UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811- 02753
Guggenheim Variable Funds Trust
(Exact name of registrant as specified in charter)
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)
Amy J. Lee
Guggenheim Variable Funds Trust
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Name and address of agent for service)
Registrant's telephone number, including area code:1-301-296-5100
Date of fiscal year end:December 31
Date of reporting period:June 30, 2019
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. §3507.
| Item 1. | Reports to Stockholders. |
The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
6.30.2019
Guggenheim Variable Funds Trust Semi-Annual Report
Series |
Series A | (StylePlus—Large Core Series) | | |
Series B | (Large Cap Value Series) | | |
Series D | (World Equity Income Series) | | |
Series E | (Total Return Bond Series) | | |
Series F | (Floating Rate Strategies Series) | | |
Series J | (StylePlus—Mid Growth Series) | | |
Series N | (Managed Asset Allocation Series) | | |
Series O | (All Cap Value Series) | | |
Series P | (High Yield Series) | | |
Series Q | (Small Cap Value Series) | | |
Series V | (Mid Cap Value Series) | | |
Series X | (StylePlus—Small Growth Series) | | |
Series Y | (StylePlus—Large Growth Series) | | |
Series Z | (Alpha Opportunity Series) | | |
Beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports may no longer be sent by mail, unless you specifically request paper copies of the reports from the insurance company that offers your contract or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and other communications from the insurance company electronically by following the instructions provided by the insurance company.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company that you wish to receive paper copies of reports by following the instructions provided by the insurance company. Your election to receive reports in paper will apply to all portfolio companies available under your contract.
GuggenheimInvestments.com | GVFT-SEMI-0619x1219 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) | 8 |
SERIES B (LARGE CAP VALUE SERIES) | 15 |
SERIES D (WORLD EQUITY INCOME SERIES) | 21 |
SERIES E (TOTAL RETURN BOND SERIES) | 28 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | 43 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | 54 |
SERIES N (MANAGED ASSET ALLOCATION SERIES) | 61 |
SERIES O (ALL CAP VALUE SERIES) | 68 |
SERIES P (HIGH YIELD SERIES) | 75 |
SERIES Q (SMALL CAP VALUE SERIES) | 87 |
SERIES V (MID CAP VALUE SERIES) | 94 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | 101 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | 108 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | 115 |
NOTES TO FINANCIAL STATEMENTS | 131 |
OTHER INFORMATION | 152 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 158 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 162 |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC and Guggenheim Partners Investment Management, LLC (the “Investment Advisers”) are pleased to present the semi-annual shareholder report for funds that are part of the Guggenheim Variable Funds Trust (the “Funds”). This report covers performance of the Funds for the semi-annual period ended June 30, 2019.
The Investment Advisers are part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Advisers.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
Guggenheim Partners Investment Management, LLC
July 31, 2019
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
The Series StylePlus Funds may not be suitable for all investors. Investments in large capitalization stocks may underperform other segments of the equity market or the equity market as a whole. ● Investments in small-sized company securities may present additional risks such as less predictable earnings, higher volatility and less liquidity than larger, more established companies. ● Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing companies. ● The Funds may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● The Funds’ use of leverage, through borrowings or instruments such as derivatives, may cause the Funds to be more volatile than if they had not been leveraged. ● The Funds’ investments in other investment vehicles subject the Funds to those risks and expenses affecting the investment vehicle. ● The Funds may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● The Funds may invest in fixed income securities whose market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Funds’ exposure to high yield securities may subject the Funds to greater volatility. ● The Funds may invest in bank loans and asset-backed securities, including mortgage backed, which involve special types of risks. ● The Funds may invest in restricted securities which may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Funds are not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
The Series Value Funds may not be suitable for all investors. ● An investment in the Funds will fluctuate and is subject to investment risks, which means investors could lose money. The intrinsic value of the underlying stocks may never be realized or the stocks may decline in value. Investments in small- and/or mid-sized company securities may present additional risks such as less predictable earnings, higher volatility and less liquidity than larger, more established companies. ● Please read the prospectus for more detailed information regarding these and other risks.
The Series D (World Equity Income Series) may not be suitable for all investors. ● Investments in securities in general are subject to market risks that may cause their prices to fluctuate over time. ●The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets are generally subject to an even greater level of risks). Additionally, the Fund’s exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. Dollar. ● The Fund’s investments in derivatives may pose risks in addition to those associated with investing directly in securities or other investments, including illiquidity of the derivatives, imperfect correlations with underlying investments or the Fund’s other portfolio holdings, lack of availability and counterparty risk. ●The Fund’s use of leverage, through instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ●The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ●The Fund may have significant exposure to securities in a particular capitalization range e.g., large-, mid- or small-cap securities. As a result, the Fund may be subject to the risk that the pre-denominate capitalization range may underperform other segments of the equity market or the equity market as a whole. ● Please read the prospectus for more detailed information regarding these and other risks.
2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
The Series E (Total Return Bond Series) may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund���s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
The Series F (Floating Rate Strategies Series) may not be suitable for all investors. ● Investments in floating rate senior secured syndicated bank loans and other floating rate securities involve special types of risks, including credit rate risk, interest rate risk, liquidity risk and prepayment risk. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements and synthetic instruments (such as synthetic collateralized debt obligations) expose the Fund to many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
The Series N (Managed Asset Allocation Series) may not be suitable for all investors. ● The value of an investment in the Fund will fluctuate and is subject to investment risks, which means investors could lose money. The Fund could lose money if the issuer of a bond or a counterparty to a derivatives transaction or other transaction is unable to repay interest and principal on time or defaults. The issuer of a bond could also suffer a decrease in quality rating, which would affect the volatility and liquidity of the bond. Derivatives may pose risks in addition to those associated with investing directly in securities or other investments, including the risk that the Fund will be unable to sell, unwind or value the derivative because of an illiquid market, the risk that the derivative is not well correlated with underlying investments or the Fund’s other portfolio holdings, and the risk that the counterparty is unwilling or unable to meet its obligation. The use of derivatives by the Fund to hedge risk may reduce the opportunity for gain by offsetting the positive effect of favorable price movements. Furthermore, if the Investment Manager is incorrect about its expectations of market conditions, the use of derivatives could result in a loss, which in some cases may be unlimited. Foreign securities carry additional risks when compared to U.S. securities, including currency fluctuations, adverse political and economic developments, unreliable or untimely information, less liquidity, limited legal recourse and higher transactional costs. The Investment Manager may not be able to cause certain of the underlying funds’ performance to match or correlate to that of the underlying funds’ respective underlying index or benchmark, either on a daily or aggregate basis. Factors such as underlying fund expenses, imperfect correlation between an underlying fund’s investments and those of its underlying index or underlying benchmark, rounding of share prices, changes to the composition of the underlying index or underlying benchmark, regulatory policies, high portfolio turnover rate, and the use of leverage all contribute to tracking error. Tracking error may cause an underlying fund’s and, thus the Fund’s, performance to be less than you expect. ● Please read the prospectus for more detailed information regarding these and other risks.
The Series P (High Yield Series) may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ●The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● The Fund may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
The Series Z (Alpha Opportunity Series) may not be suitable for all investors. ● Investments in securities and derivatives, in general, are subject to market risks that may cause their prices to fluctuate over time. An investment in the Fund may lose money. There can be no guarantee the Fund will achieve it investment objective. ●The Fund’s use of derivatives such as futures, options and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● Certain of the derivative instruments, such as swaps and structured notes, are also subject to the risks of counterparty default and adverse tax treatment. ●The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risk and costs, including paying more for a security than it received from its sale and the risk of unlimited losses. ●In certain circumstances the fund may be subject to liquidity risk and it may be difficult for the fund to purchase and sell particular investments within a reasonable time at a fair price. ●In certain circumstances, it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. ●The Fund’s fixed income investments will change in value in response to interest rate changes and other factors. ●See the prospectus for more information on these and additional risks.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2019 |
U.S. economic growth slowed to an annualized 2.1% in the second quarter from 3.1% in the first quarter. Personal consumption expenditures rebounded sharply, as expected, while government spending contributed an outsized 0.9% to growth, the most since mid-2009. However, negative contributions were seen from housing, business capital expenditures, inventory investment, and net exports. Looking ahead, we expect the economy to grow at a 2.0% pace in the third quarter.
The second quarter gross domestic product (“GDP”) release also featured annual revisions to the five prior years of data, which showed that growth peaked in year-over-year terms in the second quarter of 2018, earlier than previously thought. An upwardly revised personal savings rate could give consumption room to run, while downwardly revised and shrinking corporate profits may continue to pressure investment spending and could begin to weigh more heavily on hiring.
With growth in the first half of the year coming in somewhat above potential, the labor market continued to strengthen, albeit at a slower pace than the year before. Net monthly payroll gains averaged 165,000 in the first half of 2019, down from 235,000 in the first half of 2018. This was enough to push the unemployment rate down by 0.2% to 3.7%. While the labor market remains strong, we believe the sharper slowdown in aggregate hours worked—a component of Guggenheim’s U.S. Recession Dashboard—may foreshadow a deterioration in labor market conditions in 2020.
After a weak start to the year, core inflation picked up in the second quarter but remained below the U.S. Federal Reserve’s (the “Fed”) target at 1.8% annualized. We expect inflation to firm a bit further in the second half of 2019. The Fed is also closely watching inflation expectations, which currently sit below levels the Fed would like to see. After a 14% decline in the fourth quarter of 2018, stocks rebounded as the Fed’s pivot on monetary policy took hold, and the government shutdown was resolved.
Internationally, the European Central Bank kept policy rates constant but modified their forward guidance, noting that rates would remain at or below current levels until mid-2020 at the earliest. They also signaled a high probability of rate cuts and a resumption of asset purchases at the September meeting. In Japan, core inflation weakened in the second quarter to 0.6%, while industrial production and exports remained in contraction from year ago levels.
Although the U.S. economy is in good shape overall, on July 31, 2019, after the period ended, the Fed announced its first rate cut since 2008 amid growing downside risks to policymakers’ baseline growth and inflation forecasts. Key among these are slowing global growth, the threat of additional U.S.-China tariffs and a possible hard Brexit, the odds of which have increased with the ascendance of Boris Johnson as the U.K. Prime Minister. While a possible U.S. fiscal contraction in 2020 was averted by the recently-signed budget deal, we expect two more Fed rate cuts in 2019, as Chair Jerome Powell seeks to sustain the expansion. In our view, this could serve to embolden the White House to impose new tariffs on China and Europe later this year, which could in turn further cloud the outlook for global growth.
For the six months ended June 30, 2019, the Standard & Poor’s 500® (“S&P 500”) Index* returned 18.54%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 14.03%. The return of the MSCI Emerging Markets Index* was 10.58%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 6.11% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 9.94%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 1.24% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2019 |
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market.
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.
Morningstar Long/Short Equity Category Average is an average return of the funds in the Morningstar Long/Short Equity Category. The categories assist investors and investment professionals in making meaningful comparisons between funds, making it easier to build well-diversified portfolios, assess potential risk, and identify top-performing funds.
Russell 3000® Value Index measures the performance of the broad value segment of the U.S. equity value universe. It includes those Russell 3000 companies with lower price-to-book ratios and lower forecasted growth values.
Russell 2500® Value Index measures the performance of the small- to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500 companies with lower price-to-book ratios and lower forecasted growth values.
Russell 2000® Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.
Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.
Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth value.
Russell 1000® Value Index: A measure of the performance for the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values.
Russell Midcap® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap Index companies with higher price-to-book ratios and higher forecasted growth values.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) | |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning December 31, 2018 and ending June 30, 2019.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
December 31, 2018 | Ending
Account Value
June 30, 2019 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
Series A (StylePlus—Large Core Series) | 0.96% | 17.42% | $ 1,000.00 | $ 1,174.20 | $ 5.18 |
Series B (Large Cap Value Series) | 0.79% | 12.12% | 1,000.00 | 1,121.20 | 4.15 |
Series D (World Equity Income Series) | 0.89% | 12.50% | 1,000.00 | 1,125.00 | 4.69 |
Series E (Total Return Bond Series) | 0.78% | 3.53% | 1,000.00 | 1,035.30 | 3.94 |
Series F (Floating Rate Strategies Series) | 1.19% | 4.74% | 1,000.00 | 1,047.40 | 6.04 |
Series J (StylePlus—Mid Growth Series) | 1.03% | 24.08% | 1,000.00 | 1,240.80 | 5.72 |
Series N (Managed Asset Allocation Series) | 1.01% | 13.02% | 1,000.00 | 1,130.20 | 5.33 |
Series O (All Cap Value Series) | 0.87% | 13.00% | 1,000.00 | 1,130.00 | 4.59 |
Series P (High Yield Series) | 1.07% | 8.11% | 1,000.00 | 1,081.10 | 5.52 |
Series Q (Small Cap Value Series) | 1.13% | 11.97% | 1,000.00 | 1,119.70 | 5.94 |
Series V (Mid Cap Value Series) | 0.90% | 14.83% | 1,000.00 | 1,148.30 | 4.79 |
Series X (StylePlus—Small Growth Series) | 1.13% | 18.92% | 1,000.00 | 1,189.20 | 6.13 |
Series Y (StylePlus—Large Growth Series) | 0.98% | 20.28% | 1,000.00 | 1,202.80 | 5.35 |
Series Z (Alpha Opportunity Series) | 2.00% | (3.67%) | 1,000.00 | 963.30 | 9.74 |
|
Table 2. Based on hypothetical 5% return (before expenses) | | | |
Series A (StylePlus—Large Core Series) | 0.96% | 5.00% | $ 1,000.00 | $ 1,020.03 | $ 4.81 |
Series B (Large Cap Value Series) | 0.79% | 5.00% | 1,000.00 | 1,020.88 | 3.96 |
Series D (World Equity Income Series) | 0.89% | 5.00% | 1,000.00 | 1,020.38 | 4.46 |
Series E (Total Return Bond Series) | 0.78% | 5.00% | 1,000.00 | 1,020.93 | 3.91 |
Series F (Floating Rate Strategies Series) | 1.19% | 5.00% | 1,000.00 | 1,018.89 | 5.96 |
Series J (StylePlus—Mid Growth Series) | 1.03% | 5.00% | 1,000.00 | 1,019.69 | 5.16 |
Series N (Managed Asset Allocation Series) | 1.01% | 5.00% | 1,000.00 | 1,019.79 | 5.06 |
Series O (All Cap Value Series) | 0.87% | 5.00% | 1,000.00 | 1,020.48 | 4.36 |
Series P (High Yield Series) | 1.07% | 5.00% | 1,000.00 | 1,019.49 | 5.36 |
Series Q (Small Cap Value Series) | 1.13% | 5.00% | 1,000.00 | 1,019.19 | 5.66 |
Series V (Mid Cap Value Series) | 0.90% | 5.00% | 1,000.00 | 1,020.33 | 4.51 |
Series X (StylePlus—Small Growth Series) | 1.13% | 5.00% | 1,000.00 | 1,019.19 | 5.66 |
Series Y (StylePlus—Large Growth Series) | 0.98% | 5.00% | 1,000.00 | 1,019.93 | 4.91 |
Series Z (Alpha Opportunity Series) | 2.00% | 5.00% | 1,000.00 | 1,014.88 | 9.99 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement and affiliated waivers. Excluding these expenses, the net expense ratios for the period would be: |
| | Fund | 06/30/19 |
| | Series A (StylePlus—Large Core Series) | 0.89% |
| | Series B (Large Cap Value Series) | 0.79% |
| | Series D (World Equity Income Series) | 0.89% |
| | Series E (Total Return Bond Series) | 0.77% |
| | Series F (Floating Rate Strategies Series) | 1.15% |
| | Series J (StylePlus—Mid Growth Series) | 0.91% |
| | Series O (All Cap Value Series) | 0.87% |
| | Series P (High Yield Series) | 1.07% |
| | Series Q (Small Cap Value Series) | 1.13% |
| | Series V (Mid Cap Value Series) | 0.90% |
| | Series X (StylePlus—Small Growth Series) | 1.03% |
| | Series Y (StylePlus—Large Growth Series) | 0.90% |
| | Series Z (Alpha Opportunity Series) | 2.00% |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses shown do not include fees charged by insurance companies. |
3 | Actual cumulative return at net asset value for the period December 31, 2018 to June 30, 2019. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES A (STYLEPLUS—LARGE CORE SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.
