Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Shares | Value | ||
COMMON STOCKS† - 10.1% | |||
Financial - 3.0% |
MSD Acquisition Corp. — Class A*,1 | 394,721 | $ 4,024,225 | |
Blue Whale Acquisition Corp. I — Class A*,1 | 87,092 | 860,469 | |
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | 75,728 | 764,853 | |
TPG Pace Beneficial II Corp.*,1 | 74,305 | 737,849 | |
Waverley Capital Acquisition Corp. 1 — Class A*,1 | 52,224 | 529,551 | |
Invesco Ltd. | 29,197 | 515,619 | |
BlackRock, Inc. — Class A | 735 | 506,731 | |
T. Rowe Price Group, Inc. | 3,987 | 447,660 | |
SVB Financial Group* | 1,156 | 333,055 | |
JPMorgan Chase & Co. | 1,984 | 284,406 | |
Franklin Resources, Inc. | 9,379 | 276,399 | |
State Street Corp. | 3,115 | 276,238 | |
Goldman Sachs Group, Inc. | 782 | 274,990 | |
Lincoln National Corp. | 8,597 | 272,697 | |
Nasdaq, Inc. | 4,653 | 260,847 | |
Synchrony Financial | 7,297 | 260,576 | |
Bank of New York Mellon Corp. | 5,113 | 260,149 | |
CBRE Group, Inc. — Class A* | 2,920 | 248,609 | |
Charles Schwab Corp. | 3,186 | 248,253 | |
Simon Property Group, Inc. REIT | 1,966 | 240,029 | |
Citigroup, Inc. | 4,721 | 239,308 | |
Citizens Financial Group, Inc. | 5,454 | 227,759 | |
Bank of America Corp. | 6,340 | 217,462 | |
Capital One Financial Corp. | 1,965 | 214,342 | |
Signature Bank | 1,846 | 212,382 | |
Truist Financial Corp. | 4,474 | 210,054 | |
Intercontinental Exchange, Inc. | 2,023 | 205,941 | |
KeyCorp | 11,155 | 204,025 | |
Alexandria Real Estate Equities, Inc. REIT | 1,357 | 203,251 | |
First Republic Bank | 1,594 | 196,078 | |
Healthpeak Properties, Inc. REIT | 7,889 | 189,809 | |
Essex Property Trust, Inc. REIT | 761 | 173,554 | |
Vornado Realty Trust REIT | 5,532 | 109,423 | |
EastGroup Properties, Inc. REIT | 473 | 77,227 | |
STAG Industrial, Inc. REIT | 2,043 | 68,727 | |
Glacier Bancorp, Inc. | 1,288 | 61,025 | |
Houlihan Lokey, Inc. | 597 | 57,133 | |
First Financial Bankshares, Inc. | 1,517 | 55,644 | |
Valley National Bancorp | 4,679 | 54,183 | |
Terreno Realty Corp. REIT | 863 | 53,687 | |
National Storage Affiliates Trust REIT | 949 | 40,143 | |
Focus Financial Partners, Inc. — Class A* | 751 | 38,947 | |
WSFS Financial Corp. | 760 | 37,932 | |
Essential Properties Realty Trust, Inc. REIT | 1,411 | 36,347 | |
Pacific Premier Bancorp, Inc. | 1,095 | 35,500 | |
LXP Industrial Trust REIT | 3,282 | 34,231 | |
Broadstone Net Lease, Inc. REIT | 1,850 | 32,837 | |
Navient Corp. | 1,773 | 32,003 | |
Axos Financial, Inc.* | 669 | 31,704 | |
Hamilton Lane, Inc. — Class A | 407 | 31,665 | |
Piper Sandler Cos. | 204 | 30,802 | |
Moelis & Co. — Class A | 714 | 30,581 | |
Macerich Co. REIT | 2,498 | 29,851 | |
Walker & Dunlop, Inc. | 341 | 29,745 | |
Outfront Media, Inc. REIT | 1,700 | 29,665 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | 896 | 28,143 | |
Trupanion, Inc.* | 446 | 26,483 | |
Innovative Industrial Properties, Inc. REIT | 292 | 25,816 | |
Artisan Partners Asset Management, Inc. — Class A | 687 | 22,650 | |
Cannae Holdings, Inc.* | 994 | 22,444 | |
New York Community Bancorp, Inc. | 2,453 | 21,783 | |
Cohen & Steers, Inc. | 291 | 21,057 | |
Virtus Investment Partners, Inc. | 85 | 17,887 | |
Chimera Investment Corp. REIT | 2,752 | 17,860 | |
Pathward Financial, Inc. | 345 | 17,598 | |
Triumph Financial, Inc.* | 281 | 17,099 | |
Flywire Corp.* | 659 | 16,297 | |
BRP Group, Inc. — Class A* | 559 | 16,066 | |
Newmark Group, Inc. — Class A | 1,942 | 15,575 | |
StepStone Group, Inc. — Class A | 527 | 15,072 | |
Stewart Information Services Corp. | 313 | 13,299 | |
Live Oak Bancshares, Inc. | 376 | 12,995 | |
Hilltop Holdings, Inc. | 362 | 12,008 | |
Brandywine Realty Trust REIT | 1,990 | 11,721 | |
Tanger Factory Outlet Centers, Inc. REIT | 600 | 11,334 | |
LendingClub Corp.* | 1,171 | 11,007 | |
Customers Bancorp, Inc.* | 357 | 10,996 | |
Argo Group International Holdings Ltd. | 371 | 10,778 | |
Bank of NT Butterfield & Son Ltd. | 294 | 10,628 | |
Goosehead Insurance, Inc. — Class A* | 211 | 9,843 | |
Redfin Corp.* | 1,216 | 9,010 | |
eXp World Holdings, Inc. | 736 | 8,891 | |
Safehold, Inc. REIT | 272 | 8,127 | |
Eagle Bancorp, Inc. | 185 | 8,105 | |
Veritex Holdings, Inc. | 278 | 7,412 | |
MFA Financial, Inc. REIT | 649 | 6,951 | |
Piedmont Office Realty Trust, Inc. — Class A REIT | 727 | 6,652 | |
Capitol Federal Financial, Inc. | 762 | 6,393 | |
Uniti Group, Inc. REIT | 1,153 | 6,330 | |
Empire State Realty Trust, Inc. — Class A REIT | 838 | 6,109 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Shares | Value | ||
COMMON STOCKS† - 10.1% (continued) | |||
Financial - 3.0% (continued) |
Community Healthcare Trust, Inc. REIT | 141 | $ 5,462 | |
ConnectOne Bancorp, Inc. | 218 | 5,287 | |
Centerspace REIT | 83 | 5,197 | |
Redwood Trust, Inc. REIT | 675 | 5,137 | |
Brightsphere Investment Group, Inc. | 189 | 4,738 | |
B Riley Financial, Inc. | 118 | 4,694 | |
Office Properties Income Trust REIT | 281 | 4,620 | |
Silvergate Capital Corp. — Class A* | 327 | 4,549 | |
LendingTree, Inc.* | 136 | 4,479 | |
First Foundation, Inc. | 284 | 4,280 | |
Plymouth Industrial REIT, Inc. | 182 | 3,937 | |
Anywhere Real Estate, Inc.* | 675 | 3,908 | |
Broadmark Realty Capital, Inc. REIT | 753 | 3,840 | |
Northfield Bancorp, Inc. | 258 | 3,795 | |
First Bancshares, Inc. | 120 | 3,757 | |
SiriusPoint Ltd.* | 527 | 3,742 | |
Central Pacific Financial Corp. | 160 | 3,589 | |
Global Medical REIT, Inc. | 351 | 3,531 | |
Metropolitan Bank Holding Corp.* | 57 | 3,181 | |
TPG RE Finance Trust, Inc. REIT | 358 | 3,039 | |
iStar, Inc. REIT | 393 | 3,026 | |
Diamond Hill Investment Group, Inc. | 17 | 2,968 | |
HomeStreet, Inc. | 114 | 2,876 | |
ARMOUR Residential REIT, Inc. | 518 | 2,813 | |
Seritage Growth Properties REIT* | 222 | 2,682 | |
Merchants Bancorp | 87 | 2,632 | |
HomeTrust Bancshares, Inc. | 87 | 2,546 | |
Oppenheimer Holdings, Inc. — Class A | 55 | 2,425 | |
Business First Bancshares, Inc. | 114 | 2,376 | |
Invesco Mortgage Capital, Inc. REIT | 183 | 2,292 | |
Metrocity Bankshares, Inc. | 113 | 2,279 | |
Hingham Institution For Savings The | 8 | 2,277 | |
World Acceptance Corp.* | 24 | 2,241 | |
One Liberty Properties, Inc. REIT | 95 | 2,152 | |
City Office REIT, Inc. | 254 | 2,149 | |
GCM Grosvenor, Inc. — Class A | 258 | 2,123 | |
Southern Missouri Bancorp, Inc. | 45 | 2,083 | |
Waterstone Financial, Inc. | 128 | 2,061 | |
Blue Foundry Bancorp* | 167 | 2,044 | |
West BanCorp, Inc. | 95 | 2,001 | |
Enterprise Bancorp, Inc. | 55 | 1,947 | |
Civista Bancshares, Inc. | 88 | 1,877 | |
Douglas Elliman, Inc. | 429 | 1,810 | |
Orchid Island Capital, Inc. REIT | 158 | 1,795 | |
Alerus Financial Corp. | 89 | 1,780 | |
Southern First Bancshares, Inc.* | 44 | 1,771 | |
HCI Group, Inc. | 33 | 1,733 | |
Sierra Bancorp | 83 | 1,677 | |
RBB Bancorp | 83 | 1,640 | |
Industrial Logistics Properties Trust REIT | 380 | 1,558 | |
Franklin Street Properties Corp. REIT | 595 | 1,440 | |
Regional Management Corp. | 44 | 1,387 | |
Diversified Healthcare Trust REIT | 1,414 | 1,386 | |
Sculptor Capital Management, Inc. | 130 | 1,166 | |
Investors Title Co. | 7 | 1,143 | |
Fidelity D&D Bancorp, Inc. | 23 | 1,140 | |
Great Ajax Corp. REIT | 129 | 1,081 | |
eHealth, Inc.* | 145 | 1,067 | |
Maiden Holdings Ltd.* | 414 | 973 | |
Greenhill & Company, Inc. | 85 | 955 | |
Legacy Housing Corp.* | 47 | 938 | |
Atlanticus Holdings Corp.* | 28 | 898 | |
Citizens, Inc.* | 297 | 876 | |
Pioneer Bancorp, Inc.* | 69 | 780 | |
Oportun Financial Corp.* | 124 | 749 | |
Trean Insurance Group, Inc.* | 105 | 639 | |
GAMCO Investors, Inc. — Class A | 30 | 577 | |
Ashford Hospitality Trust, Inc. REIT* | 101 | 500 | |
Lemonade, Inc.* | 30 | 489 | |
Heritage Insurance Holdings, Inc.* | 154 | 393 | |
Curo Group Holdings Corp.* | 125 | 365 | |
United Insurance Holdings Corp.* | 121 | 218 | |
Fathom Holdings, Inc.* | 36 | 171 | |
Finance of America Companies, Inc. — Class A* | 106 | 155 | |
Rafael Holdings, Inc. — Class B* | 60 | 130 | |
SouthState Corp. | 2 | 129 | |
Pershing Square Tontine Holdings, Ltd. — Class A*,†††,1 | 329,700 | 33 | |
Total Financial | 15,816,765 | ||
Technology - 2.0% | |||
NVIDIA Corp. | 3,103 | 720,392 | |
Teradyne, Inc. | 6,613 | 668,839 | |
Applied Materials, Inc. | 5,633 | 654,273 | |
ANSYS, Inc.* | 2,022 | 613,899 | |
Paycom Software, Inc.* | 1,974 | 570,604 | |
IPG Photonics Corp.* | 4,423 | 545,090 | |
Skyworks Solutions, Inc. | 4,710 | 525,495 | |
Qorvo, Inc.* | 5,008 | 505,257 | |
Intuit, Inc. | 1,181 | 480,880 | |
QUALCOMM, Inc. | 3,717 | 459,161 | |
Advanced Micro Devices, Inc.* | 5,788 | 454,821 | |
NetApp, Inc. | 6,423 | 414,605 | |
Zebra Technologies Corp. — Class A* | 1,317 | 395,429 | |
Lam Research Corp. | 791 | 384,434 | |
Ceridian HCM Holding, Inc.* | 4,165 | 303,753 | |
MSCI, Inc. — Class A | 560 | 292,404 | |
Oracle Corp. | 3,285 | 287,109 | |
Micron Technology, Inc. | 4,612 | 266,666 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Shares | Value | ||
COMMON STOCKS† - 10.1% (continued) | |||
Technology - 2.0% (continued) |
Salesforce, Inc.* | 1,292 | $ 211,384 | |
Tyler Technologies, Inc.* | 642 | 206,243 | |
Adobe, Inc.* | 614 | 198,905 | |
Take-Two Interactive Software, Inc.* | 1,666 | 182,510 | |
Seagate Technology Holdings plc | 2,826 | 182,447 | |
Silicon Laboratories, Inc.* | 444 | 79,267 | |
Power Integrations, Inc. | 691 | 56,835 | |
Synaptics, Inc.* | 463 | 54,453 | |
Diodes, Inc.* | 510 | 46,762 | |
Workiva, Inc.* | 501 | 44,689 | |
Blackline, Inc.* | 633 | 43,272 | |
Envestnet, Inc.* | 635 | 39,694 | |
MACOM Technology Solutions Holdings, Inc.* | 577 | 39,548 | |
Ambarella, Inc.* | 412 | 38,856 | |
Altair Engineering, Inc. — Class A* | 540 | 34,592 | |
Varonis Systems, Inc.* | 1,250 | 33,850 | |
Sprout Social, Inc. — Class A* | 530 | 32,319 | |
Blackbaud, Inc.* | 560 | 31,186 | |
Rapid7, Inc.* | 659 | 31,171 | |
PagerDuty, Inc.* | 967 | 28,875 | |
MaxLinear, Inc. — Class A* | 829 | 28,360 | |
MicroStrategy, Inc. — Class A* | 108 | 28,325 | |
SiTime Corp.* | 188 | 23,340 | |
Semtech Corp.* | 756 | 23,292 | |
Phreesia, Inc.* | 584 | 21,491 | |
Appian Corp. — Class A* | 461 | 19,108 | |
DigitalOcean Holdings, Inc.* | 593 | 18,964 | |
Ultra Clean Holdings, Inc.* | 521 | 16,599 | |
Apollo Medical Holdings, Inc.* | 442 | 15,426 | |
JFrog Ltd.* | 632 | 14,536 | |
3D Systems Corp.* | 1,453 | 14,225 | |
Asana, Inc. — Class A* | 853 | 12,616 | |
Outset Medical, Inc.* | 548 | 12,500 | |
Cerence, Inc.* | 454 | 12,431 | |
Schrodinger Incorporated/United States* | 531 | 11,539 | |
Digital Turbine, Inc.* | 1,060 | 11,384 | |
Zuora, Inc. — Class A* | 1,333 | 11,291 | |
Momentive Global, Inc.* | 1,553 | 10,716 | |
Yext, Inc.* | 1,330 | 9,762 | |
SMART Global Holdings, Inc.* | 547 | 9,135 | |
Health Catalyst, Inc.* | 609 | 8,502 | |
LivePerson, Inc.* | 775 | 7,843 | |
8x8, Inc.* | 1,327 | 7,060 | |
Veeco Instruments, Inc.* | 291 | 6,190 | |
Grid Dynamics Holdings, Inc.* | 530 | 6,174 | |
Sumo Logic, Inc.* | 514 | 6,101 | |
BigCommerce Holdings, Inc.* | 567 | 5,398 | |
Domo, Inc. — Class B* | 330 | 5,072 | |
PAR Technology Corp.* | 147 | 5,020 | |
Pitney Bowes, Inc. | 1,031 | 4,475 | |
Bandwidth, Inc. — Class A* | 275 | 4,372 | |
TTEC Holdings, Inc. | 108 | 4,348 | |
CEVA, Inc.* | 132 | 4,166 | |
Sapiens International Corporation N.V. | 184 | 3,794 | |
Desktop Metal, Inc. — Class A* | 2,196 | 3,338 | |
Corsair Gaming, Inc.* | 163 | 2,852 | |
OneSpan, Inc.* | 210 | 2,839 | |
Alkami Technology, Inc.* | 165 | 2,534 | |
American Software, Inc. — Class A | 187 | 2,532 | |
Mitek Systems, Inc.* | 255 | 2,372 | |
Porch Group, Inc.* | 894 | 2,235 | |
Daily Journal Corp.* | 7 | 2,126 | |
Cardlytics, Inc.* | 382 | 2,082 | |
Cantaloupe, Inc.* | 347 | 1,999 | |
Unisys Corp.* | 384 | 1,912 | |
Integral Ad Science Holding Corp.* | 175 | 1,911 | |
ON24, Inc.* | 161 | 1,552 | |
Digimarc Corp.* | 76 | 1,550 | |
AvidXchange Holdings, Inc.* | 147 | 1,463 | |
Vuzix Corp.* | 349 | 1,448 | |
CoreCard Corp.* | 43 | 1,431 | |
Diebold Nixdorf, Inc.* | 429 | 1,381 | |
Enfusion, Inc. — Class A* | 126 | 1,351 | |
Ouster, Inc.* | 1,118 | 1,342 | |
Brightcove, Inc.* | 242 | 1,300 | |
Veritone, Inc.* | 169 | 1,198 | |
