030		568,336
NovaStar Mortgage Funding Trust Series
2007-2, 3.28% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊		24,857,542		23,833,342

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2007-1, 3.21% (1 Month USD LIBOR + 0.13%, Rate Cap/Floor: 11.00%/0.13%) due 03/25/37◊		2,952,265	$	1,985,080
Citigroup Mortgage Loan Trust, Inc.
2007-AMC1, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 12/25/36◊,4		21,749,371		12,119,278
2006-WF1, 5.03% due 03/25/36		14,986,361		7,743,639
2007-AMC3, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/37◊		6,283,732		5,492,594
Imperial Fund Mortgage Trust
2022-NQM2, 4.02% (WAC) due 03/25/67◊,4		13,704,724		12,309,756
2022-NQM2, 4.20% (WAC) due 03/25/67◊,4		13,471,847		12,038,145
Structured Asset Securities Corporation Mortgage Loan Trust
2008-BC4, 3.71% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37◊		22,308,681		21,662,131
2006-BC4, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/36◊		2,306,751		2,239,752
2006-BC6, 3.25% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 01/25/37◊		154,628		151,778
2006-OPT1, 3.34% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/25/36◊		13,026		12,952
ACE Securities Corporation Home Equity Loan Trust Series
2006-NC1, 3.70% (1 Month USD LIBOR + 0.62%, Rate Floor: 0.62%) due 12/25/35◊		16,761,000		15,909,040
2007-ASP1, 3.48% (1 Month USD LIBOR + 0.40%, Rate Floor: 0.40%) due 03/25/37◊		8,409,116		4,085,778
2007-WM2, 3.29% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 02/25/37◊		6,486,963		3,055,886
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR10, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/36◊		8,537,449		7,657,437
2006-AR9, 1.93% (1 Year CMT Rate + 0.83%, Rate Floor: 0.83%) due 11/25/46◊		9,218,049		7,644,892

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2006-AR9, 1.94% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊		4,049,546	$	3,280,591
2006-7, 4.05% due 09/25/36		5,383,421		1,587,951
2006-8, 4.17% due 10/25/36		348,995		127,680
Starwood Mortgage Residential Trust
2020-1, 2.56% (WAC) due 02/25/50◊,4		11,581,890		11,029,056
2020-1, 2.41% (WAC) due 02/25/50◊,4		8,909,147		8,592,393
IXIS Real Estate Capital Trust
2007-HE1, 3.19% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 05/25/37◊		33,145,125		8,530,233
2006-HE1, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36◊		12,032,457		6,446,620
2007-HE1, 3.31% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/37◊		6,290,471		1,619,087
2007-HE1, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 05/25/37◊		5,907,900		1,520,550
2007-HE1, 3.14% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/37◊		4,915,100		1,264,872
American Home Mortgage Investment Trust
2007-1, 2.08% due 05/25/4710		129,546,489		18,542,999
Credit Suisse Mortgage Capital Certificates
2021-RPL9, 2.44% (WAC) due 02/25/61◊,4		19,470,501		17,801,634
SPS Servicer Advance Receivables Trust
2020-T2, 1.83% due 11/15/554		20,000,000		17,593,632
Merrill Lynch Mortgage Investors Trust Series
2007-HE2, 3.60% (1 Month USD LIBOR + 0.52%, Rate Floor: 0.52%) due 02/25/37◊		32,796,789		10,865,379
2006-HE6, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 11/25/37◊		8,632,581		4,899,665
Citigroup Mortgage Loan Trust
2022-A, 6.17% due 09/25/624,13		15,257,186		14,946,432
Cascade Funding Mortgage Trust
2018-RM2, 4.00% (WAC) due 10/25/68◊,7		8,907,905		8,592,161
2019-RM3, 2.80% (WAC) due 06/25/69◊,7		5,330,510		5,176,392
RALI Series Trust
2007-QO4, 3.46% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 05/25/47◊		4,119,465		3,693,530

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2006-QO2, 3.52% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46◊		16,536,210	$	3,623,295
2007-QO2, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/47◊		7,566,821		2,999,346
2006-QO2, 3.62% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/46◊		5,362,610		1,207,670
2006-QO6, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/46◊		4,717,823		1,118,709
2007-QO3, 3.40% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 03/25/47◊		884,734		770,039
Ameriquest Mortgage Securities Trust
2006-M3, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 10/25/36◊		27,480,993		9,388,279
2006-M3, 3.18% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/36◊		11,543,863		3,943,785
ABFC Trust
2007-WMC1, 4.33% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 06/25/37◊		15,935,337		11,622,894
Bear Stearns Asset-Backed Securities I Trust
2006-HE9, 3.22% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/36◊		11,884,831		11,421,631
First NLC Trust
2005-4, 3.86% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/36◊		9,670,098		9,417,005
2005-1, 3.54% (1 Month USD LIBOR + 0.46%, Rate Cap/Floor: 14.00%/0.46%) due 05/25/35◊		2,301,413		1,955,791
GCAT Trust
2022-NQM3, 4.35% (WAC) due 04/25/67◊,4		12,017,807		11,229,273
Master Asset-Backed Securities Trust
2006-WMC4, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/36◊		10,910,350		3,618,167
2006-NC2, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 08/25/36◊		7,943,203		3,307,249
2006-WMC3, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/36◊		5,833,616		2,227,323

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2007-WMC1, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 01/25/37◊		6,032,133	$	1,955,048
Securitized Asset-Backed Receivables LLC Trust
2006-WM4, 3.24% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 11/25/36◊		30,709,620		9,157,292
2006-HE2, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/36◊		3,396,301		1,585,334
HarborView Mortgage Loan Trust
2006-14, 3.29% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/47◊		6,913,878		6,004,396
2006-12, 3.18% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/38◊		5,228,136		4,616,740
First Franklin Mortgage Loan Trust
2006-FF16, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 12/25/36◊		20,970,210		9,736,961
Merrill Lynch Alternative Note Asset Trust Series
2007-A1, 3.54% (1 Month USD LIBOR + 0.46%, Rate Floor: 0.46%) due 01/25/37◊		19,626,757		7,006,132
2007-A1, 3.38% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/37◊		7,442,794		2,624,768
Fremont Home Loan Trust
2006-E, 3.20% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 01/25/37◊		11,980,953		5,426,119
2006-D, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/36◊		10,727,918		4,001,593
Securitized Asset-Backed Receivables LLC Trust 2007-BR2
2007-BR2, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 02/25/37◊,4		10,733,407		8,935,519
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG
2006-HE1, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/36◊		9,119,517		8,839,534
CFMT LLC
2022-HB9, 3.25% (WAC) due 09/25/37◊,4		9,250,000		8,416,032

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W4, 3.84% (1 Month USD LIBOR + 0.76%, Rate Floor: 0.76%) due 02/25/36◊		10,032,327	$	7,999,617
Long Beach Mortgage Loan Trust
2006-8, 3.40% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/36◊		14,949,585		4,598,719
2006-6, 3.58% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 07/25/36◊		4,643,754		1,924,776
2006-8, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 09/25/36◊		3,989,765		1,226,471
Credit-Based Asset Servicing and Securitization LLC
2006-CB2, 3.46% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/36◊		7,566,430		7,083,510
Lehman XS Trust Series
2007-2N, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 02/25/37◊		5,154,922		4,683,478
2007-15N, 3.58% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.00%) due 08/25/37◊		1,430,924		1,304,932
2006-10N, 3.50% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/46◊		328,694		316,787
WaMu Asset-Backed Certificates WaMu Series
2007-HE4, 3.25% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/47◊		5,169,282		3,832,716
2007-HE4, 3.33% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/47◊		3,505,109		2,257,138
WaMu Mortgage Pass-Through Certificates Series Trust
2007-OA6, 1.91% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/47◊		4,799,324		3,930,586
2006-AR13, 1.98% (1 Year CMT Rate + 0.88%, Rate Floor: 0.88%) due 10/25/46◊		1,475,471		1,261,040
2006-AR11, 2.02% (1 Year CMT Rate + 0.92%, Rate Floor: 0.92%) due 09/25/46◊		689,932		596,043

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 55

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
American Home Mortgage Assets Trust
2006-4, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 10/25/46◊		7,118,996	$	3,922,069
2006-6, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 12/25/46◊		2,208,949		1,823,561
Deutsche Alt-A Securities Mortgage Loan Trust Series
2006-AR4, 3.34% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 12/25/36◊		9,984,218		3,685,397
2007-OA2, 1.87% (1 Year CMT Rate + 0.77%, Rate Floor: 0.77%) due 04/25/47◊		2,246,310		1,975,909
GSAA Home Equity Trust
2006-5, 3.44% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 03/25/36◊		13,029,065		5,059,431
2007-7, 3.62% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/37◊		66,056		63,615
Impac Secured Assets CMN Owner Trust
2005-2, 3.58% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 03/25/36◊		5,500,698		4,944,736
COLT Mortgage Loan Trust
2021-2, 2.38% (WAC) due 08/25/66◊,4		7,108,000		4,529,320
OBX Trust
2022-NQM8, 6.10% due 09/25/624,13		4,250,000		4,194,952
Option One Mortgage Loan Trust
2007-2, 3.33% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/37◊		5,101,195		2,655,504
2007-5, 3.30% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 05/25/37◊		2,180,985		1,403,343
ASG Resecuritization Trust
2010-3, 2.83% (1 Month USD LIBOR + 0.29%, Rate Cap/Floor: 10.50%/0.29%) due 12/28/45◊,4		2,838,066		2,641,929
Morgan Stanley Capital I Incorporated Trust
2006-HE1, 3.66% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/36◊		1,972,203		1,894,070
Countrywide Asset-Backed Certificates
2005-15, 3.76% (1 Month USD LIBOR + 0.45%, Rate Floor: 0.45%) due 03/25/36◊		1,270,494		1,248,523

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Residential Mortgage Loan Trust
2020-1, 2.68% (WAC) due 01/26/60◊,4		1,202,903	$	1,130,472
Structured Asset Investment Loan Trust
2006-3, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/36◊		396,651		384,010
2004-BNC2, 4.28% (1 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 12/25/34◊		311,000		304,297
Nomura Resecuritization Trust
2015-4R, 2.20% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,4		753,971		670,320
Impac Secured Assets Trust
2006-2, 3.42% (1 Month USD LIBOR + 0.34%, Rate Cap/Floor: 11.50%/0.34%) due 08/25/36◊		620,728		535,002
Alliance Bancorp Trust
2007-OA1, 3.56% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 07/25/37◊		571,657		480,858
Morgan Stanley Resecuritization Trust
2014-R9, 2.58% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 11/26/46◊,4		291,820		287,753
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		185,597		178,011
Morgan Stanley Re-REMIC Trust
2010-R5, 2.40% due 06/26/364		130,595		117,028
Irwin Home Equity Loan Trust
2007-1, 5.85% due 08/25/374		788		760
Total Residential Mortgage-Backed Securities				1,670,426,943
Commercial Mortgage-Backed Securities - 1.8%
BX Commercial Mortgage Trust
2021-VOLT, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,4		60,050,000		55,369,049
2021-VOLT, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,4		52,000,000		48,272,156
2019-XL, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/15/36◊,4		6,162,500		5,914,646

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2022-LP2, 4.88% (1 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 02/15/39◊,4		5,883,098	$	5,471,629
JP Morgan Chase Commercial Mortgage Securities Trust
2021-NYAH, 4.66% (1 Month USD LIBOR + 1.84%, Rate Floor: 1.84%) due 06/15/38◊,4		14,350,000		13,561,753
2016-JP3, 3.57% (WAC) due 08/15/49◊		10,290,000		8,718,227
2021-NYAH, 5.01% (1 Month USD LIBOR + 2.19%, Rate Floor: 2.19%) due 06/15/38◊,4		8,000,000		7,481,479
2016-JP3, 1.52% (WAC) due 08/15/49◊,10		63,938,612		2,537,628
SMRT
2022-MINI, 4.80% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/39◊,4		32,500,000		30,466,072
Life Mortgage Trust
2021-BMR, 5.17% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 03/15/38◊,4		19,167,918		17,570,736
2021-BMR, 4.57% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/15/38◊,4		5,160,593		4,824,288
Citigroup Commercial Mortgage Trust
2019-GC43, 0.75% (WAC) due 11/10/52◊,10		218,829,131		7,185,451
2019-GC41, 1.17% (WAC) due 08/10/56◊,10		103,464,063		4,967,320
2016-C2, 1.88% (WAC) due 08/10/49◊,10		32,682,277		1,603,964
2016-P4, 2.05% (WAC) due 07/10/49◊,10		28,423,216		1,482,691
2016-P5, 1.53% (WAC) due 10/10/49◊,10		25,432,616		1,065,756
2016-GC37, 1.84% (WAC) due 04/10/49◊,10		17,343,593		762,464
2015-GC35, 0.87% (WAC) due 11/10/48◊,10		28,597,017		506,107
2013-GC15, 4.37% (WAC) due 09/10/46◊		380,000		377,168
2015-GC29, 1.16% (WAC) due 04/10/48◊,10		18,503,262		375,492
2016-C3, 1.16% (WAC) due 11/15/49◊,10		10,243,074		325,225
Extended Stay America Trust
2021-ESH, 5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/38◊,4		12,423,539		11,894,321
2021-ESH, 4.52% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/15/38◊,4		6,410,546		6,161,552

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Wells Fargo Commercial Mortgage Trust
2017-C38, 1.12% (WAC) due 07/15/50◊,10		66,051,428	$	2,329,350
2016-BNK1, 1.86% (WAC) due 08/15/49◊,10		35,087,572		1,742,014
2017-RB1, 1.33% (WAC) due 03/15/50◊,10		35,115,407		1,406,937
2016-C32, 4.88% (WAC) due 01/15/59◊		1,400,000		1,316,361
2017-C42, 1.01% (WAC) due 12/15/50◊,10		34,255,400		1,222,486
2016-C35, 2.04% (WAC) due 07/15/48◊,10		23,035,235		1,220,128
2015-NXS4, 1.17% (WAC) due 12/15/48◊,10		38,117,399		972,760
2017-RC1, 1.63% (WAC) due 01/15/60◊,10		19,814,301		931,789
2016-NXS5, 1.59% (WAC) due 01/15/59◊,10		22,408,387		780,200
2015-C30, 1.03% (WAC) due 09/15/58◊,10		29,170,931		602,587
2015-P2, 1.09% (WAC) due 12/15/48◊,10		22,774,712		553,482
2016-C37, 0.96% (WAC) due 12/15/49◊,10		11,715,998		283,152
2015-NXS1, 1.21% (WAC) due 05/15/48◊,10		8,161,333		164,155
BENCHMARK Mortgage Trust
2019-B14, 0.91% (WAC) due 12/15/62◊,10		108,746,175		3,603,185
2020-IG3, 3.23% (WAC) due 09/15/48◊,4		5,232,000		3,538,132
2018-B2, 0.57% (WAC) due 02/15/51◊,10		120,140,703		1,754,775
2018-B6, 0.57% (WAC) due 10/10/51◊,10		60,592,230		928,612
2018-B6, 4.76% (WAC) due 10/10/51◊		750,000		677,192
GS Mortgage Securities Trust
2020-GC45, 0.79% (WAC) due 02/13/53◊,10		153,393,707		5,234,392
2019-GC42, 0.93% (WAC) due 09/01/52◊,10		69,459,169		2,783,785
2017-GS6, 1.16% (WAC) due 05/10/50◊,10		41,622,896		1,569,221
2017-GS6, 3.87% due 05/10/50		521,000		463,170
2015-GC28, 1.12% (WAC) due 02/10/48◊,10		14,931,097		259,782
GS Mortgage Securities Corporation Trust
2020-UPTN, 3.35% (WAC) due 02/10/37◊,4		5,350,000		4,718,356
2020-DUNE, 4.17% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/36◊,4		3,750,000		3,669,447

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2020-DUNE, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/36◊,4		1,000,000	$	965,486
JPMDB Commercial Mortgage Securities Trust
2017-C7, 0.99% (WAC) due 10/15/50◊,10		129,624,220		3,871,240
2016-C4, 3.64% (WAC) due 12/15/49◊		2,650,000		2,285,253
2016-C4, 0.88% (WAC) due 12/15/49◊,10		81,950,671		2,026,534
2016-C2, 1.65% (WAC) due 06/15/49◊,10		23,895,456		948,432
2017-C5, 1.04% (WAC) due 03/15/50◊,10		7,604,906		217,770
COMM Mortgage Trust
2018-COR3, 0.58% (WAC) due 05/10/51◊,10		196,332,168		3,954,091
2015-CR26, 1.06% (WAC) due 10/10/48◊,10		78,057,068		1,611,496
2015-CR23, 1.02% (WAC) due 05/10/48◊,10		38,719,208		665,947
2015-CR23, 3.80% due 05/10/48		700,000		659,894
2015-CR24, 0.84% (WAC) due 08/10/48◊,10		40,161,729		627,788
2015-CR27, 1.06% (WAC) due 10/10/48◊,10		25,626,603		561,371
2013-CR13, 0.89% (WAC) due 11/10/46◊,10		34,806,156		239,884
2014-LC15, 1.22% (WAC) due 04/10/47◊,10		9,075,640		98,797
DBGS Mortgage Trust
2018-C1, 4.78% (WAC) due 10/15/51◊		7,588,000		6,870,570
KKR Industrial Portfolio Trust
2021-KDIP, 4.37% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 12/15/37◊,4		6,562,500		6,167,646
CSAIL Commercial Mortgage Trust
2019-C15, 1.20% (WAC) due 03/15/52◊,10		94,670,751		4,252,279
2015-C1, 0.96% (WAC) due 04/15/50◊,10		49,391,032		672,261
2016-C6, 2.03% (WAC) due 01/15/49◊,10		4,960,663		248,375
BANK
2020-BN25, 0.53% (WAC) due 01/15/63◊,10		140,000,000		3,534,776
2017-BNK6, 0.91% (WAC) due 07/15/60◊,10		39,587,875		1,100,630
2017-BNK4, 1.49% (WAC) due 05/15/50◊,10		11,615,685		508,625
UBS Commercial Mortgage Trust
2017-C2, 1.24% (WAC) due 08/15/50◊,10		40,008,049		1,575,449
2017-C5, 1.19% (WAC) due 11/15/50◊,10		42,619,807		1,471,611

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
CD Mortgage Trust
2017-CD6, 1.02% (WAC) due 11/13/50◊,10		41,157,564	$	1,206,658
2016-CD1, 1.50% (WAC) due 08/10/49◊,10		29,561,096		1,129,467
2016-CD2, 0.70% (WAC) due 11/10/49◊,10		29,881,022		520,614
CD Commercial Mortgage Trust
2017-CD4, 1.38% (WAC) due 05/10/50◊,10		25,941,533		1,093,752
2017-CD3, 1.12% (WAC) due 02/10/50◊,10		32,143,894		1,035,998
BBCMS Mortgage Trust
2018-C2, 0.93% (WAC) due 12/15/51◊,10		57,573,418		2,047,829
CGMS Commercial Mortgage Trust
2017-B1, 0.88% (WAC) due 08/15/50◊,10		59,595,860		1,727,142
JPMCC Commercial Mortgage Securities Trust
2017-JP6, 1.20% (WAC) due 07/15/50◊,10		48,130,279		1,639,356
JPMBB Commercial Mortgage Securities Trust
2015-C27, 1.29% (WAC) due 02/15/48◊,10		67,341,393		1,423,442
2013-C12, 0.53% (WAC) due 07/15/45◊,10		29,948,767		42,045
Morgan Stanley Bank of America Merrill Lynch Trust
2015-C27, 1.02% (WAC) due 12/15/47◊,10		62,153,751		1,176,769
CFCRE Commercial Mortgage Trust
2016-C3, 1.14% (WAC) due 01/10/48◊,10		36,828,377		959,773
Bank of America Merrill Lynch Commercial Mortgage Trust
2017-BNK3, 1.16% (WAC) due 02/15/50◊,10		21,339,337		744,941
DBJPM Mortgage Trust
2017-C6, 1.05% (WAC) due 06/10/50◊,10		20,494,075		636,833
SG Commercial Mortgage Securities Trust
2016-C5, 2.04% (WAC) due 10/10/48◊,10		5,167,680		251,301
Morgan Stanley Capital I Trust
2016-UBS9, 4.75% (WAC) due 03/15/49◊		275,000		249,501
GS Mortgage Securities Corporation II
2013-GC10, 2.94% due 02/10/46		225,000		224,232
WFRBS Commercial Mortgage Trust
2013-C12, 1.22% (WAC) due 03/15/48◊,4,10		5,131,191		6,423
Total Commercial Mortgage-Backed Securities			$	340,872,905

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Military Housing - 1.2%
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 4.66% (WAC) due 11/25/55◊,4		112,781,520	$	103,949,294
2015-R1, 4.44% (WAC) due 11/25/52◊,4		21,347,059		19,776,981
2015-R1, 0.70% (WAC) due 11/25/55◊,4,10		169,821,662		12,247,912
2015-R1, 4.32% (WAC) due 10/25/52◊,4		13,393,531		11,756,035
Capmark Military Housing Trust
2006-RILY, 6.15% due 07/10/51†††,4		12,694,452		11,700,935
2008-AMCW, 6.90% due 07/10/55†††,4		8,148,928		8,915,720
2007-AETC, 5.75% due 02/10/52†††,4		7,223,667		6,611,725
2006-RILY, 3.13% (1 Month USD LIBOR + 0.37%, Rate Floor: 0.37%) due 07/10/51◊,†††,4		6,829,471		4,411,079
2007-ROBS, 6.06% due 10/10/52†††,4		4,565,466		4,190,887
2007-AET2, 6.06% due 10/10/52†††,4		2,999,198		2,816,273
GMAC Commercial Mortgage Asset Corp.
2007-HCKM, 6.11% due 08/10/52†††,4		21,673,194		20,466,106
2005-DRUM, 5.47% due 05/10/50†††,4		4,407,587		3,839,565
2002-MEAD, 6.85% due 05/10/37†††,4		3,177,622		3,369,683
2005-BLIS, 5.25% due 07/10/50†††,4		2,500,000		2,121,229
Total Military Housing				216,173,424
Total Collateralized Mortgage Obligations
(Cost $4,465,722,841)				4,069,540,257
U.S. GOVERNMENT SECURITIES†† - 12.2%
U.S. Treasury Notes
2.75% due 08/15/328		1,040,181,000		951,115,502
2.63% due 05/31/27		244,730,000		229,740,288
2.38% due 03/31/29		7,200,000		6,519,375
2.25% due 08/15/27		3,370,000		3,097,767
0.50% due 05/31/27		2,600,000		2,205,633
1.50% due 10/31/24		2,100,000		1,985,812
2.00% due 04/30/24		2,000,000		1,929,141
1.50% due 01/31/27		2,000,000		1,792,812
2.13% due 05/15/25		880,000		833,559
1.38% due 11/15/31		347,000		281,938
U.S. Treasury Bonds
2.00% due 08/15/518		800,000,000		546,437,504
due 02/15/4612,14		354,745,000		136,988,574
due 05/15/448,12,14		302,165,000		124,241,503
due 11/15/5112,14		275,000,000		94,193,151
due 02/15/5212,14		143,820,000		49,098,349
due 11/15/448,12,14		70,650,000		28,389,085
due 08/15/5112,14		43,990,000		15,172,358
2.88% due 08/15/45		2,630,000		2,145,916
2.38% due 11/15/49		2,300,000		1,732,008
3.25% due 05/15/42		1,830,000		1,624,125
1.38% due 08/15/50		2,450,000		1,418,607
2.75% due 11/15/42		700,000		567,082
U.S. Treasury Strip Principal
due 02/15/5112,14		310,000,000		107,931,795
Total U.S. Government Securities
(Cost $2,750,714,787)				2,309,441,884
SENIOR FLOATING RATE INTERESTS††,◊ - 8.5%
Consumer, Cyclical - 2.0%
MB2 Dental Solutions LLC
9.70% (3 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††		76,758,567		75,297,425

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Packers Holdings LLC
6.01% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28		36,032,553	$	32,992,486
Verisure Holding AB
3.47% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28		EUR 30,010,000		26,324,561
3.75% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26		EUR 6,890,000		6,094,507
BGIS (BIFM CA Buyer, Inc.)
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26		32,383,274		31,330,817
Mavis Tire Express Services TopCo Corp.
7.25% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 05/04/28		28,291,875		26,470,727
CNT Holdings I Corp.
6.25% (1 Month Term SOFR + 3.50%, Rate Floor: 4.25%) due 11/08/27		23,886,250		22,713,196
Zephyr Bidco Ltd.
6.44% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 07/23/25		GBP 23,950,000		21,931,500
Pacific Bells LLC
8.31% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28		22,978,165		21,369,693
PetSmart LLC
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28		19,998,000		18,881,512
Loire Finco Luxembourg SARL
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/27		19,406,341		18,177,337
Flamingo
4.62% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/24/28		EUR 18,600,000		16,257,271
Fertitta Entertainment LLC
7.03% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/27/29		13,979,750		12,945,808
BCP V Modular Services Holdings IV Ltd.
5.69% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 12/15/28		EUR 14,800,000		12,714,104

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
New Trojan Parent, Inc.
6.04% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28†††		13,874,375	$	10,891,384
Adevinta ASA
4.44% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/26/28		EUR 9,900,000		9,120,847
Truck Hero, Inc.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 01/31/28		8,865,000		7,705,192
PAI Holdco, Inc.
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 10/28/27		5,085,624		4,810,136
Power Solutions (Panther)
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26		3,931,066		3,709,944
SP PF Buyer LLC
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25		3,339,440		2,735,002
OEConnection LLC
7.56% ((1 Month USD LIBOR + 4.00%) and (3 Month USD LIBOR + 4.00%), Rate Floor: 4.00%) due 09/25/26		1,161,042		1,114,600
Cast & Crew Payroll LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/26		595,806		579,421
Rent-A-Center, Inc.
6.06% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28		492,500		445,713
BRE/Everbright M6 Borrower LLC
8.05% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 09/09/26		99,497		96,346
Total Consumer, Cyclical				384,709,529
Industrial - 1.6%
United Airlines, Inc.
6.53% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28		40,586,250		38,664,085
American Bath Group LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/23/27		33,917,494		29,406,467
Mileage Plus Holdings LLC
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		28,975,000		29,042,222
TransDigm, Inc.
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25		14,650,937		14,014,207

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25		5,739,186	$	5,498,370
Merlin Buyer, Inc.
7.03% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/14/28		20,049,250		18,946,541
IFCO Management GmbH
3.73% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 05/29/26		EUR 19,870,000		17,483,380
SkyMiles IP Ltd.
6.46% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27		17,127,651		17,141,010
Icebox Holdco III, Inc.
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/28		17,519,107		16,380,365
Hunter Douglas, Inc.
6.34% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/26/29		19,750,000		16,165,375
AI Convoy Luxembourg SARL
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27		EUR 13,593,008		12,323,368
Service Logic Acquisition, Inc.
6.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27		12,124,438		11,351,505
6.97% ((1 Month USD LIBOR + 4.00%) and (2 Month USD LIBOR + 4.00%), Rate Floor: 4.75%) due 10/29/27		123,627		115,746
Hillman Group, Inc.
5.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/14/28		10,669,058		10,167,613
Fugue Finance BV
3.74% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24		EUR 10,500,000		9,540,664
Filtration Group Corp.
4.19% (1 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25		EUR 7,868,042		7,332,324
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25		1,630,039		1,562,295
CapStone Acquisition Holdings, Inc.
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27†††		8,640,428		8,424,417
Air Canada
6.42% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28		8,324,311		7,900,687

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 65

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
TK Elevator Midco GmbH
6.87% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27		8,165,827	$	7,812,002
TricorBraun Holdings, Inc.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28		7,457,884		6,989,901
DXP Enterprises, Inc.
7.87% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27		5,843,502		5,552,788
Charter Next Generation, Inc.
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27		4,224,750		4,000,331
Dispatch Terra Acquisition LLC
7.92% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28†††		3,844,976		3,422,029
Berlin Packaging LLC
6.38% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.25%) due 03/13/28		2,871,000		2,705,917
YAK MAT (YAK ACCESS LLC)
13.64% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26†††		7,240,000		2,172,000
Anchor Packaging LLC
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/18/26		1,933,277		1,863,196
BWAY Holding Co.
5.81% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24		121,787		113,186
API Heat Transfer
12.00% (3 Month USD LIBOR, Rate Floor 0.00%) (in-kind rate was 12.00%) due 01/01/24†††,15		53,424		26,712
12.00% (3 Month USD LIBOR, Rate Floor 0.00%) (in-kind rate was 12.00%) due 10/02/23†††,15		9,531		8,102
Total Industrial				306,126,805
Consumer, Non-cyclical - 1.5%
Quirch Foods Holdings LLC
7.93% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/27/27†††		38,520,187		35,968,225
Bombardier Recreational Products, Inc.
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27		33,484,848		31,978,030
PetIQ LLC
7.07% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28†††		28,538,750		26,255,650

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Southern Veterinary Partners LLC
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27		21,873,940	$	20,643,531
National Mentor Holdings, Inc.
7.18% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28		27,924,401		19,791,419
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28		538,426		381,609
HAH Group Holding Co. LLC
8.71% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27		19,464,648		18,491,416
Mission Veterinary Partners
7.25% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28		19,107,000		17,936,696
Nidda Healthcare Holding GmbH
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26		EUR 18,276,306		15,912,370
Women’s Care Holdings, Inc.
7.87% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28		16,138,320		15,035,589
Sigma Holding BV (Flora Food)
3.74% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25		EUR 17,000,000		13,297,089
Blue Ribbon LLC
8.56% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28		14,107,500		12,009,009
Medline Borrower LP
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28		8,977,500		8,239,639
SCP Eye Care Services LLC
7.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28†††		6,558,518		6,525,725
7.32% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28†††		1,148,293		1,136,810
Confluent Health LLC
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28†††		8,103,471		7,090,537
Energizer Holdings, Inc.
5.31% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27		7,387,500		7,045,828
Elanco Animal Health, Inc.
4.31% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27		4,702,467		4,464,428

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Pearl Intermediate Parent LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25		4,751,020	$	4,376,878
Midwest Physician Administrative Services
6.92% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/13/28		4,437,181		4,054,474
Elsan SAS
4.26% ((1 Month EURIBOR + 3.35%) and (3 Month EURIBOR + 3.35%), Rate Floor: 3.35%) due 06/16/28		EUR 4,500,000		4,041,885
Kronos Acquisition Holdings, Inc.
6.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		3,183,300		2,941,019
Spectrum Brands, Inc.
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28		2,610,043		2,473,015
IQVIA, Inc.
3.19% (3 Month EURIBOR + 2.00%, Rate Floor: 2.00%) due 03/07/24		EUR 1,835,451		1,740,144
Aveanna Healthcare LLC
6.80% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/17/28		481,925		383,130
Total Consumer, Non-cyclical				282,214,145
Financial - 1.2%
Higginbotham Insurance Agency, Inc.
8.37% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.00%) due 11/25/26†††		25,388,548		24,758,912
HighTower Holding LLC
6.73% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28		22,678,625		20,963,668
Nexus Buyer LLC
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26		21,861,782		20,946,429
Jane Street Group LLC
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28		21,013,262		20,124,612
Alter Domus
6.49% (1 Month SOFR + 3.50%, Rate Floor: 3.50%) due 02/17/28		20,576,650		19,805,026

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Orion Advisor Solutions, Inc.
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/24/27		17,371,828	$	16,329,518
HUB International Ltd.
5.77% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25		14,582,457		14,002,221
USI, Inc.
6.42% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/16/24		6,388,308		6,207,327
6.92% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26		6,123,694		5,883,829
Cross Financial Corp.
7.13% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27		11,968,130		11,589,099
Franchise Group, Inc.
7.56% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26		12,146,378		11,316,416
Jones Deslauriers Insurance Management, Inc.
7.75% (3 Month Canada Banker Acceptance Rate + 4.25%, Rate Floor: 5.00%) due 03/27/28†††		CAD 11,853,841		7,855,285
11.00% (3 Month Canada Banker Acceptance Rate + 7.50%, Rate Floor: 8.00%) due 03/26/29†††		CAD 3,489,000		2,286,817
Duff & Phelps
6.78% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27		10,093,484		9,504,731
Trans Union LLC
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28		9,319,166		9,010,516
Alliant Holdings Intermediate LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25		8,063,012		7,714,045
NFP Corp.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27		7,553,392		7,081,305
Citadel Securities, LP
5.65% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28		3,563,430		3,455,636
AmWINS Group, Inc.
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28		3,409,233		3,255,033
Total Financial				222,090,425
Technology - 1.1%
Datix Bidco Ltd.
6.19% (6 Month GBP LIBOR + 4.50%, Rate Floor: 5.19%) due 04/28/25†††		GBP 45,800,000		49,862,553

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
7.01% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/27/25†††		19,781,561	$	19,285,043
Peraton Corp.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		32,122,028		30,387,438
Planview Parent, Inc.
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27		29,425,875		27,807,452
Team.Blue Finco SARL
4.89% (3 Month EURIBOR + 3.70%, Rate Floor: 3.70%) due 03/30/28		EUR 22,750,000		20,290,601
Apttus Corp.
7.12% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28†††		12,424,500		11,368,417
Project Boost Purchaser LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26		6,320,000		5,972,400
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26		4,626,705		4,383,802
Boxer Parent Co., Inc.
4.69% (1 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 10/02/25		EUR 8,212,377		7,425,186
Aston FinCo SARL
6.96% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 10/09/26†††		GBP 5,727,718		5,884,619
Athenahealth Group, Inc.
6.58% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/15/29		6,055,837		5,413,918
Navicure, Inc.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/22/26		5,592,927		5,348,237
Storable, Inc.
6.38% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/17/28		4,962,500		4,652,344
Paya Holdings III, LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/23/28		3,366,000		3,265,020
Sportradar Capital SARL
4.21% (1 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/27		EUR 2,776,190		2,554,297
Emerald TopCo, Inc. (Press Ganey)
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26		1,202,170		1,090,969

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Aston FinCo SARL
7.37% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/09/26		632,773	$	591,377
Total Technology				205,583,673
Communications - 0.5%
Syndigo LLC
7.32% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27†††		24,526,500		22,073,850
Authentic Brands
6.63% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/21/28		21,745,500		20,757,819
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24		1,023,145		997,310
McGraw Hill LLC
8.32% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28		20,147,120		18,535,351
UPC Broadband Holding BV
5.74% (1 Month USD LIBOR + 2.93%, Rate Floor: 2.93%) due 01/31/29		19,200,000		18,288,000
Xplornet Communications, Inc.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28		9,900,000		8,684,775
Radiate Holdco LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26		2,447,249		2,258,517
Zayo Group Holdings, Inc.
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27		1,652,094		1,375,583
Internet Brands, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24		750,947		714,218
Flight Bidco, Inc.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25		733,988		685,362
SFR Group S.A.
6.20% (3 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 02/02/26		614,482		556,106
Total Communications				94,926,891
Basic Materials - 0.4%
INEOS Ltd.
3.44% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26		EUR 31,100,000		26,988,691
Illuminate Buyer LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27		26,705,322		24,134,935