Inception Date: May 1, 1979 |
Ten Largest Holdings (% of Total Net Assets) |
Guggenheim Variable Insurance Strategy Fund III | 32.6% |
Guggenheim Strategy Fund III | 29.2% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 9.0% |
Guggenheim Strategy Fund II | 3.6% |
Apple, Inc. | 0.7% |
Alphabet, Inc. — Class C | 0.7% |
Microsoft Corp. | 0.7% |
Johnson & Johnson | 0.5% |
Exxon Mobil Corp. | 0.5% |
Amazon.com, Inc. | 0.5% |
Top Ten Total | 78.0% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series A (StylePlus—Large Core Series) | 17.42% | 7.99% | 10.40% | 13.54% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
COMMON STOCKS† - 20.8% |
| | | | | | | | | |
Consumer, Non-cyclical - 6.2% |
Johnson & Johnson | | | 7,652 | | | $ | 1,065,771 | |
Pfizer, Inc. | | | 19,644 | | | | 850,978 | |
Merck & Company, Inc. | | | 9,598 | | | | 804,792 | |
Amgen, Inc. | | | 3,535 | | | | 651,430 | |
Medtronic plc | | | 6,117 | | | | 595,734 | |
Gilead Sciences, Inc. | | | 8,549 | | | | 577,570 | |
Philip Morris International, Inc. | | | 6,671 | | | | 523,874 | |
Kimberly-Clark Corp. | | | 3,799 | | | | 506,331 | |
McKesson Corp. | | | 3,560 | | | | 478,428 | |
UnitedHealth Group, Inc. | | | 1,892 | | | | 461,667 | |
Archer-Daniels-Midland Co. | | | 11,273 | | | | 459,938 | |
Humana, Inc. | | | 1,720 | | | | 456,316 | |
Anthem, Inc. | | | 1,503 | | | | 424,162 | |
Allergan plc | | | 2,372 | | | | 397,144 | |
Tyson Foods, Inc. — Class A | | | 4,695 | | | | 379,074 | |
Biogen, Inc.* | | | 1,514 | | | | 354,079 | |
Procter & Gamble Co. | | | 3,145 | | | | 344,849 | |
Molson Coors Brewing Co. — Class B | | | 5,761 | | | | 322,616 | |
CVS Health Corp. | | | 5,401 | | | | 294,301 | |
AmerisourceBergen Corp. — Class A | | | 3,240 | | | | 276,243 | |
Altria Group, Inc. | | | 5,797 | | | | 274,488 | |
PepsiCo, Inc. | | | 2,046 | | | | 268,292 | |
Kroger Co. | | | 12,214 | | | | 265,166 | |
HCA Healthcare, Inc. | | | 1,932 | | | | 261,148 | |
Constellation Brands, Inc. — Class A | | | 1,275 | | | | 251,098 | |
Zimmer Biomet Holdings, Inc. | | | 2,066 | | | | 243,251 | |
AbbVie, Inc. | | | 2,599 | | | | 188,999 | |
Cardinal Health, Inc. | | | 3,582 | | | | 168,712 | |
General Mills, Inc. | | | 3,183 | | | | 167,171 | |
Universal Health Services, Inc. — Class B | | | 1,186 | | | | 154,643 | |
Bristol-Myers Squibb Co. | | | 2,820 | | | | 127,887 | |
Colgate-Palmolive Co. | | | 1,759 | | | | 126,068 | |
Kellogg Co. | | | 2,214 | | | | 118,604 | |
Sysco Corp. | | | 1,668 | | | | 117,961 | |
Total Consumer, Non-cyclical | | | | | | | 12,958,785 | |
| | | | | | | | | |
Communications - 3.7% |
Alphabet, Inc. — Class C* | | | 1,355 | | | | 1,464,633 | |
Amazon.com, Inc.* | | | 504 | | | | 954,390 | |
Verizon Communications, Inc. | | | 13,469 | | | | 769,484 | |
Comcast Corp. — Class A | | | 17,684 | | | | 747,679 | |
Facebook, Inc. — Class A* | | | 3,462 | | | | 668,166 | |
AT&T, Inc. | | | 15,469 | | | | 518,366 | |
Discovery, Inc. — Class A* | | | 15,581 | | | | 478,337 | |
DISH Network Corp. — Class A* | | | 12,441 | | | | 477,859 | |
Omnicom Group, Inc. | | | 5,651 | | | | 463,099 | |
Walt Disney Co. | | | 3,101 | | | | 433,024 | |
eBay, Inc. | | | 7,112 | | | | 280,924 | |
Discovery, Inc. — Class C* | | | 8,967 | | | | 255,111 | |
Corning, Inc. | | | 5,268 | | | | 175,056 | |
Cisco Systems, Inc. | | | 2,421 | | | | 132,501 | |
Total Communications | | | | | | | 7,818,629 | |
| | | | | | | | | |
Industrial - 2.8% |
Caterpillar, Inc. | | | 4,402 | | | | 599,948 | |
United Parcel Service, Inc. — Class B | | | 5,551 | | | | 573,252 | |
CSX Corp. | | | 6,798 | | | | 525,961 | |
Norfolk Southern Corp. | | | 2,532 | | | | 504,704 | |
FedEx Corp. | | | 3,033 | | | | 497,988 | |
Cummins, Inc. | | | 2,814 | | | | 482,151 | |
Parker-Hannifin Corp. | | | 2,787 | | | | 473,818 | |
J.B. Hunt Transport Services, Inc. | | | 4,672 | | | | 427,068 | |
Huntington Ingalls Industries, Inc. | | | 1,674 | | | | 376,215 | |
Snap-on, Inc. | | | 2,100 | | | | 347,844 | |
Masco Corp. | | | 7,640 | | | | 299,794 | |
Union Pacific Corp. | | | 1,521 | | | | 257,216 | |
General Electric Co. | | | 15,480 | | | | 162,540 | |
Kansas City Southern | | | 1,153 | | | | 140,458 | |
CH Robinson Worldwide, Inc. | | | 1,549 | | | | 130,658 | |
Total Industrial | | | | | | | 5,799,615 | |
| | | | | | | | | |
Technology - 2.7% |
Apple, Inc. | | | 7,568 | | | | 1,497,858 | |
Microsoft Corp. | | | 10,262 | | | | 1,374,698 | |
Intel Corp. | | | 13,749 | | | | 658,164 | |
Oracle Corp. | | | 8,711 | | | | 496,266 | |
Activision Blizzard, Inc. | | | 8,042 | | | | 379,582 | |
HP, Inc. | | | 17,496 | | | | 363,742 | |
Lam Research Corp. | | | 1,618 | | | | 303,925 | |
Seagate Technology plc | | | 4,814 | | | | 226,836 | |
International Business Machines Corp. | | | 1,543 | | | | 212,780 | |
Skyworks Solutions, Inc. | | | 2,173 | | | | 167,908 | |
Total Technology | | | | | | | 5,681,759 | |
| | | | | | | | | |
Energy - 2.5% |
Exxon Mobil Corp. | | | 13,046 | | | | 999,715 | |
Chevron Corp. | | | 6,823 | | | | 849,054 | |
ConocoPhillips | | | 8,621 | | | | 525,881 | |
Kinder Morgan, Inc. | | | 19,906 | | | | 415,637 | |
Williams Companies, Inc. | | | 14,268 | | | | 400,075 | |
ONEOK, Inc. | | | 5,754 | | | | 395,933 | |
Phillips 66 | | | 4,162 | | | | 389,313 | |
Marathon Petroleum Corp. | | | 6,842 | | | | 382,331 | |
Valero Energy Corp. | | | 4,420 | | | | 378,396 | |
HollyFrontier Corp. | | | 5,190 | | | | 240,193 | |
Marathon Oil Corp. | | | 14,012 | | | | 199,111 | |
Total Energy | | | | | | | 5,175,639 | |
| | | | | | | | | |
Consumer, Cyclical - 1.7% |
TJX Companies, Inc. | | | 10,345 | | | | 547,043 | |
PACCAR, Inc. | | | 6,773 | | | | 485,353 | |
Walgreens Boots Alliance, Inc. | | | 8,666 | | | | 473,770 | |
United Continental Holdings, Inc.* | | | 5,003 | | | | 438,013 | |
Delta Air Lines, Inc. | | | 7,312 | | | | 414,956 | |
Alaska Air Group, Inc. | | | 5,631 | | | | 359,877 | |
Southwest Airlines Co. | | | 6,855 | | | | 348,097 | |
BorgWarner, Inc. | | | 7,559 | | | | 317,327 | |
AutoZone, Inc.* | | | 189 | | | | 207,800 | |
Total Consumer, Cyclical | | | | | | | 3,592,236 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 9 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
Financial - 1.2% |
Berkshire Hathaway, Inc. — Class B* | | | 1,985 | | | $ | 423,143 | |
JPMorgan Chase & Co. | | | 3,490 | | | | 390,182 | |
Visa, Inc. — Class A | | | 1,660 | | | | 288,093 | |
Bank of America Corp. | | | 8,834 | | | | 256,186 | |
Hartford Financial Services Group, Inc. | | | 4,271 | | | | 237,980 | |
Western Union Co. | | | 11,556 | | | | 229,849 | |
MetLife, Inc. | | | 3,808 | | | | 189,143 | |
Prudential Financial, Inc. | | | 1,262 | | | | 127,462 | |
Travelers Companies, Inc. | | | 850 | | | | 127,092 | |
Northern Trust Corp. | | | 1,373 | | | | 123,570 | |
Total Financial | | | | | | | 2,392,700 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $41,590,896) | | | | | | | 43,419,363 | |
| | | | | | | | | |
MUTUAL FUNDS† - 74.4% |
Guggenheim Variable Insurance Strategy Fund III1 | | | 2,756,237 | | | | 68,244,439 | |
Guggenheim Strategy Fund III1 | | | 2,467,931 | | | | 61,180,008 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 1,888,244 | | | | 18,806,913 | |
Guggenheim Strategy Fund II1 | | | 301,361 | | | | 7,479,780 | |
Total Mutual Funds | | | | | | | | |
(Cost $156,754,376) | | | | | | | 155,711,140 | |
| | | | | | | | | |
MONEY MARKET FUND† - 4.3% |
Dreyfus Treasury Securities Cash Management — Institutional Shares 2.10%2 | | | 8,955,690 | | | | 8,955,690 | |
Total Money Market Fund | | | | | | | | |
(Cost $8,955,690) | | | | | | | 8,955,690 | |
| | | | | | | | | |
Total Investments - 99.5% | | | | | | | | |
(Cost $207,300,962) | | | | | | $ | 208,086,193 | |
Other Assets & Liabilities, net - 0.5% | | | | | | | 1,072,583 | |
Total Net Assets - 100.0% | | | | | | $ | 209,158,776 | |
Total Return Swap Agreements |
Counterparty | Index | | Financing
Rate Pay | | Payment
Frequency | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Bank of America, N.A. | S&P 500 Index | | | 2.64 | % | At Maturity | 07/05/19 | | | 56,570 | | | $ | 166,413,666 | | | $ | 4,213,899 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of June 30, 2019. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
10| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 43,419,363 | | | $ | — | | | $ | — | | | $ | 43,419,363 | |
Mutual Funds | | | 155,711,140 | | | | — | | | | — | | | | 155,711,140 | |
Money Market Fund | | | 8,955,690 | | | | — | | | | — | | | | 8,955,690 | |
Equity Index Swap Agreements** | | | — | | | | 4,213,899 | | | | — | | | | 4,213,899 | |
Total Assets | | $ | 208,086,193 | | | $ | 4,213,899 | | | $ | — | | | $ | 212,300,092 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III(collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2018, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/18 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/19 | | | Shares
06/30/19 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 7,374,635 | | | $ | 105,143 | | | $ | — | | | $ | — | | | $ | 2 | | | $ | 7,479,780 | | | | 301,361 | | | $ | 106,054 | |
Guggenheim Strategy Fund III | | | 60,332,371 | | | | 847,905 | | | | — | | | | — | | | | (268 | ) | | | 61,180,008 | | | | 2,467,931 | | | | 856,151 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 3,611,649 | | | | 23,009,763 | | | | (7,819,989 | ) | | | (10,825 | ) | | | 16,315 | | | | 18,806,913 | | | | 1,888,244 | | | | 239,684 | |
Guggenheim Variable Insurance Strategy Fund III | | | 67,282,594 | | | | 934,588 | | | | — | | | | — | | | | 27,257 | | | | 68,244,439 | | | | 2,756,237 | | | | 936,394 | |
| | | $ | 138,601,249 | | | $ | 24,897,399 | | | $ | (7,819,989 | ) | | $ | (10,825 | ) | | $ | 43,306 | | | $ | 155,711,140 | | | | | | | $ | 2,138,283 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 11 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments in unaffiliated issuers, at value (cost $50,546,586) | | $ | 52,375,053 | |
Investments in affiliated issuers, at value (cost $156,754,376) | | | 155,711,140 | |
Segregated cash with broker | | | 69,300 | |
Unrealized appreciation on OTC swap agreements | | | 4,213,899 | |
Prepaid expenses | | | 10,444 | |
Receivables: |
Dividends | | | 389,735 | |
Interest | | | 15,131 | |
Total assets | | | 212,784,702 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 172 | |
Segregated cash due to broker | | | 2,605,000 | |
Payable for: |
Securities purchased | | | 347,812 | |
Swap settlement | | | 261,451 | |
Fund shares redeemed | | | 127,837 | |
Management fees | | | 78,151 | |
Distribution and service fees | | | 39,517 | |
Trustees’ fees* | | | 23,781 | |
Fund accounting/administration fees | | | 12,645 | |
Transfer agent/maintenance fees | | | 2,027 | |
Miscellaneous (Note 11) | | | 127,533 | |
Total liabilities | | | 3,625,926 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 209,158,776 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 178,794,546 | |
Total distributable earnings (loss) | | | 30,364,230 | |
Net assets | | $ | 209,158,776 | |
Capital shares outstanding | | | 4,840,468 | |
Net asset value per share | | $ | 43.21 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 491,297 | |
Dividends from securities of affiliated issuers | | | 2,138,283 | |
Interest | | | 90,842 | |
Total investment income | | | 2,720,422 | |
| | | | | |
Expenses: |
Management fees | | | 765,990 | |
Distribution and service fees | | | 255,330 | |
Transfer agent/maintenance fees | | | 12,264 | |
Fund accounting/administration fees | | | 81,707 | |
Interest expense | | | 77,169 | |
Trustees’ fees* | | | 34,300 | |
Custodian fees | | | 6,614 | |
Miscellaneous | | | 109,633 | |
Recoupment of previously waived fees | | | 15,234 | |
Total expenses | | | 1,358,241 | |
Less: | | | | |
Expenses waived by Adviser | | | (377,042 | ) |
Earnings credits applied | | | (2,520 | ) |
Total waived expenses | | | (379,562 | ) |
Net expenses | | | 978,679 | |
Net investment income | | | 1,741,743 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (465,286 | ) |
Investments in affiliated issuers | | | (10,825 | ) |
Swap agreements | | | 7,864,859 | |
Futures contracts | | | 632,537 | |
Net realized gain | | | 8,021,285 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 5,817,780 | |
Investments in affiliated issuers | | | 43,306 | |
Swap agreements | | | 17,032,397 | |
Futures contracts | | | (101,546 | ) |
Net change in unrealized appreciation (depreciation) | | | 22,791,937 | |
Net realized and unrealized gain | | | 30,813,222 | |
Net increase in net assets resulting from operations | | $ | 32,554,965 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
12| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES A (STYLEPLUS—LARGE CORE SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,741,743 | | | $ | 4,394,496 | |
Net realized gain on investments | | | 8,021,285 | | | | 17,775,188 | |
Net change in unrealized appreciation (depreciation) on investments | | | 22,791,937 | | | | (34,114,045 | ) |
Net increase (decrease) in net assets resulting from operations | | | 32,554,965 | | | | (11,944,361 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (30,223,315 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 1,368,307 | | | | 5,163,296 | |
Distributions reinvested | | | — | | | | 30,223,315 | |
Cost of shares redeemed | | | (15,408,979 | ) | | | (54,369,310 | ) |
Net decrease from capital share transactions | | | (14,040,672 | ) | | | (18,982,699 | ) |
Net increase (decrease) in net assets | | | 18,514,293 | | | | (61,150,375 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 190,644,483 | | | | 251,794,858 | |
End of period | | $ | 209,158,776 | | | $ | 190,644,483 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 33,175 | | | | 117,562 | |
Shares issued from reinvestment of distributions | | | — | | | | 731,268 | |
Shares redeemed | | | (373,043 | ) | | | (1,202,046 | ) |