Upland Software, Inc.* | 172 | 996 | |
Telos Corp.* | 238 | 921 | |
Tabula Rasa HealthCare, Inc.* | 134 | 872 | |
Atomera, Inc.* | 120 | 796 | |
Rackspace Technology, Inc.* | 324 | 761 | |
CS Disco, Inc.* | 84 | 588 | |
Forian, Inc.* | 112 | 579 | |
Outbrain, Inc.* | 127 | 561 | |
SecureWorks Corp. — Class A* | 58 | 439 | |
Smith Micro Software, Inc.* | 275 | 385 | |
DarioHealth Corp.* | 80 | 368 | |
iCAD, Inc.* | 130 | 345 | |
EMCORE Corp.* | 218 | 313 | |
Viant Technology, Inc. — Class A* | 68 | 267 | |
Arteris, Inc.* | 29 | 190 | |
Weave Communications, Inc.* | 27 | 140 | |
Ryvyl, Inc.* | 109 | 54 | |
NantHealth, Inc.* | 10 | 30 | |
Society Pass, Inc.* | 19 | 21 | |
Avaya Holdings Corp.* | 985 | 12 | |
Total Technology | 10,614,910 | ||
Consumer, Cyclical - 1.9% | |||
Aptiv plc* | 4,627 | 538,028 | |
PVH Corp. | 6,676 | 535,682 | |
Tesla, Inc.* | 2,487 | 511,601 | |
Royal Caribbean Cruises Ltd.* | 7,219 | 509,950 | |
Penn Entertainment, Inc.* | 15,035 | 459,019 | |
Bath & Body Works, Inc. | 10,922 | 446,382 | |
Caesars Entertainment, Inc.* | 8,165 | 414,456 | |
Wynn Resorts Ltd.* | 3,535 | 383,088 | |
Ross Stores, Inc. | 2,913 | 322,003 | |
Starbucks Corp. | 3,091 | 315,560 | |
Carnival Corp.* | 29,371 | 311,920 | |
Copart, Inc.* | 4,426 | 311,856 | |
DR Horton, Inc. | 3,158 | 292,052 | |
Lennar Corp. — Class A | 2,953 | 285,673 | |
NIKE, Inc. — Class B | 2,085 | 247,677 | |
Home Depot, Inc. | 807 | 239,308 | |
General Motors Co. | 6,159 | 238,600 | |
Lowe's Companies, Inc. | 1,151 | 236,818 | |
Best Buy Company, Inc. | 2,703 | 224,646 | |
Target Corp. | 1,235 | 208,098 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Shares | Value | ||
COMMON STOCKS† - 10.1% (continued) | |||
Consumer, Cyclical - 1.9% (continued) |
Pool Corp. | 578 | $ 206,265 | |
Domino's Pizza, Inc. | 662 | 194,635 | |
Ford Motor Co. | 15,940 | 192,396 | |
Whirlpool Corp. | 1,379 | 190,274 | |
Advance Auto Parts, Inc. | 1,253 | 181,635 | |
CarMax, Inc.* | 2,577 | 177,916 | |
VF Corp. | 4,779 | 118,615 | |
Crocs, Inc.* | 683 | 83,128 | |
Under Armour, Inc. — Class C* | 9,303 | 81,866 | |
Under Armour, Inc. — Class A* | 8,161 | 81,039 | |
Macy's, Inc. | 3,538 | 72,387 | |
Fox Factory Holding Corp.* | 493 | 57,928 | |
Meritage Homes Corp. | 432 | 47,188 | |
Signet Jewelers Ltd. | 620 | 44,404 | |
AMC Entertainment Holdings, Inc. — Class A* | 6,030 | 43,054 | |
Skyline Champion Corp.* | 613 | 41,935 | |
Goodyear Tire & Rubber Co.* | 3,229 | 36,681 | |
National Vision Holdings, Inc.* | 969 | 36,202 | |
Steven Madden Ltd. | 944 | 34,267 | |
KB Home | 932 | 32,872 | |
LCI Industries | 289 | 32,602 | |
Papa John's International, Inc. | 387 | 32,489 | |
Installed Building Products, Inc. | 276 | 31,845 | |
Kontoor Brands, Inc. | 608 | 31,707 | |
Topgolf Callaway Brands Corp.* | 1,357 | 31,455 | |
Cavco Industries, Inc.* | 108 | 30,780 | |
Cracker Barrel Old Country Store, Inc. | 278 | 30,291 | |
Sonos, Inc.* | 1,488 | 28,912 | |
Dana, Inc. | 1,698 | 26,896 | |
Boot Barn Holdings, Inc.* | 342 | 26,488 | |
LGI Homes, Inc.* | 252 | 26,286 | |
American Eagle Outfitters, Inc.* | 1,778 | 25,550 | |
MDC Holdings, Inc. | 670 | 24,790 | |
Gentherm, Inc.* | 390 | 24,769 | |
Shake Shack, Inc. — Class A* | 439 | 24,492 | |
Winnebago Industries, Inc. | 379 | 24,089 | |
Urban Outfitters, Inc.* | 804 | 21,668 | |
MillerKnoll, Inc. | 872 | 20,815 | |
Sally Beauty Holdings, Inc.* | 1,288 | 20,724 | |
Abercrombie & Fitch Co. — Class A* | 656 | 19,293 | |
Wolverine World Wide, Inc. | 954 | 15,980 | |
Tri Pointe Homes, Inc.* | 647 | 15,425 | |
Fisker, Inc.* | 1,915 | 14,228 | |
Lions Gate Entertainment Corp. — Class B* | 1,385 | 13,781 | |
iRobot Corp.* | 315 | 12,943 | |
Camping World Holdings, Inc. — Class A | 489 | 11,164 | |
SkyWest, Inc.* | 584 | 11,137 | |
Shyft Group, Inc. | 406 | 10,528 | |
Century Communities, Inc. | 176 | 10,527 | |
Sleep Number Corp.* | 260 | 10,364 | |
Cheesecake Factory, Inc. | 270 | 10,109 | |
Acushnet Holdings Corp. | 201 | 9,700 | |
Patrick Industries, Inc. | 133 | 9,689 | |
Vista Outdoor, Inc.* | 330 | 9,425 | |
Allegiant Travel Co. — Class A* | 90 | 9,230 | |
La-Z-Boy, Inc. | 258 | 8,354 | |
Malibu Boats, Inc. — Class A* | 121 | 7,231 | |
Children's Place, Inc.* | 161 | 6,741 | |
Nikola Corp.* | 2,697 | 5,987 | |
Hibbett, Inc. | 80 | 5,754 | |
Big Lots, Inc. | 354 | 5,080 | |
Douglas Dynamics, Inc. | 134 | 4,997 | |
Standard Motor Products, Inc. | 124 | 4,832 | |
Denny's Corp.* | 362 | 4,225 | |
MarineMax, Inc.* | 123 | 4,130 | |
Bally's Corp.* | 191 | 3,772 | |
Sun Country Airlines Holdings, Inc.* | 187 | 3,749 | |
Lions Gate Entertainment Corp. — Class A* | 341 | 3,618 | |
VSE Corp. | 63 | 3,617 | |
Movado Group, Inc. | 91 | 3,150 | |
Portillo's, Inc. — Class A* | 136 | 3,090 | |
Aspen Aerogels, Inc.* | 263 | 2,854 | |
Shoe Carnival, Inc. | 105 | 2,767 | |
GrowGeneration Corp.* | 647 | 2,740 | |
Zumiez, Inc.* | 114 | 2,652 | |
Beazer Homes USA, Inc.* | 174 | 2,594 | |
Rush Street Interactive, Inc.* | 616 | 2,581 | |
Sportsman's Warehouse Holdings, Inc.* | 259 | 2,328 | |
PetMed Express, Inc. | 118 | 2,216 | |
Aeva Technologies, Inc.* | 1,231 | 2,203 | |
Marcus Corp. | 136 | 2,188 | |
Lovesac Co.* | 76 | 2,188 | |
Global Industrial Co. | 76 | 2,138 | |
Hovnanian Enterprises, Inc. — Class A* | 30 | 2,043 | |
Johnson Outdoors, Inc. — Class A | 31 | 2,011 | |
Hyliion Holdings Corp.* | 698 | 1,975 | |
Blue Bird Corp.* | 95 | 1,929 | |
Miller Industries, Inc. | 66 | 1,835 | |
Workhorse Group, Inc.* | 875 | 1,803 | |
OneWater Marine, Inc. — Class A* | 61 | 1,697 | |
Fiesta Restaurant Group, Inc.* | 209 | 1,682 | |
Cooper-Standard Holdings, Inc.* | 100 | 1,595 | |
Hooker Furnishings Corp. | 69 | 1,517 | |
Commercial Vehicle Group, Inc.* | 191 | 1,509 | |
Kimball International, Inc. — Class B | 215 | 1,486 | |
Purple Innovation, Inc.* | 343 | 1,482 | |
Forestar Group, Inc.* | 101 | 1,441 | |
Noodles & Co.* | 242 | 1,413 | |
El Pollo Loco Holdings, Inc. | 113 | 1,353 | |
Citi Trends, Inc.* | 47 | 1,318 | |
Rite Aid Corp.* | 328 | 1,266 | |
Fossil Group, Inc.* | 284 | 1,230 | |
Tupperware Brands Corp.* | 286 | 1,173 | |
Tilly's, Inc. — Class A* | 135 | 1,172 | |
Snap One Holdings Corp.* | 100 | 1,169 | |
Big 5 Sporting Goods Corp. | 123 | 1,086 | |
Cato Corp. — Class A | 117 | 1,082 | |
ONE Group Hospitality, Inc.* | 123 | 1,046 | |
Canoo, Inc.* | 1,268 | 949 | |
Universal Electronics, Inc.* | 74 | 941 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Shares | Value | ||
COMMON STOCKS† - 10.1% (continued) | |||
Consumer, Cyclical - 1.9% (continued) |
Lordstown Motors Corp. — Class A* | 904 | $ 940 | |
NEOGAMES S.A.* | 60 | 933 | |
Conn's, Inc.* | 106 | 908 | |
Daktronics, Inc.* | 219 | 889 | |
LL Flooring Holdings, Inc.* | 170 | 858 | |
Container Store Group, Inc.* | 189 | 822 | |
Vera Bradley, Inc.* | 155 | 822 | |
Flexsteel Industries, Inc. | 39 | 818 | |
Superior Group of Companies, Inc. | 69 | 799 | |
American Outdoor Brands, Inc.* | 84 | 775 | |
Escalade, Inc. | 60 | 771 | |
PLBY Group, Inc.* | 337 | 718 | |
Traeger, Inc.* | 177 | 704 | |
Mesa Air Group, Inc.* | 204 | 618 | |
Lifetime Brands, Inc. | 75 | 594 | |
Hamilton Beach Brands Holding Co. — Class A | 44 | 572 | |
EVI Industries, Inc.* | 27 | 545 | |
Barnes & Noble Education, Inc.* | 263 | 542 | |
Lazydays Holdings, Inc.* | 44 | 539 | |
Sweetgreen, Inc. — Class A* | 60 | 523 | |
Liberty TripAdvisor Holdings, Inc. — Class A* | 434 | 482 | |
GAN Ltd.* | 239 | 449 | |
Duluth Holdings, Inc. — Class B* | 72 | 433 | |
Carrols Restaurant Group, Inc.* | 199 | 414 | |
Ideanomics, Inc.* | 2,806 | 377 | |
F45 Training Holdings, Inc.* | 176 | 364 | |
Regis Corp.* | 248 | 357 | |
Nautilus, Inc.* | 179 | 290 | |
Torrid Holdings, Inc.* | 103 | 281 | |
Kirkland's, Inc.* | 74 | 240 | |
Shift Technologies, Inc.* | 1,026 | 215 | |
Aterian, Inc.* | 154 | 185 | |
Party City Holdco, Inc.* | 658 | 49 | |
EBET, Inc.* | 68 | 35 | |
Arcimoto, Inc.* | 9 | 16 | |
Total Consumer, Cyclical | 9,863,131 | ||
Consumer, Non-cyclical - 1.3% | |||
Intuitive Surgical, Inc.* | 2,121 | 486,536 | |
PayPal Holdings, Inc.* | 5,816 | 428,058 | |
Align Technology, Inc.* | 1,380 | 427,110 | |
Bio-Techne Corp. | 5,648 | 410,271 | |
Illumina, Inc.* | 1,645 | 327,684 | |
Dexcom, Inc.* | 2,620 | 290,846 | |
Moderna, Inc.* | 1,850 | 256,799 | |
MarketAxess Holdings, Inc. | 746 | 254,722 | |
Moody's Corp. | 840 | 243,726 | |
IDEXX Laboratories, Inc.* | 513 | 242,772 | |
Verisk Analytics, Inc. — Class A | 1,404 | 240,238 | |
Equifax, Inc. | 1,142 | 231,289 | |
Zoetis, Inc. | 1,380 | 230,460 | |
Bio-Rad Laboratories, Inc. — Class A* | 482 | 230,319 | |
S&P Global, Inc. | 673 | 229,628 | |
West Pharmaceutical Services, Inc. | 704 | 223,189 | |
Charles River Laboratories International, Inc.* | 985 | 216,050 | |
Dentsply Sirona, Inc. | 5,242 | 199,563 | |
Robert Half International, Inc. | 2,350 | 189,457 | |
Avis Budget Group, Inc.* | 484 | 106,315 | |
GE HealthCare Technologies, Inc.* | 924 | 70,199 | |
API Group Corp.* | 2,370 | 55,671 | |
ASGN, Inc.* | 596 | 52,925 | |
Herc Holdings, Inc. | 292 | 41,928 | |
TriNet Group, Inc.* | 474 | 39,280 | |
Arrowhead Pharmaceuticals, Inc.* | 1,200 | 38,760 | |
Korn Ferry | 630 | 35,211 | |
Intellia Therapeutics, Inc.* | 814 | 32,698 | |
CONMED Corp. | 339 | 32,608 | |
Helen of Troy Ltd.* | 281 | 31,666 | |
LivaNova plc* | 625 | 29,575 | |
Blueprint Medicines Corp.* | 683 | 28,939 | |
Denali Therapeutics, Inc.* | 1,062 | 28,833 | |
Primo Water Corp. | 1,845 | 28,561 | |
Progyny, Inc.* | 754 | 28,320 | |
Insmed, Inc.* | 1,377 | 28,063 | |
Alarm.com Holdings, Inc.* | 552 | 28,058 | |
Omnicell, Inc.* | 513 | 27,928 | |
TG Therapeutics, Inc.* | 1,531 | 24,527 | |
Beam Therapeutics, Inc.* | 596 | 23,983 | |
Vector Group Ltd. | 1,685 | 22,360 | |
NeoGenomics, Inc.* | 1,325 | 22,326 | |
Neogen Corp.* | 1,258 | 22,254 | |
Upbound Group, Inc. | 773 | 20,755 | |
Pacific Biosciences of California, Inc.* | 2,271 | 20,621 | |
AtriCure, Inc.* | 525 | 20,212 | |
Veracyte, Inc.* | 791 | 19,467 | |
LiveRamp Holdings, Inc.* | 775 | 18,313 | |
Arvinas, Inc.* | 548 | 16,796 | |
Vericel Corp.* | 545 | 16,573 | |
PROG Holdings, Inc.* | 663 | 16,389 | |
Agios Pharmaceuticals, Inc.* | 640 | 16,198 | |
ModivCare, Inc.* | 145 | 14,238 | |
Bridgebio Pharma, Inc.* | 1,241 | 14,172 | |
Beauty Health Co.* | 1,022 | 12,887 | |
Ligand Pharmaceuticals, Inc. — Class B* | 177 | 12,769 | |
Nevro Corp.* | 405 | 12,733 | |
Kymera Therapeutics, Inc.* | 403 | 12,646 | |
Twist Bioscience Corp.* | 633 | 12,318 | |
Avid Bioservices, Inc.* | 708 | 11,654 | |
Enanta Pharmaceuticals, Inc.* | 230 | 11,155 | |
Cassava Sciences, Inc.* | 448 | 11,066 | |
Owens & Minor, Inc.* | 718 | 11,007 | |
Recursion Pharmaceuticals, Inc. — Class A* | 1,343 | 10,945 | |
SpringWorks Therapeutics, Inc.* | 342 | 10,910 | |
Morphic Holding, Inc.* | 247 | 10,502 | |
Reata Pharmaceuticals, Inc. — Class A* | 321 | 10,006 | |
CareDx, Inc.* | 593 | 9,974 | |
Monro, Inc. | 194 | 9,785 | |
Coursera, Inc.* | 851 | 9,591 | |
Arcus Biosciences, Inc.* | 526 | 9,578 | |
Rocket Pharmaceuticals, Inc.* | 486 | 9,336 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Shares | Value | ||
COMMON STOCKS† - 10.1% (continued) | |||
Consumer, Non-cyclical - 1.3% (continued) |
Heska Corp.* | 114 | $ 9,283 | |
Deluxe Corp. | 503 | 9,275 | |
CorVel Corp.* | 51 | 9,194 | |
Community Health Systems, Inc.* | 1,457 | 8,829 | |
Protagonist Therapeutics, Inc.* | 524 | 8,499 | |
Zentalis Pharmaceuticals, Inc.* | 428 | 8,102 | |
Fulgent Genetics, Inc.* | 246 | 8,066 | |
Inhibrx, Inc.* | 332 | 7,988 | |
Marathon Digital Holdings, Inc.* | 1,115 | 7,916 | |
Travere Therapeutics, Inc.* | 348 | 7,712 | |
2U, Inc.* | 857 | 7,679 | |
Riot Platforms, Inc.* | 1,226 | 7,663 | |
Editas Medicine, Inc.* | 801 | 7,241 | |
Cimpress plc* | 205 | 7,200 | |
Accolade, Inc.* | 601 | 6,677 | |
RadNet, Inc.* | 266 | 6,274 | |
American Well Corp. — Class A* | 2,183 | 6,091 | |
Alector, Inc.* | 695 | 5,935 | |
Green Dot Corp. — Class A* | 313 | 5,925 | |
Fate Therapeutics, Inc.* | 948 | 5,802 | |
Senseonics Holdings, Inc.* | 5,152 | 5,358 | |
NanoString Technologies, Inc.* | 532 | 5,192 | |