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Trinseo Materials Operating S.C.A.
5.62% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28		10,961,250	$	10,026,146
GrafTech Finance, Inc.
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25		8,705,065		8,117,473
W.R. Grace Holdings LLC
7.44% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 09/22/28		1,240,625		1,158,434
Total Basic Materials				70,425,679
Energy - 0.1%
ITT Holdings LLC
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28		13,308,570		12,676,413
Venture Global Calcasieu Pass LLC
5.74% (1 Month USD LIBOR + 2.63%, Rate Floor: 2.63%) due 08/19/26†††		12,016,661		11,986,620
Lotus Midstream, LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/29/25		528,868		518,952
Total Energy				25,181,985
Utilities - 0.1%
Hamilton Projects Acquiror LLC
8.17% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27		25,514,426		25,004,138
Total Senior Floating Rate Interests
(Cost $1,798,909,681)				1,616,263,270
FEDERAL AGENCY BONDS†† - 1.2%
Tennessee Valley Authority
4.25% due 09/15/65		138,205,000		123,146,321
4.63% due 09/15/60		42,258,000		40,712,371
5.38% due 04/01/56		8,960,000		9,678,341
due 09/15/5310,14		1,612,000		347,881
due 09/15/5510,14		1,612,000		313,046
due 09/15/5610,14		1,612,000		296,871
due 03/15/5710,14		1,612,000		289,565
due 09/15/5710,14		1,612,000		282,439
due 09/15/5810,14		1,612,000		270,598
due 03/15/5910,14		1,612,000		263,965
due 09/15/5910,14		1,612,000		257,494
due 09/15/6010,14		1,612,000		245,024
due 09/15/5410,14		1,020,000		207,534
due 03/15/6110,14		1,020,000		151,239
due 09/15/6110,14		1,020,000		147,532
due 09/15/6210,14		1,020,000		139,841
due 03/15/6310,14		1,020,000		136,406
due 09/15/6310,14		1,020,000		133,055
due 09/15/6410,14		1,020,000		126,599
due 03/15/6510,14		1,020,000		125,034
due 09/15/6510,14		1,020,000		121,470
Tennessee Valley Authority Principal Strips
due 01/15/4812,14		38,400,000		11,000,064
due 12/15/4212,14		23,785,000		9,005,596
due 01/15/3812,14		15,800,000		7,668,577
due 09/15/6512,14		3,500,000		416,808
due 09/15/3912,14		570,000		253,993
due 04/01/5612,14		540,000		101,732
Federal Farm Credit Bank
3.00% due 03/08/32		5,100,000		4,450,459
2.00% due 05/14/40		3,000,000		1,985,361
2.04% due 12/22/45		2,870,000		1,681,171
2.60% due 06/28/39		2,000,000		1,467,326
1.99% due 07/30/40		2,000,000		1,257,264
2.48% due 11/17/36		1,650,000		1,244,159
2.75% due 02/02/37		1,580,000		1,240,014
3.11% due 08/05/48		1,500,000		1,116,681
2.69% due 11/29/41		1,080,000		771,308
2.43% due 01/29/37		720,000		551,024
2.90% due 12/09/41		720,000		530,855

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
2.84% due 06/01/46		720,000	$	494,400
2.59% due 12/30/41		180,000		126,209
2.59% due 08/24/46		140,000		92,063
3.67% due 02/26/44		70,000		59,077
Freddie Mac
due 09/15/3612,14		2,675,000		1,403,720
2.05% due 08/19/50		2,010,000		1,121,755
2.02% due 10/05/45		720,000		422,780
2.25% due 09/15/50		360,000		210,183
Resolution Funding Corporation Principal Strips
due 01/15/3012,14		1,950,000		1,434,102
due 04/15/3012,14		725,000		527,204
Federal Home Loan Bank
2.69% due 09/26/34		1,350,000		1,099,270
2.45% due 08/16/41		540,000		373,667
3.63% due 06/22/43		350,000		296,383
Total Federal Agency Bonds
(Cost $343,064,485)				229,795,831
MUNICIPAL BONDS†† - 0.7%
New York - 0.3%
Westchester County Local Development Corp. Revenue Bonds
3.85% due 11/01/50		40,000,000		28,810,188
Port Authority of New York & New Jersey Revenue Bonds
3.14% due 02/15/51		23,045,000		16,303,358
Total New York				45,113,546
Texas - 0.2%
Dallas Fort Worth International Airport Revenue Bonds
3.09% due 11/01/40		13,800,000		10,552,209
City of San Antonio Texas Electric & Gas Systems Revenue Bonds
2.91% due 02/01/48		10,500,000		7,375,703
Wylie Independent School District General Obligation Unlimited
due 08/15/4614		8,885,000		2,674,955
Central Texas Regional Mobility Authority Revenue Bonds
3.17% due 01/01/41		3,000,000		2,240,302
Central Texas Turnpike System Revenue Bonds
3.03% due 08/15/41		3,150,000		2,151,367
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds
3.42% due 09/01/50		2,500,000		1,726,413
Harris County-Houston Sports Authority Revenue Bonds
due 11/15/4514		2,850,000		794,819
due 11/15/4114		1,500,000		537,239
Harris County Cultural Education Facilities Finance Corp. Revenue Bonds
3.34% due 11/15/37		1,500,000		1,212,275
Dallas/Fort Worth International Airport Revenue Bonds
2.92% due 11/01/50		1,300,000		886,051
Grand Parkway Transportation Corp. Revenue Bonds
3.31% due 10/01/49		1,000,000		680,847
Total Texas				30,832,180
California - 0.1%
California Public Finance Authority Revenue Bonds
3.07% due 10/15/40		8,000,000		5,780,902
2.55% due 01/01/40		3,600,000		2,617,953

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Oakland Unified School District/Alameda County General Obligation Unlimited
2.87% due 08/01/35		7,405,000	$	5,733,736
3.12% due 08/01/40		600,000		448,601
San Mateo Foster City School District General Obligation Unlimited
3.06% due 08/01/44		6,125,000		4,329,797
California State University Revenue Bonds
2.98% due 11/01/51		5,000,000		3,424,529
Oakland Redevelopment Agency Successor Agency Tax Allocation
4.00% due 09/01/39		1,100,000		952,583
Hillsborough City School District General Obligation Unlimited
due 09/01/3714		1,000,000		455,095
due 09/01/3914		1,000,000		400,077
Total California				24,143,273
Illinois - 0.0%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38		5,524,999		5,410,463
6.63% due 02/01/35		1,820,000		1,910,131
City of Chicago Illinois General Obligation Unlimited
6.31% due 01/01/44		4,500,000		4,718,606
Total Illinois				12,039,200
Mississippi - 0.1%
Medical Center Educational Building Corp. Revenue Bonds
2.92% due 06/01/41		11,800,000		8,258,488
Alabama - 0.0%
Auburn University Revenue Bonds
2.68% due 06/01/50		6,500,000		4,344,397
North Carolina - 0.0%
Inlivian Revenue Bonds
3.02% due 01/01/38		4,125,000		3,464,121
Ohio - 0.0%
County of Franklin Ohio Revenue Bonds
2.88% due 11/01/50		4,000,000		2,566,383
Washington - 0.0%
Central Washington University Revenue Bonds
6.95% due 05/01/40		1,750,000		1,961,195
Arizona - 0.0%
Northern Arizona University Revenue Bonds
3.09% due 08/01/39		2,350,000		1,821,278
Florida - 0.0%
County of Miami-Dade Florida Revenue Bonds
due 10/01/4114		4,100,000		1,525,341
Oklahoma - 0.0%
Tulsa Airports Improvement Trust Revenue Bonds
3.10% due 06/01/45		1,000,000		679,821

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Face Amount~		Value
Oklahoma Development Finance Authority Revenue Bonds
4.65% due 08/15/30		450,000	$	395,642
Total Oklahoma				1,075,463
Pennsylvania - 0.0%
Pennsylvania Economic Development Financing Authority Revenue Bonds
due 01/01/4114		995,000		363,650
Idaho - 0.0%
Boise State University Revenue Bonds
3.06% due 04/01/40		250,000		185,112
Total Municipal Bonds
(Cost $186,048,066)				137,693,627
FOREIGN GOVERNMENT DEBT†† - 0.1%
Panama Government International Bond
4.50% due 04/16/50		22,700,000		15,814,943
Bermuda Government International Bond
3.38% due 08/20/504		8,400,000		5,610,228
Total Foreign Government Debt
(Cost $33,816,677)				21,425,171
U.S. TREASURY BILLS†† - 0.1%
U.S. Treasury Bills
2.36% due 12/22/2216		18,000,000		17,872,080
Total U.S. Treasury Bills
(Cost $17,903,199)				17,872,080
SENIOR FIXED RATE INTERESTS††† - 0.0%
Industrial - 0.0%
CTL Logistics
2.65% due 10/10/42		7,051,472		5,402,287
Total Senior Fixed Rate Interests
(Cost $7,051,472)				5,402,287

	Contracts/ Notional Value
LISTED OPTIONS PURCHASED† - 0.8%
Put Options on:
Equity Options
S&P 500 Index Expiring November 2022 with strike price of $3,800.00 (Notional Value $832,580,964)		2,322		58,781,430
S&P 500 Index Expiring December 2022 with strike price of $3,600.00 (Notional Value $920,787,216)		2,568		44,644,680
S&P 500 Index Expiring April 2023 with strike price of $4,000.00 (Notional Value $340,633,900)		950		43,890,000
Total Listed Options Purchased
(Cost $95,235,620)				147,316,110
Total Investments - 111.8%
(Cost $24,762,625,205)			$	21,139,019,643
LISTED OPTIONS WRITTEN† - (0.2)%
Call Options on:
Equity Options
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $120,450)		146		—
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $117,150)		142		—
Total Equity Options				—

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 75

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

	Contracts/ Notional Value		Value
Put Options on:
Equity Options
S&P 500 Index Expiring December 2022 with strike price of $3,200.00 (Notional Value $920,787,216)		2,568	$	(15,998,640	)
S&P 500 Index Expiring November 2022 with strike price of $3,400.00 (Notional Value $832,580,964)		2,322		(17,798,130	)
Total Listed Options Written
(Premiums received $24,261,557)				(33,796,770	)
OTC INTEREST RATE SWAPTIONS WRITTEN††,17 - 0.0%
Put Swaptions on:
Interest Rate Swaptions
Bank of America, N.A. 5-Year Interest Rate Swap Expiring November 2022 with exercise rate of 3.30%		USD 339,100,000		(9,645,978	)
Total Interest Rate Swaptions				(9,645,978	)
Total OTC Interest Rate Swaptions Written
(Premiums received $2,797,575)				(9,645,978	)
Other Assets & Liabilities, net - (11.6)%				(2,186,299,131	)
Total Net Assets - 100.0%			$	18,909,277,764

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index	Fixed Rate		Payment Frequency	Maturity Date
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	3.45	%	Annually	09/26/32
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	2.81	%	Annually	07/05/32
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	2.78	%	Annually	07/18/27

Notional Amount		Value			Upfront Premiums Paid		Unrealized Depreciation**
$	237,700,000	$	(2,114,508	)	$	2,197	$	(2,116,705	)
	700,000,000		(43,748,614	)		5,752		(43,754,366	)
	2,220,000,000		(100,486,124	)		9,851		(100,495,975	)
		$	(146,349,246	)	$	17,800	$	(146,367,046	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Bank of America, N.A.

EUR

Sell

393,690,000

394,276,598 USD

10/17/22

$

8,060,491

Morgan Stanley Capital Services LLC

GBP

Sell

76,470,000

88,142,534 USD

10/17/22

2,718,164

Goldman Sachs International

ILS

Sell

28,886,625

8,761,488 USD

11/30/22

606,613

Morgan Stanley Capital Services LLC

CAD

Sell

14,547,000

11,066,860 USD

10/17/22

531,688

Goldman Sachs International

ILS

Buy

28,886,625

7,727,829 USD

11/30/22

427,045

JPMorgan Chase Bank, N.A.

GBP

Buy

680,000

725,730 USD

10/17/22

33,896

Barclays Bank plc

EUR

Buy

4,385,000

4,269,404 USD

10/17/22

32,350

JPMorgan Chase Bank, N.A.

EUR

Buy

2,650,000

2,571,584 USD

10/17/22

28,108

Bank of America, N.A.

EUR

Buy

5,700,000

5,589,121 USD

10/17/22

2,669

Citibank, N.A.

GBP

Buy

768,000

857,571 USD

10/17/22

360

JPMorgan Chase Bank, N.A.

EUR

Sell

10,113,000

9,874,787 USD

12/30/22

(110,020

)

$

12,331,364

OTC Interest Rate Swaptions Written

Counterparty/ Description

Floating Rate Type

Floating Rate Index

Payment Frequency

Fixed Rate

Expiration Date

Exercise Rate

Swaption Notional Amount

Swaption Value

Put

Bank of America, N.A. 5-Year Interest Rate Swap

Pay

SOFR

Annual

3.30%

11/30/22

3.30%

$

339,100,000

$

(9,645,978

)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 77

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1	Special Purpose Acquisition Company (SPAC).
2	Affiliated issuer.
3	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
4	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $8,399,377,831 (cost $9,743,493,574), or 44.4% of total net assets.
5	Rate indicated is the 7-day yield as of September 30, 2022.
6	Perpetual maturity.
7	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $567,165,927 (cost $601,689,110), or 3.0% of total net assets — See Note 10.
8	All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2022, the total market value of segregated or earmarked securities was $1,664,585,802 — See Note 6.
9	Security is in default of interest and/or principal obligations.
10	Security is an interest-only strip.
11	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
12	Security is a principal-only strip.
13	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2022. See table below for additional step information for each security.
14	Zero coupon rate security.
15	Payment-in-kind security.
16 17 18	Rate indicated is the effective yield at the time of purchase. Swaptions - See additional disclosure in the swaptions table above for more information on swaptions. Security is unsettled at period end and does not have a stated effective rate.
19	All or a portion of this security is pledged as collateral for open call options written contracts at September 30, 2022.
	BofA — Bank of America
	CAD — Canadian Dollar
	CME — Chicago Mercantile Exchange
	CMT — Constant Maturity Treasury
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	ILS — Israeli New Shekel

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

LIBOR — London Interbank Offered Rate

plc — Public Limited Company

REMIC — Real Estate Mortgage Investment Conduit

REIT — Real Estate Investment Trust

SARL — Société à Responsabilité Limitée

SOFR — Secured Overnight Financing Rate

SONIA — Sterling Overnight Index Average

WAC — Weighted Average Coupon

See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

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	$	80,835,928	$	4,408,224	$	1,382		$	85,245,534
Preferred Stocks		—		1,047,099,218		—	*		1,047,099,218
Warrants		295,293		—		103			295,396
Mutual Funds		67,186,461		—		—			67,186,461
Closed-End Funds		11,657,271		—		—			11,657,271
Money Market Funds		133,014,577		—		—			133,014,577
Corporate Bonds		—		6,073,338,488		465,953,250			6,539,291,738
Asset-Backed Securities		—		4,171,032,878		529,446,053			4,700,478,931
Collateralized Mortgage Obligations		—		3,889,624,835		179,915,422			4,069,540,257
U.S. Government Securities		—		2,309,441,884		—			2,309,441,884
Senior Floating Rate Interests		—		1,283,682,138		332,581,132			1,616,263,270
Federal Agency Bonds		—		229,795,831		—			229,795,831
Municipal Bonds		—		137,693,627		—			137,693,627
Foreign Government Debt		—		21,425,171		—			21,425,171
U.S. Treasury Bills		—		17,872,080		—			17,872,080
Senior Fixed Rate Interests		—		—		5,402,287			5,402,287
Options Purchased		147,316,110		—		—			147,316,110
Forward Foreign Currency Exchange Contracts**		—		12,441,384		—			12,441,384
Total Assets	$	440,305,640	$	19,197,855,758	$	1,513,299,629		$	21,151,461,027

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Options Written	$	33,796,770	$	—	$	—	$	33,796,770
Interest Rate Swaptions Written		—		9,645,978		—		9,645,978
Interest Rate Swap Agreements**		—		146,367,046		—		146,367,046
Forward Foreign Currency Exchange Contracts**		—		110,020		—		110,020
Unfunded Loan Commitments (Note 9)		—		—		1,043,263		1,043,263
Total Liabilities	$	33,796,770	$	156,123,044	$	1,043,263	$	190,963,077

*	Security has a market value of $0.
**	This derivative is reported as unrealized appreciation/depreciation at period end.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $1,002,218,735 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

Category	Ending Balance at September 30, 2022			Valuation Technique		Unobservable Inputs		Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	347,086,683	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Asset-Backed Securities		112,196,195	Yield Analysis		Yield		6.4%-7.0%		6.8%
Asset-Backed Securities		70,162,545	Third Party Pricing		Broker Quote		—		—
Asset-Backed Securities		630	Model Price		Purchase Price		—		—
Collateralized Mortgage Obligations		111,472,220	Model Price		Market Comparable Yield		6.9%		—
Collateralized Mortgage Obligations		68,443,202	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Common Stocks		932	Model Price		Liquidation Value		—		—
Common Stocks		450	Enterprise Value		Valuation Multiple		2.6x-12.3x		5.3x
Corporate Bonds		375,023,382	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Corporate Bonds		82,993,866	Yield Analysis		Yield		5.9%-6.4%		6.2%
Corporate Bonds		7,191,268	Option adjusted spread off Third Party Pricing		Trade Price		—		—
Corporate Bonds		744,734	Model Price		Purchase Price		—		—
Senior Fixed Rate Interests		5,402,287	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Senior Floating Rate Interests		159,920,356	Third Party Pricing		Broker Quote		—		—
Senior Floating Rate Interests		169,203,933	Yield Analysis		Yield		9.3%-10.1%		9.6%
Senior Floating Rate Interests		3,422,029	Third Party Pricing		Vendor Price		—		—
Senior Floating Rate Interests		34,814	Model Price		Purchase Price		—		—
Warrants		103	Model Price		Liquidation Value		—		—
Total Assets	$	1,513,299,629
Liabilities:
Unfunded Loan Commitments	$	1,043,263	Model Price		Purchase Price		—		—

* Inputs are weighted by the fair value of the instruments.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

Significant changes in a quote, yield, market comparable yields, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $311,936,764 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $89,594,232 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2022:

	Assets
	Asset-Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests
Beginning Balance	$	728,643,975		$	102,193,653		$	624,825,088		$	136,117,831
Purchases/(Receipts)		188,818,090			4,150,795			65,263,600			123,375,236
(Sales, maturities and paydowns)/Fundings		(385,192,819	)		(97,575,961	)		(12,976,689	)		(7,688,576	)
Amortization of premiums/ discounts		1,004,871			(45,044	)		696,574			479,918
Total realized gains (losses) included in earnings		263,936			(76,473	)		—			378,779
Total change in unrealized appreciation (depreciation) included in earnings		(34,925,056	)		(1,437,722	)		(130,765,454	)		(19,974,199	)
Transfers into Level 3		30,833,056			172,706,174			—			108,396,506
Transfers out of Level 3		—			—			(81,089,869	)		(8,504,363	)
Ending Balance	$	529,446,053		$	179,915,422		$	465,953,250		$	332,581,132
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022	$	(35,260,981	)	$	(1,483,495	)	$	(110,261,276	)	$	(17,481,310	)

	Assets											Liabilities
	Warrants		Common Stocks			Senior Fixed Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	—	$	521		$	6,865,207		$	1,598,646,275		$	(654,750	)
Purchases/(Receipts)		—		—			—			381,607,721			(34,932	)
(Sales, maturities and paydowns)/Fundings		—		—			(6,416	)		(503,440,461	)		662,525
Amortization of premiums/discounts		—		—			—			2,136,319			26,696
Total realized gains (losses) included in earnings		—		—			—			566,242			7,884
Total change in unrealized appreciation (depreciation) included in earnings		—		(64	)		(1,456,504	)		(188,558,999	)		(1,050,686	)
Transfers into Level 3		103		925			—			311,936,764			—
Transfers out of Level 3		—		—			—			(89,594,232	)		—
Ending Balance	$	103	$	1,382		$	5,402,287		$	1,513,299,629		$	(1,043,263	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022	$	—	$	(64	)	$	(1,456,504	)	$	(165,943,630	)	$	(886,723	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
TOTAL RETURN BOND FUND

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate			Future Reset Date
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70		6.13	%		01/29/25		—			—
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61		4.62	%		09/26/24		5.62	%		09/26/25
Citigroup Mortgage Loan Trust 2022-A, 6.17% due 09/25/62		9.17	%		09/25/25		—			—
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61		4.75	%		05/26/24		5.75	%		05/26/25
Legacy Mortgage Asset Trust 2021-GS5, 2.25% due 07/25/67		5.25	%		11/26/24		6.25	%		11/26/25
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61		4.75	%		04/26/24		5.75	%		04/26/25
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62		8.25	%		07/01/25		—			—
OBX 2022-NQM8 Trust 2022-NQM8, 6.10% due 09/25/62		7.10	%		10/01/26		—			—
OSAT Trust 2021-RPL1, 2.12% due 05/25/65		5.12	%		06/26/24		6.12	%		06/26/25
PRPM LLC 2022-1, 3.72% due 02/25/27		6.72	%		02/25/25		7.72	%		2/25/26
PRPM LLC 2021-5, 1.79% due 06/25/26		4.79	%		06/26/24		5.79	%		06/26/25

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
TOTAL RETURN BOND FUND

Transactions during the year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/21		Additions		Reductions		Realized Gain (Loss)
Common Stocks
BP Holdco LLC *	$	375	$	—	$	—	$	—
Mutual Funds
Guggenheim Strategy Fund II		27,213,251		553,693		—		—
Guggenheim Strategy Fund III		14,737,023		308,994		—		—
Guggenheim Ultra Short Duration Fund — Institutional Class		26,783,244		400,126		—		—
	$	68,733,893	$	1,262,813	$	—	$	—

Security Name	Change in Unrealized Appreciation (Depreciation)			Value 09/30/22		Shares 09/30/22		Investment Income
Common Stocks
BP Holdco LLC *	$	(52	)	$	323		532	$	—
Mutual Funds
Guggenheim Strategy Fund II		(1,120,573	)		26,646,371		1,111,655		548,300
Guggenheim Strategy Fund III		(662,693	)		14,383,324		598,806		306,010
Guggenheim Ultra Short Duration Fund — Institutional Class		(1,026,604	)		26,156,766		2,727,504		395,744
	$	(2,809,922	)	$	67,186,784			$	1,250,054

* Non-income producing security.

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

STATEMENT OF ASSETS AND LIABILITIES

TOTAL RETURN BOND FUND

September 30, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $24,692,819,501)	$	21,071,832,859
Investments in affiliated issuers, at value (cost $69,805,704)		67,186,784
Foreign currency, at value (cost 2,917,102)		2,917,322
Cash		4,186,348
Unamortized upfront premiums paid on interest rate swap agreements		17,800
Unrealized appreciation on forward foreign currency exchange contracts		12,441,384
Prepaid expenses		535,330
Receivables:
Securities sold		1,207,401,935
Interest		153,250,871
Fund shares sold		55,997,954
Dividends		449,375
Foreign tax reclaims		352,777
Other assets		1,220
Total assets		22,576,571,959
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $159,657)		1,043,263
Reverse repurchase agreements		1,002,218,735
Options written, at value (premiums received $27,059,132)		43,442,748
Segregated cash due to broker		80,372,921
Unrealized depreciation on forward foreign currency exchange contracts		110,020
Payable for:
Securities purchased		2,426,361,024
Fund shares redeemed		88,410,387
Variation margin on interest rate swap agreements		6,461,214
Management fees		4,979,377
Distributions to shareholders		4,043,433
Transfer agent/maintenance fees		3,455,949
Distribution and service fees		385,256
Fund accounting/administration fees		149,818
Trustees’ fees*		24,760
Due to Investment Adviser		14,072
Miscellaneous		5,821,218
Total liabilities		3,667,294,195
Net assets	$	18,909,277,764
Net assets consist of:
Paid in capital	$	23,296,927,781
Total distributable earnings (loss)		(4,387,650,017	)
Net assets	$	18,909,277,764
A-Class:
Net assets	$	427,870,121
Capital shares outstanding		18,503,443
Net asset value per share	$	23.12
Maximum offering price per share (Net asset value divided by 96.00%)	$	24.08
C-Class:
Net assets	$	197,933,448
Capital shares outstanding		8,559,009
Net asset value per share	$	23.13
P-Class:
Net assets	$	572,112,587
Capital shares outstanding		24,747,561
Net asset value per share	$	23.12
Institutional Class:
Net assets	$	17,501,690,312
Capital shares outstanding		756,186,177
Net asset value per share	$	23.14
R6-Class:
Net assets	$	209,671,296
Capital shares outstanding		9,053,833
Net asset value per share	$	23.16

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

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

STATEMENT OF OPERATIONS

TOTAL RETURN BOND FUND

Year Ended September 30, 2022

Investment Income:
Dividends from securities of unaffiliated issuers	$	29,793,160
Dividends from securities of affiliated issuers		1,250,054
Interest		859,225,463
Total investment income		890,268,677
Expenses:
Management fees		92,491,890
Distribution and service fees:
A-Class		1,401,684
C-Class		2,661,319
P-Class		2,126,786
Transfer agent/maintenance fees:
A-Class		486,429
C-Class		323,153
P-Class		1,496,526
Institutional Class		23,375,065
R6-Class		22,654
Fund accounting/administration fees		14,216,829
Interest expense		8,179,276
Professional fees		1,560,048
Line of credit fees		1,544,417
Custodian fees		340,114
Trustees’ fees*		298,917
Miscellaneous		2,506,208
Recoupment of previously waived fees:
A-Class		36,123
R6-Class		13,020
Total expenses		153,080,458
Less:
Expenses reimbursed by Adviser:
A-Class		(225,873	)
C-Class		(181,666	)
P-Class		(1,041,493	)
Institutional Class		(20,427,229	)
R6-Class		(19,651	)
Expenses waived by Adviser		(356,521	)
Earnings credits applied		(28,969	)
Total waived/reimbursed expenses		(22,281,402	)
Net expenses		130,799,056
Net investment income		759,469,621
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(716,051,285	)
Investments sold short		857,963
Swap agreements		46,808,005
Options purchased		76,456,677
Options written		(33,957,291	)
Forward foreign currency exchange contracts		112,357,264
Foreign currency transactions		(341,195	)
Net realized loss		(513,869,862	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(4,189,156,082	)
Investments in affiliated issuers		(2,809,922	)
Investments sold short		(898,925	)
Swap agreements		(232,886,520	)
Options purchased		19,847,946
Options written		(18,701,190	)
Forward foreign currency exchange contracts		(10,960,349	)
Foreign currency translations		(343,698	)
Net change in unrealized appreciation (depreciation)		(4,435,908,740	)
Net realized and unrealized loss		(4,949,778,602	)
Net decrease in net assets resulting from operations	$	(4,190,308,981	)

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 87

STATEMENTS OF CHANGES IN NET ASSETS

TOTAL RETURN BOND FUND

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	759,469,621		$	673,140,168
Net realized gain (loss) on investments		(513,869,862	)		389,594,002
Net change in unrealized appreciation (depreciation) on investments		(4,435,908,740	)		(484,963,594	)
Net increase (decrease) in net assets resulting from operations		(4,190,308,981	)		577,770,576
Distributions to shareholders:
A-Class		(22,845,332	)		(35,606,058	)
C-Class		(8,847,797	)		(15,002,591	)
P-Class		(35,091,237	)		(49,331,911	)
Institutional Class		(948,608,650	)		(1,162,088,286	)
R6-Class		(9,592,901	)		(10,411,606	)
Total distributions to shareholders		(1,024,985,917	)		(1,272,440,452	)
Capital share transactions:
Proceeds from sale of shares
A-Class		162,652,775			301,735,718
C-Class		22,676,431			71,243,493
P-Class		277,767,413			592,976,433
Institutional Class		8,822,932,131			11,987,961,377
R6-Class		141,977,419			125,161,838
Distributions reinvested
A-Class		19,669,319			30,151,720
C-Class		7,577,710			12,720,024
P-Class		35,091,237			49,197,254
Institutional Class		839,074,338			1,001,642,286
R6-Class		9,497,105			10,404,509
Cost of shares redeemed
A-Class		(310,183,050	)		(441,115,944	)
C-Class		(102,439,268	)		(84,837,172	)
P-Class		(599,756,830	)		(493,935,219	)
Institutional Class		(12,268,295,169	)		(6,600,975,826	)
R6-Class		(141,160,025	)		(50,585,771	)
Net increase (decrease) from capital share transactions		(3,082,918,464	)		6,511,744,720
Net increase (decrease) in net assets		(8,298,213,362	)		5,817,074,844
Net assets:
Beginning of year		27,207,491,126			21,390,416,282
End of year	$	18,909,277,764		$	27,207,491,126

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

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

TOTAL RETURN BOND FUND

	Year Ended September 30, 2022			Year Ended September 30, 2021
Capital share activity:
Shares sold
A-Class		6,128,429			10,307,437
C-Class		850,424			2,422,706
P-Class		10,325,436			20,237,868
Institutional Class		335,372,608			409,526,835
R6-Class		5,491,289			4,284,001
Shares issued from reinvestment of distributions
A-Class		736,999			1,027,814
C-Class		283,159			433,192
P-Class		1,309,242			1,677,702
Institutional Class		31,483,958			34,155,691
R6-Class		356,973			354,677
Shares redeemed
A-Class		(11,761,205	)		(14,980,704	)
C-Class		(3,897,258	)		(2,913,083	)
P-Class		(22,953,593	)		(17,001,560	)
Institutional Class		(470,717,032	)		(226,736,966	)
R6-Class		(5,318,515	)		(1,732,537	)
Net increase (decrease) in shares		(122,309,086	)		221,063,073

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

FINANCIAL HIGHLIGHTS

TOTAL RETURN BOND FUND

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

A-Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018
Per Share Data
Net asset value, beginning of period	$	28.94		$	29.76		$	27.42		$	26.69		$	27.05
Income (loss) from investment operations:
Net investment income (loss)a		.78			.72			.56			.64			.72
Net gain (loss) on investments (realized and unrealized)		(5.53	)		(.05	)		2.41			.85			(.37	)
Total from investment operations		(4.75	)		.67			2.97			1.49			.35
Less distributions from:
Net investment income		(.80	)		(.76	)		(.63	)		(.65	)		(.71	)
Net realized gains		(.27	)		(.73	)		—			(.11	)		—
Total distributions		(1.07	)		(1.49	)		(.63	)		(.76	)		(.71	)
Net asset value, end of period	$	23.12		$	28.94		$	29.76		$	27.42		$	26.69
Total Returnb		(16.82	%)		2.27	%		10.96	%		5.70	%		1.28	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	427,870		$	677,172		$	804,750		$	609,602		$	589,760
Ratios to average net assets:
Net investment income (loss)		2.94	%		2.47	%		1.99	%		2.37	%		2.66	%
Total expensesc		0.85	%		0.84	%		0.87	%		0.96	%		0.93	%
Net expensesd,e,f		0.81	%		0.79	%		0.80	%		0.80	%		0.81	%
Portfolio turnover rate		55	%		92	%		116	%		68	%		48	%

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

FINANCIAL HIGHLIGHTS (continued)

TOTAL RETURN BOND FUND

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

C-Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018
Per Share Data
Net asset value, beginning of period	$	28.94		$	29.76		$	27.43		$	26.69		$	27.05
Income (loss) from investment operations:
Net investment income (loss)a		.58			.50			.35			.43			.52
Net gain (loss) on investments (realized and unrealized)		(5.52	)		(.05	)		2.40			.87			(.38	)
Total from investment operations		(4.94	)		.45			2.75			1.30			.14
Less distributions from:
Net investment income		(.60	)		(.54	)		(.42	)		(.45	)		(.50	)
Net realized gains		(.27	)		(.73	)		—			(.11	)		—
Total distributions		(.87	)		(1.27	)		(.42	)		(.56	)		(.50	)
Net asset value, end of period	$	23.13		$	28.94		$	29.76		$	27.43		$	26.69
Total Returnb		(17.41	%)		1.50	%		10.10	%		4.95	%		0.53	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	197,933		$	327,712		$	338,656		$	286,050		$	265,486
Ratios to average net assets:
Net investment income (loss)		2.18	%		1.72	%		1.24	%		1.62	%		1.93	%
Total expensesc		1.63	%		1.59	%		1.59	%		1.60	%		1.62	%
Net expensesd,e,f		1.56	%		1.53	%		1.55	%		1.55	%		1.55	%
Portfolio turnover rate		55	%		92	%		116	%		68	%		48	%

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

FINANCIAL HIGHLIGHTS (continued)

TOTAL RETURN BOND FUND

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

P-Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018
Per Share Data
Net asset value, beginning of period	$	28.93		$	29.75		$	27.42		$	26.69		$	27.04
Income (loss) from investment operations:
Net investment income (loss)a		.77			.72			.56			.63			.72
Net gain (loss) on investments (realized and unrealized)		(5.51	)		(.05	)		2.40			.86			(.36	)
Total from investment operations		(4.74	)		.67			2.96			1.49			.36
Less distributions from:
Net investment income		(.80	)		(.76	)		(.63	)		(.65	)		(.71	)
Net realized gains		(.27	)		(.73	)		—			(.11	)		—
Total distributions		(1.07	)		(1.49	)		(.63	)		(.76	)		(.71	)
Net asset value, end of period	$	23.12		$	28.93		$	29.75		$	27.42		$	26.69
Total Return		(16.79	%)		2.27	%		10.92	%		5.70	%		1.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	572,113		$	1,043,507		$	926,745		$	819,770		$	738,694
Ratios to average net assets:
Net investment income (loss)		2.90	%		2.47	%		1.98	%		2.37	%		2.69	%
Total expensesc		0.93	%		0.87	%		0.88	%		0.87	%		0.91	%
Net expensesd,e,f		0.81	%		0.79	%		0.80	%		0.80	%		0.80	%
Portfolio turnover rate		55	%		92	%		116	%		68	%		48	%

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

FINANCIAL HIGHLIGHTS (continued)

TOTAL RETURN BOND FUND

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

Institutional Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018
Per Share Data
Net asset value, beginning of period	$	28.97		$	29.78		$	27.45		$	26.71		$	27.07
Income (loss) from investment operations:
Net investment income (loss)a		.86			.81			.65			.71			.80
Net gain (loss) on investments (realized and unrealized)		(5.54	)		(.05	)		2.39			.87			(.37	)
Total from investment operations		(4.68	)		.76			3.04			1.58			.43
Less distributions from:
Net investment income		(.88	)		(.84	)		(.71	)		(.73	)		(.79	)
Net realized gains		(.27	)		(.73	)		—			(.11	)		—
Total distributions		(1.15	)		(1.57	)		(.71	)		(.84	)		(.79	)
Net asset value, end of period	$	23.14		$	28.97		$	29.78		$	27.45		$	26.71
Total Return		(16.59	%)		2.59	%		11.23	%		6.03	%		1.59	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	17,501,690		$	24,912,049		$	19,152,857		$	12,138,270		$	8,957,902
Ratios to average net assets:
Net investment income (loss)		3.23	%		2.76	%		2.29	%		2.64	%		2.99	%
Total expensesc		0.62	%		0.57	%		0.57	%		0.58	%		0.58	%
Net expensesd,e,f		0.52	%		0.50	%		0.51	%		0.51	%		0.50	%
Portfolio turnover rate		55	%		92	%		116	%		68	%		48	%

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

FINANCIAL HIGHLIGHTS (continued)

TOTAL RETURN BOND FUND

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

R6-Class	Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018
Per Share Data
Net asset value, beginning of period	$	28.98		$	29.80		$	27.46		$	26.73		$	27.09
Income (loss) from investment operations:
Net investment income (loss)a		.87			.81			.65			.71			.81
Net gain (loss) on investments (realized and unrealized)		(5.54	)		(.06	)		2.40			.86			(.38	)
Total from investment operations		(4.67	)		.75			3.05			1.57			.43
Less distributions from:
Net investment income		(.88	)		(.84	)		(.71	)		(.73	)		(.79	)
Net realized gains		(.27	)		(.73	)		—			(.11	)		—
Total distributions		(1.15	)		(1.57	)		(.71	)		(.84	)		(.79	)
Net asset value, end of period	$	23.16		$	28.98		$	29.80		$	27.46		$	26.73
Total Return		(16.55	%)		2.56	%		11.26	%		5.99	%		1.59	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	209,671		$	247,051		$	167,409		$	55,441		$	37,735
Ratios to average net assets:
Net investment income (loss)		3.26	%		2.76	%		2.28	%		2.64	%		3.00	%
Total expensesc		0.53	%		0.50	%		0.52	%		0.52	%		0.53	%
Net expensesd,e,f		0.52	%		0.50	%		0.51	%		0.51	%		0.50	%
Portfolio turnover rate		55	%		92	%		116	%		68	%		48	%

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

FINANCIAL HIGHLIGHTS (concluded)

TOTAL RETURN BOND FUND

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22			09/30/21			09/30/20			09/30/19			09/30/18
A-Class		0.01	%		0.00	%*		0.00	%*		—			0.00	%*
C-Class		—			0.00	%*		0.00	%*		—			0.00	%*
P-Class		—			—			0.00	%*		0.00	%*		0.00	%*
Institutional Class		—			—			0.00	%*		—			0.00	%*
R6-Class		0.01	%		0.01	%		0.00	%*		0.00	%*		0.00	%*

* Less than 0.01%

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22			09/30/21			09/30/20			09/30/19			09/30/18
A-Class		0.77	%		0.78	%		0.79	%		0.79	%		0.80	%
C-Class		1.52	%		1.53	%		1.54	%		1.54	%		1.55	%
P-Class		0.77	%		0.78	%		0.79	%		0.79	%		0.80	%
Institutional Class		0.48	%		0.49	%		0.50	%		0.50	%		0.49	%
R6-Class		0.48	%		0.49	%		0.50	%		0.50	%		0.49	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 95

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Total Return Bond Fund (the “Fund”), a diversified investment company. At September 30, 2022, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”) which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Partners Advisors, LLC (“GPA or the “Sub-Adviser”) assists GPIM in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI, GDF and GPA are affiliated entities.