Net decrease in shares | | | (339,868 | ) | | | (353,216 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 13 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 36.80 | | | $ | 45.50 | | | $ | 38.20 | | | $ | 34.34 | | | $ | 37.53 | | | $ | 32.50 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .35 | | | | .83 | | | | .62 | | | | .46 | | | | .30 | | | | .44 | |
Net gain (loss) on investments (realized and unrealized) | | | 6.06 | | | | (3.10 | ) | | | 7.76 | | | | 4.09 | | | | .36 | | | | 4.59 | |
Total from investment operations | | | 6.41 | | | | (2.27 | ) | | | 8.38 | | | | 4.55 | | | | .66 | | | | 5.03 | |
Less distributions from: |
Net investment income | | | — | | | | (.75 | ) | | | (.50 | ) | | | (.32 | ) | | | (.52 | ) | | | — | |
Net realized gains | | | — | | | | (5.68 | ) | | | (.58 | ) | | | (.37 | ) | | | (3.33 | ) | | | — | |
Total distributions | | | — | | | | (6.43 | ) | | | (1.08 | ) | | | (.69 | ) | | | (3.85 | ) | | | — | |
Net asset value, end of period | | $ | 43.21 | | | $ | 36.80 | | | $ | 45.50 | | | $ | 38.20 | | | $ | 34.34 | | | $ | 37.53 | |
|
Total Returnc | | | 17.42% | | | | (6.56 | %) | | | 22.22% | | | | 13.34% | | | | 1.50% | | | | 15.48% | |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 209,159 | | | $ | 190,644 | | | $ | 251,795 | | | $ | 223,705 | | | $ | 218,880 | | | $ | 239,075 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.70 | % | | | 1.89 | % | | | 1.48 | % | | | 1.31 | % | | | 0.83 | % | | | 1.28 | % |
Total expensesd | | | 1.33 | % | | | 1.26 | % | | | 1.12 | % | | | 0.93 | % | | | 0.96 | % | | | 0.97 | % |
Net expensese,f,g | | | 0.96 | % | | | 0.97 | % | | | 0.91 | % | | | 0.93 | % | | | 0.96 | % | | | 0.95 | % |
Portfolio turnover rate | | | 20 | % | | | 45 | % | | | 44 | % | | | 43 | % | | | 66 | % | | | 88 | % |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods would be: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 |
| | 0.89% | 0.91% | 0.90% | 0.93% | 0.96% | 0.95% |
g | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions of expense reimbursements for the periods presented was as follows: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | 0.01% | 0.02% | — | — |
14| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES B (LARGE CAP VALUE SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 1, 1979 |
Ten Largest Holdings (% of Total Net Assets) |
JPMorgan Chase & Co. | 4.5% |
Bank of America Corp. | 3.3% |
Chevron Corp. | 3.3% |
Cisco Systems, Inc. | 3.0% |
Berkshire Hathaway, Inc. — Class B | 2.9% |
Citigroup, Inc. | 2.5% |
Pfizer, Inc. | 2.5% |
Exxon Mobil Corp. | 2.4% |
Intel Corp. | 2.3% |
Verizon Communications, Inc. | 2.1% |
Top Ten Total | 28.8% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series B (Large Cap Value Series) | 12.12% | 2.46% | 6.50% | 11.87% |
Russell 1000 Value Index | 16.24% | 8.46% | 7.46% | 13.19% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 1000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES B (LARGE CAP VALUE SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
COMMON STOCKS† - 98.9% |
| | | | | | | | | |
Financial - 29.4% |
JPMorgan Chase & Co. | | | 87,108 | | | $ | 9,738,674 | |
Bank of America Corp. | | | 247,492 | | | | 7,177,268 | |
Berkshire Hathaway, Inc. — Class B* | | | 29,501 | | | | 6,288,728 | |
Citigroup, Inc. | | | 78,919 | | | | 5,526,698 | |
MetLife, Inc. | | | 61,756 | | | | 3,067,420 | |
SunTrust Banks, Inc. | | | 41,595 | | | | 2,614,246 | |
Principal Financial Group, Inc. | | | 44,541 | | | | 2,579,815 | |
Zions Bancorp North America | | | 55,143 | | | | 2,535,475 | |
Allstate Corp. | | | 23,741 | | | | 2,414,222 | |
Equity Commonwealth REIT | | | 70,611 | | | | 2,296,270 | |
BB&T Corp. | | | 45,273 | | | | 2,224,262 | |
Voya Financial, Inc. | | | 38,150 | | | | 2,109,695 | |
Loews Corp. | | | 36,285 | | | | 1,983,701 | |
Hartford Financial Services Group, Inc. | | | 30,053 | | | | 1,674,553 | |
Morgan Stanley | | | 34,665 | | | | 1,518,674 | |
Wells Fargo & Co. | | | 26,403 | | | | 1,249,390 | |
Prudential Financial, Inc. | | | 12,350 | | | | 1,247,350 | |
Axis Capital Holdings Ltd. | | | 20,224 | | | | 1,206,362 | |
KeyCorp | | | 64,668 | | | | 1,147,857 | |
Medical Properties Trust, Inc. REIT | | | 65,452 | | | | 1,141,483 | |
Regions Financial Corp. | | | 70,117 | | | | 1,047,548 | |
Park Hotels & Resorts, Inc. REIT | | | 30,801 | | | | 848,875 | |
CIT Group, Inc. | | | 14,324 | | | | 752,583 | |
Jones Lang LaSalle, Inc. | | | 4,866 | | | | 684,598 | |
Realogy Holdings Corp. | | | 87,989 | | | | 637,040 | |
Total Financial | | | | | | | 63,712,787 | |
| | | | | | | | | |
Consumer, Non-cyclical - 20.7% |
Pfizer, Inc. | | | 127,456 | | | | 5,521,394 | |
Procter & Gamble Co. | | | 39,244 | | | | 4,303,105 | |
Johnson & Johnson | | | 25,979 | | | | 3,618,355 | |
HCA Healthcare, Inc. | | | 18,846 | | | | 2,547,414 | |
Tyson Foods, Inc. — Class A | | | 30,226 | | | | 2,440,447 | |
Alexion Pharmaceuticals, Inc.* | | | 18,567 | | | | 2,431,906 | |
McKesson Corp. | | | 17,897 | | | | 2,405,178 | |
Archer-Daniels-Midland Co. | | | 52,046 | | | | 2,123,477 | |
Dentsply Sirona, Inc. | | | 34,104 | | | | 1,990,309 | |
Quest Diagnostics, Inc. | | | 17,512 | | | | 1,782,897 | |
Merck & Company, Inc. | | | 20,657 | | | | 1,732,089 | |
Humana, Inc. | | | 6,387 | | | | 1,694,471 | |
Zimmer Biomet Holdings, Inc. | | | 13,693 | | | | 1,612,214 | |
Bunge Ltd. | | | 25,800 | | | | 1,437,318 | |
Medtronic plc | | | 13,608 | | | | 1,325,283 | |
Amgen, Inc. | | | 6,861 | | | | 1,264,345 | |
Biogen, Inc.* | | | 4,948 | | | | 1,157,189 | |
DaVita, Inc.* | | | 20,183 | | | | 1,135,495 | |
United Therapeutics Corp.* | | | 14,302 | | | | 1,116,414 | |
Encompass Health Corp. | | | 14,766 | | | | 935,574 | |
UnitedHealth Group, Inc. | | | 3,439 | | | | 839,150 | |
Mylan N.V.* | | | 41,797 | | | | 795,815 | |
Ingredion, Inc. | | | 5,434 | | | | 448,251 | |
Corteva, Inc.* | | | 9,877 | | | | 292,063 | |
Total Consumer, Non-cyclical | | | | | | | 44,950,153 | |
| | | | | | | | | |
Energy - 10.6% |
Chevron Corp. | | | 57,407 | | | | 7,143,727 | |
Exxon Mobil Corp. | | | 68,793 | | | | 5,271,608 | |
Kinder Morgan, Inc. | | | 188,943 | | | | 3,945,130 | |
ConocoPhillips | | | 38,115 | | | | 2,325,015 | |
Marathon Oil Corp. | | | 158,094 | | | | 2,246,516 | |
Whiting Petroleum Corp.* | | | 55,030 | | | | 1,027,960 | |
Range Resources Corp. | | | 107,163 | | | | 747,998 | |
Antero Resources Corp.* | | | 56,985 | | | | 315,127 | |
Total Energy | | | | | | | 23,023,081 | |
| | | | | | | | | |
Communications - 8.7% |
Cisco Systems, Inc. | | | 118,524 | | | | 6,486,819 | |
Verizon Communications, Inc. | | | 78,150 | | | | 4,464,709 | |
Comcast Corp. — Class A | | | 69,129 | | | | 2,922,774 | |
Symantec Corp. | | | 115,160 | | | | 2,505,881 | |
F5 Networks, Inc.* | | | 6,844 | | | | 996,692 | |
AT&T, Inc. | | | 24,582 | | | | 823,743 | |
Corning, Inc. | | | 18,169 | | | | 603,756 | |
Total Communications | | | | | | | 18,804,374 | |
| | | | | | | | | |
Utilities - 7.3% |
Exelon Corp. | | | 72,444 | | | | 3,472,965 | |
Public Service Enterprise Group, Inc. | | | 56,473 | | | | 3,321,742 | |
OGE Energy Corp. | | | 58,117 | | | | 2,473,460 | |
Duke Energy Corp. | | | 24,149 | | | | 2,130,908 | |
Edison International | | | 27,657 | | | | 1,864,358 | |
Pinnacle West Capital Corp. | | | 15,680 | | | | 1,475,331 | |
AES Corp. | | | 71,750 | | | | 1,202,530 | |
Total Utilities | | | | | | | 15,941,294 | |
| | | | | | | | | |
Consumer, Cyclical - 6.6% |
Walmart, Inc. | | | 26,728 | | | | 2,953,177 | |
Southwest Airlines Co. | | | 47,188 | | | | 2,396,207 | |
Lear Corp. | | | 12,115 | | | | 1,687,256 | |
PACCAR, Inc. | | | 20,253 | | | | 1,451,330 | |
DR Horton, Inc. | | | 32,193 | | | | 1,388,484 | |
PVH Corp. | | | 14,248 | | | | 1,348,431 | |
Carnival Corp. | | | 23,157 | | | | 1,077,958 | |
Macy’s, Inc. | | | 44,265 | | | | 949,927 | |
Walgreens Boots Alliance, Inc. | | | 10,796 | | | | 590,217 | |
Dick’s Sporting Goods, Inc. | | | 16,423 | | | | 568,728 | |
Total Consumer, Cyclical | | | | | | | 14,411,715 | |
| | | | | | | | | |
Technology - 5.3% |
Intel Corp. | | | 104,561 | | | | 5,005,335 | |
Apple, Inc. | | | 10,204 | | | | 2,019,576 | |
Micron Technology, Inc.* | | | 45,094 | | | | 1,740,177 | |
Oracle Corp. | | | 28,737 | | | | 1,637,147 | |
Skyworks Solutions, Inc. | | | 13,665 | | | | 1,055,895 | |
Total Technology | | | | | | | 11,458,130 | |
| | | | | | | | | |
Basic Materials - 5.2% |
Reliance Steel & Aluminum Co. | | | 29,895 | | | | 2,828,665 | |
Nucor Corp. | | | 38,756 | | | | 2,135,456 | |
Huntsman Corp. | | | 78,933 | | | | 1,613,391 | |
Steel Dynamics, Inc. | | | 47,307 | | | | 1,428,671 | |
16| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES B (LARGE CAP VALUE SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
Alcoa Corp.* | | | 49,358 | | | $ | 1,155,471 | |
Freeport-McMoRan, Inc. | | | 82,050 | | | | 952,600 | |
DuPont de Nemours, Inc. | | | 9,877 | | | | 741,466 | |
Dow, Inc. | | | 9,877 | | | | 487,035 | |
Total Basic Materials | | | | | | | 11,342,755 | |
| | | | | | | | | |
Industrial - 5.1% |
Eaton Corporation plc | | | 18,940 | | | | 1,577,323 | |
Owens Corning | | | 26,430 | | | | 1,538,226 | |
Jabil, Inc. | | | 43,618 | | | | 1,378,329 | |
FedEx Corp. | | | 7,764 | | | | 1,274,771 | |
Westrock Co. | | | 31,950 | | | | 1,165,216 | |
General Electric Co. | | | 97,873 | | | | 1,027,667 | |
3M Co. | | | 5,924 | | | | 1,026,866 | |
Timken Co. | | | 19,855 | | | | 1,019,356 | |
Avnet, Inc. | | | 21,675 | | | | 981,227 | |
Total Industrial | | | | | | | 10,988,981 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $177,309,682) | | | | | | | 214,633,270 | |
| | | | | | | | | |
MONEY MARKET FUND† - 1.1% |
Dreyfus Treasury Securities Cash Management — Institutional Shares 2.10%1 | | | 2,426,811 | | | | 2,426,811 | |
Total Money Market Fund | | | | | | | | |
(Cost $2,426,811) | | | | | | | 2,426,811 | |
| | | | | | | | | |
Total Investments - 100.0% | | | | | | | | |
(Cost $179,736,493) | | | | | | $ | 217,060,081 | |
Other Assets & Liabilities, net - 0.0% | | | | | | | (51,215 | ) |
Total Net Assets - 100.0% | | | | | | $ | 217,008,866 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of June 30, 2019. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 214,633,270 | | | $ | — | | | $ | — | | | $ | 214,633,270 | |
Money Market Fund | | | 2,426,811 | | | | — | | | | — | | | | 2,426,811 | |
Total Assets | | $ | 217,060,081 | | | $ | — | | | $ | — | | | $ | 217,060,081 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 17 |
SERIES B (LARGE CAP VALUE SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments, at value (cost $179,736,493) | | $ | 217,060,081 | |
Prepaid expenses | | | 3,930 | |
Receivables: |
Dividends | | | 154,115 | |
Fund shares sold | | | 14,750 | |
Interest | | | 6,343 | |
Total assets | | | 217,239,219 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 66,305 | |
Distribution and service fees | | | 40,961 | |
Fund shares redeemed | | | 39,626 | |
Printing fees | | | 30,712 | |
Professional fees | | | 13,638 | |
Fund accounting/administration fees | | | 13,108 | |
Legal fees | | | 12,260 | |
Trustees’ fees* | | | 4,799 | |
Transfer agent/maintenance fees | | | 2,185 | |
Miscellaneous | | | 6,759 | |
Total liabilities | | | 230,353 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 217,008,866 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 153,599,620 | |
Total distributable earnings (loss) | | | 63,409,246 | |
Net assets | | $ | 217,008,866 | |
Capital shares outstanding | | | 5,356,173 | |
Net asset value per share | | $ | 40.52 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Dividends | | $ | 2,697,383 | |
Interest | | | 51,030 | |
Total investment income | | | 2,748,413 | |
| | | | | |
Expenses: |
Management fees | | | 709,521 | |
Distribution and service fees | | | 272,892 | |
Transfer agent/maintenance fees | | | 12,264 | |
Fund accounting/administration fees | | | 87,326 | |
Trustees’ fees* | | | 15,372 | |
Custodian fees | | | 1,905 | |
Miscellaneous | | | 57,203 | |
Total expenses | | | 1,156,483 | |
Less: |
Expenses waived by Adviser | | | (289,244 | ) |
Net expenses | | | 867,239 | |
Net investment income | | | 1,881,174 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 6,971,616 | |
Net realized gain | | | 6,971,616 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 15,960,213 | |
Net change in unrealized appreciation (depreciation) | | | 15,960,213 | |
Net realized and unrealized gain | | | 22,931,829 | |
Net increase in net assets resulting from operations | | $ | 24,813,003 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
18| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES B (LARGE CAP VALUE SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,881,174 | | | $ | 3,840,780 | |
Net realized gain on investments | | | 6,971,616 | | | | 16,968,144 | |
Net change in unrealized appreciation (depreciation) on investments | | | 15,960,213 | | | | (42,619,610 | ) |
Net increase (decrease) in net assets resulting from operations | | | 24,813,003 | | | | (21,810,686 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (19,382,371 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 3,126,440 | | | | 5,515,601 | |
Distributions reinvested | | | — | | | | 19,382,371 | |
Cost of shares redeemed | | | (18,097,726 | ) | | | (45,795,901 | ) |
Net decrease from capital share transactions | | | (14,971,286 | ) | | | (20,897,929 | ) |
Net increase (decrease) in net assets | | | 9,841,717 | | | | (62,090,986 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 207,167,149 | | | | 269,258,135 | |
End of period | | $ | 217,008,866 | | | $ | 207,167,149 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 79,566 | | | | 132,720 | |
Shares issued from reinvestment of distributions | | | — | | | | 480,475 | |
Shares redeemed | | | (456,171 | ) | | | (1,090,519 | ) |
Net decrease in shares | | | (376,605 | ) | | | (477,324 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 19 |