Coherus Biosciences, Inc.* | 766 | 5,186 | |
Allogene Therapeutics, Inc.* | 811 | 5,150 | |
Invitae Corp.* | 2,340 | 5,031 | |
B&G Foods, Inc. | 375 | 4,751 | |
First Advantage Corp.* | 320 | 4,643 | |
Cardiovascular Systems, Inc.* | 234 | 4,612 | |
Atrion Corp. | 8 | 4,544 | |
MacroGenics, Inc.* | 716 | 4,360 | |
Sangamo Therapeutics, Inc.* | 1,415 | 4,316 | |
Repay Holdings Corp.* | 507 | 4,299 | |
USANA Health Sciences, Inc.* | 70 | 4,255 | |
Scilex Holding Co.* | 491 | 4,247 | |
Atara Biotherapeutics, Inc.* | 1,012 | 4,099 | |
Quanterix Corp.* | 361 | 3,971 | |
Varex Imaging Corp.* | 224 | 3,963 | |
Heidrick & Struggles International, Inc. | 115 | 3,948 | |
Custom Truck One Source, Inc.* | 540 | 3,910 | |
Replimune Group, Inc.* | 177 | 3,876 | |
TrueBlue, Inc.* | 205 | 3,834 | |
SI-BONE, Inc.* | 193 | 3,817 | |
Transcat, Inc.* | 42 | 3,780 | |
Sana Biotechnology, Inc.* | 1,029 | 3,776 | |
ViewRay, Inc.* | 837 | 3,616 | |
OmniAb, Inc.* | 867 | 3,615 | |
Nuvation Bio, Inc.* | 1,852 | 3,593 | |
Emergent BioSolutions, Inc.* | 287 | 3,553 | |
Nurix Therapeutics, Inc.* | 373 | 3,517 | |
OrthoPediatrics Corp.* | 80 | 3,501 | |
Ideaya Biosciences, Inc.* | 195 | 3,442 | |
MiMedx Group, Inc.* | 662 | 3,184 | |
V2X, Inc.* | 68 | 3,153 | |
Castle Biosciences, Inc.* | 124 | 3,122 | |
Inovio Pharmaceuticals, Inc.* | 2,464 | 3,105 | |
Viad Corp.* | 120 | 3,085 | |
Carriage Services, Inc. — Class A | 90 | 3,053 | |
Sutro Biopharma, Inc.* | 517 | 2,916 | |
Scholar Rock Holding Corp.* | 330 | 2,831 | |
Cerus Corp.* | 986 | 2,820 | |
European Wax Center, Inc. — Class A | 150 | 2,769 | |
Ocular Therapeutix, Inc.* | 457 | 2,760 | |
Anika Therapeutics, Inc.* | 86 | 2,726 | |
AngioDynamics, Inc.* | 220 | 2,724 | |
OraSure Technologies, Inc.* | 426 | 2,688 | |
Cara Therapeutics, Inc.* | 264 | 2,682 | |
OPKO Health, Inc.* | 2,343 | 2,671 | |
Aaron's Company, Inc. | 183 | 2,626 | |
Heron Therapeutics, Inc.* | 1,100 | 2,607 | |
Kodiak Sciences, Inc.* | 399 | 2,594 | |
Joint Corp.* | 165 | 2,591 | |
MaxCyte, Inc.* | 563 | 2,556 | |
Mission Produce, Inc.* | 220 | 2,534 | |
Allakos, Inc.* | 417 | 2,481 | |
C4 Therapeutics, Inc.* | 460 | 2,424 | |
Vital Farms, Inc.* | 146 | 2,359 | |
WW International, Inc.* | 627 | 2,295 | |
Pennant Group, Inc.* | 152 | 2,283 | |
Ocugen, Inc.* | 2,201 | 2,193 | |
Edgewise Therapeutics, Inc.* | 225 | 2,156 | |
iTeos Therapeutics, Inc.* | 120 | 2,125 | |
Vanda Pharmaceuticals, Inc.* | 326 | 2,099 | |
Seres Therapeutics, Inc.* | 414 | 2,091 | |
Bluebird Bio, Inc.* | 402 | 2,090 | |
Generation Bio Co.* | 522 | 2,067 | |
Turning Point Brands, Inc. | 86 | 2,055 | |
Arcturus Therapeutics Holdings, Inc.* | 125 | 2,031 | |
Seer, Inc.* | 495 | 2,025 | |
Avita Medical, Inc.* | 144 | 1,931 | |
Utah Medical Products, Inc. | 20 | 1,836 | |
2seventy bio, Inc.* | 135 | 1,821 | |
Inogen, Inc.* | 116 | 1,818 | |
Surmodics, Inc.* | 80 | 1,747 | |
Pulmonx Corp.* | 155 | 1,741 | |
Cullinan Oncology, Inc.* | 154 | 1,739 | |
Tactile Systems Technology, Inc.* | 114 | 1,647 | |
Orthofix Medical, Inc.* | 78 | 1,607 | |
Accuray, Inc.* | 550 | 1,595 | |
Rigel Pharmaceuticals, Inc.* | 1,018 | 1,537 | |
Marinus Pharmaceuticals, Inc.* | 220 | 1,518 | |
PetIQ, Inc.* | 160 | 1,491 | |
BioLife Solutions, Inc.* | 61 | 1,419 | |
iRadimed Corp. | 37 | 1,405 | |
Honest Company, Inc.* | 495 | 1,381 | |
Kezar Life Sciences, Inc.* | 219 | 1,378 | |
MeiraGTx Holdings plc* | 177 | 1,366 | |
Amneal Pharmaceuticals, Inc.* | 594 | 1,224 | |
Erasca, Inc.* | 335 | 1,206 | |
UroGen Pharma Ltd.* | 116 | 1,195 | |
Willdan Group, Inc.* | 66 | 1,192 | |
Allovir, Inc.* | 175 | 1,181 | |
PMV Pharmaceuticals, Inc.* | 156 | 1,125 | |
ARS Pharmaceuticals, Inc.* | 122 | 1,088 | |
Sorrento Therapeutics, Inc.* | 3,481 | 1,062 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Shares | Value | ||
COMMON STOCKS† - 10.1% (continued) | |||
Consumer, Non-cyclical - 1.3% (continued) |
Remitly Global, Inc.* | 71 | $ 1,039 | |
Phathom Pharmaceuticals, Inc.* | 120 | 1,027 | |
InfuSystem Holdings, Inc.* | 108 | 1,014 | |
Berkeley Lights, Inc.* | 578 | 1,012 | |
IGM Biosciences, Inc.* | 48 | 1,009 | |
Lineage Cell Therapeutics, Inc.* | 747 | 1,008 | |
Stoke Therapeutics, Inc.* | 113 | 1,005 | |
Zevra Therapeutics, Inc.* | 172 | 999 | |
Annexon, Inc.* | 185 | 986 | |
Asensus Surgical, Inc.* | 1,394 | 962 | |
Organogenesis Holdings, Inc.* | 379 | 929 | |
Lexicon Pharmaceuticals, Inc.* | 408 | 918 | |
NGM Biopharmaceuticals, Inc.* | 187 | 886 | |
Selecta Biosciences, Inc.* | 542 | 883 | |
Akebia Therapeutics, Inc.* | 1,039 | 876 | |
22nd Century Group, Inc.* | 959 | 867 | |
HF Foods Group, Inc.* | 217 | 842 | |
ORIC Pharmaceuticals, Inc.* | 188 | 833 | |
CytomX Therapeutics, Inc.* | 386 | 830 | |
Kinnate Biopharma, Inc.* | 153 | 808 | |
Citius Pharmaceuticals, Inc.* | 687 | 790 | |
Tarsus Pharmaceuticals, Inc.* | 50 | 775 | |
Udemy, Inc.* | 81 | 765 | |
Whole Earth Brands, Inc.* | 222 | 764 | |
Nature's Sunshine Products, Inc.* | 70 | 759 | |
Spectrum Pharmaceuticals, Inc.* | 971 | 755 | |
CytoSorbents Corp.* | 245 | 755 | |
Shattuck Labs, Inc.* | 158 | 746 | |
Inotiv, Inc.* | 99 | 742 | |
Stereotaxis, Inc.* | 295 | 732 | |
Precigen, Inc.* | 565 | 712 | |
Outlook Therapeutics, Inc.* | 646 | 704 | |
ALX Oncology Holdings, Inc.* | 105 | 695 | |
Chimerix, Inc.* | 435 | 687 | |
Sesen Bio, Inc.* | 1,182 | 686 | |
Durect Corp.* | 134 | 678 | |
Celcuity, Inc.* | 57 | 671 | |
Harvard Bioscience, Inc.* | 234 | 662 | |
Ikena Oncology, Inc.* | 161 | 646 | |
Personalis, Inc.* | 214 | 644 | |
Vor BioPharma, Inc.* | 113 | 631 | |
Ginkgo Bioworks Holdings, Inc.* | 428 | 629 | |
Affimed N.V.* | 691 | 628 | |
Olema Pharmaceuticals, Inc.* | 150 | 615 | |
Gritstone bio, Inc.* | 249 | 610 | |
Absci Corp.* | 287 | 608 | |
Verrica Pharmaceuticals, Inc.* | 78 | 605 | |
Apyx Medical Corp.* | 185 | 601 | |
Praxis Precision Medicines, Inc.* | 194 | 595 | |
Athira Pharma, Inc.* | 192 | 591 | |
Vera Therapeutics, Inc.* | 76 | 565 | |
DermTech, Inc.* | 144 | 560 | |
Vaxart, Inc.* | 715 | 557 | |
Alpine Immune Sciences, Inc.* | 69 | 550 | |
VBI Vaccines, Inc.* | 1,112 | 534 | |
Verastem, Inc.* | 1,027 | 534 | |
CEL-SCI Corp.* | 214 | 526 | |
Singular Genomics Systems, Inc.* | 244 | 525 | |
Atossa Therapeutics, Inc.* | 697 | 516 | |
Cue Biopharma, Inc.* | 183 | 512 | |
Paratek Pharmaceuticals, Inc.* | 285 | 499 | |
Instil Bio, Inc.* | 629 | 489 | |
EyePoint Pharmaceuticals, Inc.* | 142 | 474 | |
Tenaya Therapeutics, Inc.* | 153 | 470 | |
ChromaDex Corp.* | 279 | 466 | |
Mind Medicine MindMed, Inc.* | 125 | 465 | |
Seelos Therapeutics, Inc.* | 585 | 462 | |
Oramed Pharmaceuticals, Inc.* | 212 | 445 | |
Werewolf Therapeutics, Inc.* | 153 | 441 | |
Century Therapeutics, Inc.* | 96 | 433 | |
AppHarvest, Inc.* | 415 | 423 | |
Graphite Bio, Inc.* | 160 | 421 | |
Kronos Bio, Inc.* | 231 | 402 | |
Cardiff Oncology, Inc.* | 226 | 391 | |
Homology Medicines, Inc.* | 249 | 378 | |
Greenwich Lifesciences, Inc.* | 24 | 375 | |
Adverum Biotechnologies, Inc.* | 517 | 372 | |
Prelude Therapeutics, Inc.* | 64 | 362 | |
Tattooed Chef, Inc.* | 281 | 354 | |
Bioventus, Inc. — Class A* | 164 | 349 | |
Rent the Runway, Inc. — Class A* | 99 | 338 | |
Fortress Biotech, Inc.* | 432 | 333 | |
Precision BioSciences, Inc.* | 296 | 332 | |
Disc Medicine, Inc.* | 13 | 325 | |
Curis, Inc.* | 516 | 321 | |
Avrobio, Inc.* | 225 | 315 | |
XBiotech, Inc.* | 90 | 302 | |
Aveanna Healthcare Holdings, Inc.* | 235 | 287 | |
BioAtla, Inc.* | 92 | 274 | |
Passage Bio, Inc.* | 220 | 271 | |
Beyondspring, Inc.* | 133 | 251 | |
AirSculpt Technologies, Inc. | 38 | 249 | |
Talaris Therapeutics, Inc.* | 124 | 241 | |
Inozyme Pharma, Inc.* | 85 | 241 | |
Endo International plc* | 2,732 | 240 | |
Black Diamond Therapeutics, Inc.* | 135 | 239 | |
Oncternal Therapeutics, Inc.* | 263 | 234 | |
Mustang Bio, Inc.* | 426 | 234 | |
TherapeuticsMD, Inc.* | 46 | 228 | |
Pulse Biosciences, Inc.* | 83 | 227 | |
TCR2 Therapeutics, Inc.* | 181 | 226 | |
Alpha Teknova, Inc.* | 41 | 222 | |
Atreca, Inc. — Class A* | 154 | 220 | |
Jounce Therapeutics, Inc.* | 196 | 220 | |
Bolt Biotherapeutics, Inc.* | 136 | 219 | |
NeuroPace, Inc.* | 42 | 215 | |
AquaBounty Technologies, Inc.* | 326 | 215 | |
Spero Therapeutics, Inc.* | 144 | 213 | |
Zevia PBC — Class A* | 61 | 213 | |
VistaGen Therapeutics, Inc.* | 1,156 | 203 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Shares | Value | ||
COMMON STOCKS† - 10.1% (continued) | |||
Consumer, Non-cyclical - 1.3% (continued) |
Retractable Technologies, Inc.* | 103 | $ 200 | |
PAVmed, Inc.* | 429 | 199 | |
Sensei Biotherapeutics, Inc.* | 124 | 195 | |
Cue Health, Inc.* | 85 | 183 | |
Aligos Therapeutics, Inc.* | 125 | 183 | |
Acutus Medical, Inc.* | 113 | 175 | |
Aspira Women's Health, Inc.* | 433 | 163 | |
Exagen, Inc.* | 61 | 159 | |
Xilio Therapeutics, Inc.* | 43 | 155 | |
Biodesix, Inc.* | 75 | 155 | |
Reneo Pharmaceuticals, Inc.* | 50 | 152 | |
Cyteir Therapeutics, Inc.* | 99 | 150 | |
MEI Pharma, Inc.* | 666 | 148 | |
Eliem Therapeutics, Inc.* | 41 | 146 | |
Magenta Therapeutics, Inc.* | 178 | 144 | |
Pyxis Oncology, Inc.* | 62 | 141 | |
Surface Oncology, Inc.* | 208 | 137 | |
Taysha Gene Therapies, Inc.* | 133 | 134 | |
Vapotherm, Inc.* | 135 | 132 | |
Oncocyte Corp.* | 358 | 130 | |
Frequency Therapeutics, Inc.* | 191 | 130 | |
Solid Biosciences, Inc.* | 23 | 129 | |
Syros Pharmaceuticals, Inc.* | 34 | 128 | |
9 Meters Biopharma, Inc.* | 67 | 114 | |
Sera Prognostics, Inc. — Class A* | 31 | 113 | |
Evelo Biosciences, Inc.* | 181 | 112 | |
Infinity Pharmaceuticals, Inc.* | 521 | 111 | |
Portage Biotech, Inc.* | 29 | 111 | |
Vincerx Pharma, Inc.* | 95 | 110 | |
Quince Therapeutics, Inc.* | 118 | 109 | |
Applied Therapeutics, Inc.* | 105 | 106 | |
Neoleukin Therapeutics, Inc.* | 209 | 105 | |
Molecular Templates, Inc.* | 220 | 103 | |
Accelerate Diagnostics, Inc.* | 196 | 100 | |
Clovis Oncology, Inc.* | 672 | 100 | |
SQZ Biotechnologies Co.* | 135 | 99 | |
Hookipa Pharma, Inc.* | 114 | 99 | |
Sigilon Therapeutics, Inc.* | 90 | 98 | |
Aeglea BioTherapeutics, Inc.* | 240 | 94 | |
Rapid Micro Biosystems, Inc. — Class A* | 86 | 92 | |
Harpoon Therapeutics, Inc.* | 111 | 86 | |
Telesis Bio, Inc.* | 47 | 84 | |
Angion Biomedica Corp.* | 129 | 83 | |
Rubius Therapeutics, Inc.* | 547 | 80 | |
Applied Molecular Transport, Inc.* | 148 | 78 | |
Athersys, Inc.* | 49 | 78 | |
Avalo Therapeutics, Inc.* | 30 | 78 | |
GT Biopharma, Inc.* | 105 | 72 | |
Forte Biosciences, Inc.* | 67 | 68 | |
Athenex, Inc.* | 25 | 66 | |
iBio, Inc.* | 51 | 65 | |
Kala Pharmaceuticals, Inc.* | 6 | 61 | |
Tonix Pharmaceuticals Holding Corp.* | 83 | 58 | |
Sientra, Inc.* | 34 | 53 | |
IsoPlexis Corp.* | 49 | 52 | |
Talis Biomedical Corp.* | 86 | 50 | |
Eargo, Inc.* | 8 | 48 | |
Oncorus, Inc.* | 121 | 48 | |
NexImmune, Inc.* | 105 | 45 | |
Codiak Biosciences, Inc.* | 94 | 45 | |
Humanigen, Inc.* | 284 | 43 | |
Laird Superfood, Inc.* | 37 | 42 | |
Trevena, Inc.* | 38 | 41 | |
Lucid Diagnostics, Inc.* | 29 | 39 | |
Ontrak, Inc.* | 56 | 35 | |
Eterna Therapeutics, Inc.* | 8 | 30 | |
MiNK Therapeutics, Inc.* | 11 | 23 | |
Ampio Pharmaceuticals, Inc.* | 78 | 20 | |
Finch Therapeutics Group, Inc.* | 44 | 18 | |
Landos Biopharma, Inc.* | 28 | 10 | |
Invacare Corp.* | 200 | 6 | |
Greenlane Holdings, Inc. — Class A* | 5 | 2 | |
Quotient Ltd.* | 11 | – | |
Ligand Pharmaceuticals Inc*,†† | 67 | – | |
Ligand Pharmaceuticals Inc*,†† | 67 | – | |
Disk Medicine, Inc*,††† | 130 | – | |
Total Consumer, Non-cyclical | 7,113,891 | ||
Industrial - 1.1% | |||
Fortune Brands Innovations, Inc. | 6,201 | 384,152 | |
Trane Technologies plc | 1,718 | 317,779 | |
Rockwell Automation, Inc. | 995 | 293,455 | |
Boeing Co.* | 1,451 | 292,449 | |
Old Dominion Freight Line, Inc. | 834 | 282,943 | |
Keysight Technologies, Inc.* | 1,753 | 280,410 | |
Carrier Global Corp. | 5,916 | 266,398 | |
Pentair plc | 4,752 | 265,827 | |
Johnson Controls International plc | 4,227 | 265,117 | |
A O Smith Corp. | 3,890 | 255,301 | |
Dover Corp. | 1,697 | 254,380 | |
Martin Marietta Materials, Inc. | 689 | 247,950 | |
Generac Holdings, Inc.* | 2,048 | 245,781 | |
General Electric Co. | 2,771 | 234,731 | |
Garmin Ltd. | 2,328 | 228,447 | |