96 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

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

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

The Board of Trustees of the Fund (the “Board”) adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/or other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 97

NOTES TO FINANCIAL STATEMENTS (continued)

Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are generally valued at the last quoted sale price.

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

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.

Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.

Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Adviser.

98 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded.

The value of interest rate swap agreements entered into by the Fund is valued on the basis of the last sale price on the primary exchange on which the swap is traded.

The value of other swap agreements entered into by the Fund are generally valued using an evaluated price provided by a third party pricing vendor.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

(b) U.S. Government and Agency Obligations

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

(c) Senior Floating Rate Interests and Loan Investments

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 99

NOTES TO FINANCIAL STATEMENTS (continued)

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(d) Interest on When-Issued Securities

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

(e) Short Sales

When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

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(f) Options

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

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

The Fund may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities in anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.

(g) Swap Agreements

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

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

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(h) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

(i) Currency Translations

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

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

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

(j) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2022, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(k) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if

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the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

(l) Distributions

The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.

(m) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

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(n) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2022, are disclosed in the Statement of Operations.

(o) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 3.08% at September 30, 2022.

(p) Indemnifications

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

(q) Special Purpose Acquisition Companies

The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to

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NOTES TO FINANCIAL STATEMENTS (continued)

identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.

Note 2 – Financial Instruments and Derivatives

As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Short Sales

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

Derivatives

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

The Fund utilized derivatives for the following purposes:

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

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

Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.

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

Options Purchased and Written

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

The following table represents the Fund’s use and volume of call/put options purchased on a monthly basis:

	Average Notional Amount
Use	Call		Put
Duration, Hedge	$	7,606,350,000	$	552,125,057

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.

The following table represents the Fund’s use and volume of call/put options written on a monthly basis:

	Average Notional Amount
Use	Call		Put
Hedge	$	525,336	$	514,501,294

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing over-the-counter (“OTC”) swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a

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counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

The following table represents the Fund’s use and volume of total return swaps on a monthly basis:

	Average Notional Amount
Use	Long		Short
Income, Index exposure	$	17,803,707	$	—

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

The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:

	Average Notional Amount
Use	Pay Floating Rate		Receive Floating Rate
Duration, Hedge	$	1,088,975,000	$	270,500,000

Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. The Fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the

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notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:

	Average Notional Amount
Use	Protection Sold		Protection Purchased
Income, Index Exposure	$	—	$	19,358,333

Forward Foreign Currency Exchange Contracts

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

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

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The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:

	Average Value
Use	Purchased		Sold
Hedge, Income	$	59,926,746	$	630,552,061

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2022:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts
Interest rate swap contracts	Unamortized upfront premiums paid on interest rate swap agreements	Variation margin on interest rate swap agreements
Equity/Interest rate option contracts	Investments in unaffiliated issuers, at value	Options written, at value

The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2022:

Asset Derivative Investments Value
	Swaps Interest Rate Risk*		Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2022
	$	—	$	147,316,110		12,441,384	$	159,757,494

Liability Derivative Investments Value
	Swaps Interest Rate Risk*		Options Written Equity Risk		Options Written Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2022
	$	146,367,046	$	33,796,770	$	9,645,978		110,020	$	189,919,814

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statement of Assets and Liabilities.

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The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2022:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Currency forward contracts	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts
Equity/Interest rate option contracts	Net realized gain (loss) on options purchased
	Net realized gain (loss) on options written
	Net change in unrealized appreciation (depreciation) on options purchased
	Net change in unrealized appreciation (depreciation) on options written
Interest rate/Credit swap contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements

The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended September 30, 2022:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
	Swaps Interest Rate Risk		Swaps Credit Risk			Options Written Equity Risk			Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk			Options Written Interest Rate Risk		Total
	$	53,103,921	$	(6,295,916	)	$	(37,311,524	)	$	99,671,217	$	112,357,264	$	(23,214,540	)	$	3,354,233	$	201,664,655

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
	Swaps Interest Rate Risk			Swaps Credit Risk		Options Written Equity Risk			Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk			Options Purchased Interest Rate Risk			Options Written Interest Rate Risk			Total
	$	(233,072,245	)	$	185,725	$	(11,852,787	)	$	49,844,971	$	(10,960,349	)	$	(29,997,025	)	$	(6,848,403	)	$	(242,700,113	)

In conjunction with short sales and the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

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Foreign Investments

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

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

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

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NOTES TO FINANCIAL STATEMENTS (continued)

Note 3 – Offsetting

In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

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The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Assets Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Forward foreign currency exchange contracts	$	12,441,384	$	—	$	12,441,384	$	(8,125,164	)	$	(4,315,860	)	$	360

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Forward foreign currency exchange contracts	$	110,020	$	—	$	110,020	$	(62,004	)	$	—	$	48,016
Options written		9,645,978		—		9,645,978		(8,063,160	)		—		1,582,818

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2022.

Counterparty	Asset Type	Cash Received
Barclays Bank plc	Forward foreign currency exchange contracts	$	5,805,000
BofA Securities, Inc.	Interest rate swap agreements		3,460,011
	Options		3,415,000
Goldman Sachs International	Forward foreign currency exchange contracts, Options		63,492,910
Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts, Options		4,200,000
		$	80,372,921

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NOTES TO FINANCIAL STATEMENTS (continued)

Note 4 – Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although

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quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

Note 5 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.39% of the average daily net assets of the Fund.

Pursuant to an Investment Sub-Advisory Agreement between the Adviser and GPA, GPA, under the oversight supervision of the Board and the Adviser, assists the Adviser in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. As compensation for its services, the Adviser pays GPA a fee, payable monthly, in an amount equal to 0.005% of the Fund’s average daily net assets.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

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

	Limit			Effective Date		Contract End Date
A-Class		0.79	%		11/20/17		02/01/24
C-Class		1.54	%		11/20/17		02/01/24
P-Class		0.79	%		11/20/17		02/01/24
Institutional Class		0.50	%		11/30/12		02/01/24
R6-Class		0.50	%		10/19/16		02/01/24

GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2022, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

	2023		2024		2025		Total
A-Class	$	440,686	$	421,811	$	196,304	$	1,058,801
C-Class		133,369		174,119		167,978		475,466
P-Class		636,580		783,250		1,002,868		2,422,698
Institutional Class		8,669,558		16,070,212		19,248,693		43,988,463
R6-Class		—		—		1,102		1,102

For the year ended September 30, 2022, GI recouped $49,143 from the Fund.

If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2022, the Fund waived $66,143 related to investments in affiliated funds.

For the year ended September 30, 2022, GFD retained sales charges of $144,088 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

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MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

Note 6 – Reverse Repurchase Agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.

For the year ended September 30, 2022, the Fund entered into reverse repurchase agreements as follows:

Number of Days Outstanding	Balance at September 30, 2022		Average Balance Outstanding		Average Interest Rate
365	$	1,002,218,735	$	1,540,681,557		0.53	%

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statement of Assets of Liabilities in conformity with U.S. GAAP:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Reverse repurchase agreements	$	1,002,218,735	$	—	$	1,002,218,735	$	(1,002,218,735	)	$	—	$	—

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NOTES TO FINANCIAL STATEMENTS (continued)

As of September 30, 2022, the Fund had outstanding reverse repurchase agreements with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

Counterparty	Interest Rate(s)				Maturity Date(s)	Face Value
Bank of Montreal		2.85	%*	Open Maturity		$	95,508,170
Citigroup Global Markets, Inc.		2.80	%*	Open Maturity			363,729,846
Goldman Sachs & Co. LLC		(0.75%)—2.85	%*	Open Maturity			294,010,475
J.P. Morgan Securities LLC		2.86	%*	Open Maturity			248,970,244
Total						$	1,002,218,735

^* The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective as of September 30, 2022.

The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of year end, aggregated by asset class of the related collateral pledged by the Fund:

Asset Type	Overnight and continuous		Total
Corporate Bonds	$	6,945,287	$	6,945,287
Federal Agency Notes		995,273,448		995,273,448
Gross amount of recognized liabilities for reverse repurchase agreements	$	1,002,218,735	$	1,002,218,735

Note 7 – Federal Income Tax Information

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

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

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The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	882,654,723	$	142,331,194	$	1,024,985,917

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	1,067,305,263	$	205,135,189	$	1,272,440,452

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
$	25,752,243	$	—	$	(3,756,930,811	)	$	(589,823,177	)	$	(66,648,272	)	$	(4,387,650,017	)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, capital loss carryforwards for the Fund were as follows:

Unlimited
Short-Term			Long-Term			Total Capital Loss Carryforward
$	(517,080,634	)	$	(72,706,166	)	$	(589,786,800	)

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements, real estate investment trusts and CLO securities, foreign currency gains and losses, the “mark-to-market” of certain derivatives, losses deferred due to wash sales, dividends payable, and the “mark-to-market” of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization, income accruals on certain investments, the deferral of losses related to tax straddle investments, and the “mark-to-market” of certain investments

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NOTES TO FINANCIAL STATEMENTS (continued)

denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences.

At September 30, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	24,704,923,890	$	—	$	(3,755,714,041	)	$	(3,755,714,041	)

Note 8 – Securities Transactions

For the year ended September 30, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	4,896,497,469	$	6,799,503,618

For the year ended September 30, 2022, the cost of purchases and proceeds from sales of government securities were as follows:

Purchases		Sales
$	7,836,575,704	$	8,654,459,805

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction

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NOTES TO FINANCIAL STATEMENTS (continued)

is effected at the current market price to save costs, where permissible. For the year ended September 30, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Loss
$	36,129,637	$	110,031,553	$	(12,036,036	)

Note 9 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2022, were as follows:

Borrower	Maturity Date	Face Amount		Value
Athenahealth Group, Inc.	02/15/29	$	1,028,986	$	109,072
Aveanna Healthcare LLC	07/17/28		113,208		23,207
Confluent Health LLC	11/30/28		1,208,053		151,007
CTL Logistics	08/10/42		692,113		161,870
Fontainbleau Vegas Unfunded	09/30/25		26,250,000		—
Higginbotham Insurance Agency, Inc.	11/25/26		9,734,723		241,421
Hillman Group, Inc.	07/14/28		2,330,014		109,511
Icebox Holdco	12/22/28		3,642,857		236,786
KKR Core Holding Company LLC	07/15/31		16,760,000		—
Lightning A	03/01/37		39,307,654		—
Service Logic Acquisition, Inc.	10/29/27		162,963		10,389
Thunderbird A	03/01/37		38,704,255		—
		$	139,934,826	$	1,043,263

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NOTES TO FINANCIAL STATEMENTS (continued)

Note 10 – Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Restricted Securities	Acquisition Date		Cost		Value
ACRE Commercial Mortgage Ltd.
2021-FL4 B, 4.39% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 12/18/371		01/21/21	$	3,100,000	$	3,016,548
ACRE Commercial Mortgage Ltd.
2021-FL4 C, 4.74% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 12/18/371		01/21/21		3,100,000		3,003,293
ACRES Commercial Realty Ltd.
2021-FL1 C, 4.94% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/361		05/07/21		13,092,000		12,210,925
ACRES Commercial Realty Ltd.
2021-FL1 D, 5.59% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/361		05/07/21		11,750,000		10,860,901
ACRES Commercial Realty Ltd.
2021-FL2 B, 5.19% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/371		12/07/21		10,100,000		9,745,937
ACRES Commercial Realty Ltd.
2021-FL2 AS, 4.69% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 01/15/371		12/07/21		3,500,000		3,360,189
Anchorage Credit Funding 4 Ltd.
2021-4A BR, 3.12% due 04/27/39		01/29/21		16,250,000		13,803,763
Anchorage Credit Funding Ltd.
2021-13A B1, 3.23% due 07/27/39		05/25/21		6,345,000		5,391,954
Anchorage Credit Funding Ltd.
2021-13A C2, 3.65% due 07/27/39		06/30/21		1,950,000		1,518,886
Atlantic Marine Corporations Communities LLC
5.37% due 12/01/50		02/02/17		769,696		648,258
Atlas Mara Ltd.
due 12/31/212		10/01/15		2,828,684		744,734
BDS Ltd.
2020-FL5 B, 4.84% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/371		07/27/20		4,335,627		4,314,814
BDS Ltd.
2021-FL9 D, 5.24% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/16/381		10/01/21		4,400,000		4,107,565
BDS Ltd.
2020-FL5 AS, 4.39% (1 Month Term SOFR + 1.46%, Rate Floor: 1.35%) due 02/16/371		06/08/20		3,146,829		3,124,955
BRSP Ltd.
2021-FL1 D, 5.69% (1 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 08/19/381		07/12/21		3,800,000		3,547,967

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Restricted Securities	Acquisition Date		Cost		Value
BSPDF Issuer Ltd.
2021-FL1 C, 5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/15/361		10/06/21	$	15,300,000	$	14,642,039
BSPDF Issuer Ltd.
2021-FL1 B, 4.62% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/361		10/06/21		6,500,000		6,223,468
BSPDF Issuer Ltd.
2021-FL1 D, 5.57% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/15/361		10/06/21		3,500,000		3,242,901
BSPRT Issuer Ltd.
2021-FL7 C, 5.12% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 12/15/381		12/09/21		7,250,000		6,805,442
BSPRT Issuer Ltd.
2021-FL6 C, 4.87% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/361		03/15/21		5,550,000		5,140,629
BSPRT Issuer Ltd.
2021-FL7 B, 4.87% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 12/15/381		12/09/21		4,875,000		4,625,197
BXMT Ltd.
2020-FL3 B, 4.55% (30 Day Average SOFR + 2.26%, Rate Floor: 2.15%) due 11/15/371		10/20/20		10,600,000		10,283,971
BXMT Ltd.
2020-FL2 C, 4.59% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/381		09/25/20		5,297,426		5,103,131
BXMT Ltd.
2020-FL2 AS, 4.09% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/381		06/03/20		5,130,369		5,027,734
Cascade Funding Mortgage Trust
2018-RM2 4.00% (WAC) due 10/25/681		11/02/18		8,898,237		8,592,161
Cascade Funding Mortgage Trust
2019-RM3 2.80% (WAC) due 06/25/691		06/25/19		5,330,475		5,176,392
Central Storage Safety Project Trust
4.82% due 02/01/38		02/02/18		19,273,603		15,963,378
CHCP Ltd.
2021-FL1 B, 4.61% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/381		02/12/21		5,900,000		5,612,492
CHCP Ltd.
2021-FL1 C, 5.06% (1 Month Term SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/381		02/12/21		2,950,000		2,762,418

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NOTES TO FINANCIAL STATEMENTS (continued)

Restricted Securities	Acquisition Date		Cost		Value
Copper River CLO Ltd.
2007-1A INC, due 01/20/213		05/09/14	$	—	$	630
FKRT
2.21% due 11/30/58		09/24/21		117,199,428		111,472,220
FS Rialto
2021-FL3 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/361		10/21/21		8,000,000		7,506,552
GPMT Ltd.
2019-FL2 B, 4.91% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/361		07/23/20		10,984,207		10,935,514
Greystone Commercial Real Estate Notes
2021-FL3 C, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/391		07/29/21		12,000,000		11,006,670
HERA Commercial Mortgage Ltd.
2021-FL1 A, 4.04% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/381		02/10/21		10,000,000		9,649,441
HGI CRE CLO Ltd.
2021-FL2 B, 4.44% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/17/361		09/17/21		5,000,000		4,781,934
HGI CRE CLO Ltd.
2021-FL2 C, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 09/17/361		09/17/21		1,000,000		938,110
LoanCore Issuer Ltd.
2021-CRE6 B, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/15/381		10/27/21		44,000,000		41,358,236
LoanCore Issuer Ltd.
2019-CRE2 B, 4.52% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 05/15/361		06/17/20		11,453,502		11,311,988
LoanCore Issuer Ltd.
2021-CRE4 D, 4.90% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/351		09/16/21		5,600,376		5,301,140
LoanCore Issuer Ltd.
2019-CRE3 B, 4.42% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/15/341		07/27/20		4,351,219		4,332,473
LSTAR Securities Investment Ltd.
2021-1 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261		02/04/21		40,441,148		37,522,794
LSTAR Securities Investment Ltd.
2021-2 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261		03/17/21		24,706,520		24,107,728
MF1 Multifamily Housing Mortgage Loan Trust
2021-FL6 D, 5.49% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/361		06/10/21		3,800,000		3,499,728
STWD Ltd.
2019-FL1 B, 4.64% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 07/15/381		06/29/20		11,105,716		10,841,547

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NOTES TO FINANCIAL STATEMENTS (continued)

Restricted Securities	Acquisition Date		Cost		Value
STWD Ltd.
2019-FL1 C, 4.99% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 07/15/381		01/05/21	$	8,787,169	$	8,488,505
STWD Ltd.
2021-FL2 C, 5.04% (1 Month USD LIBOR + 2.10%, Rate Floor: 2.10%) due 04/18/381		04/19/21		2,820,000		2,690,464
STWD Ltd.
2019-FL1 AS, 4.44% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 07/15/381		08/14/20		2,189,373		2,155,544
Towd Point Revolving Trust
4.83% due 09/25/64		03/17/22		81,499,179		78,757,525
TRTX Issuer Ltd.
2019-FL3 B, 4.79% (1 Month Term SOFR + 1.86%, Rate Floor: 1.75%) due 10/15/341		01/05/21		1,494,049		1,468,649
TRTX Issuer Ltd.
2019-FL3 A, 4.19% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 10/15/341		07/23/20		434,278		436,493
			$	601,689,110	$	567,165,927

1	Variable rate security. Rate indicated is the rate effective at September 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
2	Security is in default of interest and/or principal obligations.
3	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.

Note 11 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each

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NOTES TO FINANCIAL STATEMENTS (concluded)

participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.

Note 12 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

Note 13 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Total Return Bond Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Total Return Bond Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded)

other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 29, 2022

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OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See the qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income			Qualified Short-Term Capital Gain
	2.58	%		2.13	%		86.71	%		100.00	%

With respect to the taxable year ended September 30, 2022, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:

From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
$	142,331,194	$	—

Guggenheim Partners Advisors, LLC

The Investment Adviser engaged Guggenheim Partners Advisors, LLC to provide investment sub-advisory services to the Fund, effective April 29, 2022. Guggenheim Partners Advisors, LLC assists the Investment Adviser in the supervision and direction of the investment strategy of the Fund in accordance with the Fund’s investment objectives, policies, and restrictions. The Investment Adviser, and not the Fund, compensates Guggenheim Partners Advisors, LLC for these services.

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Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

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OTHER INFORMATION (Unaudited)(continued)

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)   ● Guggenheim Core Bond Fund
(“Core Bond Fund”)   ● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)   ● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)   ● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)   ● Guggenheim Municipal Income Fund (“Municipal Income Fund”)   ● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)   ● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)   ● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)   ● Guggenheim World Equity Income Fund (“World Equity Income Fund”) ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)   ● Guggenheim Diversified Income Fund (“Diversified Income Fund”)   ● Guggenheim High Yield Fund (“High Yield Fund”)   ● Guggenheim Limited Duration Fund (“Limited Duration Fund”)   ● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)   ● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)   ● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)   ● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)   ● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM

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OTHER INFORMATION (Unaudited)(continued)

are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.
2	The investment management agreements pertaining to the SI--Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
3	Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.

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OTHER INFORMATION (Unaudited)(continued)

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund,

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OTHER INFORMATION (Unaudited)(continued)

Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).⁴ Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to

⁴ On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting.

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OTHER INFORMATION (Unaudited)(continued)

compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.⁵ As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

⁵ Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements.

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OTHER INFORMATION (Unaudited)(continued)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s

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OTHER INFORMATION (Unaudited)(continued)

relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.

Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.

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OTHER INFORMATION (Unaudited)(continued)

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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OTHER INFORMATION (Unaudited)(continued)

In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The

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OTHER INFORMATION (Unaudited)(continued)

Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

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OTHER INFORMATION (Unaudited)(continued)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

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OTHER INFORMATION (Unaudited)(continued)

Sub-Advisory Agreements

Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.

Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that the GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

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OTHER INFORMATION (Unaudited)(concluded)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES:
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Member, Board of Directors, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present); Vice Chairman, VettaFi (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE:
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and President of Mutual Funds Boards, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since August 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2012-present).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

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154 | THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

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The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

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How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based

THE GUGGENHEIM FUNDS ANNUAL REPORT | 155

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

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If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

156 | THE GUGGENHEIM FUNDS ANNUAL REPORT

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

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9.30.2022

Guggenheim Funds Annual Report

Guggenheim Ultra Short Duration Fund

GuggenheimInvestments.com USD-ANN-0922x0923

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
ULTRA SHORT DURATION FUND	9
NOTES TO FINANCIAL STATEMENTS	44
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	67
OTHER INFORMATION	69
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	84
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	92
LIQUIDITY RISK MANAGEMENT PROGRAM	96

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2022

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (the “Investment Manager”) is pleased to present the shareholder report for Guggenheim Ultra Short Duration Fund (the “Fund”) for the annual fiscal period ended September 30, 2022.

The Investment Manager is responsible for the management of the Funds’ portfolio of investments. It is an affiliate 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 Partners, LLC and the Investment Manager.

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

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

Sincerely,

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.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2022

Ultra Short Duration Fund may not be suitable for all investors. The investments in fixed-income instruments are subject to the possibility that interest rates could rise, causing the value of the holdings and share price to decline. Investors in asset- backed securities, including collateralized loan obligations (CLOs) generally receive payments that are part interest and part return of principal. These payments may vary based on the rate loans are repaid. Some asset-backed securities may have structures that make their reaction to interest rates and other factors difficult to predict, making their prices volatile and they are subject to liquidity and valuation risk. CLOs bear similar risks to investing in loans directly. Investments in loans involve special types of risks, including credit, interest rate, counterparty, prepayment, liquidity, and valuation risks. Loans are often below investment grade, may be unrated, and typically offer a fixed or floating interest rate. High yield and unrated debt securities are at a greater risk of default than investment grade bonds and may be less liquid, which may increase volatility. The use of leverage, through borrowings or instruments such as derivatives, may cause the fund to be more volatile and riskier than if it had not been leveraged. The more a fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. Foreign securities carry unique or additional risks when compared to U.S. securities, including currency fluctuations, adverse political and economic developments, unreliable or untimely information, less liquidity and more volatility, limited legal recourse and higher transactional costs, all of which are enhanced when investing in emerging markets. In addition, investments in emerging markets are subject to risks associated with trading in smaller markets, lower volumes of trading, and being subject to lower levels of government regulation and less extensive accounting, financial and other reporting requirements. It is important to note that the Fund is not guaranteed by the U.S. government. Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

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.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2022

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.

Bloomberg 1-3 Month U.S. Treasury Bill Index includes all publicly issued zero-coupon U.S. Treasury Bills that have a remaining maturity of less than 3 months and more than 1 month, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate and nonconvertible. The 1-3 Month U.S. Treasury Bill Index is market capitalization weighted and the securities in the index are updated on the last business day of each month.

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.

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.

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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

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 Fund’s costs in two ways:

Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the 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.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

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 Fund’s 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 Fund’s prospectus.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1			Fund Return			Beginning Account Value March 31, 2022		Ending Account Value September 30, 2022		Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class		0.59	%		(1.04	%)	$	1,000.00	$	989.60	$	2.94
Institutional Class		0.34	%		(1.02	%)		1,000.00		989.80		1.70
Table 2. Based on hypothetical 5% return (before expenses)
A-Class		0.59	%		5.00	%	$	1,000.00	$	1,022.11	$	2.99
Institutional Class		0.34	%		5.00	%		1,000.00		1,023.36		1.72

1	This ratio represents annualized net expenses, which may include short interest expense. Excluding these expenses, the operating expense ratios for the Fund would be 0.58% and 0.33% for the A-Class and Institutional Class, respectively. Excludes expenses of the underlying funds in which the Fund Invests.
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.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Ultra Short Duration Fund (“Fund”). Guggenheim Partners Advisors, LLC, an affiliate of GPIM, serves as the Fund’s sub-adviser (“GPA” or the “Sub-Adviser”). The Fund is managed by a team of seasoned professionals at GPIM and GPA. This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of GPIM; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director and Portfolio Manager of GPIM; Kris Dorr, Managing Director and Portfolio Manager of GPIM; and Adam J. Bloch, Managing Director and Portfolio Manager of GPIM. 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 returned -2.49%¹, underperforming the Fund’s benchmark, the Bloomberg 1-3 Month U.S. Treasury Bill Index, which returned 0.64% for the same period.

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

The Fund ended the Reporting Period down -2.49% while the benchmark finished up 0.64%. The dramatic rise in interest rates drove the majority of absolute performance, detracting roughly -2.6% from the Fund’s performance over the Reporting Period. The performance effect from the widening in credit spreads was also negative, detracting about 2.3% on an absolute basis. Over the Reporting Period, we saw spreads in Investment Grade Corporates, High Yield Corporates, and AAA-rated collateralized loan obligations (“CLOs”) widen by 75 basis points, 263 basis points, and 102 basis points, respectively. Carry positively contributed about 2.8% on an absolute basis and 1.8% on a relative basis to performance. Carry refers to the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used interest rate swaps and foreign currency forwards to help manage duration positioning, foreign exchange risk, and generate incremental income. Over the Reporting Period, interest rate swaps contributed to performance. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(continued) September 30, 2022

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

At 50% of net asset value (“NAV”), securitized credit continues to be the largest and growing asset class allocation within the Fund. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, picking credit quality and structural protection at attractive spreads versus comparably rated corporate credit. We believe a unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar price discounts given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. We believe this dynamic presents a compelling total return opportunity as investors are now able to capture not only the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also an accretion to par should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage (i.e., the offered coupon) given the room for price appreciation above par ($100) is limited due to call structures. To this end, our buying efforts have been concentrated in the secondary market. In primary markets, we are finding opportunities in the Non-Agency Residential Mortgage-Backed Securities (“RMBS”) sector in senior tranches of Non-Qualified Mortgage deals, which price at dollar price discounts and offer yields and spreads comparable to BB-rated corporate credit.

Corporate credit totaled approximately 46% of the Fund’s NAV with roughly 41% Investment Grade rated and 5% High Yield. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across sectors we expect them to start gradually deteriorating over the next several quarters and for default rates to pick up. However, all spread asset classes have already materially re-priced lower this year due to tighter financial conditions. Credit spread valuations are broadly in their 70th – 80th widest percentiles versus long term historical ranges and absolute yields are at the highest levels since 2009. At current valuations the long-term value across credit assets is compelling although we expect volatility to remain elevated in the near-term. The Fund remains focused on high credit quality investment grade corporates at attractive absolute yields.

During the Reporting Period the Fund modestly increased its interest rate exposure amid the backup in rates to the higher end of its historical range (approximately 0.75 year). As the Federal Reserve continues to reinforce its commitment to moderating and stabilizing inflationary

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2022

pressures through decreasing the demand function, we expect long term growth and inflation expectations to fall. Consequently, this era of peak hawkishness in the market signals to us that rates are likely peaking, and that extending duration is prudent.

Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. With the Fund’s gross yield of nearly 6.0%, we believe the carry profile alone for such fixed income opportunities provides a significantly higher buffer to performance volatility from rates and spreads.

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

ULTRA SHORT DURATION FUND

OBJECTIVE: Seeks a high level of income consistent with the preservation of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)”.

Inception Dates:
A-Class	November 30, 2018
Institutional Class	March 11, 2014

Ten Largest Holdings (% of Total Net Assets)
Lake Shore MM CLO III LLC, 4.22%	1.5%
Athene Global Funding, 2.84%	1.4%
Carlisle Companies, Inc., 0.55%	1.3%
BX Commercial Mortgage Trust, 4.47%	1.3%
Swedbank AB, 0.85%	1.2%
JPMorgan Chase & Co., 0.70%	1.2%
F&G Global Funding, 0.90%	1.2%
Charles Schwab Corp., 2.78%	1.2%
Banco Santander S.A., 0.70%	1.2%
Illumina, Inc., 0.55%	1.1%
Top Ten Total	12.6%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (continued) September 30, 2022

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	26.2%
AA	9.8%
A	25.2%
BBB	22.3%
BB	2.1%
B	2.9%
NR	9.0%
Other Instruments	2.5%
Total Investments	100.0%

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

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	Since Inception (03/11/14)
Institutional Class Shares	(2.34%)	1.04%	1.25%
Bloomberg 1-3 Month U.S. Treasury Bill Index	0.64%	1.10%	0.74%

	1 Year	Since Inception (11/30/18)
A-Class Shares	(2.49%)	0.39%
Bloomberg 1-3 Month U.S. Treasury Bill Index	0.64%	0.94%

* 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 Bloomberg 1-3 Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on Institutional Class shares only; performance for A-Class shares will vary due to differences in fee structure. Prior to November 30, 2018, performance for Institutional Class shares reflects the performance of the Guggenheim Strategy Fund I, which did not charge a management fee and was not publicly offered as a separate investment product.