SERIES B (LARGE CAP VALUE SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 36.14 | | | $ | 43.36 | | | $ | 39.08 | | | $ | 33.20 | | | $ | 41.40 | | | $ | 37.82 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .34 | | | | .65 | | | | .48 | | | | .50 | | | | .61 | | | | .41 | |
Net gain (loss) on investments (realized and unrealized) | | | 4.04 | | | | (4.42 | ) | | | 5.52 | | | | 6.48 | | | | (2.29 | ) | | | 3.17 | |
Total from investment operations | | | 4.38 | | | | (3.77 | ) | | | 6.00 | | | | 6.98 | | | | (1.68 | ) | | | 3.58 | |
Less distributions from: |
Net investment income | | | — | | | | (.58 | ) | | | (.53 | ) | | | (.61 | ) | | | (.47 | ) | | | — | |
Net realized gains | | | — | | | | (2.87 | ) | | | (1.19 | ) | | | (.49 | ) | | | (6.05 | ) | | | — | |
Total distributions | | | — | | | | (3.45 | ) | | | (1.72 | ) | | | (1.10 | ) | | | (6.52 | ) | | | — | |
Net asset value, end of period | | $ | 40.52 | | | $ | 36.14 | | | $ | 43.36 | | | $ | 39.08 | | | $ | 33.20 | | | $ | 41.40 | |
|
Total Returnc | | | 12.12% | | | | (9.53 | %) | | | 15.81% | | | | 21.41% | | | | (5.08 | %) | | | 9.47% | |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 217,009 | | | $ | 207,167 | | | $ | 269,258 | | | $ | 260,692 | | | $ | 233,098 | | | $ | 275,200 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.72 | % | | | 1.54 | % | | | 1.17 | % | | | 1.44 | % | | | 1.63 | % | | | 1.04 | % |
Total expensesd | | | 1.06 | % | | | 1.07 | % | | | 1.02 | % | | | 0.82 | % | | | 0.84 | % | | | 0.83 | % |
Net expensese,f | | | 0.79 | % | | | 0.80 | % | | | 0.81 | % | | | 0.82 | % | | | 0.84 | % | | | 0.83 | % |
Portfolio turnover rate | | | 12 | % | | | 21 | % | | | 27 | % | | | 44 | % | | | 38 | % | | | 47 | % |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods would be: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 |
| | 0.79% | 0.80% | 0.79% | 0.82% | 0.84% | 0.83% |
20| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES D (WORLD EQUITY INCOME SERIES)
OBJECTIVE: Seeks to provide total return, comprised of capital appreciation and income.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
COUNTRY DIVERSIFICATION
At June 30, 2019, the investment diversification of the Fund by Country was as follows:
Country | % of Long-Term
Investments |
United States | 55.6% |
Japan | 6.8% |
United Kingdom | 6.4% |
Australia | 5.8% |
Canada | 5.8% |
France | 4.4% |
Switzerland | 3.3% |
Other | 11.9% |
Total Long-Term Investments | 100.0% |
Inception Date: April 19, 1984 |
Ten Largest Holdings (% of Total Net Assets) |
Microsoft Corp. | 2.2% |
iShares Edge MSCI Min Vol Global ETF | 1.9% |
Johnson & Johnson | 1.5% |
Apple, Inc. | 1.5% |
AT&T, Inc. | 1.5% |
Pfizer, Inc. | 1.4% |
Verizon Communications, Inc. | 1.4% |
Procter & Gamble Co. | 1.4% |
Roche Holding AG | 1.4% |
Home Depot, Inc. | 1.3% |
Top Ten Total | 15.5% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series D (World Equity Income Series) | 12.50% | 3.31% | 4.34% | 8.02% |
MSCI World Index | 16.98% | 6.33% | 6.60% | 10.72% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The MSCI World Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES D (WORLD EQUITY INCOME SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
COMMON STOCKS† - 97.0% |
| | | | | | | | | |
Financial - 22.9% |
Mastercard, Inc. — Class A | | | 6,500 | | | $ | 1,719,445 | |
Commonwealth Bank of Australia | | | 24,300 | | | | 1,412,410 | |
Westpac Banking Corp. | | | 65,100 | | | | 1,296,332 | |
Public Storage REIT | | | 5,000 | | | | 1,190,850 | |
National Australia Bank Ltd. | | | 63,300 | | | | 1,187,597 | |
AXA S.A. | | | 41,400 | | | | 1,087,739 | |
Swiss Re AG | | | 10,600 | | | | 1,077,778 | |
DBS Group Holdings Ltd. | | | 53,300 | | | | 1,022,962 | |
Visa, Inc. — Class A | | | 5,800 | | | | 1,006,590 | |
Canadian Imperial Bank of Commerce | | | 12,660 | | | | 995,766 | |
Australia & New Zealand Banking Group Ltd. | | | 47,600 | | | | 942,842 | |
Simon Property Group, Inc. REIT | | | 5,800 | | | | 926,608 | |
SmartCentres Real Estate Investment Trust | | | 34,800 | | | | 882,712 | |
Sampo Oyj — Class A | | | 18,100 | | | | 854,356 | |
Swedbank AB — Class A | | | 56,400 | | | | 847,202 | |
RioCan Real Estate Investment Trust | | | 39,400 | | | | 782,120 | |
Essex Property Trust, Inc. REIT | | | 2,600 | | | | 759,018 | |
H&R Real Estate Investment Trust | | | 41,900 | | | | 730,938 | |
Invesco Ltd. | | | 35,600 | | | | 728,376 | |
VEREIT, Inc. | | | 80,500 | | | | 725,305 | |
Daiwa House REIT Investment Corp. | | | 300 | | | | 723,773 | |
BNP Paribas S.A. | | | 15,000 | | | | 712,551 | |
Aflac, Inc. | | | 13,000 | | | | 712,530 | |
Nippon Prologis REIT, Inc. | | | 300 | | | | 692,607 | |
CNP Assurances | | | 29,800 | | | | 676,533 | |
Toronto-Dominion Bank | | | 11,400 | | | | 666,271 | |
Great-West Lifeco, Inc. | | | 27,900 | | | | 642,484 | |
Direct Line Insurance Group plc | | | 147,100 | | | | 619,836 | |
Japan Retail Fund Investment Corp. REIT | | | 300 | | | | 606,623 | |
Ventas, Inc. REIT | | | 8,100 | | | | 553,635 | |
United Urban Investment Corp. REIT | | | 300 | | | | 502,551 | |
Zurich Insurance Group AG | | | 1,300 | | | | 452,722 | |
HSBC Holdings plc | | | 47,700 | | | | 397,868 | |
Royal Bank of Canada | | | 4,900 | | | | 389,487 | |
Marsh & McLennan Companies, Inc. | | | 3,900 | | | | 389,025 | |
IGM Financial, Inc. | | | 13,400 | | | | 382,676 | |
JPMorgan Chase & Co. | | | 2,900 | | | | 324,220 | |
Tryg A/S | | | 9,700 | | | | 315,377 | |
Bank of Montreal | | | 2,600 | | | | 196,439 | |
Total Financial | | | | | | | 30,134,154 | |
| | | | | | | | | |
Consumer, Non-cyclical - 19.0% |
Johnson & Johnson | | | 14,600 | | | | 2,033,488 | |
Pfizer, Inc. | | | 44,000 | | | | 1,906,080 | |
Procter & Gamble Co. | | | 16,500 | | | | 1,809,225 | |
Roche Holding AG | | | 6,400 | | | | 1,800,928 | |
Philip Morris International, Inc. | | | 16,500 | | | | 1,295,745 | |
Woolworths Group Ltd. | | | 50,500 | | | | 1,178,286 | |
Altria Group, Inc. | | | 24,700 | | | | 1,169,545 | |
Bayer AG | | | 16,600 | | | | 1,150,596 | |
Kimberly-Clark Corp. | | | 8,600 | | | | 1,146,208 | |
Colgate-Palmolive Co. | | | 13,200 | | | | 946,044 | |
Amgen, Inc. | | | 4,900 | | | | 902,972 | |
Japan Tobacco, Inc. | | | 39,600 | | | | 874,021 | |
AbbVie, Inc. | | | 11,700 | | | | 850,824 | |
Kellogg Co. | | | 15,100 | | | | 808,907 | |
H&R Block, Inc. | | | 27,000 | | | | 791,100 | |
Imperial Brands plc | | | 30,600 | | | | 717,600 | |
General Mills, Inc. | | | 13,000 | | | | 682,760 | |
Sanofi | | | 7,300 | | | | 630,281 | |
PepsiCo, Inc. | | | 4,700 | | | | 616,311 | |
Bristol-Myers Squibb Co. | | | 12,500 | | | | 566,875 | |
Mitsubishi Tanabe Pharma Corp. | | | 50,800 | | | | 565,439 | |
Medtronic plc | | | 4,900 | | | | 477,211 | |
Nielsen Holdings plc | | | 19,100 | | | | 431,660 | |
Atlantia SpA | | | 13,000 | | | | 338,751 | |
Otsuka Holdings Company Ltd. | | | 9,400 | | | | 306,562 | |
Wesfarmers Ltd. | | | 11,000 | | | | 279,287 | |
Hershey Co. | | | 1,900 | | | | 254,657 | |
S&P Global, Inc. | | | 1,100 | | | | 250,569 | |
Reed Elsevier plc | | | 9,700 | | | | 235,161 | |
Total Consumer, Non-cyclical | | | | | | | 25,017,093 | |
| | | | | | | | | |
Technology - 15.1% |
Microsoft Corp. | | | 22,000 | | | | 2,947,120 | |
Apple, Inc. | | | 10,200 | | | | 2,018,784 | |
Accenture plc — Class A | | | 7,900 | | | | 1,459,683 | |
International Business Machines Corp. | | | 10,400 | | | | 1,434,160 | |
Texas Instruments, Inc. | | | 11,300 | | | | 1,296,788 | |
Broadcom, Inc. | | | 4,400 | | | | 1,266,584 | |
Paychex, Inc. | | | 13,300 | | | | 1,094,457 | |
Canon, Inc. | | | 37,500 | | | | 1,094,286 | |
Fidelity National Information Services, Inc. | | | 8,600 | | | | 1,055,048 | |
Fiserv, Inc.* | | | 11,500 | | | | 1,048,340 | |
Maxim Integrated Products, Inc. | | | 17,400 | | | | 1,040,868 | |
Oracle Corp. | | | 14,700 | | | | 837,459 | |
Jack Henry & Associates, Inc. | | | 5,200 | | | | 696,384 | |
HP, Inc. | | | 31,600 | | | | 656,964 | |
Seagate Technology plc | | | 12,500 | | | | 589,000 | |
Intuit, Inc. | | | 1,801 | | | | 470,655 | |
Intel Corp. | | | 9,800 | | | | 469,126 | |
CDK Global, Inc. | | | 8,000 | | | | 395,520 | |
Total Technology | | | | | | | 19,871,226 | |
| | | | | | | | | |
Communications - 13.6% |
AT&T, Inc. | | | 57,300 | | | | 1,920,123 | |
Verizon Communications, Inc. | | | 32,400 | | | | 1,851,012 | |
Amazon.com, Inc.* | | | 800 | | | | 1,514,904 | |
Alphabet, Inc. — Class C* | | | 1,281 | | | | 1,384,646 | |
NTT DOCOMO, Inc. | | | 41,900 | | | | 976,475 | |
BCE, Inc. | | | 19,200 | | | | 873,721 | |
Omnicom Group, Inc. | | | 9,900 | | | | 811,305 | |
VeriSign, Inc.* | | | 3,600 | | | | 752,976 | |
TELUS Corp. | | | 19,900 | | | | 735,799 | |
Eutelsat Communications S.A. | | | 38,800 | | | | 725,514 | |
Elisa Oyj | | | 14,800 | | | | 722,325 | |
HKT Trust & HKT Ltd. | | | 452,700 | | | | 718,652 | |
PCCW Ltd. | | | 1,144,700 | | | | 660,929 | |
Proximus SADP | | | 19,600 | | | | 577,834 | |
Interpublic Group of Companies, Inc. | | | 24,700 | | | | 557,973 | |
22| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES D (WORLD EQUITY INCOME SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
WPP plc | | | 43,100 | | | $ | 541,986 | |
Facebook, Inc. — Class A* | | | 2,735 | | | | 527,855 | |
Walt Disney Co. | | | 3,700 | | | | 516,668 | |
KDDI Corp. | | | 19,200 | | | | 488,593 | |
CDW Corp. | | | 2,600 | | | | 288,600 | |
Shaw Communications, Inc. — Class B | | | 12,800 | | | | 261,227 | |
Orange S.A. | | | 16,500 | | | | 260,205 | |
Nippon Telegraph & Telephone Corp. | | | 4,900 | | | | 228,024 | |
Total Communications | | | | | | | 17,897,346 | |
| | | | | | | | | |
Utilities - 7.8% |
NextEra Energy, Inc. | | | 6,500 | | | | 1,331,590 | |
Dominion Energy, Inc. | | | 15,900 | | | | 1,229,388 | |
Duke Energy Corp. | | | 13,800 | | | | 1,217,712 | |
PPL Corp. | | | 31,200 | | | | 967,512 | |
OGE Energy Corp. | | | 21,500 | | | | 915,040 | |
Snam SpA | | | 178,400 | | | | 886,927 | |
Endesa S.A. | | | 29,000 | | | | 745,780 | |
SSE plc | | | 47,800 | | | | 681,097 | |
Power Assets Holdings Ltd. | | | 85,500 | | | | 615,161 | |
WEC Energy Group, Inc. | | | 6,500 | | | | 541,905 | |
Eversource Energy | | | 6,200 | | | | 469,712 | |
EDP - Energias de Portugal S.A. | | | 97,700 | | | | 371,376 | |
National Grid plc | | | 31,700 | | | | 336,473 | |
Total Utilities | | | | | | | 10,309,673 | |
| | | | | | | | | |
Industrial - 7.2% |
Lockheed Martin Corp. | | | 3,428 | | | | 1,246,215 | |
3M Co. | | | 7,100 | | | | 1,230,714 | |
United Parcel Service, Inc. — Class B | | | 11,100 | | | | 1,146,297 | |
Waste Management, Inc. | | | 9,200 | | | | 1,061,404 | |
TE Connectivity Ltd. | | | 9,700 | | | | 929,066 | |
Republic Services, Inc. — Class A | | | 10,000 | | | | 866,400 | |
Emerson Electric Co. | | | 12,300 | | | | 820,656 | |
Bouygues S.A. | | | 15,300 | | | | 566,789 | |
Pentair plc | | | 13,300 | | | | 494,760 | |
Skanska AB — Class B | | | 27,200 | | | | 491,350 | |
Amphenol Corp. — Class A | | | 3,400 | | | | 326,196 | |
Lennox International, Inc. | | | 800 | | | | 220,000 | |
Total Industrial | | | | | | | 9,399,847 | |
| | | | | | | | | |
Consumer, Cyclical - 7.0% |
Home Depot, Inc. | | | 8,400 | | | | 1,746,948 | |
McDonald’s Corp. | | | 6,600 | | | | 1,370,556 | |
Ford Motor Co. | | | 85,800 | | | | 877,734 | |
Nissan Motor Company Ltd. | | | 121,200 | | | | 867,433 | |
Persimmon plc | | | 31,800 | | | | 806,479 | |
Harvey Norman Holdings Ltd. | | | 232,800 | | | | 665,283 | |
Crown Resorts Ltd. | | | 74,200 | | | | 648,638 | |
Lawson, Inc. | | | 11,600 | | | | 556,275 | |
Las Vegas Sands Corp. | | | 8,200 | | | | 484,538 | |
Sekisui House Ltd. | | | 20,800 | | | | 342,551 | |
TJX Companies, Inc. | | | 5,536 | | | | 292,743 | |
L Brands, Inc. | | | 9,900 | | | | 258,390 | |
Singapore Airlines Ltd.* | | | 32,800 | | | | 224,792 | |
Total Consumer, Cyclical | | | | | | | 9,142,360 | |
| | | | | | | | | |
Energy - 3.4% |
BP plc | | | 198,900 | | | | 1,385,478 | |
Eni SpA | | | 67,700 | | | | 1,124,689 | |
TOTAL S.A. | | | 18,300 | | | | 1,025,628 | |
Royal Dutch Shell plc — Class A | | | 29,500 | | | | 963,752 | |
Total Energy | | | | | | | 4,499,547 | |
| | | | | | | | | |
Basic Materials - 1.0% |
Rio Tinto plc | | | 20,900 | | | | 1,295,252 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $120,124,667) | | | | | | | 127,566,498 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 1.9% |
iShares Edge MSCI Min Vol Global ETF | | | 27,457 | | | | 2,529,339 | |
Total Exchange-Traded Funds | | | | | | | | |
(Cost $2,506,272) | | | | | | | 2,529,339 | |
| | | | | | | | | |
MONEY MARKET FUND† - 0.7% |
Goldman Sachs Financial Square Treasury Instruments Fund – Institutional Class 2.08%1 | | | 969,721 | | | | 969,721 | |
Total Money Market Fund | | | | | | | | |
(Cost $969,721) | | | | | | | 969,721 | |
| | | | | | | | | |
Total Investments - 99.6% | | | | | | | | |
(Cost $123,600,660) | | | | | | $ | 131,065,558 | |
Other Assets & Liabilities, net - 0.4% | | | | | | | 550,170 | |
Total Net Assets - 100.0% | | | | | | $ | 131,615,728 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of June 30, 2019. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 23 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES D (WORLD EQUITY INCOME SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 127,566,498 | | | $ | — | | | $ | — | | | $ | 127,566,498 | |
Exchange-Traded Funds | | | 2,529,339 | | | | — | | | | — | | | | 2,529,339 | |
Money Market Fund | | | 969,721 | | | | — | | | | — | | | | 969,721 | |
Total Assets | | $ | 131,065,558 | | | $ | — | | | $ | — | | | $ | 131,065,558 | |
24| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES D (WORLD EQUITY INCOME SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments, at value (cost $123,600,660) | | $ | 131,065,558 | |
Foreign currency, at value (cost $43,527) | | | 43,524 | |
Prepaid expenses | | | 2,949 | |
Receivables: |
Dividends | | | 403,961 | |
Foreign tax reclaims | | | 353,143 | |
Interest | | | 2,003 | |
Total assets | | | 131,871,138 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 101,983 | |
Management fees | | | 40,672 | |