Mohawk Industries, Inc.* | 2,047 | 210,534 | |
Ball Corp. | 2,988 | 167,956 | |
Stanley Black & Decker, Inc. | 1,746 | 149,475 | |
Tetra Tech, Inc. | 630 | 86,241 | |
Saia, Inc.* | 310 | 83,970 | |
Exponent, Inc. | 606 | 62,357 | |
Masterbrand, Inc.* | 6,201 | 60,398 | |
Watts Water Technologies, Inc. — Class A | 321 | 56,249 | |
Casella Waste Systems, Inc. — Class A* | 574 | 44,669 | |
Summit Materials, Inc. — Class A* | 1,410 | 41,651 | |
John Bean Technologies Corp. | 366 | 40,586 | |
Zurn Elkay Water Solutions Corp. | 1,417 | 32,591 | |
Itron, Inc.* | 530 | 29,558 | |
Kadant, Inc. | 135 | 28,979 | |
ArcBest Corp. | 296 | 28,475 | |
Energizer Holdings, Inc. | 783 | 28,368 | |
Kennametal, Inc. | 980 | 27,763 | |
Helios Technologies, Inc. | 378 | 25,606 | |
Gibraltar Industries, Inc.* | 384 | 20,509 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Shares | Value | ||
COMMON STOCKS† - 10.1% (continued) | |||
Industrial - 1.1% (continued) |
Kratos Defense & Security Solutions, Inc.* | 1,438 | $ 18,191 | |
Montrose Environmental Group, Inc.* | 305 | 14,850 | |
GrafTech International Ltd. | 2,345 | 13,249 | |
Vicor Corp.* | 247 | 11,609 | |
Ichor Holdings Ltd.* | 331 | 10,906 | |
CryoPort, Inc.* | 476 | 10,310 | |
Tennant Co. | 108 | 7,649 | |
TriMas Corp. | 253 | 7,587 | |
Columbus McKinnon Corp. | 163 | 6,051 | |
Astec Industries, Inc. | 133 | 5,989 | |
FARO Technologies, Inc.* | 212 | 5,766 | |
nLight, Inc.* | 509 | 5,752 | |
Mesa Laboratories, Inc. | 29 | 5,119 | |
MicroVision, Inc.* | 1,959 | 5,015 | |
American Woodmark Corp.* | 97 | 4,945 | |
Triumph Group, Inc.* | 373 | 4,707 | |
Chase Corp. | 44 | 4,309 | |
GoPro, Inc. — Class A* | 755 | 3,919 | |
Harsco Corp.* | 459 | 3,883 | |
Blink Charging Co.* | 428 | 3,873 | |
Manitowoc Company, Inc.* | 204 | 3,858 | |
Gorman-Rupp Co. | 135 | 3,761 | |
CIRCOR International, Inc.* | 109 | 3,190 | |
Smith & Wesson Brands, Inc. | 285 | 3,118 | |
Ranpak Holdings Corp.* | 447 | 2,816 | |
Pactiv Evergreen, Inc. | 256 | 2,767 | |
Luxfer Holdings plc | 164 | 2,718 | |
Centrus Energy Corp. — Class A* | 57 | 2,554 | |
Comtech Telecommunications Corp. | 152 | 2,431 | |
IES Holdings, Inc.* | 51 | 2,145 | |
National Presto Industries, Inc. | 30 | 2,059 | |
Tutor Perini Corp.* | 245 | 1,987 | |
Daseke, Inc.* | 239 | 1,948 | |
Concrete Pumping Holdings, Inc.* | 154 | 1,203 | |
Akoustis Technologies, Inc.* | 287 | 1,073 | |
Pure Cycle Corp.* | 114 | 1,007 | |
AMMO, Inc.* | 515 | 1,004 | |
Byrna Technologies, Inc.* | 109 | 901 | |
Hydrofarm Holdings Group, Inc.* | 465 | 893 | |
Identiv, Inc.* | 127 | 892 | |
American Superconductor Corp.* | 164 | 879 | |
INNOVATE Corp.* | 282 | 835 | |
Standard BioTools, Inc.* | 454 | 826 | |
Caesarstone Ltd. | 134 | 780 | |
Latham Group, Inc.* | 240 | 763 | |
Meta Materials, Inc.* | 1,187 | 760 | |
Turtle Beach Corp.* | 90 | 728 | |
Yellow Corp.* | 300 | 726 | |
Kopin Corp.* | 462 | 531 | |
View, Inc.* | 575 | 365 | |
US Xpress Enterprises, Inc. — Class A* | 160 | 251 | |
AgEagle Aerial Systems, Inc.* | 406 | 177 | |
Total Industrial | 5,544,680 | ||
Communications - 0.7% | |||
Etsy, Inc.* | 4,899 | 594,788 | |
Meta Platforms, Inc. — Class A* | 2,732 | 477,936 | |
Expedia Group, Inc.* | 2,988 | 325,602 | |
VeriSign, Inc.* | 1,252 | 246,431 | |
Netflix, Inc.* | 751 | 241,920 | |
Match Group, Inc.* | 5,697 | 235,970 | |
eBay, Inc. | 5,107 | 234,411 | |
Walt Disney Co.* | 1,941 | 193,343 | |
F5, Inc.* | 1,315 | 188,019 | |
Charter Communications, Inc. — Class A* | 457 | 167,998 | |
Warner Bros Discovery, Inc.* | 10,664 | 166,572 | |
Amazon.com, Inc.* | 1,757 | 165,562 | |
News Corp. — Class A | 9,266 | 158,912 | |
DISH Network Corp. — Class A* | 8,508 | 97,076 | |
News Corp. — Class B | 2,871 | 49,553 | |
Ziff Davis, Inc.* | 508 | 40,122 | |
Cogent Communications Holdings, Inc. | 500 | 32,370 | |
Perficient, Inc.* | 380 | 26,904 | |
Shutterstock, Inc. | 274 | 20,610 | |
Q2 Holdings, Inc.* | 638 | 20,595 | |
Cargurus, Inc.* | 1,120 | 19,096 | |
DigitalBridge Group, Inc. | 1,417 | 17,386 | |
Magnite, Inc.* | 1,523 | 16,951 | |
ePlus, Inc.* | 312 | 16,901 | |
Upwork, Inc.* | 1,378 | 15,627 | |
TechTarget, Inc.* | 305 | 11,508 | |
Revolve Group, Inc.* | 420 | 11,374 | |
Overstock.com, Inc.* | 504 | 9,762 | |
iHeartMedia, Inc. — Class A* | 1,313 | 9,532 | |
Open Lending Corp. — Class A* | 1,223 | 8,659 | |
Liberty Latin America Ltd. — Class C* | 906 | 7,955 | |
Infinera Corp.* | 1,081 | 7,643 | |
Clear Channel Outdoor Holdings, Inc.* | 4,259 | 7,538 | |
Stitch Fix, Inc. — Class A* | 949 | 4,422 | |
EchoStar Corp. — Class A* | 219 | 4,371 | |
EW Scripps Co. — Class A* | 335 | 4,228 | |
Eventbrite, Inc. — Class A* | 448 | 3,924 | |
OptimizeRx Corp.* | 205 | 3,659 | |
1-800-Flowers.com, Inc. — Class A* | 317 | 3,138 | |
NETGEAR, Inc.* | 169 | 3,059 | |
Boston Omaha Corp. — Class A* | 118 | 2,843 | |
IDT Corp. — Class B* | 85 | 2,585 | |
Gannett Company, Inc.* | 838 | 2,539 | |
Entravision Communications Corp. — Class A | 358 | 2,348 | |
Thryv Holdings, Inc.* | 90 | 2,146 | |
Liberty Latin America Ltd. — Class A* | 237 | 2,090 | |
Anterix, Inc.* | 68 | 2,054 | |
Quotient Technology, Inc.* | 531 | 2,007 | |
Ribbon Communications, Inc.* | 419 | 1,869 | |
CarParts.com, Inc.* | 291 | 1,825 | |
Liquidity Services, Inc.* | 135 | 1,709 | |
Ooma, Inc.* | 130 | 1,702 | |
Tucows, Inc. — Class A* | 58 | 1,341 | |
RealReal, Inc.* | 940 | 1,269 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Shares | Value | ||
COMMON STOCKS† - 10.1% (continued) | |||
Communications - 0.7% (continued) |
Cambium Networks Corp.* | 63 | $ 1,264 | |
Groupon, Inc.* | 140 | 1,051 | |
Advantage Solutions, Inc.* | 455 | 1,001 | |
CalAmp Corp.* | 208 | 888 | |
VirnetX Holding Corp.* | 378 | 673 | |
Lands' End, Inc.* | 85 | 646 | |
1stdibs.com, Inc.* | 106 | 538 | |
comScore, Inc.* | 417 | 484 | |
Inseego Corp.* | 498 | 446 | |
Telesat Corp.* | 41 | 386 | |
Fluent, Inc.* | 258 | 372 | |
LiveOne, Inc.* | 350 | 339 | |
Solo Brands, Inc. — Class A* | 71 | 293 | |
CuriosityStream, Inc.* | 155 | 259 | |
Audacy, Inc.* | 703 | 151 | |
National CineMedia, Inc.* | 358 | 82 | |
aka Brands Holding Corp.* | 55 | 78 | |
Digital Media Solutions, Inc. — Class A* | 19 | 23 | |
HyreCar, Inc.* | 104 | 2 | |
Total Communications | 3,908,730 | ||
Basic Materials - 0.1% | |||
Ecolab, Inc. | 1,609 | 256,426 | |
Balchem Corp. | 377 | 49,010 | |
Quaker Chemical Corp. | 157 | 30,738 | |
Tronox Holdings plc — Class A | 1,344 | 20,966 | |
Novagold Resources, Inc.* | 1,390 | 7,770 | |
Compass Minerals International, Inc. | 200 | 7,706 | |
Energy Fuels, Inc.* | 900 | 6,039 | |
AZZ, Inc. | 143 | 5,813 | |
Schnitzer Steel Industries, Inc. — Class A | 154 | 5,034 | |
Coeur Mining, Inc.* | 1,501 | 4,683 | |
Mativ Holdings, Inc. | 136 | 3,519 | |
Codexis, Inc.* | 706 | 3,414 | |
Danimer Scientific, Inc.* | 1,055 | 2,722 | |
Amyris, Inc.* | 2,060 | 2,575 | |
Gatos Silver, Inc.* | 276 | 1,115 | |
Glatfelter Corp.* | 261 | 1,002 | |
Unifi, Inc.* | 81 | 838 | |
Perpetua Resources Corp.* | 189 | 675 | |
Total Basic Materials | 410,045 | ||
Energy - 0.0% | |||
Equitrans Midstream Corp. | 4,777 | 28,805 | |
Sunnova Energy International, Inc.* | 1,009 | 17,940 | |
SunPower Corp. — Class A* | 937 | 14,074 | |
Stem, Inc.* | 1,328 | 10,836 | |
DMC Global, Inc.* | 111 | 2,972 | |
Gevo, Inc.* | 1,167 | 2,159 | |
National Energy Services Reunited Corp.* | 226 | 1,460 | |
Matrix Service Co.* | 155 | 981 | |
Beam Global* | 52 | 878 | |
Cleanspark, Inc.* | 228 | 629 | |
Spruce Power Holding Corp.* | 625 | 600 | |
Aemetis, Inc.* | 161 | 575 | |
Eos Energy Enterprises, Inc.* | 259 | 567 | |
Total Energy | 82,476 | ||
Utilities - 0.0% | |||
Ameresco, Inc. — Class A* | 362 | 15,910 | |
Middlesex Water Co. | 101 | 7,727 | |
Global Water Resources, Inc. | 75 | 990 | |
Via Renewables, Inc. | 71 | 416 | |
Stronghold Digital Mining, Inc. — Class A* | 43 | 25 | |
Total Utilities | 25,068 | ||
Total Common Stocks | |||
(Cost $77,013,197) | 53,379,696 | ||
PREFERRED STOCKS†† - 7.4% | |||
Financial - 6.9% | |||
Markel Corp. | |||
6.00%* | 5,000,000 | 4,936,650 | |
Citigroup, Inc. | |||
4.15%* | 5,000,000 | 4,293,750 | |
Goldman Sachs Group, Inc. | |||
3.80%* | 5,000,000 | 4,291,200 | |
Bank of New York Mellon Corp. | |||
3.75%* | 5,000,000 | 4,175,000 | |
Wells Fargo & Co. | |||
4.38% | 139,386 | 2,553,552 | |
4.75% | 61,250 | 1,228,675 | |
3.90% | 400,000 | 357,750 | |
Bank of America Corp. | |||
4.38% | 131,500 | 2,548,470 | |
4.38% | 1,650,000 | 1,429,560 | |
First Republic Bank | |||
4.50% | 200,000 | 3,712,000 | |
Reinsurance Group of America, Inc. | |||
7.13% | 110,000 | 2,896,300 | |
Selective Insurance Group, Inc. | |||
4.60% | 85,536 | 1,555,900 | |
Public Storage | |||
4.10% | 58,000 | 1,063,140 | |
Lincoln National Corp. | |||
9.25% | 750,000 | 819,675 | |
RenaissanceRe Holdings Ltd. | |||
4.20% | 38,000 | 661,580 | |
Total Financial | 36,523,202 | ||
Government - 0.5% | |||
CoBank ACB | |||
4.25%* | 3,000,000 | 2,606,896 | |
Consumer, Cyclical - 0.0% | |||
AMC Entertainment Holdings, Inc.* | 6,030 | 12,482 | |
Total Preferred Stocks | |||
(Cost $46,404,160) | 39,142,580 | ||
WARRANTS† - 0.0% | |||
Acropolis Infrastructure Acquisition Corp. | |||
Expiring 03/31/26*,1 | 4,204 | 937 | |
Waverley Capital Acquisition Corp. | |||
Expiring 04/30/27*,1 | 5,084 | 445 | |
Blue Whale Acquisition Corp. I | |||
Expiring 07/09/23*,1 | 1,500 | 277 | |
MSD Acquisition Corp. | |||
Expiring 05/13/23*,1 | 8,944 | 179 | |
Triumph Group, Inc. | |||
Expiring 12/19/23* | 112 | 85 | |
Total Warrants | |||
(Cost $1,551) | 1,923 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Shares | Value |
RIGHTS††† - 0.0% | |||
Consumer, Non-cyclical - 0.0% | |||
Epizyme, Inc. | 793 | $ – | |
Radius Health, Inc. | 558 | – | |
UCB | 655 | – | |
Total Consumer, Non-cyclical | – | ||
Total Rights | |||
(Cost $60) | – | ||
EXCHANGE-TRADED FUNDS† - 13.8% | |||
iShares Russell 2000 Index ETF | 111,173 | 20,920,535 | |
Invesco QQQ Trust Series | 70,952 | 20,828,669 | |
SPDR S&P 500 ETF Trust | 52,336 | 20,738,664 | |
iShares Silver Trust*,2 | 320,800 | 6,165,776 | |
VanEck Gold Miners ETF2 | 162,400 | 4,467,624 | |
Total Exchange-Traded Funds | |||
(Cost $88,674,767) | 73,121,268 | ||
MUTUAL FUND† - 1.1% | |||
Guggenheim Risk Managed Real Estate Fund — Institutional Class5 | 187,445 | 5,777,054 | |
Total Mutual Fund | |||
(Cost $7,221,425) | 5,777,054 | ||
CLOSED-END FUNDS† - 2.4% | |||
Eaton Vance Limited Duration Income Fund2 | 309,597 | 3,154,793 | |
BlackRock Credit Allocation Income Trust2 | 283,098 | 3,034,811 | |
Western Asset High Income Opportunity Fund, Inc.2 | 744,627 | 3,008,293 | |
BlackRock Debt Strategies Fund, Inc.2 | 193,981 | 1,914,593 | |
Blackstone Strategic Credit Fund2 | 88,264 | 979,730 | |
Ares Dynamic Credit Allocation Fund, Inc.2 | 51,928 | 657,928 | |
Total Closed-End Funds | |||
(Cost $16,126,613) | 12,750,148 | ||
MONEY MARKET FUNDS† - 0.5% | |||
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 4.46%6 | 2,386,605 | 2,386,605 | |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 4.43%6 | 40,315 | 40,315 | |
Total Money Market Funds | |||
(Cost $2,426,920) | 2,426,920 |
Face Amount~ | |||
CORPORATE BONDS†† - 52.7% | |||
Financial - 11.8% |
NFP Corp. | |||
6.88% due 08/15/284 | 3,250,000 | 2,767,700 | |
7.50% due 10/01/302,4 | 1,400,000 | 1,332,821 | |
United Wholesale Mortgage LLC | |||
5.50% due 04/15/292,4 | 4,300,000 | 3,559,110 | |
Jefferies Finance LLC / JFIN Company-Issuer Corp. | |||
5.00% due 08/15/282,4 | 3,810,000 | 3,217,584 | |
Liberty Mutual Group, Inc. | |||
4.30% due 02/01/614 | 5,250,000 | 3,188,919 | |
FS KKR Capital Corp. | |||
3.25% due 07/15/272 | 3,300,000 | 2,824,574 | |
Kennedy-Wilson, Inc. | |||
5.00% due 03/01/312 | 3,500,000 | 2,678,036 | |
Ceamer Finance LLC | |||
6.92% due 05/15/38††† | 2,750,000 | 2,634,782 | |
Accident Fund Insurance Company of America | |||
8.50% due 08/01/322,4 | 2,550,000 | 2,600,227 | |
GLP Capital Limited Partnership / GLP Financing II, Inc. | |||
3.25% due 01/15/322 | 3,250,000 | 2,581,597 | |
Iron Mountain, Inc. | |||
5.25% due 07/15/302,4 | 2,940,000 | 2,563,504 | |
OneMain Finance Corp. | |||