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2022
ULTRA SHORT DURATION FUND

	Shares		Value
MONEY MARKET FUNDS† - 2.5%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%1		13,989,659	$	13,989,659
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.15%1		4,599,523		4,599,523
Total Money Market Funds
(Cost $18,589,182)				18,589,182
	Face Amount
CORPORATE BONDS†† - 42.6%
Financial - 18.1%
Athene Global Funding
2.84% (SOFR Compounded Index + 0.56%) due 08/19/24◊,2	$	11,000,000		10,703,100
Goldman Sachs Group, Inc.
3.00% due 03/15/24		4,200,000		4,081,041
2.92% (SOFR + 0.62%) due 12/06/23◊		2,800,000		2,779,413
2.93% (SOFR + 0.70%) due 01/24/25◊		2,600,000		2,553,331
Swedbank AB
0.85% due 03/18/242		9,550,000		8,969,340
JPMorgan Chase & Co.
0.70% due 03/16/243		9,100,000		8,907,954
F&G Global Funding
0.90% due 09/20/242		9,700,000		8,825,649
Charles Schwab Corp.
2.78% (SOFR Compounded Index + 0.50%) due 03/18/24◊		8,850,000		8,808,055
Banco Santander S.A.
0.70% due 06/30/243		9,000,000		8,642,408
Sumitomo Mitsui Trust Bank Ltd.
0.85% due 03/25/242		8,900,000		8,348,630
Ameriprise Financial, Inc.
3.00% due 04/02/25		6,450,000		6,158,784
Credit Suisse AG NY
2.68% (SOFR Compounded Index + 0.39%) due 02/02/24◊		5,250,000		5,150,679
American Express Co.
3.23% (SOFR + 0.93%) due 03/04/25◊		4,800,000		4,795,396
Macquarie Group Ltd.
1.20% due 10/14/252,3		5,250,000		4,779,141
Macquarie Bank Ltd.
3.23% due 03/21/252		4,650,000		4,432,960
First-Citizens Bank & Trust Co.
3.93% due 06/19/243		4,400,000		4,340,597
Fifth Third Bancorp
4.30% due 01/16/24		3,000,000		2,970,234
Citigroup, Inc.
2.92% (SOFR + 0.69%) due 01/25/26◊		2,550,000		2,485,654
Bank of Nova Scotia
3.25% (SOFR Compounded Index + 0.96%) due 03/11/24◊		2,400,000		2,394,002
Jackson National Life Global Funding
1.75% due 01/12/252		2,600,000		2,389,289
Morgan Stanley
3.22% (SOFR + 0.95%) due 02/18/26◊		2,400,000		2,357,136
Starwood Property Trust, Inc.
3.75% due 12/31/242		2,550,000		2,310,938

THE GUGGENHEIM FUNDS ANNUAL REPORT | 15

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
FS KKR Capital Corp.
4.25% due 02/14/252	$	2,450,000	$	2,272,569
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
2.88% due 10/15/262		2,650,000		2,173,000
American Equity Investment Life Holding Co.
5.00% due 06/15/27		2,150,000		2,039,723
Capital One Financial Corp.
4.99% due 07/24/263		1,900,000		1,857,534
Standard Chartered plc
1.32% due 10/14/232,3		1,350,000		1,348,651
GA Global Funding Trust
1.63% due 01/15/262		1,300,000		1,139,499
Jefferies Financial Group, Inc.
5.50% due 10/18/23		950,000		948,176
OneMain Finance Corp.
3.50% due 01/15/27		1,150,000		895,818
Brighthouse Financial Global Funding
2.88% (SOFR + 0.76%) due 04/12/24◊,2		900,000		891,421
Wells Fargo & Co.
4.13% due 08/15/23		800,000		796,219
Peachtree Corners Funding Trust
3.98% due 02/15/252		650,000		627,244
Nordea Bank Abp
3.98% (3 Month USD LIBOR + 0.94%) due 08/30/23◊,2		550,000		551,606
ING Groep N.V.
3.29% (3 Month USD LIBOR + 1.00%) due 10/02/23◊		500,000		500,496
First American Financial Corp.
4.60% due 11/15/24		500,000		491,968
Markel Corp.
3.63% due 03/30/23		450,000		447,905
Equitable Holdings, Inc.
3.90% due 04/20/23		422,000		419,780
M&T Bank Corp.
4.00% due 07/15/24		400,000		394,356
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/252		400,000		392,870
Apollo Management Holdings, LP
4.00% due 05/30/242		350,000		340,202
Reliance Standard Life Global Funding II
3.85% due 09/19/232		200,000		197,146
Total Financial				135,909,914
Industrial - 6.8%
Boeing Co.
1.43% due 02/04/24		6,550,000		6,222,220
1.95% due 02/01/24		6,000,000		5,756,603
Carlisle Companies, Inc.
0.55% due 09/01/23		10,000,000		9,597,496
Ryder System, Inc.
3.35% due 09/01/25		4,820,000		4,559,537
3.75% due 06/09/23		2,650,000		2,632,434
Graphic Packaging International LLC
0.82% due 04/15/242		6,700,000		6,222,221
IP Lending V Ltd.
5.13% due 04/02/26†††,2		4,700,000		4,448,673
Berry Global, Inc.
0.95% due 02/15/24		2,150,000		2,019,954
1.65% due 01/15/27		1,100,000		912,128
TD SYNNEX Corp.
1.25% due 08/09/24		2,400,000		2,206,771
Silgan Holdings, Inc.
1.40% due 04/01/262		2,350,000		2,006,055
Vontier Corp.
1.80% due 04/01/26		2,150,000		1,827,651
Jabil, Inc.
1.70% due 04/15/26		650,000		564,675
4.25% due 05/15/27		600,000		559,280

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
Penske Truck Leasing Company LP / PTL Finance Corp.
2.70% due 11/01/242	$	900,000	$	847,665
CNH Industrial N.V.
4.50% due 08/15/23		400,000		397,604
Weir Group plc
2.20% due 05/13/262		440,000		369,669
Total Industrial				51,150,636
Consumer, Non-cyclical - 4.5%
Illumina, Inc.
0.55% due 03/23/23		8,800,000		8,617,393
Triton Container International Ltd.
0.80% due 08/01/232		3,100,000		2,957,992
2.05% due 04/15/262		2,200,000		1,867,352
1.15% due 06/07/242		1,700,000		1,548,311
Global Payments, Inc.
1.50% due 11/15/24		5,700,000		5,236,992
Element Fleet Management Corp.
1.60% due 04/06/242		4,900,000		4,611,159
AmerisourceBergen Corp.
0.74% due 03/15/23		3,828,000		3,766,222
CVS Health Corp.
4.00% due 12/05/23		1,600,000		1,582,926
Stryker Corp.
3.38% due 05/15/24		1,600,000		1,563,752
Spectrum Brands, Inc.
5.75% due 07/15/25		700,000		661,520
Block, Inc.
2.75% due 06/01/26		550,000		472,704
Laboratory Corp. of America Holdings
3.60% due 02/01/25		350,000		337,728
General Mills, Inc.
3.75% (3 Month USD LIBOR + 1.01%) due 10/17/23◊		200,000		201,011
Total Consumer, Non-cyclical				33,425,062
Technology - 4.1%
Microchip Technology, Inc.
2.67% due 09/01/23		8,070,000		7,864,538
0.97% due 02/15/24		750,000		706,620
Fidelity National Information Services, Inc.
0.60% due 03/01/24		8,200,000		7,689,629
HCL America, Inc.
1.38% due 03/10/262		7,300,000		6,389,661
CDW LLC / CDW Finance Corp.
2.67% due 12/01/26		4,300,000		3,729,710
Infor, Inc.
1.45% due 07/15/232		2,600,000		2,508,584
Qorvo, Inc.
1.75% due 12/15/242		2,050,000		1,889,716
Total Technology				30,778,458
Utilities - 3.6%
NextEra Energy Capital Holdings, Inc.
3.25% (3 Month USD LIBOR + 0.27%) due 02/22/23◊		8,600,000		8,575,055
2.69% (SOFR Compounded Index + 0.40%) due 11/03/23◊		2,500,000		2,476,985
2.84% (SOFR Compounded Index + 0.54%) due 03/01/23◊		100,000		99,871
CenterPoint Energy Resources Corp.
3.60% (3 Month USD LIBOR + 0.50%) due 03/02/23◊		5,406,000		5,393,423
Alexander Funding Trust
1.84% due 11/15/232		4,300,000		4,023,626
ONE Gas, Inc.
1.10% due 03/11/24		3,576,000		3,423,339

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
OGE Energy Corp.
0.70% due 05/26/23	$	1,500,000	$	1,460,265
Atmos Energy Corp.
3.57% (3 Month USD LIBOR + 0.38%) due 03/09/23◊		1,000,000		998,372
AES Corp.
3.30% due 07/15/252		300,000		276,639
NRG Energy, Inc.
3.75% due 06/15/242		275,000		264,313
Entergy Louisiana LLC
3.30% due 12/01/22		175,000		174,435
Total Utilities				27,166,323
Communications - 2.6%
NTT Finance Corp.
0.58% due 03/01/242		8,950,000		8,437,470
FactSet Research Systems, Inc.
2.90% due 03/01/27		3,750,000		3,393,461
Rogers Communications, Inc.
2.95% due 03/15/252		2,400,000		2,284,727
T-Mobile USA, Inc.
2.63% due 04/15/26		1,600,000		1,449,952
2.25% due 02/15/26		600,000		536,868
Cogent Communications Group, Inc.
3.50% due 05/01/262		2,000,000		1,760,296
Paramount Global
4.75% due 05/15/25		982,000		965,441
Sprint Spectrum Company LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
4.74% due 03/20/252		562,500		554,394
Vodafone Group plc
4.13% due 05/30/25		175,000		171,699
Total Communications				19,554,308
Energy - 1.5%
Enbridge, Inc.
2.69% (SOFR + 0.40%) due 02/17/23◊		4,900,000		4,889,190
Phillips 66
0.90% due 02/15/24		3,400,000		3,219,428
Valero Energy Corp.
1.20% due 03/15/24		3,000,000		2,835,030
Total Energy				10,943,648
Consumer, Cyclical - 1.2%
Warnermedia Holdings, Inc.
3.64% due 03/15/252		5,700,000		5,398,025
Hyatt Hotels Corp.
1.80% due 10/01/24		3,500,000		3,281,383
Total Consumer, Cyclical				8,679,408
Basic Materials - 0.2%
Reliance Steel & Aluminum Co.
4.50% due 04/15/23		1,300,000		1,297,146
Anglo American Capital plc
5.38% due 04/01/252		450,000		446,524
Total Basic Materials				1,743,670
Total Corporate Bonds
(Cost $337,733,005)				319,351,427
ASSET-BACKED SECURITIES†† - 31.1%
Collateralized Loan Obligations - 24.7%
Lake Shore MM CLO III LLC
2021-2A A1R, 4.22% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,2		11,350,000		11,075,229

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
BXMT Ltd.
2020-FL2 A, 3.84% (1 Month Term SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,2	$	5,000,000	$	4,926,175
2020-FL2 AS, 4.09% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38◊,2		2,550,000		2,465,523
2020-FL3 AS, 4.15% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,2		2,500,000		2,447,475
HERA Commercial Mortgage Ltd.
2021-FL1 AS, 4.29% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/38◊,2		5,000,000		4,777,169
2021-FL1 A, 4.04% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38◊,2		4,250,000		4,101,012
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A A1R, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,2		8,250,000		8,068,582
Palmer Square Loan Funding Ltd.
2021-2A B, 4.38% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,2		4,500,000		4,131,819
2021-1A A1, 3.61% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/29◊,2		2,439,362		2,400,951
2022-1A A2, 3.93% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,2		1,000,000		939,887
CHCP Ltd.
2021-FL1 A, 4.01% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,2		6,494,949		6,371,165
CIFC Funding Ltd.
2018-3A AR, 3.61% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 04/19/29◊,2		6,272,111		6,158,012
Golub Capital Partners CLO 49M Ltd.
2021-49A AR, 4.24% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/33◊,2		6,250,000		5,973,149
LCM XXIV Ltd.
2021-24A AR, 3.69% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/30◊,2		5,750,000		5,650,106
ABPCI Direct Lending Fund IX LLC
2021-9A A1R, 4.17% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,2		5,700,000		5,510,244
ABPCI Direct Lending Fund CLO VII, LP
2021-7A A1R, 4.20% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,2		5,500,000		5,252,940

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
Shackleton CLO Ltd.
2017-8A A1R, 3.63% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/27◊,2	$	5,276,411	$	5,208,395
FS Rialto
2021-FL3 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/36◊,2		5,500,000		5,160,755
LCCM Trust
2021-FL3 A, 4.27% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,2		4,100,000		3,911,055
2021-FL2 B, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/38◊,2		1,000,000		953,546
Carlyle Global Market Strategies CLO Ltd.
2018-4A A1RR, 3.51% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/31◊,2		4,927,378		4,807,516
Cerberus Loan Funding XXXV, LP
2021-5A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,2		5,000,000		4,786,352
Golub Capital Partners CLO 54M, LP
2021-54A A, 4.36% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,2		4,750,000		4,546,694
Parliament CLO II Ltd.
2021-2A A, 2.83% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/32◊,2		4,500,000		4,409,305
Owl Rock CLO IV Ltd.
2021-4A A1R, 4.58% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,2		4,500,000		4,290,454
BRSP Ltd.
2021-FL1 B, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/38◊,2		4,250,000		4,063,466
Golub Capital Partners CLO 16 Ltd.
2021-16A A1R2, 4.39% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,2		4,250,000		4,059,010
Madison Park Funding XLVIII Ltd.
2021-48A B, 4.19% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,2		4,000,000		3,770,305
Golub Capital Partners CLO 33M Ltd.
2021-33A AR2, 4.86% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,2		3,750,000		3,562,560

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
MidOcean Credit CLO VII
2020-7A A1R, 3.55% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/29◊,2	$	3,250,281	$	3,194,712
Cerberus Loan Funding XXX, LP
2020-3A A, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,2		3,000,000		2,937,418
ABPCI Direct Lending Fund CLO II LLC
2021-1A A1R, 4.31% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,2		3,000,000		2,921,528
BDS Ltd.
2021-FL8 C, 4.54% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/18/36◊,2		2,000,000		1,875,873
2021-FL8 D, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/18/36◊,2		1,000,000		936,024
Woodmont Trust
2020-7A A1A, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,2		2,750,000		2,689,132
Cerberus 2112 Levered LLC,
4.83% (3 Month Term SOFR + 2.35%, Rate Floor: 2.35%) due 02/15/29◊,†††		2,500,000		2,497,691
Cerberus Loan Funding XXXI, LP
2021-1A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,2		2,500,000		2,467,757
Cerberus Loan Funding XXXII, LP
2021-2A A, 4.13% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,2		2,500,000		2,401,940
Cerberus Loan Funding XXXVI, LP
2021-6A A, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,2		2,353,239		2,335,836
Venture XIV CLO Ltd.
2020-14A ARR, 4.07% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/29◊,2		2,264,009		2,224,819
ABPCI Direct Lending Fund CLO I LLC
2021-1A A1A2, 4.41% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,2		2,250,000		2,191,951
THL Credit Lake Shore MM CLO I Ltd.
2021-1A A1R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,2		2,250,000		2,184,972

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
Cerberus Loan Funding XXXIII, LP
2021-3A A, 4.07% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,2	$	2,250,000	$	2,163,438
LoanCore Issuer Ltd.
2019-CRE2 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,2		1,147,548		1,137,686
2018-CRE1 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/28◊,2		1,000,000		995,987
2018-CRE1 A, 3.95% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,2		24,453		24,436
Cerberus Loan Funding XXVI, LP
2021-1A AR, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,2		2,000,000		1,962,112
Fortress Credit Opportunities XI CLO Ltd.
2018-11A A1T, 3.81% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,2		1,800,000		1,765,038
Madison Park Funding LIII Ltd.
2022-53A B, 4.22% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,2		1,750,000		1,658,813
Wellfleet CLO Ltd.
2020-2A A1R, 3.77% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/29◊,2		1,591,354		1,560,779
Allegro CLO IX Ltd.
2018-3A A, 3.91% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/31◊,2		1,500,000		1,452,300
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A X, 3.21% (3 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 01/20/33◊,2		1,285,714		1,278,716
BCC Middle Market CLO LLC
2021-1A A1R, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,2		1,250,000		1,200,717
STWD Ltd.
2021-FL2 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/18/38◊,2		1,000,000		957,254

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
Greystone Commercial Real Estate Notes
2021-FL3 B, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/15/39◊,2	$	1,000,000	$	918,237
ACRE Commercial Mortgage Ltd.
2021-FL4 AS, 4.09% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/37◊,2		850,000		827,680
Cerberus Loan Funding XXXIV, LP
2021-4A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/33◊,2		755,665		753,752
Fortress Credit Opportunities VI CLO Ltd.
2018-6A A1TR, 3.79% (3 Month USD LIBOR + 1.36%, Rate Floor: 0.00%) due 07/10/30◊,2		250,000		248,892
2018-6A A2R, 4.03% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/10/30◊,2		250,000		244,131
Voya CLO Ltd.
2019-2A X, 3.36% (3 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 07/20/32◊,2		468,750		467,370
Golub Capital Partners CLO 17 Ltd.
2017-17A A1R, 4.43% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,2		350,000		344,812
Newfleet CLO Ltd.
2018-1A A1R, 3.66% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,2		326,584		323,883
Marathon CLO V Ltd.
2017-5A A1R, 3.85% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,2		251,543		250,801
California Street CLO IX, LP
2019-9A XR2, 3.44% (3 Month USD LIBOR + 0.70%, Rate Floor: 0.00%) due 07/16/32◊,2		250,000		249,862
OZLM XII Ltd.
2018-12A A1R, 3.83% (3 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 04/30/27◊,2		356		356
Total Collateralized Loan Obligations				185,425,556
Whole Business - 1.8%
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.19% due 06/05/492		5,346,000		5,065,271
Domino’s Pizza Master Issuer LLC
2018-1A, 4.33% due 07/25/482		4,321,625		3,980,567

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
Taco Bell Funding LLC
2021-1A, 1.95% due 08/25/512	$	3,225,625	$	2,694,503
Wingstop Funding LLC
2020-1A, 2.84% due 12/05/502		1,339,875		1,138,627
SERVPRO Master Issuer LLC
2019-1A, 3.88% due 10/25/492		972,500		859,457
Total Whole Business				13,738,425
Financial - 1.5%
Madison Avenue Secured Funding Trust Series
2022-1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,2		4,075,000		4,075,000
Station Place Securitization Trust
2022-SP1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,2		4,075,000		4,075,000
Madison Avenue Secured Funding Trust
2021-1, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,2		2,850,000		2,850,000
Total Financial				11,000,000
Transport-Container - 1.3%
Triton Container Finance VIII LLC
2021-1A, 1.86% due 03/20/462		6,325,625		5,309,376
CLI Funding VIII LLC
2021-1A, 1.64% due 02/18/462		2,728,685		2,336,016
Textainer Marine Containers VII Ltd.
2021-1A, 1.68% due 02/20/462		1,834,000		1,551,105
2020-1A, 2.73% due 08/21/452		696,809		628,841
Total Transport-Container				9,825,338
Net Lease - 1.0%
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 1.85% due 11/20/502		6,534,192		5,748,900
CF Hippolyta Issuer LLC
2021-1A, 1.98% due 03/15/612		2,170,137		1,824,789
Total Net Lease				7,573,689
Transport-Aircraft - 0.6%
Raspro Trust
2005-1A, 3.64% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,2		4,727,726		4,383,870
Collateralized Debt Obligations - 0.2%
Anchorage Credit Funding 3 Ltd.
2021-3A A1R, 2.87% due 01/28/392		1,750,000		1,560,908
Total Asset-Backed Securities
(Cost $244,410,895)				233,507,786

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 18.8%
Residential Mortgage-Backed Securities - 15.6%
CSMC Trust
2021-RPL1, 1.67% (WAC) due 09/27/60◊,2	$	5,763,476	$	5,412,812
2021-RPL7, 1.93% (WAC) due 07/27/61◊,2		2,527,295		2,313,052
2020-RPL5, 3.02% (WAC) due 08/25/60◊,2		2,196,010		2,103,944
2021-RPL4, 1.80% (WAC) due 12/27/60◊,2		1,424,046		1,324,664
2020-NQM1, 1.21% due 05/25/652,4		1,334,158		1,219,750
BRAVO Residential Funding Trust
2021-C, 1.62% due 03/01/612,4		8,235,213		7,508,516
2022-R1, 3.13% due 01/29/702,4		2,924,548		2,583,559
2021-HE1, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 01/25/70◊,2		1,181,079		1,167,414
2021-HE2, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 11/25/69◊,2		529,721		523,303
PRPM LLC
2021-5, 1.79% due 06/25/262,4		3,792,423		3,410,850
2022-1, 3.72% due 02/25/272,4		3,603,723		3,354,379
2021-8, 1.74% (WAC) due 09/25/26◊,2		1,969,536		1,798,368
2021-RPL2, 2.24% (WAC) due 10/25/51◊,2		2,000,000		1,702,517
NYMT Loan Trust
2021-SP1, 1.67% due 08/25/612,4		8,376,461		7,559,672
2022-SP1, 5.25% due 07/25/622,4		1,959,300		1,877,000
Legacy Mortgage Asset Trust
2021-GS4, 1.65% due 11/25/602,4		3,518,135		3,215,686
2021-GS3, 1.75% due 07/25/612,4		3,406,808		3,102,745
2021-GS2, 1.75% due 04/25/612,4		1,601,233		1,485,582
2021-GS5, 2.25% due 07/25/672,4		1,072,680		982,692
Verus Securitization Trust
2021-5, 1.37% (WAC) due 09/25/66◊,2		2,334,158		1,887,189
2020-5, 1.22% due 05/25/652,4		2,027,165		1,872,261
2021-6, 1.89% (WAC) due 10/25/66◊,2		2,084,699		1,693,267
2021-4, 1.35% (WAC) due 07/25/66◊,2		1,117,927		891,958
2021-3, 1.44% (WAC) due 06/25/66◊,2		694,429		562,629
2019-4, 2.85% due 11/25/592,4		524,734		510,389
2020-1, 2.42% due 01/25/602,4		378,168		364,996
2019-4, 2.64% due 11/25/592,4		260,059		252,959
OSAT Trust
2021-RPL1, 2.12% due 05/25/652,4		7,233,892		6,710,237
New Residential Advance Receivables Trust Advance Receivables Backed Notes
2020-APT1, 1.04% due 12/16/522		4,000,000		3,957,293
2020-T1, 1.43% due 08/15/532		2,000,000		1,911,754

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
NRZ Advance Receivables Trust
2020-T2, 1.48% due 09/15/532	$	4,150,000	$	3,959,934
2020-T3, 1.32% due 10/15/522		1,100,000		1,097,983
SPS Servicer Advance Receivables Trust II
2020-T1, 1.28% due 11/15/522		4,666,667		4,643,488
FKRT
2.21% due 11/30/58†††,5		4,550,000		4,327,633
CFMT LLC
2022-HB9, 3.25% (WAC) due 09/25/37◊,2		2,500,000		2,274,603
2021-HB5, 0.80% (WAC) due 02/25/31◊,2		1,892,011		1,819,484
Imperial Fund Mortgage Trust
2022-NQM2, 4.02% (WAC) due 03/25/67◊,2		4,496,611		4,038,913
Towd Point Revolving Trust
4.83% due 09/25/645		3,250,000		3,140,638
Structured Asset Securities Corporation Mortgage Loan Trust
2008-BC4, 3.71% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37◊		2,327,610		2,260,151
LSTAR Securities Investment Ltd.
2021-1, 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,5		1,411,987		1,310,093
2021-2, 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,5		900,350		878,529
New Residential Mortgage Loan Trust
2019-1A, 3.50% (WAC) due 10/25/59◊,2		1,240,142		1,154,809
2018-2A, 3.50% (WAC) due 02/25/58◊,2		753,182		702,396
CSMC
2021-NQM8, 2.41% (WAC) due 10/25/66◊,2		1,745,892		1,460,482
Soundview Home Loan Trust
2006-OPT5, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 07/25/36◊		1,462,489		1,395,928
Angel Oak Mortgage Trust
2022-1, 3.29% (WAC) due 12/25/66◊,2		1,554,465		1,299,409
Towd Point Mortgage Trust
2018-2, 3.25% (WAC) due 03/25/58◊,2		532,451		516,407
2017-6, 2.75% (WAC) due 10/25/57◊,2		444,819		427,409
2017-5, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/57◊,2		178,373		176,406

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
Morgan Stanley ABS Capital I Incorporated Trust
2006-NC1, 3.65% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/35◊	$	890,800	$	882,036
Credit Suisse Mortgage Capital Certificates
2021-RPL9, 2.44% (WAC) due 02/25/61◊,2		905,605		827,983
CSMC Series
2014-2R, 2.46% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/46◊,2		803,164		792,362
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W2, 3.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/35◊		733,658		718,399
Ellington Financial Mortgage Trust
2020-2, 1.49% (WAC) due 10/25/65◊,2		470,017		423,098
2020-2, 1.64% (WAC) due 10/25/65◊,2		270,747		248,454
Residential Mortgage Loan Trust
2020-1, 2.38% (WAC) due 01/26/60◊,2		618,314		581,922
Banc of America Funding Trust
2015-R2, 3.34% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/37◊,2		549,178		533,307
CIT Mortgage Loan Trust
2007-1, 4.43% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/37◊,2		529,231		525,309
SG Residential Mortgage Trust
2022-1, 3.68% (WAC) due 03/27/62◊,2		480,057		422,111
GS Mortgage-Backed Securities Trust
2020-NQM1, 1.38% (WAC) due 09/27/60◊,2		426,877		389,323
Cascade Funding Mortgage Trust
2019-RM3, 2.80% (WAC) due 06/25/69◊,5		183,811		178,496
Starwood Mortgage Residential Trust
2020-1, 2.28% (WAC) due 02/25/50◊,2		61,177		59,079
Total Residential Mortgage-Backed Securities				116,728,010

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
Commercial Mortgage-Backed Securities - 3.2%
BX Commercial Mortgage Trust
2021-VOLT, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,2	$	10,250,000	$	9,515,185
2022-LP2, 4.48% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,2		2,474,636		2,329,377
JP Morgan Chase Commercial Mortgage Securities Trust
2021-NYAH, 4.36% (1 Month USD LIBOR + 1.54%, Rate Floor: 1.54%) due 06/15/38◊,2		2,700,000		2,557,880
Life Mortgage Trust
2021-BMR, 3.92% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 03/15/38◊,2		2,408,277		2,293,584
BXHPP Trust
2021-FILM, 3.92% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/36◊,2		1,500,000		1,385,578
Morgan Stanley Capital I Trust
2018-H3, 0.98% (WAC) due 07/15/51◊,6		43,415,870		1,383,599
MHP
2022-MHIL, 4.11% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 01/15/27◊,2		1,457,488		1,373,571
Citigroup Commercial Mortgage Trust
2019-GC41, 1.17% (WAC) due 08/10/56◊,6		24,634,301		1,182,695
BENCHMARK Mortgage Trust
2019-B14, 0.91% (WAC) due 12/15/62◊,6		34,601,056		1,146,468
JPMDB Commercial Mortgage Securities Trust
2018-C8, 0.86% (WAC) due 06/15/51◊,6		25,707,183		522,218
KKR Industrial Portfolio Trust
2021-KDIP, 3.82% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/37◊,2		487,500		461,834
Wells Fargo Commercial Mortgage Trust
2015-NXS1, 2.63% due 05/15/48		37,005		36,947
Total Commercial Mortgage-Backed Securities				24,188,936
Total Collateralized Mortgage Obligations
(Cost $151,921,085)				140,916,946
SENIOR FLOATING RATE INTERESTS††,◊ - 4.2%
Industrial - 1.5%
SkyMiles IP Ltd.
6.46% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27		3,914,480		3,917,533

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
LTI Holdings, Inc.
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/08/25	$	3,031,649	$	2,798,212
Mileage Plus Holdings LLC
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		2,090,000		2,094,849
Hunter Douglas, Inc.
6.34% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/26/29		2,400,000		1,964,400
Filtration Group Corp.
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25		631,920		605,657
Total Industrial				11,380,651
Technology - 1.1%
Emerald TopCo, Inc. (Press Ganey)
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26		2,830,897		2,569,039
Dun & Bradstreet
6.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26		2,251,805		2,173,555
VT TopCo, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25		1,611,051		1,530,499
Boxer Parent Company, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25		1,226,242		1,159,387
Sabre GLBL, Inc.
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24		284,480		280,036
MACOM Technology Solutions Holdings, Inc.
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24		244,787		239,830
Total Technology				7,952,346
Consumer, Cyclical - 0.5%
Power Solutions (Panther)
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26		2,882,944		2,720,779
IBC Capital Ltd.
6.69% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23		690,956		632,515
BCPE Empire Holdings, Inc.
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26		98,729		93,627
Total Consumer, Cyclical				3,446,921

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
Communications - 0.3%
Internet Brands, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24	$	2,266,047	$	2,155,214
Flight Bidco, Inc.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25		197,429		184,350
Total Communications				2,339,564
Consumer, Non-cyclical - 0.3%
Pearl Intermediate Parent LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25		1,382,188		1,273,341
KDC US Holdings, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25		495,892		466,967
Outcomes Group Holdings, Inc.
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 10/24/25		296,661		283,807
Nomad Foods Lux SARL
5.16% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/15/24		293,780		278,112
Total Consumer, Non-cyclical				2,302,227
Financial - 0.2%
USI, Inc.
6.42% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/16/24		1,024,622		995,594
HUB International Ltd.
5.77% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25		537,510		516,123
Alliant Holdings Intermediate LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25		296,644		283,805
Total Financial				1,795,522
Basic Materials - 0.2%
Illuminate Buyer LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27		1,706,226		1,542,002
Energy - 0.1%
ITT Holdings LLC
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28		487,080		463,944
Lotus Midstream, LLC
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/29/25		96,586		94,775
Total Energy				558,719
Total Senior Floating Rate Interests
(Cost $33,423,990)				31,317,952

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

	Face Amount		Value
MUNICIPAL BONDS†† - 0.0%
Colorado - 0.0%
Dawson Ridge Metropolitan District No. 1 General Obligation Limited
due 10/01/227	$	150,000	$	150,000
Florida - 0.0%
Capital Trust Agency, Inc. Revenue Bonds
4.38% due 12/01/22		10,000		10,416
Pennsylvania - 0.0%
City of Erie Pennsylvania General Obligation Unlimited
due 11/15/227		5,000		4,933
Total Municipal Bonds
(Cost $165,546)				165,349
Total Investments - 99.2%
(Cost $786,243,703)			$	743,848,642
Other Assets & Liabilities, net - 0.8%				6,270,696
Total Net Assets - 100.0%			$	750,119,338

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index	Fixed Rate	Payment Frequency
BofA Securities, Inc.	CME	Receive	U.S. Secured Overnight Financing Rate	1.10%	Annually
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.66%	Quarterly
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	2.79%	Annually

Counterparty	Maturity Date	Notional Amount		Value			Upfront Premiums Paid		Unrealized Appreciation (Depreciation)**
BofA Securities, Inc.	01/10/25	$	137,000,000	$	9,013,239		$	486	$	9,012,753
BofA Securities, Inc.	03/16/31		4,500,000		722,366			284		722,082
BofA Securities, Inc.	07/18/27		12,000,000		(541,536	)		339		(541,875	)
				$	9,194,069		$	1,109	$	9,192,960

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Barclays Bank plc

ILS

Sell

21,118,725

6,695,929 USD

11/30/22

$

733,982

UBS AG

ILS

Sell

11,365,313

3,599,039 USD

11/30/22

390,540

Morgan Stanley Capital Services LLC

CZK

Sell

30,060

1,167 USD

12/02/22

(25

)

JPMorgan Chase Bank, N.A.

ILS

Buy

32,484,038

9,496,035 USD

11/30/22

(325,589

)

$

798,908

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1	Rate indicated is the 7-day yield as of September 30, 2022.
2	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $472,369,539 (cost $502,424,401), or 63.0% of total net assets.
3	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
4	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2022. See table below for additional step information for each security.
5	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $9,835,389 (cost $10,296,072), or 1.3% of total net assets — See Note 9.
6	Security is an interest-only strip.
7	Zero coupon rate security.
	BofA — Bank of America
	CME — Chicago Mercantile Exchange
	CZK — Czech Koruna
	ILS — Israeli New Shekel
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	SARL — Société à Responsabilité Limitée
	SOFR — Secured Overnight Financing Rate
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

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
Money Market Funds	$	18,589,182	$	—	$	—	$	18,589,182
Corporate Bonds		—		314,902,754		4,448,673		319,351,427
Asset-Backed Securities		—		228,160,095		5,347,691		233,507,786
Collateralized Mortgage Obligations		—		136,589,313		4,327,633		140,916,946
Senior Floating Rate Interests		—		31,317,952		—		31,317,952
Municipal Bonds		—		165,349		—		165,349
Interest Rate Swap Agreements**		—		9,734,835		—		9,734,835
Forward Foreign Currency Exchange Contracts**		—		1,124,522		—		1,124,522
Total Assets	$	18,589,182	$	721,994,820	$	14,123,997	$	754,707,999

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Interest Rate Swap Agreements**	$	—	$	541,875	$	—	$	541,875
Forward Foreign Currency Exchange Contracts**		—		325,614		—		325,614
Unfunded Loan Commitments (Note 8)		—		—		2,326		2,326
Total Liabilities	$	—	$	867,489	$	2,326	$	869,815

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

Category	Ending Balance at September 30, 2022			Valuation Technique		Unobservable Inputs		Input Range		Weighted Average
Assets:
Asset-Backed Securities	$	2,850,000	Third Party Pricing		Broker Quote		—		—
Asset-Backed Securities		2,497,691	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Collateralized Mortgage Obligations		4,327,633	Model Price		Market Comparable Yield		6.9%		—
Corporate Bonds		4,448,673	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Total Assets	$	14,123,997
Liabilities:
Unfunded Loan Commitments	$	2,326	Model Price		Purchase Price		—		—

Significant changes in a quote or market comparable yield would generally result in significant changes in the fair value of the security.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $4,327,633 transfer into Level 3 from Level 2 due to a lack of observable inputs.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
ULTRA SHORT DURATION FUND

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2022:

	Assets												Liabilities
	Asset-Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	23,200,000		$	2,621,708		$	—		$	25,821,708		$	(689	)
Purchases/(Receipts)		5,350,000			—			4,700,000			10,050,000			—
(Sales, maturities and paydowns)/Fundings		(23,200,000	)		(2,621,708	)		—			(25,821,708	)		286
Amortization of premiums/discounts		—			(6	)		—			(6	)		—
Total realized gains (losses) included in earnings		—			(1,226	)		—			(1,226	)		859
Total change in unrealized appreciation (depreciation) included in earnings		(2,309	)		1,232			(251,327	)		(252,404	)		(2,782	)
Transfers into Level 3		—			4,327,633			—			4,327,633			—
Ending Balance	$	5,347,691		$	4,327,633		$	4,448,673		$	14,123,997		$	(2,326	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022	$	(2,309	)	$	—		$	(251,327	)	$	(253,636	)	$	(2,782	)

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
ULTRA SHORT DURATION FUND

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate(s)			Future Reset Date(s)
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70		6.13	%		01/30/25		—			—
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61		4.62	%		09/26/24		5.62	%		09/26/25
CSMC Trust 2020-NQM1, 1.21% due 05/25/65		2.21	%		09/26/24		—			—
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61		4.75	%		05/26/24		5.75	%		05/26/25
Legacy Mortgage Asset Trust 2021-GS4, 1.65% due 11/25/60		4.65	%		08/26/24		5.65	%		08/26/25
Legacy Mortgage Asset Trust 2021-GS5, 2.25% due 07/25/67		5.25	%		11/26/24		6.25	%		11/26/25
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61		4.75	%		04/26/24		5.75	%		04/26/25
NYMT Loan Trust 2021-SP1, 1.67% due 08/25/61		4.67	%		08/26/24		5.67	%		08/26/25
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62		8.25	%		07/01/25		9.25	%		07/01/26
OSAT Trust 2021-RPL1, 2.12% due 05/25/65		5.12	%		06/26/24		6.12	%		06/26/25
PRPM LLC 2022-1, 3.72% due 02/25/27		6.72	%		02/25/25		7.72	%		02/25/26
PRPM LLC 2021-5, 1.79% due 06/25/26		4.79	%		06/26/24		5.79	%		06/26/25
Verus Securitization Trust 2020-1, 2.42% due 01/25/60		3.42	%		01/26/24		—			—
Verus Securitization Trust 2019-4, 2.64% due 11/25/59		3.64	%		10/26/23		—			—
Verus Securitization Trust 2019-4, 2.85% due 11/25/59		3.85	%		10/26/23		—			—
Verus Securitization Trust 2020-5, 1.22% due 05/25/65		2.22	%		10/26/24		—			—

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

STATEMENT OF ASSETS AND LIABILITIES

ULTRA SHORT DURATION FUND

September 30, 2022

Assets:
Investments, at value (cost $786,243,703)	$	743,848,642
Segregated cash with broker		2,283,743
Unamortized upfront premiums paid on interest rate swap agreements		1,109
Unrealized appreciation on forward foreign currency exchange contracts		1,124,522
Prepaid expenses		75,739
Receivables:
Interest		3,151,678
Fund shares sold		1,184,806
Securities sold		838,198
Variation margin on interest rate swap agreements		19,980
Foreign tax reclaims		2,885
Total assets		752,531,302
Liabilities:
Unfunded loan commitments, at value (Note 8) (commitment fees received $233)		2,326
Overdraft due to custodian bank		89,115
Unrealized depreciation on forward foreign currency exchange contracts		325,614
Payable for:
Fund shares redeemed		1,459,235
Distributions to shareholders		250,078
Management fees		104,356
Transfer agent/maintenance fees		34,332
Distribution and service fees		28,029
Fund accounting/administration fees		25,296
Trustees’ fees*		2,022
Transfer agent and administrative fees		986
Miscellaneous		90,575
Total liabilities		2,411,964
Net assets	$	750,119,338
Net assets consist of:
Paid in capital	$	784,197,456
Total distributable earnings (loss)		(34,078,118	)
Net assets	$	750,119,338
A-Class:
Net assets	$	132,518,222
Capital shares outstanding		13,811,063
Net asset value per share	$	9.60
Institutional Class:
Net assets	$	617,601,116
Capital shares outstanding		64,378,917
Net asset value per share	$	9.59

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

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

STATEMENT OF OPERATIONS

ULTRA SHORT DURATION FUND

Year Ended September 30, 2022

Investment Income:
Dividends	$	173,937
Interest		16,597,755
Total investment income		16,771,692
Expenses:
Management fees		2,364,218
Distribution and service fees:
A-Class		435,172
Transfer agent and administrative fees		12,001
Transfer agent/maintenance fees:
A-Class		100,939
Institutional Class		161,901
Fund accounting/administration fees		292,728
Professional fees		107,873
Line of credit fees		44,585
Custodian fees		29,111
Trustees’ fees*		24,621
Interest expense		8,174
Miscellaneous		214,955
Recoupment of previously waived fees:
A-Class		19,117
Institutional Class		81,840
Total expenses		3,897,235
Less: Expenses reimbursed by Adviser:
A-Class		(94,509	)
Institutional Class		(132,177	)
Expenses waived by Adviser		(59,351	)
Earnings credits applied		(1,724	)
Total waived/reimbursed expenses		(287,761	)
Net expenses		3,609,474
Net investment income		13,162,218
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(4,680,689	)
Investments sold short		31,733
Swap agreements		2,383,211
Forward foreign currency exchange contracts		397,533
Foreign currency transactions		107,334
Net realized loss		(1,760,878	)
Net change in unrealized appreciation (depreciation) on:
Investments		(44,026,791	)
Investments sold short		(33,836	)
Swap agreements		9,277,299
Forward foreign currency exchange contracts		1,458,550
Foreign currency translations		(3,043	)
Net change in unrealized appreciation (depreciation)		(33,327,821	)
Net realized and unrealized loss		(35,088,699	)
Net decrease in net assets resulting from operations	$	(21,926,481	)