Printing fees | | | 34,333 | |
Distribution and service fees | | | 24,987 | |
Professional fees | | | 15,420 | |
Fund accounting/administration fees | | | 7,996 | |
Trustees’ fees* | | | 6,725 | |
Transfer agent/maintenance fees | | | 2,276 | |
Miscellaneous | | | 21,018 | |
Total liabilities | | | 255,410 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 131,615,728 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 113,115,221 | |
Total distributable earnings (loss) | | | 18,500,507 | |
Net assets | | $ | 131,615,728 | |
Capital shares outstanding | | | 9,026,577 | |
Net asset value per share | | $ | 14.58 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Dividends (net of foreign withholding tax of $240,639) | | $ | 2,421,526 | |
Interest | | | 8,131 | |
Total investment income | | | 2,429,657 | |
| | | | | |
Expenses: |
Management fees | | | 454,028 | |
Distribution and service fees | | | 162,152 | |
Transfer agent/maintenance fees | | | 12,264 | |
Fund accounting/administration fees | | | 51,889 | |
Trustees’ fees* | | | 16,317 | |
Custodian fees | | | 9,278 | |
Miscellaneous | | | 59,754 | |
Total expenses | | | 765,682 | |
Less: |
Expenses reimbursed by Adviser | | | (1,897 | ) |
Expenses waived by Adviser | | | (185,631 | ) |
Earnings credits applied | | | (232 | ) |
Total waived/reimbursed expenses | | | (187,760 | ) |
Net expenses | | | 577,922 | |
Net investment income | | | 1,851,735 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (421,086 | ) |
Futures contracts | | | (506,671 | ) |
Foreign currency transactions | | | 3,169 | |
Net realized loss | | | (924,588 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 14,530,146 | |
Futures contracts | | | (159,575 | ) |
Foreign currency translations | | | 5,485 | |
Net change in unrealized appreciation (depreciation) | | | 14,376,056 | |
Net realized and unrealized gain | | | 13,451,468 | |
Net increase in net assets resulting from operations | | $ | 15,303,203 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 25 |
SERIES D (WORLD EQUITY INCOME SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,851,735 | | | $ | 3,430,267 | |
Net realized gain (loss) on investments | | | (924,588 | ) | | | 8,547,523 | |
Net change in unrealized appreciation (depreciation) on investments | | | 14,376,056 | | | | (22,855,163 | ) |
Net increase (decrease) in net assets resulting from operations | | | 15,303,203 | | | | (10,877,373 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (4,156,958 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 628,627 | | | | 3,054,237 | |
Distributions reinvested | | | — | | | | 4,156,958 | |
Cost of shares redeemed | | | (9,628,025 | ) | | | (27,976,438 | ) |
Net decrease from capital share transactions | | | (8,999,398 | ) | | | (20,765,243 | ) |
Net increase (decrease) in net assets | | | 6,303,805 | | | | (35,799,574 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 125,311,923 | | | | 161,111,497 | |
End of period | | $ | 131,615,728 | | | $ | 125,311,923 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 44,651 | | | | 208,853 | |
Shares issued from reinvestment of distributions | | | — | | | | 288,077 | |
Shares redeemed | | | (686,229 | ) | | | (1,924,607 | ) |
Net decrease in shares | | | (641,578 | ) | | | (1,427,677 | ) |
26| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES D (WORLD EQUITY INCOME SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 12.96 | | | $ | 14.52 | | | $ | 12.98 | | | $ | 12.12 | | | $ | 12.60 | | | $ | 12.00 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .20 | | | | .33 | | | | .33 | | | | .37 | | | | .36 | | | | .37 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.42 | | | | (1.47 | ) | | | 1.60 | | | | .88 | | | | (.43 | ) | | | .23 | |
Total from investment operations | | | 1.62 | | | | (1.14 | ) | | | 1.93 | | | | 1.25 | | | | (.07 | ) | | | .60 | |
Less distributions from: |
Net investment income | | | — | | | | (.42 | ) | | | (.39 | ) | | | (.39 | ) | | | (.41 | ) | | | (— | )c |
Total distributions | | | — | | | | (.42 | ) | | | (.39 | ) | | | (.39 | ) | | | (.41 | ) | | | (— | )c |
Net asset value, end of period | | $ | 14.58 | | | $ | 12.96 | | | $ | 14.52 | | | $ | 12.98 | | | $ | 12.12 | | | $ | 12.60 | |
|
Total Returnd | | | 12.50% | | | | (8.17 | %) | | | 15.06% | | | | 10.37% | | | | (0.67 | %) | | | 5.00% | |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 131,616 | | | $ | 125,312 | | | $ | 161,111 | | | $ | 159,978 | | | $ | 158,063 | | | $ | 178,548 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.85 | % | | | 2.29 | % | | | 2.38 | % | | | 2.92 | % | | | 2.88 | % | | | 2.95 | % |
Total expensese | | | 1.18 | % | | | 1.17 | % | | | 1.12 | % | | | 0.91 | % | | | 0.96 | % | | | 1.01 | % |
Net expensesf,g | | | 0.89 | % | | | 0.90 | % | | | 0.90 | % | | | 0.91 | % | | | 0.96 | % | | | 1.01 | % |
Portfolio turnover rate | | | 49 | % | | | 134 | % | | | 112 | % | | | 43 | % | | | 110 | % | | | 132 | % |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Distributions from net investment income are less than $0.01 per share. |
d | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
e | Does not include expenses of the underlying funds in which the Fund invests. |
f | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
g | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods would be: |
| | 06/30/19 | 12/31/18 | 12/31/17 |
| | 0.89% | 0.90% | 0.88% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 27 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES E (TOTAL RETURN BOND SERIES)
OBJECTIVE: Seeks to provide total return, comprised of current income and capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Ultra Short Duration Fund.
Inception Date: April 26, 1985 |
Ten Largest Holdings (% of Total Net Assets) |
U.S. Treasury Notes, 2.38% due 03/15/22 | 7.1% |
U.S. Treasury Notes, 2.38% due 02/29/24 | 5.5% |
Guggenheim Total Return Bond Fund — R6 Class | 4.4% |
Federative Republic of Brazil | 2.6% |
U.S. Treasury Notes, 2.50% due 02/28/26 | 2.5% |
U.S. Treasury Notes, 2.88% due 11/30/23 | 2.3% |
Guggenheim Limited Duration Fund — R6 Class | 2.2% |
Government of Japan | 2.2% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 1.8% |
U.S. Treasury Bonds, 2.88% | 1.4% |
Top Ten Total | 32.0% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2019 |
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series E (Total Return Bond Series) | 3.53% | 4.07% | 4.28% | 4.98% |
Bloomberg Barclays U.S. Aggregate Bond Index | 6.11% | 7.87% | 2.95% | 3.90% |
Portfolio Composition by Quality Rating1 |
Rating | % of Total
Investments |
Fixed Income Instruments | |
AAA | 48.0% |
AA | 4.3% |
A | 13.8% |
BBB | 12.6% |
BB | 3.2% |
B | 2.7% |
CCC | 1.3% |
CC | 1.0% |
C | 0.3% |
NR2 | 2.4% |
Other Instruments | 10.4% |
Total Investments | 100.0% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
1 | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter. |
2 | NR securities do not necessarily indicate low credit quality. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
MUTUAL FUNDS† - 8.6% |
Guggenheim Total Return Bond Fund — R6 Class1 | | | 220,338 | | | $ | 5,993,187 | |
Guggenheim Limited Duration Fund — R6 Class1 | | | 121,971 | | | | 3,007,801 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 253,180 | | | | 2,521,668 | |
Guggenheim Floating Rate Strategies Fund — R6 Class1 | | | 8,366 | | | | 211,752 | |
Total Mutual Funds | | | | | | | | |
(Cost $11,564,844) | | | | | | | 11,734,408 | |
| | | | | | | | | |
MONEY MARKET FUND† - 0.6% |
Dreyfus Treasury Securities Cash Management - Institutional Shares 2.10%2 | | | 884,092 | | | | 884,092 | |
Total Money Market Fund | | | | | | | | |
(Cost $884,092) | | | | | | | 884,092 | |
| | | | | | | | | |
| | | Face
Amount~ | | | | | |
| | | | | | | | | |
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 27.2% |
Government Agency - 15.8% |
Fannie Mae | | | | | | | | |
3.16% due 01/01/30 | | | 1,300,000 | | | | 1,365,798 | |
3.58% due 04/01/33 | | | 1,277,862 | | | | 1,363,205 | |
3.00% due 12/01/29 | | | 1,250,000 | | | | 1,294,158 | |
2.94% due 10/01/32 | | | 1,164,751 | | | | 1,191,390 | |
3.43% due 08/01/34††† | | | 1,000,000 | | | | 1,063,523 | |
3.83% due 05/01/49 | | | 1,000,000 | | | | 1,054,607 | |
3.01% due 12/01/27 | | | 1,000,000 | | | | 1,042,104 | |
3.37% due 06/01/39 | | | 1,000,000 | | | | 1,041,019 | |
3.33% due 04/01/30 | | | 980,828 | | | | 1,032,801 | |
2.99% due 09/01/29 | | | 500,000 | | | | 517,674 | |
3.08% due 10/01/32 | | | 500,000 | | | | 517,564 | |
2.96% due 11/01/29 | | | 500,000 | | | | 516,325 | |
3.11% due 10/01/29 | | | 500,000 | | | | 515,425 | |
2.86% due 09/01/29 | | | 500,000 | | | | 514,177 | |
2.90% due 11/01/29 | | | 500,000 | | | | 513,642 | |
1.95% due 11/01/20 | | | 250,000 | | | | 249,239 | |
Freddie Mac Multifamily Structured Pass Through Certificates | | | | | | | | |
2019-K087, 3.77% due 12/25/28 | | | 1,250,000 | | | | 1,379,246 | |
2017-KGX1, 3.00% due 10/25/27 | | | 1,200,000 | | | | 1,238,934 | |
2017-KW03, 3.02% due 06/25/27 | | | 1,050,000 | | | | 1,081,281 | |
2018-K074, 3.60% due 02/25/28 | | | 1,000,000 | | | | 1,080,156 | |
Freddie Mac Seasoned Credit Risk Transfer Trust | | | | | | | | |
2017-4, 3.00% due 06/25/573 | | | 1,082,528 | | | | 1,107,400 | |
2017-3, 3.00% due 07/25/56 | | | 1,072,453 | | | | 1,083,666 | |
Fannie Mae-Aces | | | | | | | | |
2017-M11, 2.98% due 08/25/29 | | | 900,000 | | | | 919,645 | |
Total Government Agency | | | | | | | 21,682,979 | |
| | | | | | | | | |
Residential Mortgage Backed Securities - 7.9% |
JP Morgan Mortgage Acquisition Trust | | | | | | | | |
2006-WMC4, 2.52% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/364 | | | 1,596,794 | | | | 1,024,746 | |
Soundview Home Loan Trust | | | | | | | | |
2006-OPT5, 2.54% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/364 | | | 1,005,080 | | | | 979,272 | |
Home Equity Loan Trust | | | | | | | | |
2007-FRE1, 2.59% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/374 | | | 1,011,306 | | | | 955,925 | |
CSMC Trust | | | | | | | | |
2018-RPL9, 3.85% (WAC) due 09/25/574,5 | | | 895,917 | | | | 929,490 | |
GSAA Trust | | | | | | | | |
2005-10, 3.05% (1 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 06/25/354 | | | 895,744 | | | | 900,204 | |
NovaStar Mortgage Funding Trust Series | | | | | | | | |
2007-2, 2.60% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/374 | | | 868,689 | | | | 843,951 | |
Luminent Mortgage Trust | | | | | | | | |
2006-2, 2.60% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/25/464 | | | 828,174 | | | | 720,609 | |
CIM Trust | | | | | | | | |
2018-R2, 3.69% (WAC) due 08/25/574,5 | | | 685,418 | | | | 693,241 | |
Wachovia Asset Securitization Issuance II LLC Trust | | | | | | | | |
2007-HE2A, 2.53% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 07/25/374,5 | | | 678,682 | | | | 649,952 | |
CIT Mortgage Loan Trust | | | | | | | | |
2007-1, 3.88% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 10/25/374,5 | | | 446,536 | | | | 448,348 | |
2007-1, 3.78% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/374,5 | | | 183,843 | | | | 185,927 | |
CSMC Series | | | | | | | | |
2015-12R, 2.93% (WAC) due 11/30/374,5 | | | 619,953 | | | | 616,888 | |
HarborView Mortgage Loan Trust | | | | | | | | |
2006-14, 2.54% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/474 | | | 606,788 | | | | 595,347 | |
American Home Mortgage Investment Trust | | | | | | | | |
2007-1, 2.08% due 05/25/476 | | | 2,598,198 | | | | 428,692 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | | | | | | | | |
2006-AR9, 3.34% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/464 | | | 370,982 | | | | 333,572 | |
30| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | Face
Amount~ | | | Value | |
| | | | | | | | | |
Towd Point Mortgage Trust | | | | | | | | |
2018-1, 3.00% (WAC) due 01/25/584,5 | | | 289,501 | | | $ | 292,551 | |
UCFC Manufactured Housing Contract | | | | | | | | |
1997-2, 7.38% due 10/15/28 | | | 124,506 | | | | 131,624 | |
Morgan Stanley Re-REMIC Trust | | | | | | | | |
2010-R5, 3.83% due 06/26/365 | | | 83,836 | | | | 77,559 | |
Total Residential Mortgage Backed Securities | | | | | | | 10,807,898 | |
| | | | | | | | | |
Commercial Mortgage Backed Securities - 2.0% |
Wells Fargo Commercial Mortgage Trust | | | | | | | | |
2015-NXS1, 2.63% due 05/15/48 | | | 450,000 | | | | 449,426 | |
2016-NXS5, 1.68% (WAC) due 01/15/594,6 | | | 4,825,963 | | | | 319,722 | |
CGBAM Mezzanine Securities Trust | | | | | | | | |
2015-SMMZ, 8.21% due 04/10/285 | | | 500,000 | | | | 515,628 | |
CGBAM Commercial Mortgage Trust | | | | | | | | |
2015-SMRT, 3.77% due 04/10/285 | | | 450,000 | | | | 453,313 | |
Citigroup Commercial Mortgage Trust | | | | | | | | |
2016-GC37, 1.94% (WAC) due 04/10/494,6 | | | 3,760,765 | | | | 353,753 | |
CFCRE Commercial Mortgage Trust | | | | | | | | |
2016-C3, 1.20% (WAC) due 01/10/484,6 | | | 5,806,622 | | | | 328,230 | |
COMM Mortgage Trust | | | | | | | | |
2015-CR26, 1.11% (WAC) due 10/10/484,6 | | | 6,485,719 | | | | 305,308 | |
Total Commercial Mortgage Backed Securities | | | | | | | 2,725,380 | |
| | | | | | | | | |
Military Housing - 1.5% |
GMAC Commercial Mortgage Asset Corp. | | | | | | | | |
2007-HCKM, 6.11% due 08/10/525 | | | 957,490 | | | | 1,054,823 | |
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | | | | | | | | |
2015-R1, 1.93% (WAC) due 11/25/554,5 | | | 961,055 | | | | 1,049,257 | |
Total Military Housing | | | | | | | 2,104,080 | |
Total Collateralized Mortgage Obligations | | | | | | | | |
(Cost $36,172,665) | | | | | | | 37,320,337 | |
| | | | | | | | | |
U.S. GOVERNMENT SECURITIES†† - 19.7% |
U.S. Treasury Notes | | | | | | | | |
2.38% due 03/15/22 | | | 9,527,000 | | | | 9,696,700 | |
2.38% due 02/29/24 | | | 7,260,000 | | | | 7,464,471 | |
2.50% due 02/28/26 | | | 3,292,000 | | | | 3,424,066 | |
2.88% due 11/30/23 | | | 3,045,000 | | | | 3,190,827 | |
U.S. Treasury Bonds | | | | | | | | |
2.88% due 05/15/49 | | | 1,852,000 | | | | 1,983,376 | |