4.00% due 09/15/302 | 3,300,000 | 2,520,499 | |
AmWINS Group, Inc. | |||
4.88% due 06/30/292,4 | 2,320,000 | 1,970,385 | |
Atlantic Marine Corporations Communities LLC | |||
5.38% due 02/15/48 | 2,093,750 | 1,699,503 | |
Hunt Companies, Inc. | |||
5.25% due 04/15/292,4 | 1,850,000 | 1,478,807 | |
Starwood Property Trust, Inc. | |||
4.38% due 01/15/272,4 | 1,700,000 | 1,473,820 | |
Prudential Financial, Inc. | |||
5.13% due 03/01/522,3 | 1,550,000 | 1,416,468 | |
Cushman & Wakefield US Borrower LLC | |||
6.75% due 05/15/282,4 | 1,500,000 | 1,413,975 | |
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | |||
4.00% due 10/15/332,4 | 1,800,000 | 1,330,735 | |
3.88% due 03/01/314 | 100,000 | 77,934 | |
Sherwood Financing plc | |||
4.50% due 11/15/26 | EUR 1,500,000 | 1,389,674 | |
Global Atlantic Finance Co. | |||
3.13% due 06/15/312,4 | 1,750,000 | 1,364,079 | |
Swiss Re Finance Luxembourg S.A. | |||
5.00% due 04/02/493,4 | 1,400,000 | 1,330,000 | |
Iron Mountain Information Management Services, Inc. | |||
5.00% due 07/15/322,4 | 1,600,000 | 1,319,584 | |
Jones Deslauriers Insurance Management, Inc. | |||
10.50% due 12/15/304 | 1,300,000 | 1,319,500 | |
Credit Suisse AG NY | |||
7.95% due 01/09/25 | 1,300,000 | 1,312,777 | |
NatWest Group plc | |||
7.47% due 11/10/263 | 1,250,000 | 1,298,796 | |
USI, Inc. | |||
6.88% due 05/01/252,4 | 1,300,000 | 1,277,249 | |
Standard Chartered plc | |||
7.78% due 11/16/253,4 | 1,150,000 | 1,188,062 | |
Toronto-Dominion Bank | |||
8.13% due 10/31/822,3 | 1,050,000 | 1,095,937 | |
Ares Finance Company IV LLC | |||
3.65% due 02/01/524 | 1,650,000 | 1,072,697 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 52.7% (continued) | |||
Financial - 11.8% (continued) |
KKR Group Finance Company X LLC | |||
3.25% due 12/15/512,4 | 1,600,000 | $ 1,015,838 | |
PHM Group Holding Oy | |||
4.75% due 06/18/264 | EUR 1,000,000 | 955,910 | |
Corebridge Financial, Inc. | |||
6.88% due 12/15/523,4 | 900,000 | 889,763 | |
Bank of Nova Scotia | |||
8.63% due 10/27/823 | 750,000 | 792,591 | |
Kane Bidco Ltd. | |||
5.00% due 02/15/27 | EUR 700,000 | 689,240 | |
Home Point Capital, Inc. | |||
5.00% due 02/01/262,4 | 790,000 | 550,880 | |
Ryan Specialty Group LLC | |||
4.38% due 02/01/302,4 | 450,000 | 384,732 | |
Total Financial | 62,578,289 | ||
Consumer, Non-cyclical - 9.1% | |||
DaVita, Inc. | |||
4.63% due 06/01/302,4 | 5,200,000 | 4,285,684 | |
Sotheby's/Bidfair Holdings, Inc. | |||
5.88% due 06/01/292,4 | 4,400,000 | 3,714,640 | |
US Foods, Inc. | |||
4.63% due 06/01/302,4 | 4,250,000 | 3,712,137 | |
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | |||
5.63% due 08/15/262,4 | 3,242,000 | 3,051,851 | |
Upbound Group, Inc. | |||
6.38% due 02/15/292,4 | 3,412,000 | 2,927,052 | |
Sabre GLBL, Inc. | |||
7.38% due 09/01/252,4 | 3,025,000 | 2,831,452 | |
ADT Security Corp. | |||
4.88% due 07/15/322,4 | 3,300,000 | 2,830,105 | |
CPI CG, Inc. | |||
8.63% due 03/15/262,4 | 2,814,000 | 2,770,242 | |
Cheplapharm Arzneimittel GmbH | |||
5.50% due 01/15/282,4 | 3,125,000 | 2,764,866 | |
BCP V Modular Services Finance II plc | |||
4.75% due 11/30/28 | EUR 3,000,000 | 2,732,725 | |
Carriage Services, Inc. | |||
4.25% due 05/15/292,4 | 3,150,000 | 2,532,412 | |
Bausch Health Companies, Inc. | |||
4.88% due 06/01/282,4 | 3,300,000 | 2,058,392 | |
TreeHouse Foods, Inc. | |||
4.00% due 09/01/282 | 2,000,000 | 1,715,300 | |
Post Holdings, Inc. | |||
5.50% due 12/15/292,4 | 1,700,000 | 1,555,711 | |
Castor S.p.A. | |||
7.30% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 02/15/29◊,4 | EUR 1,400,000 | 1,440,102 | |
Medline Borrower, LP | |||
5.25% due 10/01/292,4 | 1,750,000 | 1,436,199 | |
Reynolds American, Inc. | |||
5.70% due 08/15/35 | 1,550,000 | 1,409,368 | |
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. | |||
4.38% due 02/02/522,4 | 1,750,000 | 1,242,721 | |
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc. | |||
5.00% due 02/01/262,4 | 1,075,000 | 978,250 | |
Garden Spinco Corp. | |||
8.63% due 07/20/302,4 | 900,000 | 949,572 | |
WW International, Inc. | |||
4.50% due 04/15/292,4 | 1,750,000 | 892,500 | |
Endo Dac / Endo Finance LLC / Endo Finco, Inc. | |||
due 07/31/274,7 | 1,750,000 | 232,750 | |
APi Group DE, Inc. | |||
4.75% due 10/15/294 | 250,000 | 223,174 | |
Grifols Escrow Issuer, S.A.U. | |||
3.88% due 10/15/28 | EUR 100,000 | 89,694 | |
Catalent Pharma Solutions, Inc. | |||
3.13% due 02/15/294 | 100,000 | 86,316 | |
HealthEquity, Inc. | |||
4.50% due 10/01/294 | 75,000 | 65,549 | |
Total Consumer, Non-cyclical | 48,528,764 | ||
Communications - 7.8% | |||
Altice France S.A. | |||
5.13% due 01/15/292,4 | 5,260,000 | 4,037,050 | |
5.13% due 07/15/292,4 | 2,000,000 | 1,549,120 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | |||
4.50% due 06/01/332,4 | 6,500,000 | 5,057,016 | |
British Telecommunications plc | |||
4.88% due 11/23/812,3,4 | 5,000,000 | 4,087,650 | |
Level 3 Financing, Inc. | |||
3.75% due 07/15/292,4 | 6,100,000 | 3,834,521 | |
Vodafone Group plc | |||
5.13% due 06/04/812,3 | 4,750,000 | 3,550,625 | |
Ziggo Bond Company BV | |||
5.13% due 02/28/302,4 | 4,361,000 | 3,524,255 | |
McGraw-Hill Education, Inc. | |||
5.75% due 08/01/282,4 | 1,800,000 | 1,576,453 | |
8.00% due 08/01/292,4 | 1,700,000 | 1,452,990 | |
Vmed O2 UK Financing I plc | |||
4.25% due 01/31/312,4 | 3,250,000 | 2,607,631 | |
Zayo Group Holdings, Inc. | |||
4.00% due 03/01/272,4 | 3,250,000 | 2,493,156 | |
LCPR Senior Secured Financing DAC | |||
6.75% due 10/15/272,4 | 1,750,000 | 1,618,973 | |
5.13% due 07/15/292,4 | 445,000 | 376,220 | |
Cengage Learning, Inc. | |||
9.50% due 06/15/242,4 | 1,600,000 | 1,560,000 | |
Rogers Communications, Inc. | |||
5.25% due 03/15/822 | 1,600,000 | 1,428,592 | |
Ciena Corp. | |||
4.00% due 01/31/302,4 | 850,000 | 723,562 | |
UPC Broadband Finco BV | |||
4.88% due 07/15/314 | 750,000 | 628,125 | |
Cogent Communications Group, Inc. | |||
7.00% due 06/15/272,4 | 500,000 | 483,750 | |
VZ Secured Financing BV | |||
5.00% due 01/15/324 | 500,000 | 411,261 | |
CSC Holdings LLC | |||
4.50% due 11/15/314 | 300,000 | 212,994 | |
6.50% due 02/01/294 | 100,000 | 84,760 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 52.7% (continued) | |||
Communications - 7.7% (continued) |
Outfront Media Capital LLC / Outfront Media Capital Corp. | |||
4.25% due 01/15/294 | 325,000 | $ 267,313 | |
Total Communications | 41,566,017 | ||
Consumer, Cyclical - 5.4% | |||
1011778 BC ULC / New Red Finance, Inc. | |||
4.00% due 10/15/302,4 | 4,500,000 | 3,716,640 | |
Penn Entertainment, Inc. | |||
4.13% due 07/01/292,4 | 3,350,000 | 2,718,727 | |
Station Casinos LLC | |||
4.63% due 12/01/312,4 | 3,250,000 | 2,647,873 | |
Aramark Services, Inc. | |||
5.00% due 02/01/282,4 | 2,000,000 | 1,841,400 | |
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | |||
5.00% due 06/01/312,4 | 2,200,000 | 1,830,643 | |
Air Canada | |||
4.63% due 08/15/294 | CAD 2,750,000 | 1,813,784 | |
Wabash National Corp. | |||
4.50% due 10/15/282,4 | 1,750,000 | 1,505,037 | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc. | |||
4.63% due 01/15/292,4 | 1,650,000 | 1,427,085 | |
Boyne USA, Inc. | |||
4.75% due 05/15/292,4 | 1,600,000 | 1,416,099 | |
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc. | |||
6.63% due 03/01/302,4 | 1,600,000 | 1,407,093 | |
Crocs, Inc. | |||
4.25% due 03/15/292,4 | 1,625,000 | 1,393,437 | |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | |||
5.75% due 01/20/262,4 | 1,400,000 | 1,301,881 | |
Steelcase, Inc. | |||
5.13% due 01/18/292 | 1,450,000 | 1,224,108 | |
Deuce FinCo plc | |||
5.50% due 06/15/27 | GBP 1,200,000 | 1,217,823 | |
Evergreen Acqco 1 Limited Partnership / TVI, Inc. | |||
9.75% due 04/26/284 | 850,000 | 840,573 | |
Hanesbrands, Inc. | |||
9.00% due 02/15/314 | 550,000 | 556,133 | |
4.88% due 05/15/264 | 100,000 | 92,348 | |
Michaels Companies, Inc. | |||
5.25% due 05/01/284 | 600,000 | 499,338 | |
Tempur Sealy International, Inc. | |||
3.88% due 10/15/312,4 | 600,000 | 483,582 | |
JB Poindexter & Company, Inc. | |||
7.13% due 04/15/264 | 325,000 | 313,216 | |
Wolverine World Wide, Inc. | |||
4.00% due 08/15/294 | 300,000 | 241,632 | |
Total Consumer, Cyclical | 28,488,452 | ||
Industrial - 5.0% | |||
PGT Innovations, Inc. | |||
4.38% due 10/01/292,4 | 3,295,000 | 2,766,276 | |
Standard Industries, Inc. | |||
4.38% due 07/15/302,4 | 2,400,000 | 1,998,000 | |
3.38% due 01/15/312,4 | 1,000,000 | 767,258 | |
GrafTech Finance, Inc. | |||
4.63% due 12/15/282,4 | 3,200,000 | 2,612,864 | |
New Enterprise Stone & Lime Company, Inc. | |||
9.75% due 07/15/282,4 | 2,300,000 | 2,187,995 | |
5.25% due 07/15/282,4 | 450,000 | 411,347 | |
TK Elevator US Newco, Inc. | |||
5.25% due 07/15/272,4 | 2,630,000 | 2,382,600 | |
Harsco Corp. | |||
5.75% due 07/31/272,4 | 2,625,000 | 2,227,201 | |
MIWD Holdco II LLC / MIWD Finance Corp. | |||
5.50% due 02/01/302,4 | 2,600,000 | 2,110,910 | |
Pactiv Evergreen Group Issuer Incorporated/Pactiv Evergreen Group Issuer LLC | |||
4.00% due 10/15/272,4 | 2,150,000 | 1,875,552 | |
Builders FirstSource, Inc. | |||
6.38% due 06/15/322,4 | 1,500,000 | 1,440,566 | |
Clearwater Paper Corp. | |||
4.75% due 08/15/282,4 | 1,609,000 | 1,406,989 | |
Artera Services LLC | |||
9.03% due 12/04/252,4 | 1,600,000 | 1,376,000 | |
Mauser Packaging Solutions Holding Co. | |||
7.88% due 08/15/264 | 700,000 | 704,375 | |
9.25% due 04/15/274 | 350,000 | 329,000 | |
Fortune Brands Innovations, Inc. | |||
4.50% due 03/25/522 | 1,200,000 | 900,687 | |
Great Lakes Dredge & Dock Corp. | |||
5.25% due 06/01/292,4 | 1,025,000 | 798,263 | |
Waste Pro USA, Inc. | |||
5.50% due 02/15/264 | 100,000 | 91,428 | |
Total Industrial | 26,387,311 | ||
Energy - 4.5% | |||
NuStar Logistics, LP | |||
6.38% due 10/01/302 | 6,000,000 | 5,617,500 | |
Occidental Petroleum Corp. | |||
7.95% due 06/15/392 | 3,190,000 | 3,517,135 | |
ITT Holdings LLC | |||
6.50% due 08/01/292,4 | 3,750,000 | 3,082,013 | |
CVR Energy, Inc. | |||
5.75% due 02/15/282,4 | 3,300,000 | 2,928,915 | |
Global Partners Limited Partnership / GLP Finance Corp. | |||
7.00% due 08/01/272 | 2,400,000 | 2,280,000 | |
6.88% due 01/15/292 | 675,000 | 624,402 | |
Valero Energy Corp. | |||
4.00% due 06/01/522 | 3,350,000 | 2,526,376 | |
TransMontaigne Partners Limited Partnership / TLP Finance Corp. | |||
6.13% due 02/15/262 | 1,750,000 | 1,487,459 | |
EnLink Midstream LLC | |||
6.50% due 09/01/302,4 | 975,000 | 960,307 | |
BP Capital Markets plc | |||
4.88% 2,3,8 | 500,000 | 458,172 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Face Amount~ | Value |
CORPORATE BONDS†† - 52.7% (continued) | |||
Energy - 4.5% (continued) |
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp. | |||
5.75% due 04/01/25 | 150,000 | $ 145,494 | |
5.63% due 05/01/274 | 125,000 | 115,625 | |
Total Energy | 23,743,398 | ||
Basic Materials - 4.2% | |||
Kaiser Aluminum Corp. | |||
4.50% due 06/01/312,4 | 4,350,000 | 3,443,634 | |
SK Invictus Intermediate II SARL | |||
5.00% due 10/30/292,4 | 4,250,000 | 3,381,130 | |
Carpenter Technology Corp. | |||
7.63% due 03/15/302 | 3,000,000 | 2,991,173 | |
6.38% due 07/15/28 | 200,000 | 191,618 | |
Diamond BC BV | |||
4.63% due 10/01/292,4 | 3,250,000 | 2,635,490 | |
Ingevity Corp. | |||
3.88% due 11/01/282,4 | 2,900,000 | 2,465,215 | |
SCIL IV LLC / SCIL USA Holdings LLC | |||
5.38% due 11/01/262,4 | 2,250,000 | 2,022,165 | |
Compass Minerals International, Inc. | |||
6.75% due 12/01/272,4 | 1,943,000 | 1,832,304 | |
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | |||
9.00% due 07/01/282,4 | 1,850,000 | 1,655,749 | |
Anglo American Capital plc | |||
5.63% due 04/01/302,4 | 1,050,000 | 1,038,315 | |
Valvoline, Inc. | |||
4.25% due 02/15/304 | 400,000 | 390,914 | |
WR Grace Holdings LLC | |||
4.88% due 06/15/274 | 250,000 | 229,723 | |
Total Basic Materials | 22,277,430 | ||
Utilities - 2.6% | |||
Midcap Funding XLVI Trust | |||
8.08% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/23◊,††† | 12,716,980 | 12,715,781 | |
Terraform Global Operating, LP | |||
6.13% due 03/01/262,4 | 1,150,000 | 1,104,023 | |
Total Utilities | 13,819,804 | ||
Technology - 2.3% | |||