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

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

STATEMENTS OF CHANGES IN NET ASSETS

ULTRA SHORT DURATION FUND

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	13,162,218		$	7,157,344
Net realized gain (loss) on investments		(1,760,878	)		2,602,544
Net change in unrealized appreciation (depreciation) on investments		(33,327,821	)		(3,059,827	)
Net increase (decrease) in net assets resulting from operations		(21,926,481	)		6,700,061
Distributions to shareholders:
A-Class		(2,015,323	)		(731,059	)
Institutional Class		(10,986,326	)		(7,010,768	)
Total distributions to shareholders		(13,001,649	)		(7,741,827	)
Capital share transactions:
Proceeds from sale of shares
A-Class		104,918,065			214,903,865
Institutional Class		393,611,176			1,202,493,738
Distributions reinvested
A-Class		2,012,411			721,960
Institutional Class		9,182,432			6,114,053
Cost of shares redeemed
A-Class		(156,307,680	)		(90,021,904	)
Institutional Class		(638,832,395	)		(766,018,803	)
Net increase (decrease) from capital share transactions		(285,415,991	)		568,192,909
Net increase (decrease) in net assets		(320,344,121	)		567,151,143
Net assets:
Beginning of year		1,070,463,459			503,312,316
End of year	$	750,119,338		$	1,070,463,459
Capital share activity:
Shares sold
A-Class		10,591,356			21,545,976
Institutional Class		39,950,301			120,556,717
Shares issued from reinvestment of distributions
A-Class		206,643			72,382
Institutional Class		942,256			613,063
Shares redeemed
A-Class		(15,890,287	)		(9,023,382	)
Institutional Class		(65,020,480	)		(76,807,815	)
Net increase (decrease) in shares		(29,220,211	)		56,956,941

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

FINANCIAL HIGHLIGHTS

ULTRA SHORT DURATION FUND

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Period Ended September 30, 2019a
Per Share Data
Net asset value, beginning of period	$	9.97		$	9.98		$	9.97		$	10.00
Income (loss) from investment operations:
Net investment income (loss)b		.12			.06			.12			.17
Net gain (loss) on investments (realized and unrealized)		(.37	)		—			.03			.02	i
Total from investment operations		(.25	)		.06			.15			.19
Less distributions from:
Net investment income		(.12	)		(.07	)		(.14	)		(.21	)
Net realized gains		—			—			—			(.01	)
Total distributions		(.12	)		(.07	)		(.14	)		(.22	)
Net asset value, end of period	$	9.60		$	9.97		$	9.98		$	9.97
Total Return		(2.49	%)		0.62	%		1.52	%		1.89	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	132,518		$	188,416		$	62,956		$	31,154
Ratios to average net assets:
Net investment income (loss)		1.18	%		0.63	%		1.20	%		2.05	%
Total expensese		0.65	%		0.63	%		0.65	%		0.61	%
Net expensesf,g,h		0.59	%		0.59	%		0.61	%		0.58	%
Portfolio turnover rate		24	%		122	%		129	%		55	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

FINANCIAL HIGHLIGHTS (continued)

ULTRA SHORT DURATION FUND

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

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019d			Year Ended September 30, 2018d
Per Share Data
Net asset value, beginning of period	$	9.97		$	9.98		$	9.96		$	10.01		$	10.04
Income (loss) from investment operations:
Net investment income (loss)b		.14			.09			.15			.28			.24
Net gain (loss) on investments (realized and unrealized)		(.37	)		—			.04			(.04	)		—
Total from investment operations		(.23	)		.09			.19			.24			.24
Less distributions from:
Net investment income		(.15	)		(.10	)		(.17	)		(.28	)		(.27	)
Net realized gains		—			—			—			(.01	)		—	c
Total distributions		(.15	)		(.10	)		(.17	)		(.29	)		(.27	)
Net asset value, end of period	$	9.59		$	9.97		$	9.98		$	9.96		$	10.01
Total Return		(2.34	%)		0.87	%		1.88	%		2.37	%		2.48	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	617,601		$	882,047		$	440,356		$	423,414		$	356,128
Ratios to average net assets:
Net investment income (loss)		1.44	%		0.88	%		1.47	%		2.54	%		2.44	%
Total expensese		0.36	%		0.34	%		0.38	%		0.30	%		0.07	%
Net expensesf,g,h		0.34	%		0.34	%		0.36	%		0.29	%		0.07	%
Portfolio turnover rate		24	%		122	%		129	%		55	%		74	%

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

FINANCIAL HIGHLIGHTS (concluded)

ULTRA SHORT DURATION FUND

a	Since commencement of operations: November 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Distributions from realized gains are less than $0.01 per share.
d	The per share data for the years ended September 30, 2017 through September 30, 2018 and the period October 1, 2018 to November 30, 2018 has been restated to reflect the reorganization of the Guggenheim Strategy Fund I with and into the Guggenheim Ultra Short Duration Fund effective November 30, 2018. In conjunction with the reorganization, Guggenheim Ultra Short Duration Fund issued 2.501601322 Institutional Class shares for every 1 share of Guggenheim Strategy Fund I.
e	Does not include expenses of the underlying funds in which the Fund invests.
f	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
g	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.01%	0.00%*	0.00%*	—
Institutional Class	0.01%	0.01%	0.00%*	0.00%*

* Less than 0.01%

^h Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	0.58%	0.58%	0.58%	0.58%	N/A
Institutional Class	0.33%	0.33%	0.33%	0.29%	0.07%

ⁱ The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss on investments for the period because of the sales and repurchases of Fund shares in relation to fluctuating market value of the investments of the Fund.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Ultra Short Duration Fund (the “Fund”), a diversified investment company. At September 30, 2022, A-Class and Institutional Class shares have been issued by the Fund.

Guggenheim Partners Investment Mangagement, LLC (“GPIM” or “the Adviser”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Partners Advisors, LLC (“GPA or the “Sub-Adviser”) assists GPIM in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

44 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

The Board of Trustees of the Fund (the “Board”) adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/or other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly reviews procedures used and valuations provided by the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments

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NOTES TO FINANCIAL STATEMENTS (continued)

in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are generally valued at the last quoted sale price.

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

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.

Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Adviser.

The value of interest rate swap agreements entered into by the Fund is is valued on the basis of the last sale price on the primary exchange on which the swap is traded.

The values of other swap agreements entered into by the Fund are generally valued using an evaluated price provided by a third party pricing vendor.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or

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NOTES TO FINANCIAL STATEMENTS (continued)

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

(b) U.S. Government and Agency Obligations

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

(c) Senior Floating Rate Interests and Loan Investments

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

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

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NOTES TO FINANCIAL STATEMENTS (continued)

(d) Interest on When-Issued Securities

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

(e) Short Sales

When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

(f) Swap Agreements

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

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

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(g) Currency Translations

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

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

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

(h) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

(i) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2022, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(j) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if

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NOTES TO FINANCIAL STATEMENTS (continued)

the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

(k) Distributions

The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.

(l) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

(m) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2022, are disclosed in the Statement of Operations.

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(n) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 3.08% at September 30, 2022.

(o) Indemnifications

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

Note 2 – Financial Instruments and Derivatives

As part of its investment strategy, the Fund utilizes a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Short Sales

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

Derivatives

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

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NOTES TO FINANCIAL STATEMENTS (continued)

The Fund utilized derivatives for the following purposes:

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

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

Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing over-the-counter (“OTC”) swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

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

The following table represents the Fund’s use and volume of total return swaps on a monthly basis:

	Average Notional Amount
Use	Long		Short
Income	$	—	$	8,543,578

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

The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:

	Average Notional Amount
Use	Pay Floating Rate		Receive Floating Rate
Duration, Hedge	$	3,000,000	$	120,862,500

Forward Foreign Currency Exchange Contracts

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

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

The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis

	Average Value
Use	Purchased		Sold
Hedge, Income	$	4,899,909	$	33,923,267

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2022:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Interest rate swap contracts	Unamortized upfront premiums paid on interest rate swap agreements	—
	Variation margin on interest rate swap agreements
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

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NOTES TO FINANCIAL STATEMENTS (continued)

The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2022:

Asset Derivative Investments Value
	Swaps Interest Rate Risk*		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2022
	$	9,734,835		1,124,522	$	10,859,357

Liability Derivative Investments Value
	Swaps Interest Rate Risk*		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2022
	$	541,875	$	325,614	$	867,489

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statement of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2022:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Interest rate swap contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements
Currency forward contracts	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts

The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended September 30, 2022:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
	Swaps Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total
	$	2,383,211	$	397,533	$	2,780,744

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Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
	Swaps Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total
	$	9,277,299	$	1,458,550	$	10,735,849

In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

Foreign Investments

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

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

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NOTES TO FINANCIAL STATEMENTS (continued)

generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.

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

Note 3 – Offsetting

In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from

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NOTES TO FINANCIAL STATEMENTS (continued)

counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Assets Presented on the Statement of Assets and Liabilities		Financial Instruments		Cash Collateral Received		Net Amount
Forward foreign currency exchange contracts	$	1,124,522	$	—	$	1,124,522	$	—	$	—	$	1,124,522

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments		Cash Collateral Pledged			Net Amount
Forward foreign currency exchange contracts	$	325,614	$	—	$	325,614	$	—	$	(325,589	)	$	25

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

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NOTES TO FINANCIAL STATEMENTS (continued)

The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2022.

Counterparty	Asset Type	Cash Pledged		Cash Received
BofA Securities, Inc.	Interest rate swap agreements	$	1,943,743	$	—
JPMorgan Chase Bank, N.A.	Forward foreign currency exchange contracts		340,000		—
		$	2,283,743	$	—

Note 4 – Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on

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NOTES TO FINANCIAL STATEMENTS (continued)

inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report. Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security. Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates. Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

Note 5 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.25% of the average daily net assets of the Fund.

Pursuant to an Investment Sub-Advisory Agreement between the Adviser and GPA, GPA, under the oversight supervision of the Board and the Adviser, assists the Adviser in the supervision and direction of the investment strategy of the Fund in accordance with its investment policies. As compensation for its services, the Adviser pays GPA a fee, payable monthly, in an amount equal to 0.005% of the Fund’s average daily net assets.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted a Distribution Plan related to the offering of A-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plan provides for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class shares.

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NOTES TO FINANCIAL STATEMENTS (continued)

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

	Limit			Effective Date		Contract End Date
A-Class		0.58	%		11/30/18		02/01/23
Institutional Class		0.33	%		11/30/18		02/01/23

GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2022, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

	2023		2024		2025		Fund Total
A-Class	$	—	$	38,223	$	105,228	$	143,451
Institutional Class		—		3,734		180,809		184,543

For the year ended September 30, 2022, GI recouped $100,957 from the Fund.

For the year ended September 30, 2022, GFD retained sales charges of $144,088 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

At September 30, 2022, GI and its affiliates owned 30% of the outstanding shares of the Fund.

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NOTES TO FINANCIAL STATEMENTS (continued)

Note 6 - Federal Income Tax Information

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

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

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	13,001,649	$	—	$	13,001,649

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	7,741,827	$	—	$	7,741,827

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
$	1,871,030	$	—	$	(33,425,204	)	$	(80,800	)	$	(2,443,144	)	$	(34,078,118	)

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NOTES TO FINANCIAL STATEMENTS (continued)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, capital loss carryforwards for the Fund were as follows:

Unlimited
Short-Term			Long-Term		Total Capital Loss Carryforward
$	(80,800	)	$	—	$	(80,800	)

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements, foreign currency gains and losses, reclassification of distributions, and the “mark-to-market” of certain derivatives. Additional differences may result from the tax treatment of bond premium/discount amortization, dividends payable, and paydown reclasses. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences.

At September 30, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	786,464,712	$	10,204,809	$	(43,627,919	)	$	(33,423,110	)

Note 7 – Securities Transactions

For the year ended September 30, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	170,806,310	$	277,065,268

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NOTES TO FINANCIAL STATEMENTS (continued)

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Gain (Loss)
$	23,027,154	$	20,059,782	$	(272,543	)

Note 8 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2022, were as follows:

Borrower	Maturity Date		Face Amount		Value
VT TopCo, Inc.		08/01/25	$	46,518	$	2,326

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NOTES TO FINANCIAL STATEMENTS (continued)

Note 9 – Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Restricted Securities	Acquisition Date	Cost		Value
Cascade Funding Mortgage Trust
2019-RM3 2.80% (WAC) due 06/25/691	06/25/19	$	183,790	$	178,496
FKRT
2.21% due 11/30/58	09/24/21		4,549,978		4,327,633
LSTAR Securities Investment Ltd.
2021-1 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261	02/04/21		1,411,987		1,310,093
LSTAR Securities Investment Ltd.
2021-2 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261	03/17/21		900,350		878,529
Towd Point Revolving Trust
4.83% due 09/25/64	03/17/22		3,249,967		3,140,638
		$	10,296,072	$	9,835,389

¹ Variable rate security. Rate indicated is the rate effective at September 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

Note 10 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.

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NOTES TO FINANCIAL STATEMENTS (continued)

On September 30, 2022, the Trust along with other affiliated trusts, renewed the $1,150,000,000 line of credit with Citibank, N.A.

Note 11 – Reverse Repurchase Agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectiviely be restricted pending such decision.

For the year ended September 30, 2022, the Fund entered into reverse repurchase agreements as follows:

Fund	Number of Days Outstanding		Balance at September 30, 2022			Average Balance Outstanding		Average Interest Rate
Ultra Short Duration		37	$	—	*	$	4,275,633		1.89	%

* As of September 30, 2022, there were no open reverse repurchase agreements.

Note 12 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

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NOTES TO FINANCIAL STATEMENTS (concluded)

Note 13 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

66 | THE GUGGENHEIM FUNDS ANNUAL REPORT

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Ultra Short Duration Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Ultra Short Duration Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed other

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded)

auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 29, 2022

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OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentage qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003. See the qualified dividend income column in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentage qualify as interest related dividends as permitted by IRC Section 871(k)(1). See the qualified interest income column in the table below.

Qualified Dividend Income			Qualified Interest Income
	1.33	%		93.17	%

Guggenheim Partners Advisors, LLC

The Investment Adviser engaged Guggenheim Partners Advisors, LLC to provide investment sub- advisory services to the Fund, effective April 29, 2022. Guggenheim Partners Advisors, LLC assists the Investment Adviser in the supervision and direction of the investment strategy of the Fund in accordance with the Fund’s investment objectives, policies, and restrictions. The Investment Adviser, and not the Fund, compensates Guggenheim Partners Advisors, LLC for these services.

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact

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OTHER INFORMATION (Unaudited)(continued)

the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms

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OTHER INFORMATION (Unaudited)(continued)

N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)   ● Guggenheim Core Bond Fund (“Core Bond Fund”)   ● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)   ● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)   ● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)   ● Guggenheim Municipal Income Fund (“Municipal Income Fund”)   ● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)   ● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)   ● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)   ● Guggenheim World Equity Income Fund (“World Equity Income Fund”) ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)   ● Guggenheim Diversified Income Fund (“Diversified Income Fund”)   ● Guggenheim High Yield Fund (“High Yield Fund”)   ● Guggenheim Limited Duration Fund (“Limited Duration Fund”)   ● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)   ● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)   ● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)   ● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)   ● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners,

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OTHER INFORMATION (Unaudited)(continued)

Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.
2	The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
3	Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.

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OTHER INFORMATION (Unaudited)(continued)

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund,

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OTHER INFORMATION (Unaudited)(continued)

Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).⁴ Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel

⁴ On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA.

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regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.⁵ As a result, in evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

⁵ Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements.

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OTHER INFORMATION (Unaudited)(continued)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96^th and 88^th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87^th and 82^nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s

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relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74^th and 62^nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74^th and 89^th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.

Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66^th and 49^th percentiles, respectively.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.

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Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee⁶ (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71^st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100^th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29^th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79^th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71^st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64^th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87^th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80^th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The

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Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

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Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

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Sub-Advisory Agreements

Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.

Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that the GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

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OTHER INFORMATION (Unaudited)(concluded)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infra-structure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Member, Board of Directors, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present); Vice Chairman, VettaFi (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and President of Mutual Funds Boards, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since August 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2012-present).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our

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legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the

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sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

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LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

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9.30.2022

Guggenheim Funds Annual Report

Guggenheim Limited Duration Fund

GuggenheimInvestments.com LD-ANN-0922x0923

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	4
LIMITED DURATION FUND	6
NOTES TO FINANCIAL STATEMENTS	40
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	58
OTHER INFORMATION	59
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	68
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	74
LIQUIDITY RISK MANAGEMENT PROGRAM	77

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2022

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (the “Investment Manager”) is pleased to present the shareholder report for Guggenheim Limited Duration Fund (the “Fund”) for the annual fiscal period ended September 30, 2022.

The Investment Manager is 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 Fund. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Manager.

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

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

2 | 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.

Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index measures the performance of publicly issued investment grade corporate, U.S. Treasury and government agency securities with remaining maturities of one to three years.

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.

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.

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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

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 Fund’s costs in two ways:

Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the 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 Fund’s 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 Fund’s prospectus.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2022	Ending Account Value September 30, 2022	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Limited Duration Fund
A-Class	0.74%	(3.75%)	$ 1,000.00	$ 962.50	$ 3.64
C-Class	1.49%	(4.11%)	1,000.00	958.90	7.32
P-Class	0.74%	(3.74%)	1,000.00	962.60	3.64
Institutional Class	0.49%	(3.62%)	1,000.00	963.80	2.41
R6-Class	0.49%	(3.63%)	1,000.00	963.70	2.41
Table 2. Based on hypothetical 5% return (before expenses)
Limited Duration Fund
A-Class	0.74%	5.00%	$ 1,000.00	$ 1,021.36	$ 3.75
C-Class	1.49%	5.00%	1,000.00	1,017.60	7.54
P-Class	0.74%	5.00%	1,000.00	1,021.36	3.75
Institutional Class	0.49%	5.00%	1,000.00	1,022.61	2.48
R6-Class	0.49%	5.00%	1,000.00	1,022.61	2.48

1	Annualized and excludes expenses of the underlying funds in which the Fund invests. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratio for the Fund would be 0.73%, 1.48%, 0.73%, 0.48% and 0.48% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively.
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 | 5

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Limited Duration Fund (“Fund”). The Fund is managed by a team of seasoned professionals at GPIM, including Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager; and Adam J. Bloch, Managing 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 returned -6.42%¹, underperforming the Fund’s benchmark, the Bloomberg U.S. Aggregate Bond 1-3 Year Index, which returned -5.11% for the same period.

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

The Fund ended the Reporting Period down -6.42% while the benchmark finished down -5.11%. The dramatic rise in interest rates drove the majority of absolute performance, detracting roughly -5.8% from the Fund’s performance over the Reporting Period. The Fund’s performance from duration did however outperform the benchmark on a relative basis, largely as a result of the Fund’s underweight duration and curve positioning over the Reporting Period. On a relative basis, the performance from duration contributed approximately 1.6% to the Fund. The performance effect from the widening in credit spreads was negative on both an absolute and relative basis given the Fund’s overweight credit allocation versus the benchmark. Over the Reporting Period, we saw spreads in Investment Grade Corporates, High Yield Corporates, and AAA-rated Collateralized Loan Obligations (“CLOs”) widen by 75 basis points, 263 basis points, and 102 basis points, respectively. Carry positively contributed about 3.2% on an absolute basis and 0.6% on a relative basis to performance. Carry refers to the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used interest rate futures, forwards, options, and swaps to help manage duration positioning, foreign exchange risk, credit exposure, and generate incremental income. Over the Reporting Period, interest rate curve caps detracted from performance while performance from interest rate swaps and swaptions was incrementally positive. Options on equities which functioned as hedges to the Fund’s credit positioning contributed to performance. Performance from credit default swaps and credit default swap index (CDX) positions were immaterial. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period.

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

At 49% of net asset value (“NAV”), securitized credit continues to be the largest and growing asset class allocation within the Fund. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, picking credit quality and structural protection at attractive spreads versus comparably rated corporate credit. We believe a unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar price discounts given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. We believe this dynamic presents a compelling total return opportunity as investors are now able to capture not only the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also an accretion to par should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage (i.e., the offered coupon) given the room for price appreciation above par ($100) is limited due to call structures. To this end, our buying efforts have been concentrated in the secondary market in subsectors like AA-rated CLOs which as of the end of the Reporting Period traded around $94.98 // +273dm (using Palmer Square CLO Index as a proxy). In primary markets, we are finding opportunities in the Non-Agency Residential Mortgage-Backed Securities (“RMBS”) sector in senior tranches of Non-Qualified Mortgage deals which price at dollar price discounts and offer yields and spreads comparable to BB-rated corporate credit.

Corporate credit totaled approximately 43% of the Fund’s NAV with roughly 32% Investment Grade rated and 11% High Yield. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across sectors, we expect them to start gradually deteriorating over the next several quarters and for default rates to pick up. However, all spread asset classes have already materially re-priced lower this year due to tighter financial conditions. Credit spread valuations are broadly in their 70th – 80th widest percentiles versus long term historical ranges, and absolute yields are at the highest levels since 2009. At current valuations the long-term value across credit assets is compelling although we expect volatility to remain elevated in the near-term. The Fund has taken advantage of dislocations across corporate

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2022

credit by purchasing high credit quality investment grade corporates at attractive absolute yields, while simultaneously trimming lower grade categories, like leveraged loans, that have performed well on a relative basis this year and have greater risks going into a potential economic slowdown.

During the Reporting Period, the Fund increased its interest rate exposure amid the backup in rates, closing and underweight to the benchmark and moving to an overweight stance. As the Federal Reserve continues to reinforce its commitment to moderating and stabilizing inflationary pressures through decreasing the demand function, we expect long term growth and inflation expectations to fall. Consequently, this era of peak hawkishness in the market signals to us that rates are likely peaking, and that extending the Fund’s duration is prudent. The Fund initiated a position in Agency RMBS in part to add duration and also increase high grade spread exposure.

Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. With the Fund’s gross yield above 6.0%, we believe the carry profile alone for such Fixed Income opportunities provides a significantly higher buffer to performance volatility from rates and spreads.

The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by Guggenheim Investments. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the Reporting Period investment in the Short Term Investment Vehicles detracted from Fund performance.

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 | 7

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2022

LIMITED DURATION FUND

OBJECTIVE: Seeks to provide a high level of income consistent with preservation of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	15.5%
AA	7.1%
A	14.7%
BBBB	21.5%
BB	6.9%
B	3.2%
CC	0.2%
CCC	0.3%
D	0.3%
NR2	16.5%
Other Instruments	13.8%
Total Investments	100.0%

Inception Dates:
A-Class	December 16, 2013
C-Class	December 16, 2013
P-Class	May 1, 2015
Institutional Class	December 16, 2013
R6-Class	March 13, 2019

Ten Largest Holdings (% of Total Net Assets)
Uniform MBS 30 Year	6.1%
State of Israel, 1.25%	1.4%
Boeing Co., 4.88%	1.1%
THL Credit Lake Shore MM CLO I Ltd., 4.21%	1.0%
OSAT Trust, 2.12%	0.9%
F&G Global Funding, 0.90%	0.8%
Station Place Securitization Trust Series, 3.78%	0.8%
Golub Capital Partners CLO 49M Ltd., 4.24%	0.8%
Oak Street Investment Grade Net Lease Fund Series, 1.85%	0.8%
CHCP Ltd., 4.01%	0.7%
Top Ten Total	14.4%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

8 | 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	Since Inception (12/16/13)
A-Class Shares	(6.42%)	0.81%	1.59%
A-Class Shares with sales charge‡	(8.55%)	0.35%	1.33%
C-Class Shares	(7.13%)	0.06%	0.84%
C-Class Shares with CDSC§	(8.04%)	0.06%	0.84%
Institutional Class Shares	(6.19%)	1.07%	1.86%
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index	(5.11%)	0.64%	0.80%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	(6.42%)	0.81%	1.40%
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index	(5.11%)	0.64%	0.76%

	1 Year	Since Inception (03/13/19)
R6-Class Shares	(6.19%)	0.75%
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index	(5.11%)	0.29%

*	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 Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures.
‡	Fund returns are calculated using the maximum sales charge of 2.25%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

SCHEDULE OF INVESTMENTS	September 30, 2022
LIMITED DURATION FUND

	Shares		Value
COMMON STOCKS† - 0.4%
Financial - 0.4%
KKR Acquisition Holdings I Corp. — Class A*,1		820,948	$	8,078,128
RXR Acquisition Corp. — Class A*,1		182,429		1,795,101
TPG Pace Beneficial II Corp.*,1		148,829		1,455,533
MSD Acquisition Corp. — Class A*,1		136,871		1,355,023
AfterNext HealthTech Acquisition Corp. — Class A*,1		135,000		1,318,950
Conyers Park III Acquisition Corp. — Class A*,1		125,300		1,217,916
Waverley Capital Acquisition Corp. 1 — Class A*,††,1		99,000		967,230
Acropolis Infrastructure Acquisition Corp. — Class A*,1		86,600		840,453
Blue Whale Acquisition Corp. I — Class A*,1		72,300		700,587
Colicity, Inc. — Class A*,1		46,809		460,601
Total Financial				18,189,522
Communications - 0.0%
Figs, Inc. — Class A*		43,750		360,938
Vacasa, Inc. — Class A*		81,407		249,919
Total Communications				610,857
Total Common Stocks
(Cost $19,829,329)				18,800,379
PREFERRED STOCKS†† - 0.6%
Financial - 0.6%
Wells Fargo & Co.
3.90%		12,100,000		10,232,062
Markel Corp.
6.00%		7,210,000		6,997,899
MetLife, Inc.
3.85%		4,620,000		4,133,029
Bank of New York Mellon Corp.
4.70%		3,010,000		2,882,075
American Financial Group, Inc.
4.50% due 09/15/60		102,052		2,019,609
First Republic Bank
4.13%		69,600		1,197,120
American Equity Investment Life Holding Co.
5.95%		8,000		179,600
Total Financial				27,641,394
Total Preferred Stocks
(Cost $31,414,621)				27,641,394
WARRANTS† - 0.0%
KKR Acquisition Holdings I Corp.
Expiring 12/31/27*,1		205,236		24,628
Ginkgo Bioworks Holdings, Inc.
Expiring 08/01/26*		19,663		14,157
AfterNext HealthTech Acquisition Corp.
Expiring 07/09/23*,1		45,000		7,200
Conyers Park III Acquisition Corp.
Expiring 08/12/28*		41,766		5,964
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/26*,1		28,866		2,890
Blue Whale Acquisition Corp.
Expiring 07/09/23*,1		18,074		2,697
MSD Acquisition Corp.
Expiring 05/13/23*,1		27,374		2,338
Waverley Capital Acquisition Corp.
Expiring 04/30/27*,1		33,000		1,475
RXR Acquisition Corp.
Expiring 03/08/26*,1		36,482		916
Colicity, Inc.
Expiring 12/31/27*,1		9,360		449
Total Warrants
(Cost $521,210)				62,714
MUTUAL FUNDS† - 1.9%
Guggenheim Strategy Fund III3		1,221,727		29,345,878
Guggenheim Strategy Fund II3		1,220,331		29,251,332
Guggenheim Ultra Short Duration Fund — Institutional Class3		2,977,261		28,551,935
Total Mutual Funds
(Cost $89,293,673)				87,149,145
MONEY MARKET FUND† - 1.9%
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.15%4		62,558,474		62,558,474
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%4		23,311,421		23,311,421
Total Money Market Fund
(Cost $85,869,895)				85,869,895
	Face Amount~
CORPORATE BONDS†† - 35.9%
Financial - 15.3%
Athene Global Funding
2.81% (SOFR Compounded Index + 0.72%) due 01/07/25◊,5		30,000,000		29,044,430
1.99% due 08/19/285		15,850,000		12,502,478
1.73% due 10/02/265		14,700,000		12,470,925
F&G Global Funding
0.90% due 09/20/245		42,100,000		38,305,135
1.75% due 06/30/265		14,250,000		12,403,475
GA Global Funding Trust
1.95% due 09/15/285		16,600,000		13,453,411
2.25% due 01/06/275		15,000,000		12,990,883
1.63% due 01/15/265		7,300,000		6,398,724
Societe Generale S.A.
1.79% due 06/09/272,5		28,000,000		23,310,669
1.49% due 12/14/262,5		10,500,000		8,886,412
3.88% due 03/28/245		350,000		340,408
Macquarie Group Ltd.
1.63% due 09/23/272,5		16,750,000		14,018,941
1.20% due 10/14/252,5		13,550,000		12,334,735

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
American International Group, Inc.
2.50% due 06/30/25		26,630,000	$	24,845,959
Equitable Financial Life Global Funding
1.40% due 07/07/255		15,000,000		13,508,582
1.80% due 03/08/285		12,000,000		10,024,104
Cooperatieve Rabobank UA
1.34% due 06/24/262,5		15,000,000		13,293,492
1.98% due 12/15/272,5		10,000,000		8,518,075
Reliance Standard Life Global Funding II
2.75% due 05/07/255		20,850,000		19,454,640
Pershing Square Holdings Ltd.
3.25% due 10/01/31		25,600,000		19,164,928
Citizens Bank North America/Providence RI
2.25% due 04/28/25		20,000,000		18,559,081
BNP Paribas S.A.
1.32% due 01/13/272,5		21,350,000		18,196,044
2.22% due 06/09/262,5		400,000		359,657
Credit Agricole S.A.
1.25% due 01/26/272,5		17,950,000		15,281,703
1.91% due 06/16/262,5		400,000		357,626
First-Citizens Bank & Trust Co.
3.93% due 06/19/242		15,200,000		14,994,790
Bank of Nova Scotia
3.25% (SOFR Compounded Index + 0.96%) due 03/11/24◊		14,250,000		14,214,384
Ares Finance Company LLC
4.00% due 10/08/245		14,617,000		14,007,801
Jackson National Life Global Funding
1.75% due 01/12/255		15,000,000		13,784,357
FS KKR Capital Corp.
4.25% due 02/14/255		7,600,000		7,049,603
2.63% due 01/15/27		7,400,000		5,975,188
Regions Financial Corp.
2.25% due 05/18/25		14,000,000		12,966,298
JPMorgan Chase & Co.
1.47% due 09/22/272		15,000,000		12,684,083
CNO Global Funding
1.75% due 10/07/265		14,400,000		12,457,539
American Equity Investment Life Holding Co.
5.00% due 06/15/27		13,075,000		12,404,362
ABN AMRO Bank N.V.
1.54% due 06/16/272,5		14,000,000		11,831,760
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
2.88% due 10/15/265		10,800,000		8,856,000
3.88% due 03/01/315		4,100,000		2,971,901
Capital One Financial Corp.
4.99% due 07/24/262		11,700,000		11,438,499
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/255		11,450,000		11,245,908
Deloitte LLP
4.35% due 11/17/23†††		7,300,000		7,154,275
3.46% due 05/07/27†††		4,500,000		4,018,058
American Tower Corp.
1.60% due 04/15/26		12,500,000		10,895,625
Standard Chartered plc
1.32% due 10/14/232,5		10,150,000		10,139,861
CBS Studio Center
5.29% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,†††		10,000,000		10,100,000
Iron Mountain, Inc.
4.88% due 09/15/275		7,360,000		6,591,874
5.00% due 07/15/285		3,085,000		2,653,100
Apollo Management Holdings, LP
4.40% due 05/27/265		7,115,000		6,748,426
4.00% due 05/30/245		1,846,000		1,794,325
Essex Portfolio, LP
1.70% due 03/01/28		10,450,000		8,472,610
ING Groep N.V.
1.73% due 04/01/272		9,800,000		8,401,572
BPCE S.A.
1.65% due 10/06/262,5		9,500,000		8,250,445
OneMain Finance Corp.
3.50% due 01/15/27		7,050,000		5,491,756
6.13% due 03/15/24		1,500,000		1,444,785
7.13% due 03/15/26		50,000		45,070
Morgan Stanley
2.19% due 04/28/262		7,000,000		6,420,937
3.77% due 01/24/292		361,000		324,662
Goldman Sachs Group, Inc.
3.50% due 04/01/25		6,900,000		6,590,900
First American Financial Corp.
4.00% due 05/15/30		7,860,000		6,553,485
KKR Group Finance Company VI LLC
3.75% due 07/01/295		7,040,000		6,265,593
SLM Corp.
3.13% due 11/02/26		7,500,000		6,208,275
SBA Communications Corp.
3.13% due 02/01/29		6,500,000		5,227,755
3.88% due 02/15/27		700,000		620,837
LPL Holdings, Inc.
4.00% due 03/15/295		4,450,000		3,816,676
4.63% due 11/15/275		2,000,000		1,813,295
Belrose Funding Trust
2.33% due 08/15/305		7,100,000		5,354,302
Brighthouse Financial Global Funding
2.88% (SOFR + 0.76%) due 04/12/24◊,5		5,050,000		5,001,861
Starwood Property Trust, Inc.
3.75% due 12/31/245		5,375,000		4,871,094
Horace Mann Educators Corp.
4.50% due 12/01/25		4,420,000		4,222,756
United Wholesale Mortgage LLC
5.50% due 11/15/255		3,880,000		3,384,446
5.50% due 04/15/295		275,000		209,000
Peachtree Corners Funding Trust
3.98% due 02/15/255		3,450,000		3,329,219
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/285		4,300,000		3,171,250
Fairfax Financial Holdings Ltd.
4.85% due 04/17/28		3,100,000		2,912,750

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
Hunt Companies, Inc.
5.25% due 04/15/295		3,250,000	$	2,488,622
CNA Financial Corp.
4.50% due 03/01/26		2,298,000		2,245,678
Equitable Holdings, Inc.
4.35% due 04/20/28		1,700,000		1,592,482
Brookfield Finance, Inc.
3.90% due 01/25/28		1,400,000		1,260,541
CNO Financial Group, Inc.
5.25% due 05/30/25		1,200,000		1,184,469
Trinity Acquisition plc
4.40% due 03/15/26		881,000		845,708
Newmark Group, Inc.
6.13% due 11/15/23		775,000		763,466
Old Republic International Corp.
3.88% due 08/26/26		700,000		661,333
Equinix, Inc.
1.55% due 03/15/28		700,000		563,170
RenaissanceRe Finance, Inc.
3.70% due 04/01/25		400,000		384,817
Assurant, Inc.
4.90% due 03/27/28		350,000		331,985
Greystar Real Estate Partners LLC
5.75% due 12/01/255		350,000		328,510
PNC Bank North America
3.88% due 04/10/25		150,000		145,243
HUB International Ltd.
7.00% due 05/01/265		150,000		142,262
Total Financial				706,346,151
Consumer, Non-cyclical - 4.6%
Triton Container International Ltd.
1.15% due 06/07/245		26,000,000		23,680,050
0.80% due 08/01/235		14,550,000		13,883,476
2.05% due 04/15/265		1,800,000		1,527,833
Global Payments, Inc.
2.90% due 05/15/30		31,000,000		24,710,874
Baxter International, Inc.
1.92% due 02/01/27		15,500,000		13,487,517
GXO Logistics, Inc.
1.65% due 07/15/26		15,000,000		12,256,359
CoStar Group, Inc.
2.80% due 07/15/305		15,280,000		12,061,145
Laboratory Corporation of America Holdings
1.55% due 06/01/26		13,700,000		12,002,964
BAT International Finance plc
1.67% due 03/25/26		13,000,000		11,237,390
Element Fleet Management Corp.
1.60% due 04/06/245		10,250,000		9,645,793
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/275		11,200,000		9,409,904
PRA Health Sciences, Inc.
2.88% due 07/15/265		10,280,000		9,044,827
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
5.13% due 02/01/285		8,000,000		7,498,160
Altria Group, Inc.
2.35% due 05/06/25		8,000,000		7,409,500
Block, Inc.
2.75% due 06/01/26		7,600,000		6,531,908
Spectrum Brands, Inc.
5.75% due 07/15/25		6,780,000		6,407,293
BAT Capital Corp.
4.70% due 04/02/27		4,220,000		3,937,543
3.56% due 08/15/27		2,000,000		1,756,344
US Foods, Inc.
6.25% due 04/15/255		3,750,000		3,683,625
4.75% due 02/15/295		1,011,000		865,416
Royalty Pharma plc
1.75% due 09/02/27		5,150,000		4,255,864
Olympus Corp.
2.14% due 12/08/265		4,350,000		3,805,645
DaVita, Inc.
4.63% due 06/01/305		3,086,000		2,387,792
3.75% due 02/15/315		800,000		570,000
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
5.63% due 08/15/265		2,828,000		2,510,925
Bunge Limited Finance Corp.
1.63% due 08/17/25		1,900,000		1,709,141
Hologic, Inc.
3.25% due 02/15/295		1,550,000		1,267,571
Molina Healthcare, Inc.
4.38% due 06/15/285		1,115,000		1,006,288
Avantor Funding, Inc.
4.63% due 07/15/285		1,050,000		934,442
IQVIA, Inc.
5.00% due 05/15/275		850,000		792,625
Service Corporation International
3.38% due 08/15/30		750,000		586,568
Sabre GLBL, Inc.
7.38% due 09/01/255		343,000		307,201
9.25% due 04/15/255		132,000		126,378
Edwards Lifesciences Corp.
4.30% due 06/15/28		420,000		392,632
Zimmer Biomet Holdings, Inc.
3.05% due 01/15/26		400,000		373,559
Smithfield Foods, Inc.
4.25% due 02/01/275		350,000		324,181
Performance Food Group, Inc.
5.50% due 10/15/275		100,000		90,883
Total Consumer, Non-cyclical				212,479,616
Industrial - 4.6%
Boeing Co.
4.88% due 05/01/25		50,500,000		49,273,297
2.20% due 02/04/26		10,450,000		9,273,722
CNH Industrial Capital LLC
1.45% due 07/15/26		12,500,000		10,807,625
1.88% due 01/15/26		4,960,000		4,416,479