U.S. Treasury Inflation Protected Securities | | | | | | | | |
1.38% due 01/15/207 | | | 1,287,879 | | | | 1,285,061 | |
Total U.S. Government Securities | | | | | | | | |
(Cost $26,589,522) | | | | | | | 27,044,501 | |
| | | | | | | | | |
ASSET-BACKED SECURITIES†† - 15.6% |
Collateralized Loan Obligations - 6.2% |
FDF II Ltd. | | | | | | | | |
2016-2A, 4.29% due 05/12/315 | | | 1,000,000 | | | | 1,002,122 | |
NXT Capital CLO LLC | | | | | | | | |
2017-1A, 4.29% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 04/20/294,5 | | | 1,000,000 | | | | 1,000,134 | |
THL Credit Wind River CLO Ltd. | | | | | | | | |
2019-1A due 01/15/264,5 | | | 1,000,000 | | | | 1,000,000 | |
Marathon CLO VII Ltd. | | | | | | | | |
2017-7A, 4.23% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/28/254,5 | | | 1,000,000 | | | | 999,635 | |
MP CLO VIII Ltd. | | | | | | | | |
2018-2A, 3.49% (3 Month USD LIBOR + 0.91%, Rate Floor: 0.00%) due 10/28/274,5 | | | 1,000,000 | | | | 998,391 | |
Dryden 37 Senior Loan Fund | | | | | | | | |
2015-37A, due 01/15/315,8 | | | 1,000,000 | | | | 913,946 | |
Golub Capital Partners CLO Ltd. | | | | | | | | |
2018-36A, 3.87% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/314,5 | | | 850,000 | | | | 837,210 | |
Fortress Credit Opportunities XI CLO Ltd. | | | | | | | | |
2018-11A, 3.90% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/314,5 | | | 750,000 | | | | 736,894 | |
Fortress Credit Opportunities IX CLO Ltd. | | | | | | | | |
2017-9A, 4.07% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/294,5 | | | 509,000 | | | | 506,767 | |
Treman Park CLO Ltd. | | | | | | | | |
2015-1A, due 10/20/285,8 | | | 500,000 | | | | 435,618 | |
Copper River CLO Ltd. | | | | | | | | |
2007-1A, due 01/20/218,9 | | | 600,000 | | | | 91,577 | |
Babson CLO Ltd. | | | | | | | | |
2012-2A, due 05/15/235,8 | | | 750,000 | | | | 9,150 | |
Total Collateralized Loan Obligations | | | | | | | 8,531,444 | |
| | | | | | | | | |
Transport-Aircraft - 3.0% |
Willis Engine Securitization Trust II | | | | | | | | |
2012-A, 5.50% due 09/15/373,5 | | | 1,309,024 | | | | 1,352,645 | |
Castlelake Aircraft Securitization Trust | | | | | | | | |
2017-1, 3.97% due 07/15/42 | | | 785,582 | | | | 793,978 | |
Raspro Trust | | | | | | | | |
2005-1A, 3.52% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/244,5 | | | 644,381 | | | | 622,850 | |
AIM Aviation Finance Ltd. | | | | | | | | |
2015-1A, 4.21% due 02/15/405 | | | 571,500 | | | | 579,621 | |
Turbine Engines Securitization Ltd. | | | | | | | | |
2013-1A, 5.13% due 12/13/489 | | | 446,018 | | | | 433,909 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 31 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | Face
Amount~ | | | Value | |
| | | | | | | | | |
Falcon Aerospace Ltd. | | | | | | | | |
2017-1, 4.58% due 02/15/425 | | | 323,953 | | | $ | 328,650 | |
Total Transport-Aircraft | | | | | | | 4,111,653 | |
| | | | | | | | | |
Financial - 2.5% |
Station Place Securitization Trust | | | | | | | | |
2018-6, 3.13% (1 Month USD LIBOR + 0.70%, Rate Floor: 0.70%) due 09/24/194 | | | 1,000,000 | | | | 999,999 | |
2019-1, 3.03% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 09/24/194,5 | | | 750,000 | | | | 749,999 | |
2019-6, 3.03% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 07/24/214,5 | | | 700,000 | | | | 700,000 | |
2019-2, 2.98% (1 Month USD LIBOR + 0.55%, Rate Floor: 0.55%) due 04/24/214,5 | | | 250,000 | | | | 250,000 | |
Barclays Bank plc | | | | | | | | |
GMTN, 3.15% (1 Month USD LIBOR + 0.72%) due 10/31/194 | | | 700,000 | | | | 700,276 | |
Total Financial | | | | | | | 3,400,274 | |
| | | | | | | | | |
Collateralized Debt Obligations - 1.0% |
Anchorage Credit Funding Ltd. | | | | | | | | |
2016-4A, 3.50% due 02/15/355 | | | 1,000,000 | | | | 971,274 | |
Putnam Structured Product Funding Ltd. | | | | | | | | |
2003-1A, 3.39% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 10/15/384,5 | | | 324,734 | | | | 321,592 | |
N-Star REL CDO VIII Ltd. | | | | | | | | |
2006-8A, 2.85% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 02/01/414,5 | | | 108,390 | | | | 106,968 | |
Total Collateralized Debt Obligations | | | | | | | 1,399,834 | |
| | | | | | | | | |
Whole Business - 0.9% |
Taco Bell Funding LLC | | | | | | | | |
2016-1A, 4.97% due 05/25/465 | | | 752,885 | | | | 792,193 | |
Domino’s Pizza Master Issuer LLC | | | | | | | | |
2017-1A, 3.83% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/25/474,5 | | | 491,250 | | | | 488,455 | |
Total Whole Business | | | | | | | 1,280,648 | |
| | | | | | | | | |
Net Lease - 0.9% |
Store Master Funding I-VII | | | | | | | | |
2016-1A, 3.96% due 10/20/465 | | | 1,189,288 | | | | 1,219,054 | |
| | | | | | | | | |
Transport-Container - 0.7% |
Textainer Marine Containers Ltd. | | | | | | | | |
2017-2A, 3.52% due 06/20/425 | | | 923,802 | | | | 929,120 | |
| | | | | | | | | |
Insurance - 0.3% |
Chesterfield Financial Holdings LLC | | | | | | | | |
2014-1A, 4.50% due 12/15/345 | | | 432,000 | | | | 433,335 | |
| | | | | | | | | |
Diversified Payment Rights - 0.1% |
CIC Receivables Master Trust | | | | | | | | |
REGD, 4.89% due 10/07/21 | | | 97,554 | | | | 99,091 | |
Total Asset-Backed Securities | | | | | | | | |
(Cost $21,262,725) | | | | | | | 21,404,453 | |
| | | | | | | | | |
FOREIGN GOVERNMENT DEBT†† - 10.9% |
Government of Japan | | | | | | | | |
due 07/01/1910 | | JPY | 318,400,000 | | | | 2,953,344 | |
due 01/20/2010 | | JPY | 207,000,000 | | | | 1,922,300 | |
due 07/29/1910 | | JPY | 132,000,000 | | | | 1,224,520 | |
due 07/08/1910 | | JPY | 70,450,000 | | | | 653,476 | |
due 08/13/1910 | | JPY | 43,300,000 | | | | 401,703 | |
due 07/22/1910 | | JPY | 22,000,000 | | | | 204,079 | |
due 08/19/1910 | | JPY | 21,000,000 | | | | 194,825 | |
Federative Republic of Brazil | | | | | | | | |
due 10/01/1910 | | BRL | 13,690,000 | | | | 3,512,301 | |
due 01/01/2010 | | BRL | 2,800,000 | | | | 708,327 | |
Republic of Portugal | | | | | | | | |
due 07/19/1910 | | EUR | 800,000 | | | | 910,118 | |
due 01/17/2010 | | EUR | 440,000 | | | | 501,563 | |
State of Israel | | | | | | | | |
5.00% due 01/31/20 | | ILS | 3,300,000 | | | | 950,101 | |
Kingdom of Spain | | | | | | | | |
due 01/17/2010 | | EUR | 438,000 | | | | 499,395 | |
Province of New Brunswick, Canada | | | | | | | | |
due 07/11/1910 | | CAD | 140,000 | | | | 106,863 | |
Province of Quebec, Canada | | | | | | | | |
due 07/26/1910 | | CAD | 130,000 | | | | 99,152 | |
Province of Newfoundland, Canada | | | | | | | | |
due 07/09/1910 | | CAD | 100,000 | | | | 76,339 | |
Total Foreign Government Debt | | | | | | | | |
(Cost $14,637,713) | | | | | | | 14,918,406 | |
| | | | | | | | | |
CORPORATE BONDS†† - 9.4% |
Financial - 3.8% |
Synchrony Bank | | | | | | | | |
2.95% (3 Month USD LIBOR + 0.63%) due 03/30/204 | | | 450,000 | | | | 450,387 | |
Assurant, Inc. | | | | | | | | |
3.58% (3 Month USD LIBOR + 1.25%) due 03/26/214 | | | 370,000 | | | | 370,025 | |
American Equity Investment Life Holding Co. | | | | | | | | |
5.00% due 06/15/27 | | | 354,000 | | | | 363,098 | |
Standard Chartered Bank | | | | | | | | |
2.97% (3 Month USD LIBOR + 0.40%) due 08/04/204 | | | 320,000 | | | | 320,516 | |
Lloyds Bank Corporate Markets plc NY | | | | | | | | |
2.94% (3 Month USD LIBOR + 0.37%) due 08/05/204 | | | 320,000 | | | | 320,343 | |
Credit Suisse AG NY | | | | | | | | |
2.98% (3 Month USD LIBOR + 0.40%) due 07/31/204 | | | 320,000 | | | | 320,338 | |
Alexandria Real Estate Equities, Inc. | | | | | | | | |
2.75% due 01/15/20 | | | 310,000 | | | | 310,129 | |
32| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | Face
Amount~ | | | Value | |
| | | | | | | | | |
Morgan Stanley | | | | | | | | |
5.50% due 07/24/20 | | | 300,000 | | | $ | 309,671 | |
ANZ New Zealand Int’l Ltd. | | | | | | | | |
2.85% due 08/06/205 | | | 300,000 | | | | 301,843 | |
UBS AG | | | | | | | | |
3.03% (3 Month USD LIBOR + 0.58%, Rate Floor: 0.00%) due 06/08/204,5 | | | 300,000 | | | | 301,163 | |
Jefferies Group LLC | | | | | | | | |
8.50% due 07/15/19 | | | 300,000 | | | | 300,634 | |
Ventas Realty Limited Partnership / Ventas Capital Corp. | | | | | | | | |
2.70% due 04/01/20 | | | 300,000 | | | | 300,392 | |
Capital One Financial Corp. | | | | | | | | |
3.03% (3 Month USD LIBOR + 0.45%) due 10/30/204 | | | 290,000 | | | | 290,279 | |
3.30% (3 Month USD LIBOR + 0.76%) due 05/12/204 | | | 10,000 | | | | 10,042 | |
Aspen Insurance Holdings Ltd. | | | | | | | | |
6.00% due 12/15/20 | | | 250,000 | | | | 261,183 | |
Discover Bank | | | | | | | | |
3.10% due 06/04/20 | | | 250,000 | | | | 251,207 | |
Hospitality Properties Trust | | | | | | | | |
5.25% due 02/15/26 | | | 85,000 | | | | 87,305 | |
American Tower Corp. | | | | | | | | |
2.80% due 06/01/20 | | | 70,000 | | | | 70,160 | |
Liberty Property, LP | | | | | | | | |
4.75% due 10/01/20 | | | 55,000 | | | | 56,259 | |
ERP Operating, LP | | | | | | | | |
4.75% due 07/15/20 | | | 50,000 | | | | 50,858 | |
Nomura Holdings, Inc. | | | | | | | | |
6.70% due 03/04/20 | | | 30,000 | | | | 30,844 | |
Reinsurance Group of America, Inc. | | | | | | | | |
6.45% due 11/15/19 | | | 25,000 | | | | 25,354 | |
American Express Co. | | | | | | | | |
2.20% due 10/30/20 | | | 25,000 | | | | 24,970 | |
Total Financial | | | | | | | 5,127,000 | |
| | | | | | | | | |
Consumer, Non-cyclical - 2.8% |
Mondelez International, Inc. | | | | | | | | |
3.00% due 05/07/20 | | | 360,000 | | | | 361,457 | |
Biogen, Inc. | | | | | | | | |
2.90% due 09/15/20 | | | 340,000 | | | | 341,708 | |
Zimmer Biomet Holdings, Inc. | | | | | | | | |
2.70% due 04/01/20 | | | 325,000 | | | | 325,405 | |
Cigna Corp. | | | | | | | | |
2.76% (3 Month USD LIBOR + 0.35%) due 03/17/204,5 | | | 325,000 | | | | 325,262 | |
Allergan Funding SCS | | | | | | | | |
3.69% (3 Month USD LIBOR + 1.26%) due 03/12/204 | | | 300,000 | | | | 301,915 | |
Humana, Inc. | | | | | | | | |
2.50% due 12/15/20 | | | 300,000 | | | | 300,159 | |
Quest Diagnostics, Inc. | | | | | | | | |
2.50% due 03/30/20 | | | 300,000 | | | | 299,622 | |
Bayer US Finance LLC | | | | | | | | |
2.38% due 10/08/195 | | | 300,000 | | | | 299,606 | |
Anthem, Inc. | | | | | | | | |
2.50% due 11/21/20 | | | 200,000 | | | | 200,399 | |
4.35% due 08/15/20 | | | 90,000 | | | | 91,935 | |
Molson Coors Brewing Co. | | | | | | | | |
2.25% due 03/15/20 | | | 290,000 | | | | 289,283 | |
BAT Capital Corp. | | | | | | | | |
2.30% due 08/14/20 | | | 155,000 | | | | 154,678 | |
Reynolds American, Inc. | | | | | | | | |
6.88% due 05/01/20 | | | 145,000 | | | | 150,063 | |
Constellation Brands, Inc. | | | | | | | | |
2.25% due 11/06/20 | | | 100,000 | | | | 99,786 | |
2.00% due 11/07/19 | | | 50,000 | | | | 49,889 | |
AstraZeneca plc | | | | | | | | |
2.38% due 11/16/20 | | | 100,000 | | | | 100,015 | |
S&P Global, Inc. | | | | | | | | |
3.30% due 08/14/20 | | | 70,000 | | | | 70,732 | |
ERAC USA Finance LLC | | | | | | | | |
5.25% due 10/01/205 | | | 50,000 | | | | 51,700 | |
Thermo Fisher Scientific, Inc. | | | | | | | | |
4.70% due 05/01/20 | | | 10,000 | | | | 10,184 | |
Total Consumer, Non-cyclical | | | | | | | 3,823,798 | |
| | | | | | | | | |
Utilities - 0.8% |
NextEra Energy Capital Holdings, Inc. | | | | | | | | |
2.78% (3 Month USD LIBOR + 0.45%) due 09/28/204 | | | 330,000 | | | | 329,676 | |
Ameren Corp. | | | | | | | | |
2.70% due 11/15/20 | | | 300,000 | | | | 300,977 | |
Exelon Corp. | | | | | | | | |
2.85% due 06/15/20 | | | 250,000 | | | | 250,792 | |
DTE Energy Co. | | | | | | | | |
2.40% due 12/01/19 | | | 70,000 | | | | 69,993 | |
PSEG Power LLC | | | | | | | | |
5.13% due 04/15/20 | | | 50,000 | | | | 51,026 | |
Pennsylvania Electric Co. | | | | | | | | |
5.20% due 04/01/20 | | | 30,000 | | | | 30,525 | |
American Electric Power Company, Inc. | | | | | | | | |
2.15% due 11/13/20 | | | 25,000 | | | | 24,944 | |
Total Utilities | | | | | | | 1,057,933 | |
| | | | | | | | | |
Industrial - 0.7% |
Harris Corp. | | | | | | | | |
2.70% due 04/27/20 | | | 330,000 | | | | 330,339 | |
Molex Electronic Technologies LLC | | | | | | | | |
2.88% due 04/15/205 | | | 200,000 | | | | 200,097 | |
Rolls-Royce plc | | | | | | | | |
2.38% due 10/14/205 | | | 200,000 | | | | 199,689 | |
Ryder System, Inc. | | | | | | | | |
2.50% due 05/11/20 | | | 100,000 | | | | 99,966 | |
United Technologies Corp. | | | | | | | | |
1.90% due 05/04/20 | | | 100,000 | | | | 99,677 | |
Ingersoll-Rand Luxembourg Finance S.A. | | | | | | | | |
2.63% due 05/01/20 | | | 50,000 | | | | 50,027 | |
Vulcan Materials Co. | | | | | | | | |
3.01% (3 Month USD LIBOR + 0.60%) due 06/15/204 | | | 10,000 | | | | 10,001 | |
Total Industrial | | | | | | | 989,796 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 33 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | Face
Amount~ | | | Value | |
| | | | | | | | | |
Technology - 0.5% |
Analog Devices, Inc. | | | | | | | | |
2.95% due 01/12/21 | | | 300,000 | | | $ | 302,728 | |
Broadcom Corporation / Broadcom Cayman Finance Ltd. | | | | | | | | |
2.38% due 01/15/20 | | | 300,000 | | | | 299,479 | |
QUALCOMM, Inc. | | | | | | | | |
2.25% due 05/20/20 | | | 40,000 | | | | 39,987 | |
Fiserv, Inc. | | | | | | | | |
2.70% due 06/01/20 | | | 20,000 | | | | 20,040 | |
Total Technology | | | | | | | 662,234 | |
| | | | | | | | | |
Basic Materials - 0.4% |
Yamana Gold, Inc. | | | | | | | | |
4.95% due 07/15/24 | | | 483,000 | | | | 509,031 | |
Georgia-Pacific LLC | | | | | | | | |
5.40% due 11/01/205 | | | 80,000 | | | | 83,148 | |
Total Basic Materials | | | | | | | 592,179 | |
| | | | | | | | | |
Energy - 0.2% |
Florida Gas Transmission Company LLC | | | | | | | | |
5.45% due 07/15/205 | | | 100,000 | | | | 102,600 | |
Pioneer Natural Resources Co. | | | | | | | | |
7.50% due 01/15/20 | | | 80,000 | | | | 82,040 | |
Enterprise Products Operating LLC | | | | | | | | |
2.55% due 10/15/19 | | | 70,000 | | | | 69,978 | |
Marathon Petroleum Corp. | | | | | | | | |
3.40% due 12/15/20 | | | 50,000 | | | | 50,519 | |
Total Energy | | | | | | | 305,137 | |
| | | | | | | | | |
Consumer, Cyclical - 0.2% |
Marriott International, Inc. | | | | | | | | |