Dun & Bradstreet Corp. | |||
5.00% due 12/15/292,4 | 3,300,000 | 2,730,043 | |
NCR Corp. | |||
5.25% due 10/01/302,4 | 3,250,000 | 2,686,977 | |
AthenaHealth Group, Inc. | |||
6.50% due 02/15/302,4 | 3,200,000 | 2,531,021 | |
CDW LLC / CDW Finance Corp. | |||
3.57% due 12/01/312 | 1,900,000 | 1,568,247 | |
Central Parent Incorporated / CDK Global Inc | |||
7.25% due 06/15/292,4 | 1,350,000 | 1,320,058 | |
Broadcom, Inc. | |||
3.19% due 11/15/362,4 | 1,750,000 | 1,267,227 | |
Total Technology | 12,103,573 | ||
Total Corporate Bonds | |||
(Cost $325,989,525) | 279,493,038 |
SENIOR FLOATING RATE INTERESTS††,◊ - 28.0% | |||
Consumer, Non-cyclical - 9.4% |
LaserAway Intermediate Holdings II LLC | |||
10.58% (3 Month USD LIBOR + 5.75%, Rate Floor: 6.50%) due 10/14/27 | 5,692,500 | 5,571,534 | |
Gibson Brands, Inc. | |||
9.92% (3 Month Term SOFR + 5.00%, Rate Floor: 5.75%) due 08/11/28 | 5,692,500 | 4,497,075 | |
National Mentor Holdings, Inc. | |||
8.47% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28 | 5,267,117 | 4,058,998 | |
8.48% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28 | 168,375 | 129,755 | |
Sierra Acquisition, Inc. | |||
8.83% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/11/24 | 5,673,429 | 3,943,033 | |
Kronos Acquisition Holdings, Inc. | |||
11.02% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 12/22/26 | 3,267,000 | 3,185,325 | |
Florida Food Products LLC | |||
9.63% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 10/18/28 | 3,225,625 | 2,983,703 | |
HAH Group Holding Co. LLC | |||
9.72% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27 | 2,952,049 | 2,891,392 | |
Blue Ribbon LLC | |||
10.57% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28 | 3,797,468 | 2,859,494 | |
Women's Care Holdings, Inc. | |||
9.33% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | 2,962,406 | 2,766,147 | |
Triton Water Holdings, Inc. | |||
8.23% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 03/31/28 | 2,962,410 | 2,751,723 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Face Amount~ | Value |
SENIOR FLOATING RATE INTERESTS††,◊ - 28.0% (continued) | |||
Consumer, Non-cyclical - 9.4% (continued) |
Southern Veterinary Partners LLC | |||
8.63% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | 2,127,659 | $ 2,063,830 | |
PetIQ LLC | |||
8.84% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28††† | 1,927,301 | 1,734,571 | |
Zep, Inc. | |||
8.73% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/12/24 | 1,986,043 | 1,559,044 | |
Mission Veterinary Partners | |||
8.64% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28 | 1,678,750 | 1,522,072 | |
Inception Holdco SARL | |||
7.89% (3 Month EURIBOR + 5.75%, Rate Floor: 5.75%) due 09/26/29††† | EUR 1,400,000 | 1,435,355 | |
Pimente Investissement S.A.S. | |||
6.45% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 12/29/28 | EUR 1,350,000 | 1,392,391 | |
Chefs' Warehouse, Inc. | |||
9.47% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/23/29 | 1,147,125 | 1,141,389 | |
Dhanani Group, Inc. | |||
10.66% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 06/10/27††† | 1,139,545 | 1,128,150 | |
Weber-Stephen Products LLC | |||
7.88% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27 | 1,043,510 | 907,854 | |
Grifols Worldwide Operations USA, Inc. | |||
6.63% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 11/15/27 | 300,000 | 292,125 | |
Elanco Animal Health, Inc. | |||
6.32% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27 | 282,682 | 276,624 | |
Bombardier Recreational Products, Inc. | |||
6.63% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | 271,501 | 264,374 | |
HAH Group Holding Co. LLC | |||
9.72% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27††† | 166,320 | 163,825 | |
TGP Holdings LLC | |||
8.08% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/29/28 | 188,490 | 150,216 | |
Total Consumer, Non-cyclical | 49,669,999 | ||
Industrial - 6.4% | |||
American Bath Group LLC | |||
8.22% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 11/23/27 | 5,679,655 | 5,189,785 | |
Pelican Products, Inc. | |||
8.71% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28 | 5,692,500 | 5,066,325 | |
Arcline FM Holdings LLC | |||
9.48% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28 | 4,443,750 | 4,217,874 | |
Protective Industrial Products, Inc. | |||
8.63% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27 | 3,782,105 | 3,564,634 | |
ASP Dream Acquisiton Co. LLC | |||
8.97% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/15/28 | 3,225,625 | 3,177,241 | |
Merlin Buyer, Inc. | |||
8.62% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/14/28 | 3,275,250 | 3,123,770 | |
Rinchem Company LLC | |||
9.18% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 03/02/29††† | 3,184,000 | 3,048,680 | |
Icebox Holdco III, Inc. | |||
8.23% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/22/28 | 3,178,743 | 3,003,912 | |
Saverglass | |||
6.24% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 02/19/29 | EUR 1,500,000 | 1,536,097 | |
Atlantic Aviation | |||
8.62% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 09/22/28 | 800,000 | 800,000 | |
PECF USS Intermediate Holding III Corp. | |||
8.88% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28 | 447,739 | 379,700 | |
US Farathane LLC | |||
8.98% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/23/24 | 340,667 | 314,548 | |
Dispatch Terra Acquisition LLC | |||
8.98% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28 | 197,494 | 174,288 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Face Amount~ | Value |
SENIOR FLOATING RATE INTERESTS††,◊ - 28.0% (continued) | |||
Industrial - 6.4% (continued) |
LTI Holdings, Inc. | |||
8.13% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25 | 174,544 | $ 168,470 | |
White Cap Supply Holdings LLC | |||
8.37% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 10/19/27 | 99,497 | 97,852 | |
Total Industrial | 33,863,176 | ||
Consumer, Cyclical - 6.0% | |||
Pacific Bells LLC | |||
9.34% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28 | 4,950,515 | 4,749,425 | |
Secretariat Advisors LLC | |||
9.48% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 12/29/28††† | 4,362,000 | 4,187,520 | |
First Brands Group LLC | |||
10.25% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 03/30/27 | 3,259,786 | 3,154,854 | |
BRE/Everbright M6 Borrower LLC | |||
9.58% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 09/09/26 | 2,520,000 | 2,499,008 | |
Cordobes Holdco SL | |||
6.86% (1 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 02/02/29 | EUR 2,400,000 | 2,374,634 | |
Breitling Financing SARL | |||
5.63% (3 Month EURIBOR + 3.43%, Rate Floor: 3.43%) due 10/25/28 | EUR 2,000,000 | 2,044,503 | |
FR Refuel LLC | |||
9.23% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 11/08/28††† | 1,980,000 | 1,895,850 | |
NFM & J LLC | |||
10.70% (3 Month USD LIBOR + 5.75%, Rate Floor: 6.75%) due 11/30/27††† | 1,845,582 | 1,804,648 | |
Fertitta Entertainment LLC | |||
8.62% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/29/29 | 1,687,250 | 1,639,804 | |
The Facilities Group | |||
10.48% ((1 Month USD LIBOR + 5.75%) and (3 Month USD LIBOR + 5.75%), Rate Floor: 6.75%) due 11/30/27††† | 1,642,996 | 1,606,555 | |
SP PF Buyer LLC | |||
9.13% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25 | 1,974,359 | 1,358,359 | |
Freshworld Holding IV GmbH | |||
5.69% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 10/02/26 | EUR 1,250,000 | 1,271,308 | |
Michaels Stores, Inc. | |||
8.98% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 04/15/28 | 1,017,254 | 929,516 | |
New Trojan Parent, Inc. | |||
7.85% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28 | 671,591 | 458,361 | |
Sweetwater Sound | |||
8.94% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 08/05/28††† | 487,488 | 458,238 | |
Congruex Group LLC | |||
10.58% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 05/03/29 | 447,750 | 437,304 | |
American Tire Distributors, Inc. | |||
11.07% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.00%) due 10/20/28 | 446,625 | 409,033 | |
Caesars Entertainment, Inc. | |||
7.97% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 01/25/30 | 200,000 | 199,528 | |
Outcomes Group Holdings, Inc. | |||
12.54% (3 Month Term SOFR + 7.50%, Rate Floor: 7.50%) due 10/26/26††† | 150,000 | 142,500 | |
CCRR Parent, Inc. | |||
8.39% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/06/28 | 24,571 | 23,957 | |
Total Consumer, Cyclical | 31,644,905 | ||
Technology - 2.6% | |||
Misys Ltd. | |||
8.33% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24 | 5,655,329 | 5,323,078 | |
Project Ruby Ultimate Parent Corp. | |||
10.37% (1 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 03/10/28††† | 2,743,125 | 2,741,732 | |
Avalara, Inc. | |||
11.83% (3 Month Term SOFR + 7.25%, Rate Floor: 7.25%) due 10/19/28††† | 2,636,364 | 2,600,426 | |
Precise Midco BV | |||
6.05% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 05/13/26 | EUR 1,500,000 | 1,555,974 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Face Amount~ | Value |
SENIOR FLOATING RATE INTERESTS††,◊ - 28.0% (continued) | |||
Technology - 2.6% (continued) |
Atlas CC Acquisition Corp. | |||
9.40% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28 | 744,110 | $ 649,504 | |
9.14% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28 | 151,344 | 132,103 | |
CoreLogic, Inc. | |||
8.19% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 06/02/28 | 497,481 | 425,222 | |
Apttus Corp. | |||
9.08% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28 | 394,987 | 378,449 | |
VT TopCo, Inc. | |||
8.38% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25 | 164,954 | 164,541 | |
Total Technology | 13,971,029 | ||
Financial - 1.9% | |||
Eisner Advisory Group | |||
9.98% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/28/28 | 3,110,519 | 3,087,190 | |
HighTower Holding LLC | |||
8.82% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28 | 2,796,380 | 2,677,533 | |
Jones Deslauriers Insurance Management, Inc. | |||
9.27% (3 Month Canada Banker Acceptance + 4.25%, Rate Floor: 5.00%) due 03/27/28 | CAD 2,073,559 | 1,467,465 | |
Franchise Group, Inc. | |||
9.70% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 03/10/26 | 1,350,000 | 1,285,875 | |
Apex Group Treasury LLC | |||
9.66% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 07/27/28††† | 550,000 | 547,250 | |
Asurion LLC | |||
8.91% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 08/19/28 | 500,000 | 470,250 | |
Claros Mortgage Trust, Inc. | |||
9.16% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/10/26 | 346,500 | 342,602 | |
Total Financial | 9,878,165 | ||
Communications - 0.8% | |||
Cengage Learning Acquisitions, Inc. | |||
9.88% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26 | 3,959,900 | 3,734,898 | |
McGraw Hill LLC | |||
9.82% ((3 Month USD LIBOR + 4.75%) and (6 Month USD LIBOR + 4.75%), Rate Floor: 5.25%) due 07/28/28 | 395,990 | 379,754 | |
Flight Bidco, Inc. | |||
8.13% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25 | 149,221 | 139,662 | |
Total Communications | 4,254,314 | ||
Basic Materials - 0.7% | |||
NIC Acquisition Corp. | |||
8.48% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27 | 3,456,030 | 2,877,145 | |
Ascend Performance Materials Operations LLC | |||
8.83% (3 Month Term SOFR + 4.75%, Rate Floor: 5.50%) due 08/27/26 | 523,664 | 522,355 | |
LTI Holdings, Inc. | |||
9.38% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 07/24/26 | 496,841 | 482,870 | |
Total Basic Materials | 3,882,370 | ||
Utilities - 0.2% | |||
Hamilton Projects Acquiror LLC | |||
9.23% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27 | 1,306,752 | 1,301,042 | |
Total Senior Floating Rate Interests | |||
(Cost $160,630,596) | 148,465,000 | ||
ASSET-BACKED SECURITIES†† - 15.6% | |||
Collateralized Loan Obligations - 7.2% | |||
CIFC Funding Ltd. | |||
2021-4RA DR, 11.79% (3 Month USD LIBOR + 7.00%, Rate Floor: 7.00%) due 01/17/35◊,4 | 9,000,000 | 7,956,312 | |
Madison Park Funding LIII Ltd. | |||