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
Berry Global, Inc.
1.57% due 01/15/26		11,750,000	$	10,243,949
4.88% due 07/15/265		5,165,000		4,855,100
Sealed Air Corp.
1.57% due 10/15/265		16,450,000		13,772,286
TD SYNNEX Corp.
1.25% due 08/09/24		14,400,000		13,240,626
Graphic Packaging International LLC
0.82% due 04/15/245		6,250,000		5,804,311
1.51% due 04/15/265		6,500,000		5,685,680
Silgan Holdings, Inc.
1.40% due 04/01/265		12,600,000		10,755,866
Ryder System, Inc.
3.35% due 09/01/25		10,600,000		10,027,197
Teledyne Technologies, Inc.
2.25% due 04/01/28		12,000,000		10,008,781
Vontier Corp.
1.80% due 04/01/26		7,050,000		5,992,993
2.40% due 04/01/28		3,900,000		3,045,393
Standard Industries, Inc.
5.00% due 02/15/275		6,000,000		5,309,460
4.75% due 01/15/285		2,671,000		2,256,675
Penske Truck Leasing Company LP / PTL Finance Corp.
4.45% due 01/29/265		5,475,000		5,230,656
4.20% due 04/01/275		500,000		465,069
Owens Corning
3.88% due 06/01/30		5,910,000		5,162,951
IP Lending V Ltd. 2022-5A,
5.13% due 04/02/26†††		3,900,000		3,691,452
Jabil, Inc.
1.70% due 04/15/26		3,800,000		3,301,177
GATX Corp.
3.85% due 03/30/27		2,900,000		2,668,629
3.50% due 03/15/28		200,000		176,484
Hardwood Funding LLC
2.37% due 06/07/28†††		3,000,000		2,563,168
Weir Group plc
2.20% due 05/13/265		2,610,000		2,192,811
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
4.00% due 09/01/295		2,500,000		1,830,882
Huntington Ingalls Industries, Inc.
2.04% due 08/16/28		2,250,000		1,819,823
National Basketball Association
2.51% due 12/16/24†††		1,900,000		1,785,148
Xylem, Inc.
1.95% due 01/30/28		2,050,000		1,730,165
Mueller Water Products, Inc.
4.00% due 06/15/295		1,300,000		1,106,313
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/265		800,000		722,000
JELD-WEN, Inc.
6.25% due 05/15/255		535,000		502,900
Amsted Industries, Inc.
4.63% due 05/15/305		350,000		289,695
5.63% due 07/01/275		100,000		92,000
Summit Materials LLC / Summit Materials Finance Corp.
5.25% due 01/15/295		275,000		242,000
6.50% due 03/15/275		75,000		71,830
Stericycle, Inc.
5.38% due 07/15/245		225,000		216,299
EnerSys
5.00% due 04/30/235		175,000		172,594
Harsco Corp.
5.75% due 07/31/275		125,000		78,099
Howmet Aerospace, Inc.
6.88% due 05/01/25		35,000		35,255
Total Industrial				210,916,840
Technology - 3.0%
HCL America, Inc.
1.38% due 03/10/265		38,700,000		33,873,956
CDW LLC / CDW Finance Corp.
2.67% due 12/01/26		22,350,000		19,385,817
3.25% due 02/15/29		810,000		657,789
NetApp, Inc.
2.38% due 06/22/27		17,800,000		15,670,333
Fidelity National Information Services, Inc.
1.65% due 03/01/28		11,000,000		9,034,918
4.70% due 07/15/27		5,000,000		4,812,533
Infor, Inc.
1.75% due 07/15/255		13,800,000		12,414,114
1.45% due 07/15/235		1,100,000		1,061,324
Qorvo, Inc.
1.75% due 12/15/245		10,600,000		9,771,212
4.38% due 10/15/29		1,380,000		1,182,149
3.38% due 04/01/315		1,200,000		898,980
Oracle Corp.
2.30% due 03/25/28		12,400,000		10,356,049
Microchip Technology, Inc.
0.98% due 09/01/24		8,750,000		8,054,181
Broadcom, Inc.
4.93% due 05/15/375		3,157,000		2,603,172
4.15% due 11/15/30		2,329,000		2,015,854
NCR Corp.
5.13% due 04/15/295		2,850,000		2,137,557
Leidos, Inc.
3.63% due 05/15/25		1,950,000		1,868,800
Twilio, Inc.
3.63% due 03/15/29		994,000		802,655
MSCI, Inc.
3.88% due 02/15/315		379,000		319,104
Boxer Parent Company, Inc.
7.13% due 10/02/255		150,000		147,011
Total Technology				137,067,508

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
Communications - 2.7%
FactSet Research Systems, Inc.
2.90% due 03/01/27		22,750,000	$	20,586,997
Verizon Communications, Inc.
2.10% due 03/22/28		22,600,000		19,079,222
Paramount Global
4.95% due 01/15/31		13,560,000		11,961,727
4.75% due 05/15/25		3,590,000		3,529,465
T-Mobile USA, Inc.
2.25% due 02/15/26		8,150,000		7,292,457
3.50% due 04/15/25		5,000,000		4,778,825
2.63% due 04/15/26		3,200,000		2,899,904
Rogers Communications, Inc.
2.95% due 03/15/255		14,400,000		13,708,359
Charter Communications Operating LLC / Charter Communications Operating Capital
2.25% due 01/15/29		11,700,000		9,160,782
2.80% due 04/01/31		3,250,000		2,456,831
Cogent Communications Group, Inc.
3.50% due 05/01/265		12,350,000		10,869,827
Ziggo BV
4.88% due 01/15/305		10,800,000		8,532,000
Level 3 Financing, Inc.
3.63% due 01/15/295		5,070,000		3,753,777
4.25% due 07/01/285		2,277,000		1,776,083
3.75% due 07/15/295		2,150,000		1,574,875
Virgin Media Vendor Financing Notes IV DAC
5.00% due 07/15/285		1,850,000		1,496,187
Thomson Reuters Corp.
3.35% due 05/15/26		1,550,000		1,452,197
Fox Corp.
3.05% due 04/07/25		1,360,000		1,295,370
AMC Networks, Inc.
4.75% due 08/01/25		500,000		446,766
4.25% due 02/15/29		225,000		166,356
TripAdvisor, Inc.
7.00% due 07/15/255		400,000		388,884
CSC Holdings LLC
4.13% due 12/01/305		250,000		186,800
3.38% due 02/15/315		225,000		158,625
Sirius XM Radio, Inc.
5.50% due 07/01/295		75,000		67,461
Match Group Holdings II LLC
4.63% due 06/01/285		75,000		65,531
Total Communications				127,685,308
Consumer, Cyclical - 2.5%
Warnermedia Holdings, Inc.
3.64% due 03/15/255		33,600,000		31,819,936
Hyatt Hotels Corp.
1.80% due 10/01/24		12,300,000		11,531,719
5.63% due 04/23/25		7,220,000		7,139,181
5.75% due 04/23/30		4,320,000		4,187,569
Marriott International, Inc.
5.75% due 05/01/25		6,610,000		6,675,219
4.63% due 06/15/30		7,320,000		6,614,939
Alt-2 Structured Trust
2.95% due 05/14/31†††		11,130,895		9,868,469
Delta Air Lines Inc. / SkyMiles IP Ltd.
4.50% due 10/20/255		10,000,000		9,706,567
Choice Hotels International, Inc.
3.70% due 01/15/31		7,350,000		6,109,672
Hilton Domestic Operating Company, Inc.
3.63% due 02/15/325		5,400,000		4,135,853
4.00% due 05/01/315		300,000		242,499
Delta Air Lines, Inc.
7.00% due 05/01/255		4,300,000		4,327,744
American Airlines Class AA Pass Through Trust
3.35% due 10/15/29		2,742,289		2,391,547
3.00% due 10/15/28		1,680,272		1,450,560
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/275		3,182,500		3,114,967
Newell Brands, Inc.
6.38% due 09/15/27		3,100,000		3,069,713
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.88% due 03/01/27		2,300,000		2,169,822
Air Canada
3.88% due 08/15/265		2,350,000		2,018,063
1011778 BC ULC / New Red Finance, Inc.
5.75% due 04/15/255		700,000		693,527
Tempur Sealy International, Inc.
4.00% due 04/15/295		375,000		295,509
Aramark Services, Inc.
5.00% due 02/01/285		275,000		244,945
Total Consumer, Cyclical				117,808,020
Utilities - 1.3%
Alexander Funding Trust
1.84% due 11/15/235		19,050,000		17,825,598
CenterPoint Energy, Inc.
2.93% (SOFR Compounded Index + 0.65%) due 05/13/24◊		10,400,000		10,255,690
OGE Energy Corp.
0.70% due 05/26/23		10,200,000		9,929,802
Entergy Corp.
1.90% due 06/15/28		9,100,000		7,466,522
Terraform Global Operating LLC
6.13% due 03/01/265		6,170,000		5,784,375
Southern Co.
1.75% due 03/15/28		5,000,000		4,084,076
AES Corp.
3.30% due 07/15/255		4,250,000		3,919,052
Puget Energy, Inc.
2.38% due 06/15/28		3,600,000		2,995,296
Total Utilities				62,260,411

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
Basic Materials - 1.2%
Anglo American Capital plc
2.25% due 03/17/285		14,000,000	$	11,498,697
2.63% due 09/10/305		9,370,000		7,212,431
4.00% due 09/11/275		750,000		685,926
5.38% due 04/01/255		600,000		595,365
Valvoline, Inc.
3.63% due 06/15/315		11,161,000		8,219,956
4.25% due 02/15/305		125,000		118,125
Kaiser Aluminum Corp.
4.63% due 03/01/285		9,643,000		7,867,906
Arconic Corp.
6.00% due 05/15/255		7,811,000		7,518,601
Nucor Corp.
2.00% due 06/01/25		5,000,000		4,615,001
Alcoa Nederland Holding BV
5.50% due 12/15/275		3,675,000		3,427,489
Carpenter Technology Corp.
6.38% due 07/15/28		1,145,000		1,061,873
Steel Dynamics, Inc.
2.40% due 06/15/25		1,050,000		970,750
ArcelorMittal S.A.
4.55% due 03/11/26		400,000		382,854
Minerals Technologies, Inc.
5.00% due 07/01/285		140,000		121,846
Total Basic Materials				54,296,820
Energy - 0.7%
Galaxy Pipeline Assets Bidco Ltd.
2.16% due 03/31/345		19,217,200		15,186,486
BP Capital Markets plc
4.88% 2,6		7,500,000		6,450,000
Occidental Petroleum Corp.
5.50% due 12/01/25		5,000,000		5,025,000
Valero Energy Corp.
2.15% due 09/15/27		3,100,000		2,679,959
Sabine Pass Liquefaction LLC
5.63% due 03/01/25		500,000		499,506
5.00% due 03/15/27		300,000		287,814
Cheniere Corpus Christi Holdings LLC
7.00% due 06/30/24		550,000		559,379
Gulfstream Natural Gas System LLC
4.60% due 09/15/255		400,000		386,013
Parkland Corp.
5.88% due 07/15/275		80,000		74,160
Total Energy				31,148,317
Total Corporate Bonds
(Cost $1,879,932,217)				1,660,008,991
ASSET-BACKED SECURITIES†† - 33.0%
Collateralized Loan Obligations - 21.4%
THL Credit Lake Shore MM CLO I Ltd.
2021-1A A1R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,5		48,500,000		47,098,282
2021-1A A2R, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/15/33◊,5		6,250,000		6,090,308
BXMT Ltd.
2020-FL2 A, 3.84% (1 Month Term SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,5		25,122,000		24,751,074
2020-FL2 AS, 4.09% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38◊		14,310,000		13,835,937
2020-FL3 AS, 4.15% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,5		4,500,000		4,405,455
2020-FL3 B, 4.55% (30 Day Average SOFR + 2.26%, Rate Floor: 2.15%) due 11/15/37◊		2,000,000		1,940,372
2020-FL2 B, 4.34% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 02/15/38◊,5		2,000,000		1,924,395
Golub Capital Partners CLO 49M Ltd.
2021-49A AR, 4.24% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/33◊,5		36,500,000		34,883,192
CHCP Ltd.
2021-FL1 A, 4.01% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,5		34,722,997		34,061,229
Shackleton CLO Ltd.
2017-8A A1R, 3.63% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/27◊,5		32,098,167		31,684,402
LCM XXIV Ltd.
2021-24A AR, 3.69% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/30◊,5		31,250,000		30,707,100
ABPCI Direct Lending Fund IX LLC
2021-9A A1R, 4.17% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,5		30,750,000		29,726,314
Golub Capital Partners CLO 54M, LP
2021-54A A, 4.36% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,5		29,000,000		27,758,762
Golub Capital Partners CLO 36M Ltd.
2018-36A A, 4.13% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,5		27,500,000		27,095,365

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
LCCM Trust
2021-FL3 A, 4.27% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,5		22,250,000	$	21,224,627
2021-FL2 B, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/38◊,5		6,000,000		5,721,277
Parliament CLO II Ltd.
2021-2A B, 3.18% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 08/20/32◊,5		22,250,000		21,221,999
2021-2A A, 2.83% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/32◊,5		5,250,000		5,144,189
2021-2A C, 4.03% (3 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 08/20/32◊,5		500,000		463,669
Owl Rock CLO IV Ltd.
2021-4A A1R, 4.58% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,5		24,250,000		23,120,782
2021-4A A2R, 4.88% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/20/33◊,5		3,650,000		3,388,903
Golub Capital Partners CLO 16 Ltd.
2021-16A A1R2, 4.39% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,5		27,650,000		26,407,439
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A A2R, 4.61% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/31◊,5		15,500,000		14,763,161
2021-5A A1R, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,5		11,500,000		11,247,115
Cerberus Loan Funding XXVI, LP
2021-1A AR, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,5		23,000,000		22,564,286
2021-1A BR, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/31◊,5		3,250,000		3,128,227
LoanCore Issuer Ltd.
2019-CRE2 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,5		7,547,336		7,482,476
2021-CRE5 B, 4.82% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/36◊,5		7,900,000		7,395,312
2021-CRE4 B, 3.65% (30 Day Average SOFR + 1.36%, Rate Floor: 1.25%) due 07/15/35◊,5		7,500,000		7,148,961
2018-CRE1 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/28◊,5		3,500,000		3,485,955
2018-CRE1 A, 3.95% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,5		163,160		163,050
Palmer Square Loan Funding Ltd.
2021-1A A1, 3.61% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/29◊,5		12,806,652		12,604,992
2022-1A A2, 3.93% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,5		5,000,000		4,699,436
2021-3A B, 4.46% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/20/29◊,5		5,000,000		4,613,485
2021-2A B, 4.38% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,5		4,000,000		3,672,728
HERA Commercial Mortgage Ltd.
2021-FL1 A, 4.04% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38◊		22,750,000		21,952,478
2021-FL1 B, 4.59% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/38◊,5		3,750,000		3,529,921
Cerberus Loan Funding XXXI, LP
2021-1A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,5		13,500,000		13,325,886
2021-1A B, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/32◊,5		9,600,000		9,317,111
Golub Capital Partners CLO 33M Ltd.
2021-33A AR2, 4.86% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,5		23,000,000		21,850,370
Madison Park Funding XLVIII Ltd.
2021-48A B, 4.19% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,5		22,000,000		20,736,679
Cerberus Loan Funding XXX, LP
2020-3A A, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,5		18,000,000		17,624,511
Cerberus Loan Funding XXXII, LP
2021-2A A, 4.13% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,5		14,250,000		13,691,059
2021-2A B, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/22/33◊,5		4,000,000		3,736,732
ABPCI Direct Lending Fund CLO II LLC
2021-1A A1R, 4.31% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,5		15,250,000		14,851,103
2021-1A BR, 4.86% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 04/20/32◊,5		2,250,000		2,130,955
2021-1A A2R, 4.61% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/32◊,5		300,000		292,972

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
Woodmont Trust
2020-7A A1A, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,5		16,250,000	$	15,890,326
BRSP Ltd.
2021-FL1 C, 5.14% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 08/19/38◊,5		10,000,000		9,455,074
2021-FL1 B, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/38◊,5		6,400,000		6,119,102
ACRES Commercial Realty Ltd.
2021-FL1 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 06/15/36◊,5		11,200,000		10,637,790
2021-FL1 C, 4.94% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/36◊		4,800,000		4,476,966
Fortress Credit Opportunities XI CLO Ltd.
2018-11A A1T, 3.81% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,5		13,450,000		13,188,758
Cerberus Loan Funding XXXIII, LP
2021-3A A, 4.07% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,5		11,500,000		11,057,570
2021-3A B, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,5		2,250,000		2,018,114
AMMC CLO XI Ltd.
2020-11A A2R3, 1.83% due 04/30/315		14,300,000		13,006,922
BDS Ltd.
2021-FL8 D, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/18/36◊,5		7,000,000		6,552,169
2021-FL9 C, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/16/38◊,5		5,000,000		4,675,511
2020-FL5 B, 4.84% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/37◊		1,400,000		1,372,895
ABPCI Direct Lending Fund CLO I LLC
2021-1A A1A2, 4.41% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,5		12,250,000		11,933,954
Fortress Credit Opportunities IX CLO Ltd.
2021-9A A2TR, 4.31% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/33◊,5		11,500,000		11,119,969
Lake Shore MM CLO III LLC
2021-2A A1R, 4.22% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,5		11,250,000		10,977,650
Madison Park Funding LIII Ltd.
2022-53A B, 4.22% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,5		10,750,000		10,189,849
FS Rialto
2021-FL3 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/36◊		7,500,000		7,037,392
2021-FL2 C, 4.99% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 05/16/38◊,5		3,250,000		3,051,520
Neuberger Berman CLO XVI-S Ltd.
2021-16SA BR, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/34◊,5		10,200,000		9,525,554
KREF
2021-FL2 B, 4.59% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 02/15/39◊,5		10,000,000		9,458,198
Recette CLO Ltd.
2021-1A BRR, 4.11% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/34◊,5		10,000,000		9,300,557
ABPCI Direct Lending Fund CLO VII, LP
2021-7A A1R, 4.20% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,5		9,250,000		8,834,490
PFP Ltd.
2021-7 B, 4.34% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/14/38◊,5		4,599,770		4,304,638
2021-7 D, 5.34% (1 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/14/38◊,5		4,104,795		3,841,402
Cerberus Loan Funding XXXV, LP
2021-5A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,5		8,000,000		7,658,162
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A B, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/33◊,5		7,000,000		6,509,180
2021-9A C, 4.51% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/33◊,5		1,000,000		902,409
BCC Middle Market CLO LLC
2021-1A A1R, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,5		6,750,000		6,483,871
NewStar Fairfield Fund CLO Ltd.
2018-2A A1N, 3.98% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/30◊,5		6,529,571		6,404,738

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
Cerberus Loan Funding XXXVI, LP
2021-6A A, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,5		6,417,924	$	6,370,461
KREF Funding V LLC
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,†††		5,908,502		5,881,903
0.15% due 06/25/26†††,7		27,272,727		1,091
Cerberus 2112 Levered LLC
4.83% (3 Month Term SOFR + 2.35%, Rate Floor: 2.35%) due 02/15/29◊,†††		5,750,000		5,744,690
MF1 Multifamily Housing Mortgage Loan Trust
2021-FL6 B, 4.59% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/16/36◊,5		6,000,000		5,646,056
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A B, 4.14% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/33◊,5		6,000,000		5,634,286
STWD Ltd.
2019-FL1 C, 4.99% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 07/15/38◊		3,200,000		3,086,729
2021-FL2 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/18/38◊,5		2,187,000		2,093,515
Owl Rock CLO II Ltd.
2021-2A ALR, 4.26% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/33◊,5		5,000,000		4,807,200
CIFC Funding Ltd.
2021-4A A1B2, 3.96% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/34◊,5		5,000,000		4,765,094
BSPRT Issuer Ltd.
2021-FL6 C, 4.87% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/36◊		5,000,000		4,631,197
Cerberus Loan Funding XXXIV, LP
2021-4A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/33◊,5		4,583,339		4,571,735
Carlyle Global Market Strategies CLO Ltd.
2018-4A A1RR, 3.51% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/31◊,5		4,681,009		4,567,141
ACRE Commercial Mortgage Ltd.
2021-FL4 AS, 4.09% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/37◊,5		4,500,000		4,381,833
VOYA CLO
2021-2A BR, 4.66% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 06/07/30◊,5		4,500,000		4,199,465
Neuberger Berman Loan Advisers CLO 32 Ltd.
2021-32A BR, 4.14% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/32◊,5		4,000,000		3,776,228
Magnetite XXIX Ltd.
2021-29A B, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/34◊,5		4,000,000		3,770,640
Owl Rock CLO VI Ltd.
2021-6A B1, 5.28% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/21/32◊,5		3,500,000		3,288,016
AMMC CLO XIV Ltd.
2021-14A A2R2, 4.18% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/29◊,5		3,250,000		3,127,449
Boyce Park CLO Ltd.
2022-1A B1, 2.37% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,5		3,000,000		2,788,395
Golub Capital Partners CLO 17 Ltd.
2017-17A A1R, 4.43% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,5		2,500,000		2,462,942
Greystone Commercial Real Estate Notes
2021-FL3 B, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/15/39◊,5		2,200,000		2,020,121
HGI CRE CLO Ltd.
2021-FL2 B, 4.44% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/17/36◊		2,000,000		1,912,774
Neuberger Berman Loan Advisers CLO 47 Ltd.
2022-47A B, 4.10% (3 Month Term SOFR + 1.80%, Rate Floor: 1.80%) due 04/14/35◊,5		2,000,000		1,889,908
Marathon CLO V Ltd.
2017-5A A1R, 3.85% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,5		1,511,988		1,507,528
Dryden 37 Senior Loan Fund
2015-37A Q, due 01/15/315,8		1,500,000		1,144,957
Newfleet CLO Ltd.
2018-1A A1R, 3.66% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,5		489,876		485,824
TRTX Issuer Ltd.
2019-FL3 A, 4.19% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 10/15/34◊		377,912		376,559

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
Carlyle GMS Finance MM CLO LLC
2018-1A A12R, 4.29% (3 Month USD LIBOR + 1.78%, Rate Floor: 0.00%) due 10/15/31◊,5		250,000	$	244,776
Northwoods Capital XII-B Ltd.
2018-12BA X, 4.04% (3 Month USD LIBOR + 0.75%, Rate Floor: 0.75%) due 06/15/31◊,5		218,750		218,254
Treman Park CLO Ltd.
2015-1A COM, due 10/20/285,8		325,901		40,519
OHA Credit Partners IX Ltd.
2013-9A ACOM, due 10/20/255,8		301,370		332
Copper River CLO Ltd.
2007-1A INC, due 01/20/21†††,8,9		500,000		210
Total Collateralized Loan Obligations				990,086,591
Financial - 3.5%
Station Place Securitization Trust Series
2021-14, 3.78% (1 Month USD LIBOR + 0.70%, Rate Floor: 0.70%) due 12/08/22◊,†††,5		35,000,000		35,000,000
Strategic Partners Fund VIII LP
5.06% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,†††		23,500,000		23,482,853
5.04% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,†††		4,000,000		3,997,262
HV Eight LLC
3.36% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25◊,†††		EUR 21,000,000		20,571,109
Madison Avenue Secured Funding Trust Series
2022-1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,5		16,550,000		16,550,000
Station Place Securitization Trust
2022-SP1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,5		16,550,000		16,550,000
Madison Avenue Secured Funding Trust
2021-1, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,5		15,900,000		15,900,000
KKR Core Holding Company LLC
4.00% due 08/12/31†††		14,283,093		12,222,576
Project Onyx
4.52% (3 Month Term SOFR + 2.40%, Rate Floor: 2.30%) due 01/26/27◊,†††		7,000,000		6,997,468
Ceamer Finance LLC
3.69% due 03/22/31†††		4,459,767		4,054,680
Thunderbird A
5.50% due 03/01/37†††		2,106,980		2,106,980
Lightning A
5.50% due 03/01/37†††		2,040,052		2,040,052
Aesf Vi Verdi, LP
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,†††		EUR 1,010,575		989,986
Total Financial				160,462,966
Transport-Container - 1.9%
Triton Container Finance VIII LLC
2021-1A, 1.86% due 03/20/465		35,336,250		29,659,276
Textainer Marine Containers VII Ltd.
2021-1A, 1.68% due 02/20/465		9,868,667		8,346,421
2020-1A, 2.73% due 08/21/455		4,490,546		4,052,529
2020-2A, 2.10% due 09/20/455		4,042,177		3,475,770
CLI Funding VI LLC
2020-3A, 2.07% due 10/18/455		14,693,333		12,780,247
2020-1A, 2.08% due 09/18/455		1,582,000		1,373,747
CLI Funding VIII LLC
2021-1A, 1.64% due 02/18/465		15,742,411		13,477,015
TIF Funding II LLC
2021-1A, 1.65% due 02/20/465		15,936,250		13,185,358
CAL Funding IV Ltd.
2020-1A, 2.22% due 09/25/455		3,112,500		2,716,661
Total Transport-Container				89,067,024
Whole Business - 1.8%
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.19% due 06/05/495		31,042,440		29,412,340
Taco Bell Funding LLC
2021-1A, 1.95% due 08/25/515		18,609,375		15,545,211
SERVPRO Master Issuer LLC
2021-1A, 2.39% due 04/25/515		11,948,750		9,422,832
2019-1A, 3.88% due 10/25/495		6,078,125		5,371,604
ServiceMaster Funding LLC
2020-1, 2.84% due 01/30/515		9,111,250		7,423,409
Wingstop Funding LLC
2020-1A, 2.84% due 12/05/505		7,801,050		6,629,340
Arbys Funding LLC
2020-1A, 3.24% due 07/30/505		7,105,000		6,014,901
Domino’s Pizza Master Issuer LLC
2019-1A, 3.67% due 10/25/495		1,706,250		1,471,240
Total Whole Business				81,290,877
Net Lease - 1.5%
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 1.85% due 11/20/505		39,447,160		34,706,325
STORE Master Funding I LLC
2015-1A, 4.17% due 04/20/455		10,303,208		9,714,901
STORE Master Funding LLC
2021-1A, 2.86% due 06/20/515		6,906,563		5,807,540
CF Hippolyta Issuer LLC
2021-1A, 1.98% due 03/15/615		5,883,483		4,947,206
CMFT Net Lease Master Issuer LLC
2021-1, 2.91% due 07/20/515		3,000,000		2,465,029
2021-1, 2.51% due 07/20/515		2,500,000		2,053,433
CARS-DB4, LP
2020-1A, 3.19% due 02/15/505		3,974,167		3,702,069
2020-1A, 3.25% due 02/15/505		894,331		764,839
New Economy Assets Phase 1 Sponsor LLC
2021-1, 1.91% due 10/20/615		2,500,000		2,115,429

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
Capital Automotive REIT
2020-1A, 3.48% due 02/15/505		1,987,083	$	1,787,077
Total Net Lease				68,063,848
Transport-Aircraft - 1.3%
AASET Trust
2021-1A, 2.95% due 11/16/415		15,184,805		12,109,456
2017-1A, 3.97% due 05/16/425		2,929,170		2,322,832
AASET US Ltd.
2018-2A, 4.45% due 11/18/385		12,228,294		10,119,296
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/405		8,329,016		6,133,678
KDAC Aviation Finance Ltd.
2017-1A, 4.21% due 12/15/425		7,711,426		5,902,460
MAPS Ltd.
2018-1A, 4.21% due 05/15/435		6,558,267		5,842,066
Sapphire Aviation Finance II Ltd.
2020-1A, 3.23% due 03/15/405		6,294,010		5,210,743
Castlelake Aircraft Structured Trust
2021-1A, 3.47% due 01/15/465		5,136,829		4,500,561
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/435		4,598,252		4,023,290
Falcon Aerospace Ltd.
2019-1, 3.60% due 09/15/395		2,398,107		1,905,422
2017-1, 4.58% due 02/15/425		994,723		901,950
Raspro Trust
2005-1A, 3.64% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,5		1,969,886		1,826,613
Total Transport-Aircraft				60,798,367
Collateralized Debt Obligations - 1.0%
Anchorage Credit Funding 4 Ltd.
2021-4A AR, 2.72% due 04/27/395		24,650,000		22,578,138
Anchorage Credit Funding Ltd.
2021-13A A1, 2.88% due 07/27/395		8,500,000		7,485,114
2021-13A B2, 3.15% due 07/27/395		8,050,000		6,808,857
Anchorage Credit Funding 3 Ltd.
2021-3A A1R, 2.87% due 01/28/395		9,750,000		8,696,490
Total Collateralized Debt Obligations				45,568,599
Single Family Residence - 0.3%
FirstKey Homes Trust
2020-SFR2, 4.00% due 10/19/375		5,050,000		4,525,834
2020-SFR2, 4.50% due 10/19/375		4,900,000		4,445,555
2021-SFR1, 2.19% due 08/17/385		4,000,000		3,385,397
2020-SFR2, 3.37% due 10/19/375		3,200,000		2,824,981
Total Single Family Residence				15,181,767
Infrastructure - 0.3%
VB-S1 Issuer LLC - VBTEL
2022-1A, 4.29% due 02/15/525		9,250,000		8,091,945
Secured Tenant Site Contract Revenue Notes Series
2018-1A, 3.97% due 06/15/485		6,882,560		6,798,042
Total Infrastructure				14,889,987
Total Asset-Backed Securities
(Cost $1,627,895,557)				1,525,410,026
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 24.2%
Residential Mortgage-Backed Securities - 14.0%
CSMC Trust
2021-RPL1, 1.67% (WAC) due 09/27/60◊,5		31,262,492		29,360,404
2021-RPL7, 1.93% (WAC) due 07/27/61◊,5		14,152,851		12,953,092
2020-RPL5, 3.02% (WAC) due 08/25/60◊,5		13,344,984		12,785,505
2021-RPL4, 1.80% (WAC) due 12/27/60◊,5		8,544,279		7,947,982
2018-RPL9, 3.85% (WAC) due 09/25/57◊,5		5,662,138		5,480,543
2020-NQM1, 1.41% due 05/25/655,10		2,501,794		2,283,099
PRPM LLC
2021-5, 1.79% due 06/25/265,10		23,597,297		21,223,064
2022-1, 3.72% due 02/25/275,10		21,444,377		19,960,628
2021-8, 1.74% (WAC) due 09/25/26◊,5		11,148,317		10,179,442
2021-RPL2, 2.49% (WAC) due 10/25/51◊,5		2,500,000		2,136,716
Legacy Mortgage Asset Trust
2021-GS3, 1.75% due 07/25/615,10		23,174,706		21,106,329
2021-GS4, 1.65% due 11/25/605,10		19,867,113		18,159,167
2021-GS2, 1.75% due 04/25/615,10		8,606,628		7,985,001
2021-GS5, 2.25% due 07/25/675,10		5,577,937		5,109,996
BRAVO Residential Funding Trust
2021-C, 1.62% due 03/01/615,10		23,529,179		21,452,903
2022-R1, 3.13% due 01/29/705,10		18,034,710		15,931,946
2021-HE2, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 11/25/69◊,5		3,204,811		3,165,981
2021-HE2, 3.33% (30 Day Average SOFR + 1.05%, Rate Floor: 0.00%) due 11/25/69◊,5		2,942,893		2,907,125
2021-HE1, 3.23% (30 Day Average SOFR + 0.95%, Rate Floor: 0.00%) due 01/25/70◊,5		2,629,344		2,597,901
2021-HE1, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 01/25/70◊,5		1,974,239		1,951,398
NYMT Loan Trust
2021-SP1, 1.67% due 08/25/615,10		36,544,443		35,152,474
2022-SP1, 5.25% due 07/25/625,10		10,384,290		9,948,098
OSAT Trust
2021-RPL1, 2.12% due 05/25/655,10		45,010,882		41,752,589