3.12% (3 Month USD LIBOR + 0.60%) due 12/01/204 | | | 300,000 | | | | 301,146 | |
| | | | | | | | | |
Communications - 0.0% |
Telefonica Emisiones S.A. | | | | | | | | |
5.13% due 04/27/20 | | | 30,000 | | | | 30,613 | |
Juniper Networks, Inc. | | | | | | | | |
3.30% due 06/15/20 | | | 20,000 | | | | 20,118 | |
Total Communications | | | | | | | 50,731 | |
Total Corporate Bonds | | | | | | | | |
(Cost $12,852,608) | | | | | | | 12,909,954 | |
| | | | | | | | | |
FEDERAL AGENCY BONDS†† - 4.5% |
Freddie Mac Principal Strips | | | | | | | | |
due 07/15/3210,13 | | | 1,950,000 | | | | 1,403,023 | |
due 03/15/3110,13 | | | 1,500,000 | | | | 1,120,995 | |
Fannie Mae Principal Strips | | | | | | | | |
due 07/15/3710,13 | | | 2,500,000 | | | | 1,467,596 | |
due 05/15/3010,13 | | | 1,350,000 | | | | 1,024,601 | |
Tennessee Valley Authority | | | | | | | | |
5.38% due 04/01/56 | | | 750,000 | | | | 1,102,853 | |
Total Federal Agency Bonds | | | | | | | | |
(Cost $5,530,572) | | | | | | | 6,119,068 | |
| | | | | | | | | |
MUNICIPAL BONDS†† - 0.8% |
California - 0.4% |
Cypress School District General Obligation Unlimited | | | | | | | | |
due 08/01/4810 | | | 1,000,000 | | | | 319,170 | |
Newport Mesa Unified School District General Obligation Unlimited | | | | | | | | |
due 08/01/4610 | | | 700,000 | | | | 254,506 | |
Total California | | | | | | | 573,676 | |
| | | | | | | | | |
Illinois - 0.4% |
State of Illinois General Obligation Unlimited | | | | | | | | |
5.65% due 12/01/38 | | | 400,000 | | | | 456,992 | |
Total Municipal Bonds | | | | | | | | |
(Cost $941,045) | | | | | | | 1,030,668 | |
| | | | | | | | | |
SENIOR FLOATING RATE INTERESTS††,4 - 0.4% |
Industrial - 0.2% |
Capstone Logistics | | | | | | | | |
6.90% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/07/21 | | | 282,971 | | | | 281,202 | |
| | | | | | | | | |
Technology - 0.2% |
Misys Ltd. | | | | | | | | |
5.90% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24 | | | 258,208 | | | | 251,252 | |
Epicor Software | | | | | | | | |
5.66% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 06/01/22 | | | 24,476 | | | | 24,297 | |
Total Technology | | | | | | | 275,549 | |
Total Senior Floating Rate Interests | | | | | | | | |
(Cost $564,971) | | | | | | | 556,751 | |
| | | | | | | | | |
COMMERCIAL PAPER†† - 2.3% |
DowDuPont, Inc. | | | | | | | | |
2.71% due 07/15/195,11 | | | 1,100,000 | | | | 1,098,841 | |
National Grid USA | | | | | | | | |
2.65% due 07/03/195,11 | | | 1,000,000 | | | | 999,853 | |
Walgreens Boots Alliance, Inc. | | | | | | | | |
3.28% due 07/22/1911 | | | 1,000,000 | | | | 998,311 | |
Total Commercial Paper | | | | | | | | |
(Cost $3,096,769) | | | | | | | 3,097,005 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,12 - 1.2% |
BNP Paribas | | | | | | | | |
issued 05/01/19 at 2.76%
due 08/01/19 | | | 1,600,000 | | | | 1,600,000 | |
Total Repurchase Agreements | | | | | | | | |
(Cost $1,600,000) | | | | | | | 1,600,000 | |
| | | | | | | | | |
34| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | Contracts/
Notional Value | | | Value | |
| | | | | | | | | |
OTC OPTIONS PURCHASED†† - 0.2% |
Put options on: | | | | | | | | |
BofA Merrill Lynch 2Y-10 CMS CAP
Expiring May 2021 with strike price of $0.36 | | | 29,500,000 | | | $ | 68,254 | |
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP
Expiring May 2021 with strike price of $0.36 | | | 23,600,000 | | | | 54,603 | |
BofA Merrill Lynch 2Y-10 CMS CAP
Expiring May 2021 with strike price of $0.37 | | | 24,000,000 | | | | 54,245 | |
Goldman Sachs International 2Y-10 CMS CAP
Expiring May 2021 with strike price of $0.46 | | | 28,500,000 | | | | 51,784 | |
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP
Expiring May 2021 with strike price of $0.61 | | | 18,200,000 | | | | 22,294 | |
Goldman Sachs International 2Y-10 CMS CAP
Expiring May 2021 with strike price of $0.37 | | | 9,300,000 | | | | 21,020 | |
| | | Contracts | | | | |
| | | | | | | |
| BofA Merrill Lynch S&P 500 Index Expiring July 2019 with strike price of $2,755.00 (Notional Value $7,060,224) | | | 24 | | | | 10,800 | |
| Total OTC Options Purchased | | | | | | | | |
| (Cost $332,554) | | | | | | | 283,000 | |
| | | | | | | | | |
| Total Investments - 101.4% | | | | | | | | |
| (Cost $136,030,080) | | | | | | $ | 138,902,643 | |
| | | | | | | | | |
| OTC OPTIONS WRITTEN††- 0.0% |
| Put options on: | | | | | | | | |
| BofA Merrill Lynch S&P 500 Index Expiring July 2019 with strike price of $2,530.00 (Notional Value $7,060,224) | | | 24 | | | | (2,040 | ) |
| Total OTC Options Written | | | | | | | | |
| (Premiums received $23,040) | | | | | | | (2,040 | ) |
| Other Assets & Liabilities, net - (1.4)% | | | | | | | (1,953,449 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 136,947,154 | |
Futures Contracts | | | | | | | | | | | | | |
Description | | Number of
Contracts | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Interest Rate Futures Contracts Sold Short† |
U.S. Treasury 5 Year Note Futures Contracts | | | 27 | | Sep 2019 | | $ | 3,189,375 | | | $ | (39,715 | ) |
Centrally Cleared Credit Default Swap Agreements Protection Purchased†† |
Counterparty | Exchange | Index | | Protection
Premium
Rate | | Payment
Frequency | Maturity
Date | | Notional
Amount | | | Value | | | Upfront
Premiums
Received | | | Unrealized
Depreciation** | |
BofA Securities, Inc. | ICE | CDX.NA.IG.31 | | | 1.00 | % | Quarterly | 12/20/23 | | $ | 20,220,000 | | | $ | (453,019 | ) | | $ | (211,079 | ) | | $ | (241,940 | ) |
OTC Credit Default Swap Agreements Protection Purchased†† |
Counterparty | Index | | Protection
Premium Rate | | Payment
Frequency | Maturity
Date | | Notional
Amount | | | Value | | | Upfront
Premiums
Received | | | Unrealized
Depreciation | |
Morgan Stanley Capital Services LLC | CDX.NA.IG.31 7-15% | | | 1.00 | % | Quarterly | 12/20/23 | | $ | 1,180,000 | | | $ | (24,127 | ) | | $ | (199 | ) | | $ | (23,928 | ) |
Goldman Sachs International | CDX.NA.IG.31 7-15% | | | 1.00 | % | Quarterly | 12/20/23 | | | 2,630,000 | | | | (53,774 | ) | | | (4,048 | ) | | | (49,726 | ) |
| | | | | | | | | | | | | | $ | (77,901 | ) | | $ | (4,247 | ) | | $ | (73,654 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 35 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES E (TOTAL RETURN BOND SERIES) | |
Forward Foreign Currency Exchange Contracts†† |
Counterparty | | Contracts to Sell | | Currency | | Settlement
Date | | | Settlement
Value | | | Value at
June 30,
2019 | | | Unrealized
Appreciation
(Depreciation) | |
Goldman Sachs International | 2,700,000 | BRL | | | 07/01/19 | | | $ | 716,541 | | | $ | 703,931 | | | $ | 12,610 | |
Citibank N.A., New York | 2,200,000 | BRL | | | 07/01/19 | | | | 581,787 | | | | 573,574 | | | | 8,213 | |
JPMorgan Chase Bank, N.A. | 130,000 | CAD | | | 07/26/19 | | | | 99,327 | | | | 99,351 | | | | (24 | ) |
Barclays Bank plc | 438,000 | EUR | | | 01/17/20 | | | | 505,846 | | | | 505,931 | | | | (85 | ) |
Goldman Sachs International | 440,000 | EUR | | | 01/17/20 | | | | 508,076 | | | | 508,241 | | | | (165 | ) |
Goldman Sachs International | 21,000,000 | JPY | | | 08/19/19 | | | | 194,862 | | | | 195,512 | | | | (650 | ) |
Morgan Stanley Capital Services LLC | 100,000 | CAD | | | 07/09/19 | | | | 74,448 | | | | 76,392 | | | | (1,944 | ) |
Barclays Bank plc | 1,365,000 | ILS | | | 01/31/20 | | | | 386,193 | | | | 388,584 | | | | (2,391 | ) |
Goldman Sachs International | 140,000 | CAD | | | 07/11/19 | | | | 104,219 | | | | 106,954 | | | | (2,735 | ) |
Bank of America, N.A. | 22,000,000 | JPY | | | 07/22/19 | | | | 201,451 | | | | 204,391 | | | | (2,940 | ) |
Citibank N.A., New York | 22,000,000 | JPY | | | 07/01/19 | | | | 201,063 | | | | 204,063 | | | | (3,000 | ) |
JPMorgan Chase Bank, N.A. | 26,750,000 | JPY | | | 07/08/19 | | | | 245,100 | | | | 248,241 | | | | (3,141 | ) |
Bank of America, N.A. | 207,000,000 | JPY | | | 01/21/20 | | | | 1,945,763 | | | | 1,949,564 | | | | (3,801 | ) |
Goldman Sachs International | 43,700,000 | JPY | | | 07/08/19 | | | | 400,443 | | | | 405,539 | | | | (5,096 | ) |
JPMorgan Chase Bank, N.A. | 43,600,000 | JPY | | | 07/01/19 | | | | 399,137 | | | | 404,415 | | | | (5,278 | ) |
Goldman Sachs International | 43,300,000 | JPY | | | 08/13/19 | | | | 397,503 | | | | 402,952 | | | | (5,449 | ) |
Barclays Bank plc | 132,000,000 | JPY | | | 07/29/19 | | | | 1,220,166 | | | | 1,227,036 | | | | (6,870 | ) |
Goldman Sachs International | 800,000 | EUR | | | 07/19/19 | | | | 897,003 | | | | 911,249 | | | | (14,246 | ) |
Citibank N.A., New York | 3,890,000 | BRL | | | 10/01/19 | | | | 988,023 | | | | 1,005,834 | | | | (17,811 | ) |
Goldman Sachs International | 2,100,000 | ILS | | | 01/31/20 | | | | 579,173 | | | | 597,821 | | | | (18,648 | ) |
JPMorgan Chase Bank, N.A. | 6,500,000 | BRL | | | 10/01/19 | | | | 1,658,450 | | | | 1,680,699 | | | | (22,249 | ) |
Goldman Sachs International | 3,300,000 | BRL | | | 10/01/19 | | | | 822,453 | | | | 853,278 | | | | (30,825 | ) |
Citibank N.A., New York | 2,800,000 | BRL | | | 01/02/20 | | | | 682,605 | | | | 718,114 | | | | (35,509 | ) |
Goldman Sachs International | 252,800,000 | JPY | | | 07/01/19 | | | | 2,287,482 | | | | 2,344,866 | | | | (57,384 | ) |
| | | | | | | | | | | | | | | | | | | | $ | (219,418 | ) |
Counterparty | | Contracts to Buy | | Currency | | Settlement
Date | | | Settlement
Value | | | Value at
June 30,
2019 | | | Unrealized
Appreciation | |
Goldman Sachs International | 2,450,000 | BRL | 07/01/19 | | $ | 596,107 | | | $ | 638,753 | | | $ | 42,646 | |
Citibank N.A., New York | 2,450,000 | BRL | 07/01/19 | | | 604,615 | | | | 638,753 | | | | 34,138 | |
| | | | | | | | | | | | | | | | | | | | $ | 76,784 | |
36| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES E (TOTAL RETURN BOND SERIES) | |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of June 30, 2019. |
3 | Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at June 30, 2019. See table below for additional step information for each security. |
4 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. 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. |
5 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $29,216,402 (cost $28,955,933), or 21.3% of total net assets. |
6 | Security is an interest-only strip. |
7 | Face amount of security is adjusted for inflation. |
8 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
9 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $525,486 (cost $561,327), or 0.4% of total net assets — See Note 9. |
10 | Zero coupon rate security. |
11 | Rate indicated is the effective yield at the time of purchase. |
12 | Repurchase Agreements — See additional disclosure in the repurchase agreements table below for more information on repurchase agreements. |
13 | Security is a principal-only strip. |
| | BofA — Bank of America |
| | BRL — Brazilian Real |
| | CAD — Canadian Dollar |
| | CDX.NA.IG.31 Index — Credit Default Swap North American Investment Grade Series 31 Index |
| | CME — Chicago Mercantile Exchange |
| | CMS — Constant Maturity Swap |
| | CMT — Constant Maturity Treasury |
| | DKK — Danish Krone |
| | EUR — Euro |
| | ICE — Intercontinental Exchange |
| | ILS — Israeli Shekel |
| | JPY — Japanese Yen |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | WAC — Weighted Average Coupon |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 37 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES E (TOTAL RETURN BOND SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 11,734,408 | | | $ | — | | | $ | — | | | $ | 11,734,408 | |
Money Market Fund | | | 884,092 | | | | — | | | | — | | | | 884,092 | |
Collateralized Mortgage Obligations | | | — | | | | 36,256,814 | | | | 1,063,523 | | | | 37,320,337 | |
U.S. Government Securities | | | — | | | | 27,044,501 | | | | — | | | | 27,044,501 | |
Asset-Backed Securities | | | — | | | | 21,404,453 | | | | — | | | | 21,404,453 | |
Foreign Government Debt | | | — | | | | 14,918,406 | | | | — | | | | 14,918,406 | |
Corporate Bonds | | | — | | | | 12,909,954 | | | | — | | | | 12,909,954 | |
Federal Agency Bonds | | | — | | | | 6,119,068 | | | | — | | | | 6,119,068 | |
Municipal Bonds | | | — | | | | 1,030,668 | | | | — | | | | 1,030,668 | |
Senior Floating Rate Interests | | | — | | | | 556,751 | | | | — | | | | 556,751 | |
Commercial Paper | | | — | | | | 3,097,005 | | | | — | | | | 3,097,005 | |
Repurchase Agreements | | | — | | | | 1,600,000 | | | | — | | | | 1,600,000 | |
Options Purchased | | | — | | | | 283,000 | | | | — | | | | 283,000 | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | 97,607 | | | | — | | | | 97,607 | |
Total Assets | | $ | 12,618,500 | | | $ | 125,318,227 | | | $ | 1,063,523 | | | $ | 139,000,250 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Options Written | | $ | — | | | $ | 2,040 | | | $ | — | | | $ | 2,040 | |
Interest Rate Futures Contracts** | | | 39,715 | | | | — | | | | — | | | | 39,715 | |
Credit Default Swap Agreements** | | | — | | | | 315,594 | | | | — | | | | 315,594 | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | 240,241 | | | | — | | | | 240,241 | |
Total Liabilities | | $ | 39,715 | | | $ | 557,875 | | | $ | — | | | $ | 597,590 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Step Coupon Bonds
The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.
Name | | Coupon Rate at Next
Reset Date | | Next Rate
Reset Date | Future
Reset Rate(s) | Future
Reset Date(s) |
Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4, 3.00% due 06/25/57 | | | 3.25 | % | 12/25/19 | 3.25% | 12/25/19 |
Willis Engine Securitization Trust II 2012-A, 5.50% due 09/15/37 | | | 8.50 | % | 09/15/20 | 8.50% | 09/15/20 |
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian takes possession of the underlying collateral. For the following repurchase agreements, the collateral is in the possession of the Fund’s custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements, with the exception of where securities are being sold short. The interest rate on repurchase agreements is market driven and based on the underlying collateral obtained.