2022-53A E, 10.65% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 04/21/35◊,4 | 7,500,000 | 6,742,088 | |
Boyce Park CLO Ltd. | |||
2022-1A E, 10.90% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 04/21/35◊,4 | 4,000,000 | 3,539,999 | |
ABPCI Direct Lending Fund IX LLC | |||
2021-9A BR, 7.32% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 11/18/31◊,4 | 3,500,000 | 3,306,121 | |
Palmer Square Loan Funding Ltd. | |||
2022-1A D, 9.63% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 04/15/30◊,4 | 3,500,000 | 3,132,368 | |
ACRES Commercial Realty Ltd. | |||
2021-FL2 D, 7.70% (1 Month USD LIBOR + 3.10%, Rate Floor: 3.10%) due 01/15/37◊,4 | 3,250,000 | 3,074,383 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Face Amount~ | Value |
ASSET-BACKED SECURITIES†† - 15.6% (continued) | |||
Collateralized Loan Obligations - 7.2% (continued) |
Carlyle Global Market Strategies | |||
2022-1A E, 12.01% (3 Month Term SOFR + 7.35%, Rate Floor: 7.35%) due 04/15/35◊,4 | 2,250,000 | $ 2,070,474 | |
Neuberger Berman Loan Advisers CLO 47 Ltd. | |||
2022-47A E, 10.88% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 04/14/35◊,4 | 1,750,000 | 1,572,724 | |
Voya CLO Ltd. | |||
2022-1A SUB, due 04/20/354,9 | 1,750,000 | 1,429,974 | |
Cerberus Loan Funding XL LLC | |||
2023-1A D, due 03/22/35◊,4 | 1,000,000 | 1,000,878 | |
FS Rialto Issuer LLC | |||
2022-FL6 C, 8.79% (1 Month Term SOFR + 4.23%, Rate Floor: 4.23%) due 08/17/37◊,4 | 1,000,000 | 995,666 | |
LCCM Trust | |||
2021-FL2 C, 6.74% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 12/13/38◊,4 | 1,000,000 | 952,363 | |
CIFC Funding 2022-III Ltd. | |||
2022-3A E, 11.92% (3 Month Term SOFR + 7.27%, Rate Floor: 7.27%) due 04/21/35◊,4 | 1,000,000 | 939,033 | |
Carlyle US CLO Ltd. | |||
2022-4A DR, 11.26% (3 Month Term SOFR + 6.60%, Rate Floor: 6.60%) due 04/15/35◊,4 | 1,000,000 | 879,980 | |
Fontainbleau Vegas | |||
10.22% (1 Month Term SOFR + 5.65%, Rate Floor: 5.65%) due 01/31/26◊,††† | 821,131 | 829,343 | |
Total Collateralized Loan Obligations | 38,421,706 | ||
Transport-Aircraft - 3.5% | |||
GAIA Aviation Ltd. | |||
2019-1, 3.97% due 12/15/444,10 | 3,782,909 | 3,404,845 | |
AASET Trust | |||
2021-1A, 2.95% due 11/16/414 | 1,002,915 | 879,969 | |
2021-2A, 2.80% due 01/15/474 | 860,845 | 725,781 | |
2019-1, 3.84% due 05/15/394 | 909,101 | 640,283 | |
2021-2A, 3.54% due 01/15/474 | 603,830 | 452,345 | |
2020-1A, 3.35% due 01/16/404 | 373,241 | 307,450 | |
JOL Air Ltd. | |||
2019-1, 3.97% due 04/15/444 | 3,484,978 | 2,900,924 | |
KDAC Aviation Finance Ltd. | |||
2017-1A, 4.21% due 12/15/424 | 3,297,681 | 2,629,934 | |
Start Ltd. | |||
2018-1, 4.09% due 05/15/434 | 1,627,599 | 1,388,167 | |
2018-1, 5.32% due 05/15/434 | 1,610,750 | 1,237,395 | |
Project Silver | |||
2019-1, 3.97% due 07/15/444 | 1,829,820 | 1,550,889 | |
Labrador Aviation Finance Ltd. | |||
2016-1A, 4.30% due 01/15/424 | 1,752,849 | 1,415,444 | |
Start II Ltd. | |||
2019-1, 4.09% due 03/15/444 | 749,700 | 657,304 | |
Castlelake Aircraft Securitization Trust | |||
2019-1A, 3.97% due 04/15/394 | 420,626 | 367,013 | |
Total Transport-Aircraft | 18,557,743 | ||
Infrastructure - 2.2% | |||
Hotwire Funding LLC | |||
2021-1, 4.46% due 11/20/514 | 7,700,000 | 6,542,235 | |
VB-S1 Issuer LLC - VBTEL | |||
2022-1A, 5.27% due 02/15/524 | 5,000,000 | 4,473,044 | |
Vault DI Issuer LLC | |||
2021-1A, 2.80% due 07/15/464 | 650,000 | 546,395 | |
Total Infrastructure | 11,561,674 | ||
Financial - 1.3% | |||
Thunderbird A | |||
5.50% due 03/01/37††† | 3,189,444 | 3,141,603 | |
Lightning A | |||
5.50% due 03/01/37††† | 3,118,333 | 3,071,558 | |
Thunderbird B | |||
7.50% due 03/01/37††† | 412,752 | 396,242 | |
Lightning B | |||
7.50% due 03/01/37††† | 403,549 | 387,407 | |
Total Financial | 6,996,810 | ||
Single Family Residence - 0.5% | |||
FirstKey Homes Trust | |||
2020-SFR2, 4.50% due 10/19/374 | 1,100,000 | 998,230 | |
2020-SFR2, 4.00% due 10/19/374 | 1,100,000 | 992,435 | |
2020-SFR2, 3.37% due 10/19/374 | 700,000 | 625,584 | |
Total Single Family Residence | 2,616,249 | ||
Net Lease - 0.5% | |||
CARS-DB4, LP | |||
2020-1A, 4.52% due 02/15/504 | 1,000,000 | 883,928 | |
2020-1A, 4.95% due 02/15/504 | 850,000 | 711,883 | |
SVC ABS LLC | |||
2023-1A, 5.55% due 02/20/534 | 1,000,000 | 930,304 | |
Total Net Lease | 2,526,115 | ||
Whole Business - 0.3% | |||
Five Guys Funding LLC | |||
2017-1A, 4.60% due 07/25/474 | 1,723,750 | 1,663,494 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Face Amount~ | Value |
ASSET-BACKED SECURITIES†† - 15.6% (continued) |
Insurance - 0.1% | |||
CHEST | |||
2023-1, due 03/15/43††† | 500,000 | $ 500,000 | |
Total Asset-Backed Securities | |||
(Cost $89,708,093) | 82,843,791 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 3.6% | |||
Government Agency - 2.0% | |||
Fannie Mae | |||
4.00% due 07/01/522 | 7,257,321 | 6,891,847 | |
Freddie Mac | |||
4.00% due 06/01/522 | 3,647,232 | 3,454,146 | |
Total Government Agency | 10,345,993 | ||
Residential Mortgage-Backed Securities - 1.6% | |||
LSTAR Securities Investment Ltd. | |||
2023-1, 7.81% (SOFR + 3.50%, Rate Floor: 0.00%) due 01/01/28◊,†††,4 | 2,764,580 | 2,769,001 | |
Finance of America HECM Buyout | |||
2022-HB2, 6.00% (WAC) due 08/01/32◊,4 | 1,450,000 | 1,393,547 | |
Carrington Mortgage Loan Trust Series | |||
2006-NC5, 4.77% (1 Month USD LIBOR + 0.15%, Rate Cap/Floor: 14.50%/0.15%) due 01/25/37◊ | 1,562,782 | 1,328,791 | |
GCAT Trust | |||
2022-NQM5, 5.71% due 08/25/674,10 | 784,733 | 759,145 | |
PRPM LLC | |||
2023-1, 6.88% (WAC) due 02/25/28◊,4 | 600,000 | 593,989 | |
CFMT LLC | |||
2022-HB9, 3.25% (WAC) due 09/25/37◊,11 | 700,000 | 590,848 | |
OBX Trust | |||
2022-NQM8, 6.10% due 09/25/624,10 | 483,771 | 467,672 | |
Citigroup Mortgage Loan Trust | |||
2022-A, 6.17% due 09/25/624,10 | 432,376 | 427,926 | |
CSMC Trust | |||
2020-RPL5, 3.02% (WAC) due 08/25/60◊,4 | 315,912 | 303,227 | |
Total Residential Mortgage-Backed Securities | 8,634,146 | ||
Total Collateralized Mortgage Obligations | |||
(Cost $19,610,968) | 18,980,139 | ||
U.S. GOVERNMENT SECURITIES†† - 1.4% | |||
U.S. Treasury Bonds | |||
due 08/15/512,12,13 | 12,650,000 | 4,303,986 | |
due 05/15/442,12,13 | 1,910,000 | 805,036 | |
due 11/15/4412,13,14 | 1,910,000 | 787,323 | |
due 02/15/462,12,13 | 1,920,000 | 756,411 | |
U.S. Treasury Notes | |||
4.13% due 11/15/32 | 903,000 | 917,391 | |
Total U.S. Government Securities | |||
(Cost $8,745,731) | 7,570,147 | ||
CONVERTIBLE BONDS†† - 0.2% | |||
Consumer, Non-cyclical - 0.2% | |||
Block, Inc. | |||
due 05/01/2612 | 1,090,000 | 887,260 | |
Communications - 0.0% | |||
Cable One, Inc. | |||
due 03/15/262,12 | 450,000 | 352,575 | |
Total Convertible Bonds | |||
(Cost $1,316,151) | 1,239,835 | ||
FOREIGN GOVERNMENT DEBT†† - 0.2% | |||
Panama Government International Bond | |||
4.50% due 01/19/63 | 1,700,000 | 1,210,851 | |
Total Foreign Government Debt | |||
(Cost $1,689,478) | 1,210,851 | ||
Contracts | |||
LISTED OPTIONS PURCHASED† - 0.1% | |||
Put Options on: | |||
S&P 500 Index Expiring March 2023 with strike price of $3,900.00 (Notional Value $46,450,755) | 117 | 464,490 | |
Total Listed Options Purchased | |||
(Cost $567,099) | 464,490 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Notional Value | Value | ||
OTC OPTIONS PURCHASED†† - 0.0% | |||
Call Options on: | |||
Interest Rate Options | |||
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 | USD 15,700,000 | $ 34,293 | |
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 | USD 14,900,000 | 32,545 | |
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 | USD 14,750,000 | 32,218 | |
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20 | USD 15,700,000 | 22,497 | |
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.10 | USD 14,900,000 | 21,351 | |
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20 | USD 14,850,000 | 21,279 | |
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 | USD 7,400,000 | 16,163 | |
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20 | USD 7,300,000 | 10,461 | |
Total Interest Rate Options | 190,807 | ||
Total OTC Options Purchased | |||
(Cost $450,970) | 190,807 | ||
Total Investments - 137.1% | |||
(Cost $846,577,304) | $ 727,057,687 | ||
Contracts | |||
LISTED OPTIONS WRITTEN† - (0.2)% | |||
Call Options on: | |||
S&P 500 Index | 52 | (253,760) | |
Expiring March 2023 with strike price of $4,000.00 (Notional Value $20,644,780) | |||
NASDAQ-100 Index | 17 | (404,855) | |
Expiring March 2023 with strike price of $12,075.00 (Notional Value $20,471,604) | |||
Russell 2000 Index | 110 | (420,750) | |
Expiring March 2023 with strike price of $1,895.00 (Notional Value $20,866,901) | |||
Total Listed Options Written | |||
(Premiums received $1,422,787) | (1,079,365) | ||
Other Assets & Liabilities, net - (36.9)% | (195,811,694) | ||
Total Net Assets - 100.0% | $ 530,166,628 |
Futures Contracts | ||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Depreciation** |
Interest Rate Futures Contracts Purchased† | ||||
3-Month SOFR Futures Contracts | 133 | Mar 2024 | $31,504,375 | $(315,836) |
Centrally Cleared Credit Default Swap Agreements ††
Counterparty | Exchange | Index | Protection | Premium Rate | Payment Frequency | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Depreciation** |
J.P. Morgan Securities LLC | ICE | CDX.NA.HY.37.V2 | Sold | 5.00% | Quarterly | 12/20/26 | $29,700,000 | $1,028,500 | $1,833,605 | $(805,105) |
J.P. Morgan Securities LLC | ICE | ITRAXX.EUR.38.V1 | Purchased | 1.00% | Quarterly | 12/01/27 | 22,700,000 | (214,986) | (140,875) | (74,111) |
$813,514 | $1,692,730 | $(879,216) |
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** | |
J.P. Morgan Securities LLC | CME | Pay | U.S. Secured Overnight Financing Rate | 2.78% | Annually | 07/18/27 | $53,800,000 | $(2,809,809) | $430 | $(2,810,239) |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
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 | ||||||||
Goldman Sachs International | SPDR Gold Trust ETF | Pay | 4.87% (Federal Funds Rate + 0.30%) | At Maturity | 06/07/23 | 42,000 | $7,130,760 | $(127,680) |
Forward Foreign Currency Exchange Contracts†† | ||||||
Counterparty | Currency | Type | Quantity | Contract Amount | Settlement Date | Unrealized Appreciation (Depreciation) |
Barclays Bank plc | EUR | Sell | 18,093,000 | 19,440,386 USD | 03/17/23 | $258,649 |
JPMorgan Chase Bank, N.A. | CAD | Sell | 4,575,000 | 3,432,922 USD | 03/17/23 | 69,239 |
Morgan Stanley Capital Services LLC | GBP | Sell | 1,034,000 | 1,256,405 USD | 03/17/23 | 12,414 |
Citibank, N.A. | CAD | Buy | 65,000 | 48,248 USD | 03/17/23 | (458) |
$339,844 | ||||||
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 3. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 3. |
††† | Value determined based on Level 3 inputs — See Note 3. |
◊ | Variable rate security. Rate indicated is the rate effective at February 28, 2023. 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 these securities have been physically segregated in connections with options, reverse repurchase agreements and unfunded loan commitments. As of February 28, 2023, the total value of segregated securities was $265,339,872. |
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 $290,827,021 (cost $334,898,364), or 54.9% of total net assets. |
5 | Affiliated issuer. |
6 | Rate indicated is the 7-day yield as of February 28, 2023. |
7 | Security is in default of interest and/or principal obligations. |
8 | Perpetual maturity. |
9 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
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 February 28, 2023. See table below for additional step information for each security. |
11 | 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 $590,848 (cost $603,203), or 0.1% of total net assets — See Note 6. |
12 | Zero coupon rate security. |
13 | Security is a principal-only strip. |
14 | All or a portion of this security is pledged as futures collateral at February 28, 2023. |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
CAD — Canadian Dollar | |
CDX.NA.HY.37.V2 — Credit Default Swap North American High Yield Series 37 Index Version 2 | |