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
NRZ Advance Receivables Trust
2020-T2, 1.48% due 09/15/535		28,950,000	$	27,624,119
2020-T3, 1.32% due 10/15/525		8,300,000		8,284,779
New Residential Advance Receivables Trust Advance Receivables Backed Notes
2020-T1, 1.43% due 08/15/535		15,750,000		15,055,064
2020-APT1, 1.04% due 12/16/525		10,900,000		10,783,624
Verus Securitization Trust
2021-4, 1.35% (WAC) due 07/25/66◊,5		7,117,471		5,678,799
2020-5, 1.58% due 05/25/655,10		6,132,190		5,642,335
2021-5, 1.37% (WAC) due 09/25/66◊,5		6,769,060		5,472,848
2021-3, 1.44% (WAC) due 06/25/66◊,5		4,226,957		3,424,697
2021-6, 1.89% (WAC) due 10/25/66◊,5		3,278,382		2,662,819
2019-4, 2.64% due 11/25/595,10		1,794,409		1,745,417
2020-1, 2.42% due 01/25/605,10		918,409		886,419
FKRT
2.21% due 11/30/58†††,9		25,700,000		24,443,994
Towd Point Revolving Trust
4.83% due 09/25/649		18,500,000		17,877,475
Towd Point Mortgage Trust
2017-6, 2.75% (WAC) due 10/25/57◊,5		8,810,990		8,466,124
2018-2, 3.25% (WAC) due 03/25/58◊,5		4,738,813		4,596,023
2017-5, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/57◊,5		3,135,312		3,100,740
2018-1, 3.00% (WAC) due 01/25/58◊,5		621,027		595,770
Structured Asset Securities Corporation Mortgage Loan Trust
2008-BC4, 3.71% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37◊		13,393,298		13,005,133
2006-BC4, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/36◊		652,254		633,309
2007-BC1, 3.21% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 02/25/37◊		38,828		38,447
LSTAR Securities Investment Ltd.
2021-1, 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,9		7,295,265		6,768,816
2021-2, 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,9		5,277,913		5,149,997
Imperial Fund Mortgage Trust
2022-NQM2, 4.02% (WAC) due 03/25/67◊,5		12,779,843		11,479,016
Soundview Home Loan Trust
2006-OPT5, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 07/25/36◊		10,018,052		9,562,107
2005-OPT3, 3.79% (1 Month USD LIBOR + 0.71%, Rate Floor: 0.71%) due 11/25/35◊		1,927,821		1,896,600
Home Equity Loan Trust
2007-FRE1, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊		11,726,725		10,918,089
New Residential Mortgage Loan Trust
2018-2A, 3.50% (WAC) due 02/25/58◊,5		6,517,921		6,078,427
2018-1A, 4.00% (WAC) due 12/25/57◊,5		2,029,766		1,929,311
2019-6A, 3.50% (WAC) due 09/25/59◊,5		1,555,313		1,454,337
2017-5A, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 06/25/57◊,5		624,661		616,221
CFMT LLC
2021-HB5, 1.37% (WAC) due 02/25/31◊,5		6,950,000		6,462,118
2022-HB9, 3.25% (WAC) due 09/25/37◊,5		2,250,000		2,047,143
Cascade Funding Mortgage Trust
2018-RM2, 4.00% (WAC) due 10/25/68◊,9		6,143,383		5,925,628
2019-RM3, 2.80% (WAC) due 06/25/69◊,9		1,470,485		1,427,970
CSMC
2021-NQM8, 2.41% (WAC) due 10/25/66◊,5		8,731,202		7,303,866
NovaStar Mortgage Funding Trust Series
2007-2, 3.28% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊		7,100,683		6,808,115
Alternative Loan Trust
2007-OA7, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 05/25/47◊		4,750,762		4,030,808
2007-OH3, 3.66% (1 Month USD LIBOR + 0.58%, Rate Cap/Floor: 10.00%/0.58%) due 09/25/47◊		2,240,700		1,963,866
Morgan Stanley ABS Capital I Incorporated Trust
2007-HE3, 3.33% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 12/25/36◊		4,794,133		2,551,149
2007-HE3, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/36◊		3,434,517		1,827,588
2007-HE5, 3.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/37◊		1,637,567		756,756
2006-NC1, 3.65% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/35◊		524,000		518,845
American Home Mortgage Investment Trust
2006-3, 3.44% (1 Month USD LIBOR + 0.36%, Rate Cap/Floor: 10.50%/0.36%) due 12/25/46◊		5,832,317		4,901,951

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
Banc of America Funding Trust
2015-R2, 3.34% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/37◊,5		4,703,711	$	4,567,773
Credit Suisse Mortgage Capital Certificates
2021-RPL9, 2.44% (WAC) due 02/25/61◊,5		4,528,024		4,139,915
Citigroup Mortgage Loan Trust
2022-A, 6.17% due 09/25/625,10		3,739,506		3,663,341
Bear Stearns Asset-Backed Securities I Trust
2006-HE9, 3.22% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/36◊		3,797,817		3,649,759
Securitized Asset Backed Receivables LLC Trust
2007-HE1, 3.30% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 12/25/36◊		13,271,502		3,495,931
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W2, 3.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/35◊		3,431,627		3,360,253
HarborView Mortgage Loan Trust
2006-14, 3.29% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/47◊		2,089,202		1,814,380
2006-12, 3.18% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/38◊		1,747,626		1,543,253
SPS Servicer Advance Receivables Trust
2020-T2, 1.83% due 11/15/555		3,750,000		3,298,806
Ellington Financial Mortgage Trust
2021-2, 1.29% (WAC) due 06/25/66◊,5		2,316,855		1,920,780
2020-2, 1.64% (WAC) due 10/25/65◊,5		1,218,361		1,118,043
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG
2006-HE1, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/36◊		3,033,199		2,940,075
IXIS Real Estate Capital Trust
2006-HE1, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36◊		5,010,435		2,684,437
First NLC Trust
2005-4, 3.86% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/36◊		2,646,220		2,576,961
GS Mortgage-Backed Securities Trust
2020-NQM1, 1.38% (WAC) due 09/27/60◊,5		2,757,626		2,515,028
CIT Mortgage Loan Trust
2007-1, 4.43% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/37◊,5		2,492,147		2,473,675
Angel Oak Mortgage Trust
2021-6, 1.89% (WAC) due 09/25/66◊,5		2,892,993		2,265,370
Morgan Stanley Home Equity Loan Trust
2006-2, 3.64% (1 Month USD LIBOR + 0.56%, Rate Floor: 0.56%) due 02/25/36◊		2,076,753		2,054,373
Structured Asset Investment Loan Trust
2006-3, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/36◊		1,944,172		1,882,213
2005-2, 3.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 03/25/35◊		93,262		92,131
Citigroup Mortgage Loan Trust, Inc.
2006-WF1, 5.03% due 03/25/36		3,790,721		1,958,712
SG Residential Mortgage Trust
2022-1, 3.68% (WAC) due 03/27/62◊,5		1,968,236		1,730,657
Credit-Based Asset Servicing and Securitization LLC
2006-CB2, 3.46% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/36◊		1,694,880		1,586,706
Park Place Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-WHQ3, 4.03% (1 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 06/25/35◊		1,547,718		1,540,451
Morgan Stanley IXIS Real Estate Capital Trust
2006-2, 3.23% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/36◊		3,881,539		1,406,607
GSAA Home Equity Trust
2006-3, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36◊		2,397,528		1,357,401
Nationstar Home Equity Loan Trust
2007-B, 3.30% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 04/25/37◊		1,368,915		1,354,990
Residential Mortgage Loan Trust
2020-1, 2.38% (WAC) due 01/26/60◊,5		1,349,050		1,269,648
Lehman XS Trust Series
2006-16N, 3.46% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 11/25/46◊		1,347,643		1,164,479
ACE Securities Corporation Home Equity Loan Trust Series
2005-HE2, 4.10% (1 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 04/25/35◊		1,151,583		1,114,156
MFRA Trust
2021-INV1, 1.26% (WAC) due 01/25/56◊,5		1,167,947		1,075,523

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
COLT Mortgage Loan Trust
2021-2, 2.38% (WAC) due 08/25/66◊,5		1,500,000	$	955,822
Morgan Stanley Capital I Incorporated Trust
2006-HE1, 3.66% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/36◊		783,081		752,057
Long Beach Mortgage Loan Trust
2006-8, 3.40% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/36◊		2,397,811		737,603
FBR Securitization Trust
2005-2, 3.83% (1 Month USD LIBOR + 0.75%, Rate Cap/Floor: 14.00%/0.75%) due 09/25/35◊		733,469		730,642
Countrywide Asset-Backed Certificates
2006-6, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 09/25/36◊		481,530		480,837
2006-5, 3.66% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 08/25/36◊		110,468		109,990
First Franklin Mortgage Loan Trust
2004-FF10, 4.36% (1 Month USD LIBOR + 1.28%, Rate Floor: 1.28%) due 07/25/34◊		524,582		504,506
Nomura Resecuritization Trust
2015-4R, 2.20% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,5		502,648		446,880
Starwood Mortgage Residential Trust
2020-1, 2.28% (WAC) due 02/25/50◊,5		367,064		354,474
CSMC Series
2015-12R, 2.76% (WAC) due 11/30/37◊,5		262,266		261,242
2014-2R, 2.46% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/46◊,5		55,628		54,880
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		109,984		105,488
Morgan Stanley Re-REMIC Trust
2010-R5, 2.40% due 06/26/365		52,238		46,811
Total Residential Mortgage-Backed Securities				647,085,101
Government Agency - 8.2%
Uniform MBS 30 Year
due 11/15/5212		305,613,000		282,978,996
Fannie Mae
4.00% due 07/01/52		53,402,255		49,927,728
Freddie Mac
4.00% due 06/01/52		43,458,139		40,519,069
Freddie Mac Seasoned Credit Risk Transfer Trust
2.00% due 05/25/60		3,493,366		2,967,001
2.00% due 11/25/59		2,002,091		1,700,401
Fannie Mae-Aces
1.61% (WAC) due 03/25/35◊,7		6,881,801		771,364
Freddie Mac Multifamily Structured Pass-Through Certificates
0.45% (WAC) due 08/25/23◊,7		97,166,308		240,613
Total Government Agency				379,105,172
Commercial Mortgage-Backed Securities - 2. 0%
BX Commercial Mortgage Trust
2021-VOLT, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,5		25,000,000		23,207,768
2022-LP2, 4.48% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,5		15,221,348		14,327,867
JP Morgan Chase Commercial Mortgage Securities Trust
2021-NYAH, 4.36% (1 Month USD LIBOR + 1.54%, Rate Floor: 1.54%) due 06/15/38◊,5		10,200,000		9,663,103
2016-JP2, 1.95% (WAC) due 08/15/49◊,7		33,866,256		1,735,185
BXHPP Trust
2021-FILM, 3.92% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/36◊,5		8,250,000		7,620,680
MHP
2022-MHIL, 4.11% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 01/15/27◊,5		7,773,268		7,325,714
Life Mortgage Trust
2021-BMR, 4.22% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/38◊,5		6,880,791		6,518,610
Extended Stay America Trust
2021-ESH, 4.52% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/15/38◊,5		3,975,533		3,821,118
Wells Fargo Commercial Mortgage Trust
2017-C38, 1.12% (WAC) due 07/15/50◊,7		22,897,828		807,508
2016-C37, 0.96% (WAC) due 12/15/49◊,7		27,093,245		654,790
2017-C42, 1.01% (WAC) due 12/15/50◊,7		14,474,113		516,543
2015-LC22, 0.92% (WAC) due 09/15/58◊,7		19,498,972		352,582
2017-RB1, 1.33% (WAC) due 03/15/50◊,7		8,497,271		340,453
2016-NXS5, 1.59% (WAC) due 01/15/59◊,7		5,059,958		176,174
KKR Industrial Portfolio Trust
2021-KDIP, 3.82% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/37◊,5		2,662,500		2,522,323
JPMDB Commercial Mortgage Securities Trust
2016-C4, 0.88% (WAC) due 12/15/49◊,7		37,250,305		921,152
2018-C8, 0.86% (WAC) due 06/15/51◊,7		36,915,515		749,905
2016-C2, 1.65% (WAC) due 06/15/49◊,7		6,451,413		256,062
2017-C5, 1.04% (WAC) due 03/15/50◊,7		3,123,607		89,446
BENCHMARK Mortgage Trust
2018-B2, 0.57% (WAC) due 02/15/51◊,7		112,113,283		1,637,527

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
DBJPM Mortgage Trust
2017-C6, 1.05% (WAC) due 06/10/50◊,7		51,520,962	$	1,600,962
COMM Mortgage Trust
2015-CR24, 0.84% (WAC) due 08/10/48◊,7		53,396,845		834,673
2018-COR3, 0.58% (WAC) due 05/10/51◊,7		35,251,513		709,958
Bank of America Merrill Lynch Commercial Mortgage Trust
2017-BNK3, 1.16% (WAC) due 02/15/50◊,7		29,406,648		1,026,566
2016-UB10, 1.91% (WAC) due 07/15/49◊,7		10,598,675		492,742
UBS Commercial Mortgage Trust
2017-C2, 1.24% (WAC) due 08/15/50◊,7		22,783,314		897,168
2017-C5, 1.19% (WAC) due 11/15/50◊,7		10,976,060		378,990
Morgan Stanley Bank of America Merrill Lynch Trust
2017-C34, 0.91% (WAC) due 11/15/52◊,7		23,579,094		665,025
2015-C27, 1.02% (WAC) due 12/15/47◊,7		29,746,319		563,193
CSAIL Commercial Mortgage Trust
2019-C15, 1.20% (WAC) due 03/15/52◊,7		19,419,641		872,262
2016-C6, 2.03% (WAC) due 01/15/49◊,7		6,200,829		310,469
BBCMS Mortgage Trust
2018-C2, 0.93% (WAC) due 12/15/51◊,7		29,524,830		1,050,169
CD Mortgage Trust
2017-CD6, 1.02% (WAC) due 11/13/50◊,7		12,861,739		377,080
2016-CD1, 1.50% (WAC) due 08/10/49◊,7		5,813,955		222,139
CGMS Commercial Mortgage Trust
2017-B1, 0.88% (WAC) due 08/15/50◊,7		20,043,451		580,877
CD Commercial Mortgage Trust
2017-CD4, 1.38% (WAC) due 05/10/50◊,7		13,724,420		578,652
Citigroup Commercial Mortgage Trust
2016-C2, 1.88% (WAC) due 08/10/49◊,7		6,423,106		315,230
2016-GC37, 1.84% (WAC) due 04/10/49◊,7		2,873,680		126,334
GS Mortgage Securities Trust
2017-GS6, 1.16% (WAC) due 05/10/50◊,7		11,241,574		423,817
BANK
2017-BNK6, 0.91% (WAC) due 07/15/60◊,7		13,909,253		386,708
JPMBB Commercial Mortgage Securities Trust
2013-C17, 0.88% (WAC) due 01/15/47◊,7		19,790,166		119,586
Total Commercial Mortgage-Backed Securities				95,777,110
Total Collateralized Mortgage Obligations
(Cost $1,187,765,668)				1,121,967,383
SENIOR FLOATING RATE INTERESTS††,◊ - 6.4%
Technology - 1.5%
Project Boost Purchaser LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26		13,084,375		12,364,734
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26		2,463,991		2,334,632
Datix Bidco Ltd.
7.01% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/27/25†††		13,798,857		13,452,506
Dun & Bradstreet
6.28% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 01/18/29		8,557,000		8,238,252
6.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26		701,526		677,148
Conair Holdings LLC
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28		9,925,000		8,312,187
Boxer Parent Company, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25		7,188,283		6,796,378
Peraton Corp.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		6,500,322		6,149,305
Wrench Group LLC
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26		6,105,345		5,899,289
Polaris Newco LLC
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28		2,720,558		2,504,437
MACOM Technology Solutions Holdings, Inc.
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24		1,549,149		1,517,778
Sabre GLBL, Inc.
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24		1,446,106		1,423,518
Upland Software, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26		542,031		516,284
Emerald TopCo, Inc. (Press Ganey)
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26		503,118		456,579
Total Technology				70,643,027

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
Consumer, Cyclical - 1.2%
BGIS (BIFM CA Buyer, Inc.)
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26		11,752,070	$	11,370,128
AlixPartners, LLP
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28		8,767,747		8,404,499
Verisure Holding AB
3.47% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28	EUR	7,970,000		6,991,228
3.75% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26	EUR	1,030,000		911,080
Truck Hero, Inc.
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 01/31/28		4,925,000		4,280,662
Amaya Holdings BV
3.73% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26	EUR	4,500,000		4,068,656
Packers Holdings LLC
6.01% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28		4,186,723		3,833,489
Fertitta Entertainment LLC
7.03% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/27/29		3,930,250		3,639,569
Pacific Bells LLC
8.31% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28		2,580,701		2,400,052
New Trojan Parent, Inc.
6.04% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28†††		2,715,625		2,131,766
Rent-A-Center, Inc.
6.06% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28		2,240,875		2,027,992
Entain Holdings (Gibraltar) Ltd.
6.17% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.99%) due 03/29/27		1,481,250		1,438,664
Power Solutions (Panther)
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26		1,394,593		1,316,147
PAI Holdco, Inc.
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 10/28/27		1,086,250		1,027,408
Samsonite IP Holdings SARL
4.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/25/25		293,632		283,598
Cast & Crew Payroll LLC
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/26		33,112		32,202
Total Consumer, Cyclical				54,157,140
Industrial - 1.1%
SkyMiles IP Ltd.
6.46% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27		14,199,533		14,210,609
Mileage Plus Holdings LLC
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		8,982,725		9,003,565
Filtration Group Corp.
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25		5,297,929		5,077,747
4.19% (1 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25	EUR	2,345,244		2,185,561
TransDigm, Inc.
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/22/24		3,982,119		3,875,677
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25		1,816,371		1,737,432
5.92% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25		925,973		887,119
Harsco Corporation
5.38% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 03/10/28		3,950,000		3,606,034
Charter Next Generation, Inc.
6.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27		3,406,658		3,225,697
Ravago Holdings America, Inc.
6.18% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/06/28		1,970,000		1,886,275
TAMKO Building Products, Inc.
6.08% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/29/26		1,768,101		1,665,693
CPM Holdings, Inc.
6.06% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/17/25		1,502,310		1,445,973
Cushman & Wakefield US Borrower LLC
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25		1,371,364		1,308,185

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
NA Rail Hold Co. LLC
7.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.25%) due 10/19/26		1,078,915	$	1,039,804
Park River Holdings, Inc.
5.53% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27		987,494		834,017
BWAY Holding Co.
5.81% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24		779,434		724,390
Total Industrial				52,713,778
Communications - 1.0%
Internet Brands, Inc.
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24		13,994,453		13,309,984
Playtika Holding Corp.
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28		10,441,000		9,980,656
Recorded Books, Inc.
7.08% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 08/29/25		9,005,342		8,645,128
McGraw Hill LLC
8.32% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28		6,930,000		6,375,600
UPC Broadband Holding BV
5.74% (1 Month USD LIBOR + 2.93%, Rate Floor: 2.93%) due 01/31/29		5,850,000		5,572,125
Authentic Brands
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24		1,432,369		1,396,202
Zayo Group Holdings, Inc.
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27		1,500,000		1,248,945
Altice US Finance I Corp.
5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/26		458,375		428,008
Ziggo Financing Partnership
5.32% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28		400,000		381,200
Virgin Media Bristol LLC
5.32% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28		200,000		190,556
Total Communications				47,528,404
Consumer, Non-cyclical - 0.6%
Medline Borrower LP
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28		10,024,875		9,200,931
Women’s Care Holdings, Inc.
7.87% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28		4,670,875		4,351,714
Bombardier Recreational Products, Inc.
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27		4,135,867		3,949,753
Spectrum Brands, Inc.
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28		3,262,552		3,091,269
Sigma Holding BV (Flora Food)
3.74% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25	EUR	3,700,000		2,894,072
Hearthside Group Holdings LLC
7.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25		2,067,857		1,631,891
Agiliti
5.38% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/04/26		742,308		716,327
Kronos Acquisition Holdings, Inc.
6.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		491,250		453,861
EyeCare Partners LLC
7.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27		491,250		444,581
Froneri US, Inc.
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27		439,875		414,252
Outcomes Group Holdings, Inc.
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 10/24/25		384,718		368,048
Pearl Intermediate Parent LLC
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 02/14/25		392,803		360,397
Utz Quality Foods LLC
6.15% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 01/20/28		295,501		286,266
Total Consumer, Non-cyclical				28,163,362

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Face Amount~		Value
Financial - 0.5%
USI, Inc.
6.42% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/16/24		5,911,475	$	5,744,003
HUB International Ltd.
5.77% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25		4,943,680		4,746,971
5.98% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25		972,675		935,597
Nexus Buyer LLC
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26		4,542,479		4,352,285
Jane Street Group LLC
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28		2,611,226		2,500,798
Trans Union LLC
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28		2,090,985		2,021,732
Citadel Securities, LP
5.65% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28		808,321		783,869
Total Financial				21,085,255
Basic Materials - 0.4%
Trinseo Materials Operating S.C.A.
5.62% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28		10,961,250		10,026,146
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/06/24		1,812,086		1,735,978
INEOS Ltd.
3.44% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26	EUR	8,100,000		7,029,209
GrafTech Finance, Inc.
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25		541,139		504,612
Total Basic Materials				19,295,945
Energy - 0.1%
ITT Holdings LLC
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28		2,920,500		2,781,776
Venture Global Calcasieu Pass LLC
5.74% (1 Month USD LIBOR + 2.63%, Rate Floor: 2.63%) due 08/19/26†††		841,798		839,693
Total Energy				3,621,469
Total Senior Floating Rate Interests
(Cost $321,875,407)				297,208,380
FOREIGN GOVERNMENT DEBT†† - 1.4%
State of Israel
1.25% due 11/30/22	ILS	233,849,000		65,591,037
Total Foreign Government Debt
(Cost $73,665,893)				65,591,037
MUNICIPAL BONDS†† - 0.1%
California - 0.1%
California Public Finance Authority Revenue Bonds
1.55% due 10/15/26		3,145,000		2,681,913
Total Municipal Bonds
(Cost $3,145,000)				2,681,913

	Contracts
LISTED OPTIONS PURCHASED† - 0.5%
Put Options on:
Equity Options
S&P 500 Index Expiring April 2023 with strike price of $4,000.00 (Notional Value $79,242,202)		221		10,210,200
S&P 500 Index Expiring November 2022 with strike price of $3,800.00 (Notional Value $100,038,798)		279		7,062,885
S&P 500 Index Expiring December 2022 with strike price of $3,600.00 (Notional Value $110,437,096)		308		5,354,580
Total Equity Options				22,627,665
Total Listed Options Purchased
(Cost $13,977,501)				22,627,665
Total Investments - 106.3%
(Cost $5,335,185,971)			$	4,915,018,922

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

	Contracts		Value
LISTED OPTIONS WRITTEN† - (0.1)%
Call Options on:
Equity Options
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $27,225)		33	$	—
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $26,400)		32		—
Total Equity Options				—
Put Options on:
Equity Options
S&P 500 Index Expiring December 2022 with strike price of $3,200.00 (Notional Value $110,437,096)		308		(1,918,840	)
S&P 500 Index Expiring November 2022 with strike price of $3,400.00 (Notional Value $100,038,798)		279		(2,138,535	)
Total Equity Options				(4,057,375	)
Total Listed Options Written
(Premiums received $2,944,002)				(4,057,375	)
	Contracts/ Notional Value
OTC INTEREST RATE SWAPTIONS WRITTEN††,11 - (0.1)%
Put Swaptions on:
Interest Rate Swaptions
Bank of America, N.A. 5-Year Interest Rate Swap Expiring November 2022 with exercise rate of 3.30%	$	82,650,000		(2,351,047	)
Total OTC Interest Rate Swaptions Written
(Premiums received $681,863)				(2,351,047	)
Other Assets & Liabilities, net - (6.1)%				(280,721,063	)
Total Net Assets - 100.0%			$	4,627,889,437

Centrally Cleared Credit Default Swap Agreements Protection Sold††

Counterparty

Exchange

Index

Protection Premium Rate

Payment Frequency

Maturity Date

Notional Amount

Value

Upfront Premiums Paid (Received)

Unrealized Depreciation**

BofA Securities, Inc.

ICE

CDX.NA.IG.33.V1

1.00%

Quarterly

12/20/24

$

30,000,000

$

75,628

$

471,876

$

(396,248

)

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate		Payment Frequency		Maturity Date	Notional Amount		Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)**
BofA Securities, Inc.	CME	Receive	U.S. Secured Overnight Financing Rate	2.80%		Annually		07/22/32		$	115,000,000	$	7,301,459		$	1,196		$	7,300,263
BofA Securities, Inc.	CME	Receive	U.S. Secured Overnight Financing Rate	2.68%		Annually		04/22/37			3,157,000		255,416			321			255,095
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	3.79%		Annually		10/03/27			490,000,000		(390,236	)		(191,493	)		(198,743	)
												$	7,166,639		$	(189,976	)	$	7,356,615

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Barclays Bank plc

ILS

Sell

153,948,600

48,811,136 USD

11/30/22

$

5,350,487

UBS AG

ILS

Sell

82,823,513

26,227,630 USD

11/30/22

2,846,037

Bank of America, N.A.

EUR

Sell

47,212,000

47,282,346 USD

10/17/22

966,628

JPMorgan Chase Bank, N.A.

EUR

Buy

495,000

485,210 USD

10/17/22

393

Morgan Stanley Capital Services LLC

CZK

Sell

164,100

6,368 USD

12/02/22

(138

)

JPMorgan Chase Bank, N.A.

EUR

Sell

1,028,000

1,003,785 USD

12/30/22

(11,184

)

$

9,152,223

OTC Interest Rate Swaptions Written11

Counterparty/Description

Floating Rate Type

Floating Rate Index

Payment Frequency

Fixed Rate

Expiration Date

Exercise Rate

Swaption Notional Amount

Swaption Value

Put

Bank of America, N.A. 5-Year Interest Rate Swap

Pay

SOFR

Annual

3.30%

11/30/22

3.30%

$

82,650,000

$

(2,351,047

)

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1	Special Purpose Acquisition Company (SPAC).
2	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
3	Affiliated issuer.
4	Rate indicated is the 7-day yield as of September 30, 2022.
5	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $2,812,834,370 (cost $3,078,611,954), or 60.8% of total net assets.
6	Perpetual maturity.
7	Security is an interest-only strip.
8	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
9	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $61,594,090 (cost $64,964,899), or 1.3% of total net assets — See Note 9.
10	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2022. See table below for additional step information for each security.
11	Swaptions — See additional disclosure in the swaptions table above for more information on swaptions.
12	Security is unsettled at period end and does not have a stated effective rate
	BofA — Bank of America
	CDX.NA.IG.33.V1 — Credit Default Swap North American Investment Grade Series 33 Index Version 1
	CME — Chicago Mercantile Exchange
	CZK — Czech Koruna
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	ICE — Intercontinental Exchange
	ILS — Israeli New Shekel
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	REMIC — Real Estate Mortgage Investment Conduit
	REIT — Real Estate Investment Trust
	SARL — Société à Responsabilité Limitée
	SOFR — Secured Overnight Financing Rate
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

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	$	17,833,149	$	967,230	$	—	$	18,800,379
Preferred Stocks		—		27,641,394		—		27,641,394
Warrants		62,714		—		—		62,714
Mutual Funds		87,149,145		—		—		87,149,145
Money Market Fund		85,869,895		—		—		85,869,895
Corporate Bonds		—		1,620,828,421		39,180,570		1,660,008,991
Asset-Backed Securities		—		1,386,419,166		138,990,860		1,525,410,026
Collateralized Mortgage Obligations		—		1,097,523,389		24,443,994		1,121,967,383
Senior Floating Rate Interests		—		280,784,415		16,423,965		297,208,380
Foreign Government Debt		—		65,591,037		—		65,591,037
Municipal Bonds		—		2,681,913		—		2,681,913
Options Purchased		22,627,665		—		—		22,627,665
Interest Rate Swap Agreements**		—		7,555,358		—		7,555,358
Forward Foreign Currency Exchange Contracts**		—		9,163,545		—		9,163,545
Total Assets	$	213,542,568	$	4,499,155,868	$	219,039,389	$	4,931,737,825

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs			Total
Options Written	$	4,057,375	$	—	$	—		$	4,057,375
Interest Rate Swaptions Written		—		2,351,047		—			2,351,047
Credit Default Swap Agreements**		—		396,248		—			396,248
Interest Rate Swap Agreements**		—		198,743		—			198,743
Forward Foreign Currency Exchange Contracts**		—		11,322		—			11,322
Unfunded Loan Commitments (Note 8)		—		—		—	*		—
Total Liabilities	$	4,057,375	$	2,957,360	$	—		$	7,014,735

*	Security has a market value of $0.
**	This derivative is reported as unrealized appreciation/depreciation at period end.

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

Category	Ending Balance at September 30, 2022			Valuation Technique		Unobservable Inputs		Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	71,719,951	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Asset-Backed Securities		50,901,091	Third Party Pricing		Broker Quote		—		—
Asset-Backed Securities		16,369,608	Yield Analysis		Yield		6.4%-6.9%		6.8%
Asset-Backed Securities		210	Model Price		Purchase Price		—		—
Collateralized Mortgage Obligations		24,443,994	Model Price		Market Comparable Yields		6.9%		—
Corporate Bonds		19,968,469	Yield Analysis		Yield		5.9%-6.4%		6.1%
Corporate Bonds		19,212,101	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Senior Floating Rate Interests		13,452,506	Yield Analysis		Yield		9.3%		—
Senior Floating Rate Interests		2,971,459	Third Party Pricing		Broker Quote		—		—
Total Assets	$	219,039,389

* Inputs are weighted by the fair value of the instruments.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2022
LIMITED DURATION FUND

Significant changes in a quote, yield or market comparable yields, liquidation value or valuation multiples would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $26,575,970 transfer into Level 3 from Level 2 due to a lack of observable inputs.

Summary of Fair Value Level 3 Activity

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2022:

	Assets															Liabilities
	Asset-Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	154,979,007		$	15,055,608		$	29,476,831		$	11,578,109		$	211,089,555		$	(28,373	)
Purchases/(Receipts)		78,747,031			—			13,860,001			13,915,329			106,522,361			—
(Sales, maturities and paydowns)/Fundings		(88,458,123	)		(15,055,608	)		(1,099,294	)		(11,255,401	)		(115,868,426	)		44,692
Amortization of premiums/discounts		95,064			(34	)		(148,674	)		123,140			69,496			—
Total realized gains (losses) included in earnings		60,967			(7,042	)		—			26,909			80,834			—
Total change in unrealized appreciation (depreciation) included in earnings		(6,433,296	)		7,076			(2,908,294	)		(95,887	)		(9,430,401	)		(16,319	)
Transfers into Level 3		210			24,443,994			—			2,131,766			26,575,970			—
Transfers out of Level 3		—			—			—			—			—			—
Ending Balance	$	138,990,860		$	24,443,994		$	39,180,570		$	16,423,965		$	219,039,389		$	—
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022	$	(6,433,296	)	$	—		$	(2,908,294	)	$	(51,845	)	$	(9,393,435	)	$	—

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate(s)			Future Reset Date(s)
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70		6.13	%		01/30/25		—			—
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61		4.62	%		09/26/24		5.62	%		09/26/25
Citigroup Mortgage Loan Trust 2022-A, 6.17% due 09/25/62		9.17	%		09/25/25		—			—
CSMC Trust 2020-NQM1, 1.41% due 05/25/65		2.41	%		09/26/24		—			—
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61		4.75	%		05/26/24		5.75	%		05/26/25
Legacy Mortgage Asset Trust 2021-GS4, 1.65% due 11/25/60		4.65	%		08/26/24		5.65	%		08/26/25

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2022
LIMITED DURATION FUND

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate(s)			Future Reset Date(s)
Legacy Mortgage Asset Trust 2021-GS5, 2.25% due 07/25/67		5.25	%		11/26/24		6.25	%		11/26/25
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61		4.75	%		04/26/24		5.75	%		04/26/25
NYMT Loan Trust 2021-SP1, 1.67% due 08/25/61		4.67	%		08/26/24		5.67	%		08/26/25
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62		8.25	%		07/01/25		—			—
OSAT Trust 2021-RPL1, 2.12% due 05/25/65		5.12	%		06/26/24		6.12	%		06/26/25
PRPM LLC 2022-1, 3.72% due 02/25/27		6.72	%		02/25/25		7.72	%		2/25/26
PRPM LLC 2021-5, 1.79% due 06/25/26		4.79	%		06/26/24		5.79	%		06/26/25
Verus Securitization Trust 2020-1, 2.42% due 01/25/60		3.42	%		01/26/24		—			—
Verus Securitization Trust 2019-4, 2.64% due 11/25/59		3.64	%		10/26/23		—			—
Verus Securitization Trust 2020-5, 1.58% due 05/25/65		2.58	%		10/26/24		—			—

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended September 30, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/21		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 09/30/22		Shares 09/30/22		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	29,873,632	$	607,822	$	—	$	—	$	(1,230,122	)	$	29,251,332		1,220,331	$	601,900
Guggenheim Strategy Fund III		30,067,520		630,431		—		—		(1,352,073	)		29,345,878		1,221,727		624,340
Guggenheim Ultra Short Duration Fund — Institutional Class		29,235,779		436,766		—		—		(1,120,610	)		28,551,935		2,977,261		431,986
	$	89,176,931	$	1,675,019	$	—	$	—	$	(3,702,805	)	$	87,149,145			$	1,658,226

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

LIMITED DURATION FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $5,245,892,298)	$	4,827,869,777
Investments in affiliated issuers, at value (cost $89,293,673)		87,149,145
Foreign currency, at value (cost 230,865)		230,865
Cash		168,369
Segregated cash with broker		255,000
Unamortized upfront premiums paid on credit default swap agreements		471,876
Unamortized upfront premiums paid on interest rate swap agreements		1,517
Unrealized appreciation on forward foreign currency exchange contracts		9,163,545
Prepaid expenses		179,535
Receivables:
Securities sold		286,918,626
Interest		26,978,085
Variation margin on interest rate swap agreements		22,147,198
Fund shares sold		6,827,353
Dividends		265,473
Protection fees on credit default swap agreements		9,167
Variation margin on credit default swap agreements		1,088
Total assets		5,268,636,619
Liabilities:
Unfunded commitments, at value (Note 8) (commitment fees received $—)		—
Options written, at value (premiums received $3,625,865)		6,408,422
Segregated cash due to broker		23,937,840
Unamortized upfront premiums received on interest rate swap agreements		191,493
Unrealized depreciation on forward foreign currency exchange contracts		11,322
Payable for:
Securities purchased		581,490,703
Fund shares redeemed		23,647,333
Distributions to shareholders		1,454,372
Management fees		1,395,935
Transfer agent/maintenance fees		491,693
Distribution and service fees		186,556
Fund accounting/administration fees		39,729
Trustees’ fees*		5,228
Due to Investment Adviser		387
Miscellaneous		1,486,169
Total liabilities		640,747,182
Net assets	$	4,627,889,437
Net assets consist of:
Paid in capital	$	5,037,473,279
Total distributable earnings (loss)		(409,583,842	)
Net assets	$	4,627,889,437
A-Class:
Net assets	$	549,666,653
Capital shares outstanding		23,609,755
Net asset value per share	$	23.28
Maximum offering price per share (Net asset value divided by 97.75%)	$	23.82
C-Class:
Net assets	$	62,863,998
Capital shares outstanding		2,701,977
Net asset value per share	$	23.27
P-Class:
Net assets	$	80,734,771
Capital shares outstanding		3,467,887
Net asset value per share	$	23.28
Institutional Class:
Net assets	$	3,907,124,716
Capital shares outstanding		167,855,231
Net asset value per share	$	23.28
R6-Class:
Net assets	$	27,499,299
Capital shares outstanding		1,182,045
Net asset value per share	$	23.26

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

LIMITED DURATION FUND

STATEMENT OF OPERATIONS

Year Ended September 30, 2022

Investment Income:
Dividends from securities of unaffiliated issuers	$	1,776,488
Dividends from securities of affiliated issuers		1,658,226
Interest (net of foreign withholding tax of $18,269)		132,067,785
Total investment income		135,502,499
Expenses:
Management fees		21,572,847
Distribution and service fees:
A-Class		1,797,980
C-Class		769,466
P-Class		251,891
Transfer agent/maintenance fees:
A-Class		519,066
C-Class		82,361
P-Class		222,265
Institutional Class		4,037,299
R6-Class		685
Fund accounting/administration fees		3,308,297
Professional fees		364,208
Line of credit fees		260,395
Custodian fees		85,343
Trustees’ fees*		74,774
Interest expense		7,753
Miscellaneous		596,971
Recoupment of previously waived fees:
A-Class		14,211
R6-Class		6,078
Total expenses		33,971,890
Less:
Expenses reimbursed by Adviser:
A-Class		(426,910	)
C-Class		(72,841	)
P-Class		(208,756	)
Institutional Class		(3,453,453	)
R6-Class		(2,418	)
Expenses waived by Adviser		(129,340	)
Earnings credits applied		(10,367	)
Total waived/reimbursed expenses		(4,304,085	)
Net expenses		29,667,805
Net investment income		105,834,694
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(35,512,874	)
Investments sold short		187,008
Swap agreements		16,910,365
Futures contracts		145,825
Options purchased		8,044,609
Options written		(2,516,416	)
Forward foreign currency exchange contracts		15,086,577
Foreign currency transactions		597,745
Net realized gain		2,942,839
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(466,624,463	)
Investments in affiliated issuers		(3,702,805	)
Investments sold short		(197,620	)
Swap agreements		4,954,282
Options purchased		5,879,246
Options written		(3,292,000	)
Forward foreign currency exchange contracts		7,880,439
Foreign currency translations		(77,255	)
Net change in unrealized appreciation (depreciation)		(455,180,176	)
Net realized and unrealized loss		(452,237,337	)
Net decrease in net assets resulting from operations	$	(346,402,643	)