CME — Chicago Mercantile Exchange | |
CMS — Constant Maturity Swap | |
EUR — Euro | |
EURIBOR — European Interbank Offered Rate | |
GBP — British Pound | |
ICE — Intercontinental Exchange | |
ITRAXX.EUR.38.V1 — iTraxx Europe Series 38 Index Version V1 | |
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.
The following table summarizes the inputs used to value the Fund's investments at February 28, 2023 (See Note 3 in the Notes to Schedule of Investments): | |||||
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |
Common Stocks | $ 53,379,663 | $ — * | $ 33 | $ 53,379,696 | |
Preferred Stocks | — | 39,142,580 | — | 39,142,580 | |
Warrants | 1,923 | — | — | 1,923 | |
Rights | — | — | — * | — | |
Exchange-Traded Funds | 73,121,268 | — | — | 73,121,268 | |
Mutual Fund | 5,777,054 | — | — | 5,777,054 | |
Closed-End Funds | 12,750,148 | — | — | 12,750,148 | |
Money Market Fund | 2,426,920 | — | — | 2,426,920 | |
Corporate Bonds | — | 264,142,475 | 15,350,563 | 279,493,038 | |
Senior Floating Rate Interests | — | 124,969,700 | 23,495,300 | 148,465,000 | |
Asset-Backed Securities | — | 74,517,638 | 8,326,153 | 82,843,791 | |
Collateralized Mortgage Obligations | — | 16,211,138 | 2,769,001 | 18,980,139 | |
U.S. Government Securities | — | 7,570,147 | — | 7,570,147 | |
Convertible Bonds | — | 1,239,835 | — | 1,239,835 | |
Foreign Government Debt | — | 1,210,851 | — | 1,210,851 | |
Options Purchased | 464,490 | 190,807 | — | 655,297 | |
Forward Foreign Currency Exchange Contracts** | — | 340,302 | — | 340,302 | |
Total Assets | $ 147,921,466 | $ 529,535,473 | $ 49,941,050 | $ 727,397,989 | |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |
Options Written | $ 1,079,365 | $ — | $ — | $ 1,079,365 | |
Interest Rate Futures Contracts** | 315,836 | — | — | 315,836 | |
Credit Default Swap Agreements** | — | 879,216 | — | 879,216 | |
Interest Rate Swap Agreements** | — | 2,810,239 | — | 2,810,239 | |
Forward Foreign Currency Exchange Contracts** | — | 458 | — | 458 | |
Equity Index Swap Agreements** | — | 127,680 | — | 127,680 | |
Unfunded Loan Commitments (Note 5) | — | — | 8,720 | 8,720 | |
Total Liabilities | $ 1,395,201 | $ 3,817,593 | $ 8,720 | $ 5,221,514 | |
* Security has a market value of $0. | |||||
** This derivative is reported as unrealized appreciation/depreciation at period end.
|
Please refer to the detailed Schedule of Investments for a breakdown on investment type by industry category.
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 $200,004,036 are categorized as Level 2 within the disclosure hierarchy — See Note 2.
The following is a summary for significant unobservable inputs used in the fair valuation of assets and liabilities categorized with Level 3 of the fair value hierarchy:
Category | Ending Balance at February 28, 2023 | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* |
Assets: | |||||
Asset-Backed Securities | $ 7,826,153 | Yield Analysis | Yield | 6.2%-9.0% | 7.0% |
Asset-Backed Securities | 500,000 | Third Party Pricing | Vendor Price | — | — |
Collateralized Mortgage Obligations | 2,769,001 | Third Party Pricing | Vendor Price | — | — |
Common Stocks | 33 | Model Price | Liquidation Value | — | — |
Corporate Bonds | 15,350,563 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — |
Senior Floating Rate Interests | 12,178,434 | Third Party Pricing | Broker Quote | — | — |
Senior Floating Rate Interests | 8,716,440 | Yield Analysis | Yield | 9.2%-11.2% | 10.5% |
Senior Floating Rate Interests | 2,600,426 | Model Price | Purchase Price | — | — |
Total Assets | $ 49,941,050 | ||||
Liabilities: | |||||
Unfunded Loan Commitments | $ 8,720 | Model Price | Purchase Price | — | — |
* Inputs are weighted by the fair value of the instruments.
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
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 period ended February 28, 2023, the Fund had securities with a total value of $910,275 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $15,835,223 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 period ended February 28, 2023:
Assets | Liabilities | |||||||
Asset -Backed Securities | Collateralized Mortgage Obligations | Corporate Bonds | Senior Floating Rate Interests | Rights | Common Stocks | Total Assets | Unfunded Loan Commitments | |
Beginning Balance | $ 4,051,141 | $- | $ 13,039,216 | $ 31,783,834 | $- | $- | $ 48,874,191 | $ (60,563) |
Purchases/(Receipts) | 4,413,211 | 2,800,000 | 2,750,000 | 9,343,556 | 61 | - | 19,306,828 | (32,955) |
(Sales, maturities and paydowns)/Fundings | - | (35,420) | (283,020) | (570,631) | (2) | - | (889,073) | 9,599 |
Amortization of premiums/discounts | - | - | - | 35,512 | - | - | 35,512 | (3,322) |
Total realized gains (losses) included in earnings | - | - | - | (7,194) | 2 | - | (7,192) | (4,849) |
Total change in unrealized appreciation (depreciation) included in earnings | (138,199) | 4,421 | (155,633) | (2,164,796) | (61) | - | (2,454,268) | 83,370 |
Transfers into Level 3 | - | - | - | 910,242 | - | 33 | 910,275 | - |
Transfers out of Level 3 | - | - | - | (15,835,223) | - | - | (15,835,223) | - |
Ending Balance | $ 8,326,153 | $ 2,769,001 | $ 15,350,563 | $ 23,495,300 | $- | $ 33 | $ 49,941,050 | $(8,720) |
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at February 28, 2023 | $ (138,199) | $ 4,421 | $ (155,633) | $ (79,957) | $ (61) | $- | $ (369,429) | $ 35,330 |
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 | Future Reset Date |
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% | 11/15/23 | — | — |
GCAT Trust 2022-NQM5, 5.71% due 08/25/67 | 6.71% | 10/01/26 | — | — |
OBX Trust 2022-NQM8, 6.10% due 09/25/62 | 7.10% | 10/01/26 | — | — |
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 period ended February 28, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | Value 05/31/22 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 02/28/23 | Shares 02/28/23 | Investment Income | Capital Gain Distributions |
Mutual Fund | |||||||||
Guggenheim Risk Managed Real Estate Fund — Institutional Class | $6,259,675 | $334,063 | $– | $– | $(816,684) | $5,777,054 | 187,445 | $104,314 | $229,749 |
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Active Allocation Fund (the “Fund”) was organized as a Delaware statutory trust on May 20, 2021. The Fund is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).
The Fund’s investment objective is to maximize total return through a combination of current income and capital appreciation.
For information on the Fund’s other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual shareholder report.
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 Fund. 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.
(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 Guggenheim Funds Investment Advisors, LLC (“GFIA” or 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.
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 net asset value 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.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
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.
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.
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.
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 which 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 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 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 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 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.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
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.
Note 2 – Financial Instruments and Derivatives
As part of its investment strategy, the Fund utilizes a variety of derivative instruments. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Schedule of Investments.
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 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.
Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
Index Exposure: the use of an instrument or obtain exposure to a listed or other type of index.
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. Securities held as collateral are noted on the Schedule of Investments.
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.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
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.
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 index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing a total return index swap 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 index declines in value.
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.
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 event 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 default recovery 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
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
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.
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.
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 Fund has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Fund monitors the counterparty credit risk.
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.
Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements as part of its financial leverage strategy. Under a reverse repurchase agreement, the Fund temporarily transfers possession of a portfolio instrument to another party, such as a bank or broker-dealer, in return for cash. At the same time, the Fund agrees to repurchase the instrument at an agreed upon time and price, which reflects an interest payment. Such agreements have the economic effect of borrowings. The Fund may enter into such agreements when it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Fund enters into a reverse repurchase agreement, any fluctuations in the market value of either the instruments transferred to another party or the instruments in which the proceeds may be invested would affect the market value of the Fund's assets. As a result, such transactions may increase fluctuations in the market value of the Fund's assets.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
Note 3 – 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 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 4 – Federal Income Tax Information
Net Tax Unrealized | |||
Tax | Tax Unrealized | Tax Unrealized | Appreciation |
Cost | Appreciation | Depreciation | Depreciation |
$ 845,590,945 | $ 1,168,299 | $ (124,574,049) | $ (123,405,750) |
Note 5 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of February 28, 2023. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2023 |
The unfunded loan commitments as of February 28, 2023, were as follows: | ||||
Borrower | Maturity Date | Face Amount | Value | |
Avalara, Inc. | 10/19/28 | $263,636 | $3,594 | |
Fontainbleau Vegas | 01/31/26 | 1,678,869 | – | |
Lightning A | 03/01/37 | 5,381,667 | – | |
Lightning B | 03/01/37 | 696,451 | – | |
The Facilities Group | 11/30/27 | 230,603 | 5,114 | |
Thunderbird A | 03/01/37 | 5,310,556 | – | |
Thunderbird B | 03/01/37 | 687,248 | – | |
VT TopCo, Inc. | 08/01/25 | 4,780 | 12 | |
$8,720 |
Note 6– Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Restricted Securities | Acquisition Date | Cost | Value |
CFMT LLC | |||
2022-HB9 3.25% (WAC) due 09/25/371 | 09/23/22 | $603,203 | $590,848 |
$603,203 | $590,848 |
1 | Variable rate security. Rate indicated is the rate effective at February 28, 2023. 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 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.
OTHER INFORMATION (Unaudited) | February 28, 2023 |
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level classifications used by Bloomberg Industry Classification System, a widely recognized industry classification system provider. In the Fund’s registration statement, the Fund has investment policies relating to concentration in specific industries. For purposes of these investment policies, the Fund usually classifies 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.