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

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

LIMITED DURATION FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2022			Year Ended September 30, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	105,834,694		$	75,023,145
Net realized gain on investments		2,942,839			39,432,273
Net change in unrealized appreciation (depreciation) on investments		(455,180,176	)		(41,106,516	)
Net increase (decrease) in net assets resulting from operations		(346,402,643	)		73,348,902
Distributions to shareholders:
A-Class		(15,229,714	)		(15,056,137	)
C-Class		(1,053,900	)		(1,100,964	)
P-Class		(2,173,183	)		(3,167,298	)
Institutional Class		(109,271,775	)		(82,692,217	)
R6-Class		(826,365	)		(842,004	)
Total distributions to shareholders		(128,554,937	)		(102,858,620	)
Capital share transactions:
Proceeds from sale of shares
A-Class		160,235,607			537,507,580
C-Class		11,936,961			27,038,454
P-Class		53,405,339			68,322,487
Institutional Class		2,719,216,190			3,456,236,145
R6-Class		6,914,200			23,737,430
Distributions reinvested
A-Class		12,605,568			12,214,080
C-Class		856,214			884,729
P-Class		2,173,183			3,160,020
Institutional Class		90,897,272			65,470,318
R6-Class		826,365			841,976
Cost of shares redeemed
A-Class		(417,792,556	)		(314,667,489	)
C-Class		(33,537,200	)		(23,334,185	)
P-Class		(121,847,857	)		(65,716,372	)
Institutional Class		(3,467,436,046	)		(1,449,568,811	)
R6-Class		(21,559,738	)		(11,439,188	)
Net increase (decrease) from capital share transactions		(1,003,106,498	)		2,330,687,174
Net increase (decrease) in net assets		(1,478,064,078	)		2,301,177,456
Net assets:
Beginning of year		6,105,953,515			3,804,776,059
End of year	$	4,627,889,437		$	6,105,953,515

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

LIMITED DURATION FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Year Ended September 30, 2022			Year Ended September 30, 2021
Capital share activity:
Shares sold
A-Class		6,516,599			21,056,345
C-Class		487,090			1,059,662
P-Class		2,172,486			2,677,514
Institutional Class		111,021,579			135,555,309
R6-Class		280,583			931,064
Shares issued from reinvestment of distributions
A-Class		514,766			478,808
C-Class		35,053			34,690
P-Class		88,801			123,858
Institutional Class		3,720,350			2,567,621
R6-Class		33,955			33,034
Shares redeemed
A-Class		(17,070,775	)		(12,344,754	)
C-Class		(1,370,571	)		(915,145	)
P-Class		(4,908,204	)		(2,577,262	)
Institutional Class		(142,043,580	)		(56,850,821	)
R6-Class		(873,618	)		(448,608	)
Net increase (decrease) in shares		(41,395,486	)		91,381,315

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

LIMITED DURATION FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	25.42		$	25.57		$	24.68		$	24.70		$	24.86
Income (loss) from investment operations:
Net investment income (loss)a		.42			.34			.40			.54			.51
Net gain (loss) on investments (realized and unrealized)		(2.04	)		.01	i		.94			.01			(.09	)
Total from investment operations		(1.62	)		.35			1.34			.55			.42
Less distributions from:
Net investment income		(.43	)		(.38	)		(.45	)		(.57	)		(.57	)
Net realized gains		(.09	)		(.12	)		—			—	b		(.01	)
Total distributions		(.52	)		(.50	)		(.45	)		(.57	)		(.58	)
Net asset value, end of period	$	23.28		$	25.42		$	25.57		$	24.68		$	24.70
Total Returnc		(6.42	%)		1.38	%		5.51	%		2.27	%		1.69	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	549,667		$	855,473		$	625,386		$	570,353		$	627,570
Ratios to average net assets:
Net investment income (loss)		1.69	%		1.32	%		1.60	%		2.18	%		2.07	%
Total expensesd		0.80	%		0.79	%		0.84	%		0.83	%		0.81	%
Net expensese,f,g		0.74	%		0.74	%		0.77	%		0.75	%		0.75	%
Portfolio turnover rate		23	%		80	%		123	%		72	%		45	%

C-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	25.41		$	25.55		$	24.66		$	24.68		$	24.84
Income (loss) from investment operations:
Net investment income (loss)a		.24			.15			.21			.35			.33
Net gain (loss) on investments (realized and unrealized)		(2.04	)		.02	i		.95			.02			(.10	)
Total from investment operations		(1.80	)		.17			1.16			.37			.23
Less distributions from:
Net investment income		(.25	)		(.19	)		(.27	)		(.39	)		(.38	)
Net realized gains		(.09	)		(.12	)		—			—	b		(.01	)
Total distributions		(.34	)		(.31	)		(.27	)		(.39	)		(.39	)
Net asset value, end of period	$	23.27		$	25.41		$	25.55		$	24.66		$	24.68
Total Returnc		(7.13	%)		0.67	%		4.72	%		1.51	%		0.94	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	62,864		$	90,205		$	86,143		$	85,100		$	70,981
Ratios to average net assets:
Net investment income (loss)		0.96	%		0.58	%		0.85	%		1.42	%		1.34	%
Total expensesd		1.58	%		1.58	%		1.61	%		1.60	%		1.59	%
Net expensese,f,g		1.49	%		1.49	%		1.52	%		1.50	%		1.51	%
Portfolio turnover rate		23	%		80	%		123	%		72	%		45	%

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

LIMITED DURATION FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	25.42		$	25.57		$	24.68		$	24.70		$	24.86
Income (loss) from investment operations:
Net investment income (loss)a		.42			.34			.40			.54			.52
Net gain (loss) on investments (realized and unrealized)		(2.04	)		.01	i		.94			.01			(.10	)
Total from investment operations		(1.62	)		.35			1.34			.55			.42
Less distributions from:
Net investment income		(.43	)		(.38	)		(.45	)		(.57	)		(.57	)
Net realized gains		(.09	)		(.12	)		—			—	b		(.01	)
Total distributions		(.52	)		(.50	)		(.45	)		(.57	)		(.58	)
Net asset value, end of period	$	23.28		$	25.42		$	25.57		$	24.68		$	24.70
Total Return		(6.42	%)		1.38	%		5.50	%		2.27	%		1.69	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	80,735		$	155,465		$	150,623		$	108,691		$	189,965
Ratios to average net assets:
Net investment income (loss)		1.67	%		1.33	%		1.60	%		2.18	%		2.12	%
Total expensesd		0.95	%		0.83	%		0.90	%		0.88	%		0.87	%
Net expensese,f,g		0.74	%		0.74	%		0.77	%		0.75	%		0.75	%
Portfolio turnover rate		23	%		80	%		123	%		72	%		45	%

Institutional Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Per Share Data
Net asset value, beginning of period	$	25.42		$	25.56		$	24.67		$	24.69		$	24.85
Income (loss) from investment operations:
Net investment income (loss)a		.49			.40			.46			.60			.58
Net gain (loss) on investments (realized and unrealized)		(2.05	)		.03	i		.95			.01			(.11	)
Total from investment operations		(1.56	)		.43			1.41			.61			.47
Less distributions from:
Net investment income		(.49	)		(.45	)		(.52	)		(.63	)		(.62	)
Net realized gains		(.09	)		(.12	)		—			—	b		(.01	)
Total distributions		(.58	)		(.57	)		(.52	)		(.63	)		(.63	)
Net asset value, end of period	$	23.28		$	25.42		$	25.56		$	24.67		$	24.69
Total Return		(6.19	%)		1.67	%		5.77	%		2.52	%		1.95	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,907,125		$	4,960,578		$	2,911,309		$	2,421,315		$	2,629,316
Ratios to average net assets:
Net investment income (loss)		1.97	%		1.58	%		1.85	%		2.43	%		2.35	%
Total expensesd		0.56	%		0.56	%		0.59	%		0.57	%		0.56	%
Net expensese,f,g		0.49	%		0.49	%		0.52	%		0.50	%		0.50	%
Portfolio turnover rate		23	%		80	%		123	%		72	%		45	%

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

LIMITED DURATION FUND

FINANCIAL HIGHLIGHTS (concluded)

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

R6-Class	Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Period Ended September 30, 2019h
Per Share Data
Net asset value, beginning of period	$	25.40		$	25.55		$	24.66		$	24.58
Income (loss) from investment operations:
Net investment income (loss)a		.48			.40			.48			.31
Net gain (loss) on investments (realized and unrealized)		(2.04	)		.02	i		.93			.14
Total from investment operations		(1.56	)		.42			1.41			.45
Less distributions from:
Net investment income		(.49	)		(.45	)		(.52	)		(.37	)
Net realized gains		(.09	)		(.12	)		—			—
Total distributions		(.58	)		(.57	)		(.52	)		(.37	)
Net asset value, end of period	$	23.26		$	25.40		$	25.55		$	24.66
Total Return		(6.19	%)		1.64	%		5.78	%		1.83	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	27,499		$	44,232		$	31,315		$	314,764
Ratios to average net assets:
Net investment income (loss)		1.94	%		1.58	%		1.96	%		2.24	%
Total expensesd		0.49	%		0.49	%		0.53	%		0.51	%
Net expensese,f,g		0.49	%		0.49	%		0.52	%		0.50	%
Portfolio turnover rate		23	%		80	%		123	%		72	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Less than $0.01 per share.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/22	09/30/21	09/30/20	09/30/19	9/30/18
A-Class	0.00%*	—	0.00%*	0.00%*	—
C-Class	—	—	0.00%*	—	—
P-Class	—	—	0.00%*	0.00%*	—
Institutional Class	—	—	0.00%*	0.00%*	—
R6-Class	0.02%	0.01%	0.00%*	0.00%*h	—

* Less than 0.01%.

^g Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/22	09/30/21	09/30/20	09/30/19	09/30/18
A-Class	0.73%	0.73%	0.75%	0.75%	0.75%
C-Class	1.48%	1.48%	1.50%	1.50%	1.50%
P-Class	0.73%	0.73%	0.75%	0.75%	0.75%
Institutional Class	0.48%	0.48%	0.50%	0.50%	0.50%
R6-Class	0.48%	0.48%	0.50%	0.50%h	N/A

h	Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
i	The amount shown for a share outstanding throughout the year does not agree with the aggregate net loss on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund.

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 8-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2022, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Limited Duration Fund (the “Fund”), a diversified investment company. At September 30, 2022, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”), which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

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

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and/or other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and/or other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or

40 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly review the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are generally valued at the last quoted sale price.

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

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.

Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.

Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Adviser.

Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded.

The value of futures contracts are valued on the basis of the last sale price at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The value of interest rate swap agreements entered into by the Fund is valued on the basis of the last sale price on the primary exchange on which the swap is traded.

The value of other swap agreements entered into by the Fund are generally valued using an evaluated price provided by a third party pricing vendor.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

NOTES TO FINANCIAL STATEMENTS (continued)

(b) U.S. Government and Agency Obligations

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

(c) Senior Floating Rate Interests and Loan Investments

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

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(d) Interest on When-Issued Securities

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

(e) Short Sales

When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale.

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the proceeds from the investments of collaterals pledged on securities sold short.

(f) Options

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

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

The Fund may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities

42 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.

(g) Futures Contracts

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

(h) Swap Agreements

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

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

(i) Currency Translations

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

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

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

(j) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

(k) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2022, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(l) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized

THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

NOTES TO FINANCIAL STATEMENTS (continued)

gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

(m) Distributions

The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.

(n) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

(o) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2022, are disclosed in the Statement of Operations.

(p) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 1.58% at September 30, 2022.

(q) Indemnifications

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

(r) Special Purpose Acquisition Companies

The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities,

44 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.

Note 2 – Financial Instruments and Derivatives

As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Short Sales

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

Derivatives

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

The Fund utilized derivatives for the following purposes:

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

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

Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.

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

Options Purchased and Written

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 45

NOTES TO FINANCIAL STATEMENTS (continued)

The following table represents the Fund’s use and volume of call/put options purchased on a monthly basis:

	Average Notional Amount*
Use	Call		Put
Duration, Hedge	$	538,125,000	$	95,040,810

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.

The following table represents the Fund’s use and volume of call/put options written on a monthly basis:

	Average Notional Amount
Use	Call		Put
Duration, Hedge	$	118,565	$	87,597,462

Futures Contracts

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

The following table represents the Fund’s use and volume of futures on a monthly basis:

	Average Notional Amount
Use	Long		Short
Index exposure, income	$	10,283,988	$	23,358,708

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing OTC swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued,

46 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

financing charges and/or interest associated with the swap agreement. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

The following table represents the Fund’s use and volume of total return swaps on a monthly basis:

	Average Notional Amount
Use	Long		Short
Index exposure, income	$	—	$	80,092,128

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

The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:

	Average Notional Amount
Use	Pay Floating Rate		Receive Floating Rate
Duration, Hedge	$	251,487,917	$	257,126,417

Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. The Fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:

	Average Notional Amount
Use	Protection Sold		Protection Purchased
Index exposure, Income	$	27,500,000	$	3,083,333

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NOTES TO FINANCIAL STATEMENTS (continued)

Forward Foreign Currency Exchange Contracts

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

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

The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:

	Average Value
Use	Purchased		Sold
Hedge, Income	$	4,794,946	$	234,854,020

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2022:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Interest rate swap contracts	Unamortized upfront premiums paid on interest rate swap agreements	Unamortized upfront premiums paid on interest rate swap agreements
	Variation margin on interest rate swap agreements.
Credit default swap contracts	Variation margin on credit default swap agreements Unamortized upfront premiums paid on credit default swap agreements
Equity/Interest rate option contracts	Investments in unaffiliated issuers, at value	Options written, at value
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2022:

Asset Derivative Investments Value
	Swaps Interest Rate Risk*		Swaps Credit Risk*		Options Written Equity Risk		Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2022
	$	7,555,358	$	—	$	—	$	22,627,665		9,163,545	$	39,346,568

Liability Derivative Investments Value
	Swaps Interest Rate Risk*		Swaps Credit Risk*		Options Written Equity Risk		Options Written Interest Rate Risk		Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2022
	$	198,743	$	396,248	$	4,057,375	$	2,351,047	$	—		11,322	$	7,014,735

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statement of Assets and Liabilities.

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NOTES TO FINANCIAL STATEMENTS (continued)

The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2022:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Interest/Credit swap contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements
Equity/Interest option contracts	Net realized gain (loss) on options purchased
	Net realized gain (loss) on options written
	Net change in unrealized appreciation (depreciation) on options purchased
	Net change in unrealized appreciation (depreciation) on options written
Currency forward contracts	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts

The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended September 30, 2022:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
	Futures Interest Rate Risk		Swaps Interest Rate Risk		Swaps Credit Risk		Options Written Equity Risk			Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk			Options Written Interest Rate Risk		Total
	$	145,825	$	16,817,380	$	92,985	$	(3,335,324	)	$	9,528,438	$	15,086,577	$	(1,483,829	)	$	818,908	$	37,670,960

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
	Futures Interest Rate Risk		Swaps Interest Rate Risk		Swaps Credit Risk			Options Written Equity Risk			Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk			Options Written Interest Rate Risk			Total
	$	—	$	5,319,489	$	(365,207	)	$	(1,622,816	)	$	8,159,604	$	7,880,439	$	(2,280,358	)	$	(1,669,184	)	$	15,421,967

In conjunction with short sales and the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

Foreign Investments

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

The Fund may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks

THE GUGGENHEIM FUNDS ANNUAL REPORT | 49

NOTES TO FINANCIAL STATEMENTS (continued)

not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.

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

Note 3 – Offsetting

In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

50 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Assets Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Forward foreign currency exchange contracts	$	9,163,545	$	—	$	9,163,545	$	(967,021	)	$	(5,350,487	)	$	2,846,037

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged			Net Amount
Forward foreign currency exchange contracts	$	11,322	$	—	$	11,322	$	(393	)	$	—		$	10,929
Options written		2,351,047		—		2,351,047		(966,628	)		(255,000	)		1,129,419

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2022.

Counterparty	Asset Type	Cash Pledged		Cash Received
Barclays Bank plc	Forward foreign currency exchange contracts	$	—	$	5,370,000
BofA Securities, Inc.	Credit default swap agreements		—		90,803
BofA Securities, Inc.	Interest rate swap agreements		—		10,977,037
BofA Securities, Inc.	Options		255,000		—
Goldman Sachs International	Options		—		7,500,000
			255,000		23,937,840

Note 4 – Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

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NOTES TO FINANCIAL STATEMENTS (continued)

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

Note 5 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.39% of the average daily net assets of the Fund.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

52 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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

	Limit			Effective Date		Contract End Date
A-Class		0.75	%		12/01/13		02/01/24
C-Class		1.50	%		12/01/13		02/01/24
P-Class		0.75	%		05/01/15		02/01/24
Institutional Class		0.50	%		12/01/13		02/01/24
R6-Class		0.50	%		03/13/19		02/01/24

GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2022, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

	2023		2024		2025		Fund Total
A-Class	$	360,600	$	332,853	$	400,848	$	1,094,301
C-Class		70,291		80,424		68,209		218,924
P-Class		124,505		146,751		202,943		474,199
Institutional Class		1,680,554		2,560,156		3,164,191		7,404,901
R6-Class		21,499		493		410		22,402

For the year ended September 30, 2022, GI recouped $20,289 from the Fund.

If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2022, the Fund waived $72,200 related to investments in affiliated funds.

For the year ended September 30, 2022, GFD retained sales charges of $144,088 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

Note 6 – Federal Income Tax Information

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 53

NOTES TO FINANCIAL STATEMENTS (continued)

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

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	112,022,155	$	16,532,782	$	128,554,937

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	92,120,762	$	10,737,858	$	102,858,620

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2022 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
$	16,176,205	$	—	$	(407,628,666	)	$	(5,726,992	)	$	(12,404,389	)	$	(409,583,842	)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2022, the Fund had no capital loss carryforwards.

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements, foreign currency gains and losses, the “mark-to-market” of certain derivatives, reclassification of distributions, losses deferred due to wash sales, paydown reclasses, dividends payable, and the “mark-to-market” of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization, the deferral of post-October losses, income accruals on certain investments, and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2022 for permanent book/tax differences.

At September 30, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	5,323,141,596	$	579,277	$	(408,150,006	)	$	(407,570,729	)

54 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Fund has elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Fund has also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2022, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2022:

Ordinary		Capital
$	—	$	(5,726,992	)

Note 7 – Securities Transactions

For the year ended September 30, 2022, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	968,285,113	$	1,691,068,821

For the year ended September 30, 2022, the cost of purchases and proceeds from sales of government securities were as follows:

Purchases		Sales
$	120,769,379	$	120,569,950

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2022, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Gain (Loss)
$	68,680,058	$	11,748,482	$	(258,531	)

Note 8 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2022. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

Borrower	Maturity Date		Face Amount		Value
Fontainbleau Vegas		09/30/25	$	6,000,000	$	—
KKR Core Holding Company LLC		07/15/31		3,650,000		—
Lightning A		03/01/37		4,359,948		—
Thunderbird A		03/01/37		4,293,020		—
					$	—

THE GUGGENHEIM FUNDS ANNUAL REPORT | 55

NOTES TO FINANCIAL STATEMENTS (continued)

Note 9 – Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Restricted Securities	Acquisition Date		Cost		Value
Cascade Funding Mortgage Trust
2018-RM2 4.00% (WAC) due 10/25/681		11/02/18	$	6,136,715	$	5,925,628
Cascade Funding Mortgage Trust
2019-RM3 2.80% (WAC) due 06/25/691		06/25/19		1,470,318		1,427,970
Copper River CLO Ltd.
2007-1A INC due 01/20/212		05/09/14		585,000		210
FKRT
2.21% due 11/30/58		09/24/21		25,699,874		24,443,994
LSTAR Securities Investment Ltd.
2021-1 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261		02/04/21		7,295,265		6,768,816
LSTAR Securities Investment Ltd.
2021-2 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261		03/17/21		5,277,913		5,149,997
Towd Point Revolving Trust
4.83% due 09/25/64		03/17/22		18,499,814		17,877,475
			$	64,964,899	$	61,594,090

1

Variable rate security. Rate indicated is the rate effective at September 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

2

Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.

Note 10 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2022.

Note 11 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the

56 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

Note 12 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 57

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Limited Duration Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Limited Duration Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2022, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 29, 2022

58 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2022, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2022, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See the qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Qualified Dividend Income	Dividend Received Deduction	Qualified Interest Income	Qualified Short-Term Capital Gain
1.37%	1.37%	92.00%	100.00%

With respect to the taxable year ended September 30, 2022, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:

From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
$	16,532,782	$	—

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 59

OTHER INFORMATION (Unaudited)(continued)

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

●	Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)	●	Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
●	Guggenheim Core Bond Fund (“Core Bond Fund”)	●	Guggenheim Diversified Income Fund (“Diversified Income Fund”)
●	Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)	●	Guggenheim High Yield Fund (“High Yield Fund”)
●	Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)	●	Guggenheim Limited Duration Fund (“Limited Duration Fund”)
●	Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)	●	Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)
●	Guggenheim Municipal Income Fund (“Municipal Income Fund”)	●	Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)
●	Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)	●	Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)
●	Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)	●	Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
●	Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)	●	Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)
●	Guggenheim World Equity Income Fund (“World Equity Income Fund”)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) Core Bond Fund; (iii) High Yield Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

60 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 19, 2022 (the “April Meeting”) and on May 24-25, 2022 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.
2	The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
3	Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 61

OTHER INFORMATION (Unaudited)(continued)

At a meeting held by videoconference on April 29, 2022 (the “Special Meeting”), the Board met to consider a new sub-advisory agreement with Guggenheim Partners Advisors, LLC (“GPA” or a “Sub-Adviser”) for each of Floating Rate Strategies Fund, High Yield Fund, Core Bond Fund, Macro Opportunities Fund, Municipal Income Fund, Total Return Bond Fund and Ultra Short Duration Fund (collectively, the “GPA Sub-Advised Funds”) (collectively, the “GPA Sub-Advisory Agreements”).⁴ Under the GPA Sub-Advisory Agreements, GPA assists Security Investors and GPIM in the direction and supervision of the investment strategies of the GPA Sub-Advised Funds. At the Special Meeting, the Board approved the GPA Sub-Advisory Agreements for an annual term. At the May Meeting, the Committee also considered a renewal of the GPA Sub-Advisory Agreements so that they would have a consistent term with the GPIM Sub-Advisory Agreement, the Security Investors Advisory Agreements and the GPIM Advisory Agreement (together, the “Current Advisory Agreements”) (The GPA Sub-Advisory Agreements along with the GPIM Sub-Advisory Agreement are referred to hereafter as the “Sub-Advisory Agreements” and the Current Advisory Agreements along with the GPA Sub-Advisory Agreement are referred to hereafter as the “Advisory Agreements.”)

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the GPA Sub-Advisory Agreements and the renewal of each of the Advisory Agreements for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities. For example, the Committee noted as of March 31, 2022, both Security Investors and GPIM had entered into a Macroeconomic Services Agreement, at no fee, with GPA which, as noted above, is a Guggenheim affiliate, to receive certain global and sector macroeconomic analysis and insight along with other guidance.⁵ As a result, in

4

On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of April 29, 2022. The Board, including the Independent Trustees, relied on this relief in voting to approve the GPA Sub-Advisory Agreement at the Special Meeting.

5

Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Advisory Agreements.

62 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

evaluating the services provided to the Municipal Income Fund under the GPIM Sub-Advisory Agreement and the GPA Sub-Advised Funds under the GPA Sub-Advisory Agreements, the Committee did not separately consider the contributions under the Investment Advisory Agreements and the Sub-Advisory Agreements.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2021, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2022 and April 30, 2022.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2022, and April 30, 2022, there was no material change in performance for the three- and five- year periods, and that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy. The Committee also noted management’s statement that the quantitative investment methodology that the Fund employs was updated and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 87th and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021 and that the Fund experienced performance ranking in the top half of the peer universe for the one-year period ended December 31, 2021. The Committee noted that as of March 31, 2022, the five-year and three-year performance rankings had improved to the 74th and 62nd percentiles, respectively, with no material change thereafter to these rankings as of April 30, 2022.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 63

OTHER INFORMATION (Unaudited)(continued)

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 74th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in recent years, notably underweights in duration and credit risks, contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, it has since led to underperformance relative to its peers. The Committee noted that, as of March 31, 2022 and April 30, 2022, the five-year and three-year performance rankings had not improved.

Small Cap Value Fund: The returns of the Fund’s Institutional Class shares ranked in the 90th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2021, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s lack of exposure to higher-risk, lower-quality stocks that rallied between September 2020 through December 2021. The Committee also noted management’s statement that stock selection in several sectors detracted from performance. The Committee noted that, as of March 31, 2022, the five-year and three-year performance rankings had improved to the 72nd and 63rd percentiles, respectively, and as of April 30, 2022, the five-year and three-year performance rankings had improved to the 66th and 49th percentiles, respectively.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and the rationale for continuing the strategy and/or efforts to improve investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee⁶ (which includes the sub-advisory fees paid to the Sub-Advisers), net effective management fee and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.

In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (100th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group.

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

64 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In addition, the Committee noted the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2021. In addition, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with a breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (36th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The Committee considered the Adviser’s statement that the Fund’s total expense ratio is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the second quartile (50th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the three- and five-year periods ended December 31, 2021. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser. Additionally, the Committee considered management’s statement that the Fund’s net advisory fee is reasonable and competitive, especially in light of the Fund’s strong prior performance.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2021, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2020. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 65

OTHER INFORMATION (Unaudited)(continued)

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s overall expenses increased in 2021, which was primarily attributable to increased expenses in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting, the May Meeting and the Special Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreements

Nature, Extent and Quality of Services Provided by the Sub-Advisers: As noted above, because both the Advisers (Security Investors and GPIM) and the Sub-Advisers (GPIM and GPA) for Municipal Income Fund and the GPA Sub-Advised Funds, respectively, are part of and do business as Guggenheim Investments and the services provided by the Advisers on the one hand and the Sub-Advisers on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreements and Sub-Advisory Agreements. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Advisers’ abilities to carry out their responsibilities under their respective Sub-Advisory Agreements, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreements, including the scope of services required to be performed by each Sub-Adviser.

Investment Performance: The Committee considered the returns of each Fund under its evaluation of the Advisory Agreements.

66 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(concluded)

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Advisers from Their Relationships with each Fund: The Committee considered that the Sub-Advisory Agreements are with affiliates of each Adviser, that each Adviser compensates each Sub-Adviser from its own fees so that the sub-advisory fee rate for each Fund does not impact the fees paid by such Fund and that GPIM’s revenues were included in the calculation of Guggenheim Investments’ profitability. Because GPA is a new Sub-Adviser, the amounts that will be paid to it by the Advisers were previously included in the calculation of Guggenheim Investments’ profitability as part of the Advisers’ revenues and in the future will continue to be included in the calculation of Guggenheim Investments’ profitability as a part of GPA’s revenue. Given its conclusion of the reasonableness of the advisory fees, the Committee concluded that the GPIM sub-advisory fee rate for the Municipal Income Fund and GPA sub-advisory fee rates for the GPA Sub-Advised Funds were reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Advisers’ fees are paid by the Advisers and not the Municipal Income Fund or the GPA Sub-Advised Funds, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the initial approval of the GPA Sub-Advisory Agreement and the continuation of each Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors. At the Special Meeting, the Board, including all of the Independent Trustees approved the GPA Sub-Advisory Agreements for an initial annual term and at the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 67

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Member, Board of Directors, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

68 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present); Vice Chairman, VettaFi (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2005-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

THE GUGGENHEIM FUNDS ANNUAL REPORT | 69

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020).
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

70 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-March 2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 71

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and President of Mutual Funds Boards, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since August 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (August 2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-August 2022); Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 73

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

74 | THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other

THE GUGGENHEIM FUNDS ANNUAL REPORT | 75

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information. We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

76 | THE GUGGENHEIM FUNDS ANNUAL REPORT

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2021, to March 31, 2022. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 77

Item 2. Code of Ethics.

The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the Code during the period covered by this report. The Code is filed as an exhibit to this Form N-CSR.

Item 3. Audit Committee Financial Expert.

The registrant's Board of Trustees has determined that it has at least one audit committee financial expert serving on its audit committee (the “Audit Committee”), Sandra G. Sponem. Ms. Sponem is “independent,” meaning that she is not an “interested person” of the Registrant (as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended) and she does not accept any consulting, advisory, or other compensatory fee from the Registrant (except in her capacity as a Board or committee member).

(Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the Audit Committee and Board of Trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the audit committee or Board of Trustees.)

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees: the aggregate Audit Fees billed by the registrant’s principal accountant for professional services rendered for the audit of the annual financial statements, or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $705,059 and $670,931for the fiscal years ended September 30, 2022 and September 30, 2021, respectively.

(b) Audit-Related Fees: the aggregate Audit-Related Fees billed by the registrant’s principal accountant for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item 4 were $0 and $0 for fiscal years ended September 30, 2022 and September 30, 2021, respectively.

(c) Tax Fees: the aggregate Tax Fees billed by the registrant’s principal accountant for professional services rendered for tax compliance, tax advice and tax planning including preparation of tax returns and distribution assistance were $252,455 and $230,260 for the fiscal years ended September 30, 2022 and September 30, 2021, respectively. These services consisted of (i) preparation of U.S. federal, state and excise tax returns; (ii) U.S. federal and state tax planning, advice and assistance regarding statutory, regulatory or administrative developments, (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired and (iv) review of U.S. federal excise distribution calculations.

(d) All Other Fees: the aggregate All Other Fees billed by the registrant’s principal accountant for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 and $0 for the fiscal years ended September 30, 2022 and September 30, 2021, respectively.

(e) Audit Committee Pre-Approval Policies and Procedures.

(1) Audit Committee pre-approval policies and procedures:

To fulfill its responsibilities and duties the Audit Committee (the “Committee”) shall:

1. Pre-Approval Policy (Trusts). Pre-approve any engagement of the independent auditors to provide any services, other than “prohibited non-audit services,” to the Trust, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under Rule 2-01 of Regulation S-X).

(a) The categories of services to be reviewed and considered for pre-approval include those services set forth under Section II.A.1. of the Background and Definitions for Audit Committee Charter (collectively, “Identified Services”).

(b) The Committee has pre-approved Identified Services for which the estimated fees are less than $25,000.

(c) For Identified Services with estimated fees of $25,000 or more, but less than $50,000, the Chair or any member of the Committee designated by the Chair is hereby authorized to pre-approve such Identified Services on behalf of the Committee.

(d) For Identified Services with estimated fees of $50,000 or more, such Identified Services require pre-approval by the Committee.

(e) All requests for Identified Services to be provided by the independent auditor that were pre-approved by the Committee shall be submitted to the Principal/Chief Accounting Officer (“CAO”) of the Trust by the independent auditor using the pre-approval request form. The Trust’s CAO will determine whether such services are included within the list of services that have received the general pre-approval of the Committee.

(f) The independent auditors or the CAO of the Trust (or an officer of the Trust who reports to the CAO) shall report to the Committee at each of its regular scheduled meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category of Identified Services under which pre-approval was obtained).

2. Pre-Approval Policy (Adviser or Any Control Affiliate). Pre-approve any engagement of the independent auditors, including the fees and other compensation to be paid to the independent auditors, to provide any non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust), if the engagement relates directly to the operations or financial reporting of the Trust (unless an exception is available under Rule 2-01 of Regulation S-X).

(a) The Chair or any member of the Committee designated by the Chair may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next Committee meeting.

(b) For non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are $25,000 or more, such services require pre-approval by the Committee.

a. Pre-Approval Requirements

i. Categories of Services to be Reviewed and Considered for Pre-Approval

1. Audit Services

a. Annual financial statement audits

b. Seed audits (related to new product filings, as required)

c. SEC and regulatory filings and consents

2. Audit-Related Services

a. Accounting consultations

b. Fund merger/reorganization support services

c. Other accounting related matters

d. Agreed upon procedures reports

e. Attestation reports

f. Other internal control reports

3. Tax Services

a. Recurring tax services:

i. Preparation of Federal and state income tax returns, including extensions

ii. Preparation of calculations of taxable income, including fiscal year tax designations

iii. Preparation of annual Federal excise tax returns (if applicable)

iv. Preparation of calendar year excise distribution calculations

v. Calculation of tax equalization on an as-needed basis

vi. Preparation of monthly/quarterly estimates of tax undistributed position for closed-end funds

vii. Preparation of the estimated excise distribution calculations on an as-needed basis

viii. Preparation of calendar year shareholder reporting designations on Form 1099

ix. Preparation of quarterly Federal, state and local and franchise tax estimated tax payments on an as-needed basis

x. Preparation of state apportionment calculations to properly allocate Fund taxable income among the states for state tax filing purposes

xi. Assistance with management’s identification of passive foreign investment companies (PFICs) for tax purposes

b. Permissible non-recurring tax services upon request:

i. Assistance with determining ownership changes which impact a Fund’s utilization of loss carryforwards

ii. Assistance with corporate actions and tax treatment of complex securities and structured products

iii. Assistance with IRS ruling requests and calculation of deficiency dividends

iv. Conduct training sessions for the Adviser’s internal tax resources

v. Assistance with Federal, state, local and international tax planning and advice regarding the tax consequences of proposed or actual transactions

vi. Tax services related to amendments to Federal, state and local returns and sales and use tax compliance

vii. RIC qualification reviews

viii. Tax distribution analysis and planning

ix. Tax authority examination services

x. Tax appeals support services

xi. Tax accounting methods studies

xii. Fund merger, reorganization and liquidation support services

xiii. Tax compliance, planning and advice services and related projects

xiv. Assistance with out of state residency status

xv. Provision of tax compliance services in India for Funds with direct investments in India

(2) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) Non-Audit Fees. The aggregate non-audit fees billed by the registrant's accountant for the most recent fiscal year and the preceding years for services rendered to the registrant, the investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant were $252,455 and $230,260, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant.

(h) Auditor Independence. The registrant’s Audit Committee was provided with information relating to the provision of non-audit services by Ernst & Young, LLP to the registrant’s investment adviser (not including any sub adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved by the Audit Committee so that a determination could be made whether the provision of such services is compatible with maintaining Ernst & Young, LLP’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

The Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Mangers of Closed-end Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board.

Item 11. Controls and Procedures.

(a) The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation as required by Rule 30a-3(b) under the Investment Company Act, that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1) The registrant’s code of ethics pursuant to Item 2 of Form N-CSR attached.

(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.

(a)(3) Not applicable.

(a)(4) Not applicable.

(b) A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(a)) are attached.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	Guggenheim Funds Trust
By (Signature and Title)*	/s/ Brian E. Binder
	Brian E. Binder, President and Chief Executive Officer
Date	December 8, 2022

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*	/s/ Brian E. Binder
	Brian E. Binder, President and Chief Executive Officer
Date	December 8, 2022
By (Signature and Title)*	/s/ James M. Howley

James M. Howley, Chief Financial Officer, Chief Accounting Officer and Treasurer

Date December 8, 2022

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