Counterparty and Terms
of Agreement | | Face Value | | | Repurchase Price | | Collateral | | Par Value | | | Fair Value | |
BNP Paribas 2.76% 08/01/19 | | $ | 1,600,000 | | | $ | 1,611,265 | | MASTR Adjustable Rate Mortgages Trust 2.60% 05/25/47 | | $ | 6,698,200 | | | $ | 7,249,462 | |
38| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES E (TOTAL RETURN BOND SERIES) | |
In the event of counterparty default, the Fund has the right to collect the collateral to offset losses incurred. There is potential loss to the Fund in the event the Fund is delayed or prevented from exercising its right to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Fund seeks to assert its rights. The Fund’s investment adviser, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Fund enters into repurchase agreements to evaluate potential risks.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2018, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/18 | | | Additions | | | Reductions | | | Realized
Gain
(Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/19 | | | Shares
06/30/19 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Floating Rate Strategies Fund — R6 Class | | $ | 202,786 | | | $ | 5,058 | | | $ | — | | | $ | — | | | $ | 3,908 | | | $ | 211,752 | | | | 8,366 | | | $ | 5,083 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 2,489,086 | | | | 32,599 | | | | — | | | | — | | | | (17 | ) | | | 2,521,668 | | | | 253,180 | | | | 32,861 | |
Guggenheim Limited Duration Fund — R6 Class | | | 2,962,018 | | | | 39,712 | | | | — | | | | — | | | | 6,071 | | | | 3,007,801 | | | | 121,971 | | | | 39,825 | |
Guggenheim Total Return Bond Fund — R6 Class | | | 5,784,281 | | | | 79,621 | | | | — | | | | — | | | | 129,285 | | | | 5,993,187 | | | | 220,338 | | | | 79,881 | |
| | | $ | 11,438,171 | | | $ | 156,990 | | | $ | — | | | $ | — | | | $ | 139,247 | | | $ | 11,734,408 | | | | | | | $ | 157,650 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 39 |
SERIES E (TOTAL RETURN BOND SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments in unaffiliated issuers, at value (cost $122,865,236) | | $ | 125,568,235 | |
Investments in affiliated issuers, at value (cost $11,564,844) | | | 11,734,408 | |
Repurchase agreements, at value (cost $1,600,000) | | | 1,600,000 | |
Cash | | | 1,360 | |
Segregated cash with broker | | | 401,926 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 97,607 | |
Prepaid expenses | | | 3,468 | |
Receivables: |
Interest | | | 501,439 | |
Securities sold | | | 119,325 | |
Dividends | | | 25,860 | |
Fund shares sold | | | 7,434 | |
Foreign tax reclaims | | | 2,588 | |
Variation margin on futures contracts | | | 844 | |
Total assets | | | 140,064,494 | |
| | | | | |
Liabilities: |
Options written, at value (premiums received $23,040) | | | 2,040 | |
Segregated cash due to broker | | | 265,000 | |
Unamortized upfront premiums received on credit default swap agreements | | | 215,326 | |
Unrealized depreciation on OTC swap agreements | | | 73,654 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 240,241 | |
Payable for: |
Securities purchased | | | 2,032,967 | |
Fund shares redeemed | | | 119,482 | |
Management fees | | | 34,571 | |
Distribution and service fees | | | 26,260 | |
Variation margin on credit default swap agreements | | | 8,987 | |
Fund accounting/administration fees | | | 8,403 | |
Protection fees on credit default swaps | | | 7,342 | |
Transfer agent/maintenance fees | | | 2,218 | |
Trustees’ fees* | | | 2,171 | |
Miscellaneous | | | 78,678 | |
Total liabilities | | | 3,117,340 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 136,947,154 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 131,641,409 | |
Total distributable earnings (loss) | | | 5,305,745 | |
Net assets | | $ | 136,947,154 | |
Capital shares outstanding | | | 8,344,450 | |
Net asset value per share | | $ | 16.41 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 3,654 | |
Dividends from securities of affiliated issuers | | | 157,650 | |
Interest from securities of unaffiliated issuers | | | 1,951,764 | |
Total investment income | | | 2,113,068 | |
| | | | | |
Expenses: |
Management fees | | | 253,370 | |
Distribution and service fees | | | 162,417 | |
Transfer agent/maintenance fees | | | 12,264 | |
Fund accounting/administration fees | | | 51,974 | |
Professional fees | | | 32,371 | |
Trustees’ fees* | | | 11,741 | |
Custodian fees | | | 5,492 | |
Line of credit fees | | | 1,000 | |
Interest expense | | | 241 | |
Miscellaneous | | | 41,408 | |
Total expenses | | | 572,278 | |
Less: |
Expenses waived by Adviser | | | (68,242 | ) |
Earnings credits applied | | | (555 | ) |
Total waived expenses | | | (68,797 | ) |
Net expenses | | | 503,481 | |
Net investment income | | | 1,609,587 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 388,291 | |
Swap agreements | | | (1,176,489 | ) |
Futures contracts | | | (35,981 | ) |
Foreign currency transactions | | | 178,386 | |
Forward foreign currency exchange contracts | | | (78,262 | ) |
Options purchased | | | (227,991 | ) |
Options written | | | 16,814 | |
Net realized loss | | | (935,232 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 3,170,205 | |
Investments in affiliated issuers | | | 139,247 | |
Swap agreements | | | 399,655 | |
Futures contracts | | | (680 | ) |
Options purchased | | | 164,086 | |
Options written | | | 21,000 | |
Foreign currency translations | | | 572 | |
Forward foreign currency exchange contracts | | | (3,926 | ) |
Net change in unrealized appreciation (depreciation) | | | 3,890,159 | |
Net realized and unrealized gain | | | 2,954,927 | |
Net increase in net assets resulting from operations | | $ | 4,564,514 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
40| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES E (TOTAL RETURN BOND SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,609,587 | | | $ | 3,447,609 | |
Net realized gain (loss) on investments | | | (935,232 | ) | | | 694,440 | |
Net change in unrealized appreciation (depreciation) on investments | | | 3,890,159 | | | | (2,960,854 | ) |
Net increase in net assets resulting from operations | | | 4,564,514 | | | | 1,181,195 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (5,237,160 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 23,072,423 | | | | 33,386,285 | |
Distributions reinvested | | | — | | | | 5,237,160 | |
Cost of shares redeemed | | | (13,539,957 | ) | | | (42,216,553 | ) |
Net increase (decrease) from capital share transactions | | | 9,532,466 | | | | (3,593,108 | ) |
Net increase (decrease) in net assets | | | 14,096,980 | | | | (7,649,073 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 122,850,174 | | | | 130,499,247 | |
End of period | | $ | 136,947,154 | | | $ | 122,850,174 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 1,440,172 | | | | 2,086,086 | |
Shares issued from reinvestment of distributions | | | — | | | | 331,466 | |
Shares redeemed | | | (844,131 | ) | | | (2,625,181 | ) |
Net increase (decrease) in shares | | | 596,041 | | | | (207,629 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 41 |
SERIES E (TOTAL RETURN BOND SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 15.85 | | | $ | 16.40 | | | $ | 16.05 | | | $ | 15.68 | | | $ | 15.89 | | | $ | 14.70 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .20 | | | | .46 | | | | .61 | | | | .66 | | | | .67 | | | | .58 | |
Net gain (loss) on investments (realized and unrealized) | | | .36 | | | | (.29 | ) | | | .45 | | | | .41 | | | | (.50 | ) | | | .61 | |
Total from investment operations | | | .56 | | | | .17 | | | | 1.06 | | | | 1.07 | | | | .17 | | | | 1.19 | |
Less distributions from: |
Net investment income | | | — | | | | (.72 | ) | | | (.71 | ) | | | (.70 | ) | | | (.38 | ) | | | — | |
Total distributions | | | — | | | | (.72 | ) | | | (.71 | ) | | | (.70 | ) | | | (.38 | ) | | | — | |
Net asset value, end of period | | $ | 16.41 | | | $ | 15.85 | | | $ | 16.40 | | | $ | 16.05 | | | $ | 15.68 | | | $ | 15.89 | |
|
Total Returnc | | | 3.53% | | | | 1.14% | | | | 6.72% | | | | 6.83% | | | | 1.15% | | | | 8.10% | |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 136,947 | | | $ | 122,850 | | | $ | 130,499 | | | $ | 114,043 | | | $ | 111,974 | | | $ | 127,650 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.48 | % | | | 2.85 | % | | | 3.76 | % | | | 4.13 | % | | | 4.19 | % | | | 3.72 | % |
Total expensesd | | | 0.88 | % | | | 0.92 | % | | | 0.99 | % | | | 1.02 | % | | | 1.05 | % | | | 1.05 | % |
Net expensese,f,g | | | 0.78 | % | | | 0.78 | % | | | 0.81 | % | | | 0.83 | % | | | 0.83 | % | | | 0.85 | % |
Portfolio turnover rate | | | 32 | % | | | 30 | % | | | 76 | % | | | 88 | % | | | 85 | % | | | 62 | % |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Net expenses may include expenses that are excluded from net expense limitation agreement and affiliated fee waivers. Excluding these expenses, the net expense ratios for the periods would be: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 |
| | 0.77% | 0.77% | 0.77% | 0.78% | 0.78% | 0.79% |
g | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods was as follows: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | 0.00%* | — | — |
42| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES F (FLOATING RATE STRATEGIES SERIES)
OBJECTIVE: Seeks to provide a high level of current income while maximizing total return.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: April 24, 2013 |
Ten Largest Holdings (% of Total Net Assets) |
Messer Industries USA, Inc., 4.83% | 1.3% |
ABC Supply Co., Inc., 4.40% | 1.2% |
Agiliti, 5.50% | 1.2% |
WMG Acquisition Corp., 4.53% | 1.2% |
Hostess Brands LLC, 4.75% | 1.2% |
Blackhawk Network, 5.40% | 1.2% |
TransUnion LLC, 4.40% | 1.2% |
BRP, Inc., 4.40% | 1.2% |
Nomad Foods Lux S.A.R.L, 4.64% | 1.1% |
PAREXEL International Corp., 5.15% | 1.1% |
Top Ten Total | 11.9% |
“Ten Largest Holdings” excludes any temporary cash investments.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2019 |
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | Since
Inception
(04/24/13) |
Series F (Floating Rate Strategies Series) | 4.74% | 2.80% | 3.29% | 3.44% |
Credit Suisse Leveraged Loan Index | 5.42% | 4.16% | 3.85% | 4.07% |
Portfolio Composition by Quality Rating1 |
Rating | % of Total
Investments |
Fixed Income Instruments | |
BBB | 5.3% |
BB | 39.6% |
B | 44.1% |
CCC | 0.2% |
NR2 | 0.6% |
Other Instruments | 10.2% |
Total Investments | 100.0% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Credit Suisse Leveraged Loan Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
1 | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter. |
2 | NR securities do not necessarily indicate low credit quality. |
44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
COMMON STOCKS†† - 0.1% |
| | | | | | | | | |
Industrial - 0.1% |
API Heat Transfer Parent LLC* | | | 170,114 | | | $ | 45,931 | |
BP Holdco LLC*,†††,1,2 | | | 11,609 | | | | 4,099 | |
Vector Phoenix Holdings, LP*,†††,1 | | | 11,609 | | | | 971 | |
Total Industrial | | | | | | | 51,001 | |
| | | | | | | | | |
Consumer, Non-cyclical - 0.0% |
Chef Holdings, Inc.*,†††,1 | | | 20 | | | | 2,517 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $90,943) | | | | | | | 53,518 | |
| | | | | | | | | |
PREFERRED STOCKS†† - 0.1% |
Industrial - 0.1% |
API Heat Transfer Intermediate* | | | 36 | | | | 28,267 | |
Total Preferred Stocks | | | | | | | | |
(Cost $28,949) | | | | | | | 28,267 | |
| | | | | | | | | |
MONEY MARKET FUND† - 10.3% |
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares 2.15%3 | | | 6,085,213 | | | | 6,085,213 | |
Total Money Market Fund | | | | | | | | |
(Cost $6,085,213) | | | | | | | 6,085,213 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
| | | | | | | | | |
SENIOR FLOATING RATE INTERESTS††,4 - 88.7% |
Consumer, Non-cyclical - 17.5% |
Agiliti | | | | | | | | |
5.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/04/26 | | $ | 700,000 | | | | 697,375 | |
Hostess Brands LLC | | | | | | | | |
4.75% (1 Month USD LIBOR + 2.25% and 2 Month USD LIBOR + 2.25% and 3 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 08/03/22 | | | 694,710 | | | | 689,646 | |
BRP, Inc. | | | | | | | | |
4.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.75%) due 05/23/25 | | | 694,750 | | | | 684,329 | |
Nomad Foods Lux S.A.R.L | | | | | | | | |
4.64% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/15/24 | | | 686,263 | | | | 677,039 | |
PAREXEL International Corp. | | | | | | | | |
5.15% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 09/27/24 | | | 707,632 | | | | 676,928 | |
Aspen Dental | | | | | | | | |
5.15% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/30/25 | | | 643,748 | | | | 632,804 | |
IQVIA Holdings, Inc. | | | | | | | | |
4.15% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/11/25 | | | 598,489 | | | | 594,622 | |
Sterigenics-Norion Holdings | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 05/15/22 | | | 550,151 | | | | 541,899 | |
Hearthside Group Holdings LLC | | | | | | | | |
6.09% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 05/23/25 | | | 544,500 | | | | 530,986 | |
Endo Luxembourg Finance Co. | | | | | | | | |
6.69% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 04/29/24 | | | 541,836 | | | | 507,522 | |
Albertson’s LLC | | | | | | | | |
5.31% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.75%) due 12/21/22 | | | 490,022 | | | | 489,899 | |
JBS USA Lux SA | | | | | | | | |
4.90% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/01/26 | | | 475,732 | | | | 474,543 | |
Syneos Health, Inc. | | | | | | | | |
4.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 08/01/24 | | | 467,000 | | | | 465,236 | |
PPDI (Pharmaceutical Product Development, Inc.) | | | | | | | | |
4.90% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.50%) due 08/18/22 | | | 437,468 | | | | 434,686 | |
Valeant Pharmaceuticals International, Inc. | | | | | | | | |
5.16% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 11/27/25 | | | 351,563 | | | | 349,277 | |
5.41% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/02/25 | | | 43,375 | | | | 43,348 | |
Dole Food Company, Inc. | | | | | | | | |
5.15% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 04/06/24 | | | 343,269 | | | | 334,794 | |
Springs Window Fashions | | | | | | | | |
6.65% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/15/25 | | | 198,000 | | | | 196,020 | |
10.90% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26 | | | 100,000 | | | | 95,000 | |
Diamond (BC) B.V. | | | | | | | | |
5.58% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 09/06/24 | | | 295,500 | | | | 259,301 | |
Sigma Holding BV (Flora Food) | | | | | | | | |
5.60% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/02/25 | | | 248,125 | | | | 244,817 | |
Post Holdings, Inc. | | | | | | | | |
4.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/24 | | | 197,614 | | | | 196,515 | |
BCPE Eagle Buyer LLC | | | | | | | | |
6.65% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/18/24 | | | 196,482 | | | | 189,851 | |
Immucor, Inc. | | | | | | | | |
7.33% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 06/15/21 | | | 147,000 | | | | 146,449 | |
Resideo Funding, Inc. | | | | | | | | |
4.33% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/24/25 | | | 99,500 | | | | 99,314 | |
Acadia Healthcare Co., Inc. | | | | | | | | |
4.90% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 02/16/23 | | | 94,208 | | | | 93,679 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 45 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
| | Face
Amount | | | Value | |
| | | | | | | | | |
CTI Foods Holding Co. LLC | | | | | | | | |
9.58% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 05/03/24 | | $ | 11,166 | | | $ | 11,166 | |
Total Consumer, Non-cyclical | | | | | | | 10,357,045 | |
| | | | | | | | | |
Consumer, Cyclical - 17.4% |
Geo Group, Inc. | | | | | | | | |
4.41% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.75%) due 03/22/24 | | | 686,725 | | | | 656,969 | |
Realogy Group LLC | | | | | | | | |
4.63% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 02/08/25 | | | 691,228 | | | | 656,667 | |
Titan AcquisitionCo New Zealand Ltd. (Trade Me) | | | | | | | | |
6.83% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 05/01/26 | | | 600,000 | | | | 599,250 | |
Navistar Inc. | | | | | | | | |
5.91% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/06/24 | | | 594,375 | | | | 592,330 | |
Packers Sanitation Services, Inc. | | | | | | | | |
5.32% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 12/04/24 | | | 591,247 | | | | 581,822 | |
Samsonite IP Holdings S.A.R.L. | | | | | | | | |
4.15% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/25/25 | | | 594,492 | | | | 580,052 | |
Crown Finance US, Inc. | | | | | | | | |
4.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 02/28/25 | | | 576,287 | | | | 566,380 | |
American Tire Distributors, Inc. | | | | | | | | |
9.98% (2 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24 | | | 520,373 | | | | 486,029 | |
8.52% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23 | | | 57,427 | | | | 56,853 | |
IRB Holding Corp. | | | | | | | | |
5.64% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 02/05/25 | | | 547,358 | | | | 539,919 | |
AVSC Holding Corp. | | | | | | | | |
5.67% (1 Month USD LIBOR + 3.25% and 3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 03/03/25 | | | 543,323 | | | | 527,192 | |
Equinox Holdings, Inc. | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 03/08/24 | | | 498,478 | | | | 496,819 | |
NVA Holdings, Inc | | | | | | | | |
5.15% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 02/03/25 | | | 494,016 | | | | 493,191 | |
IBC Capital Ltd. | | | | | | | | |
6.15% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23 | | | 396,985 | | | | 395,663 | |
Mavis Tire Express Services Corp. | | | | | | | | |
5.65% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/20/25 | | | 394,916 | | | | 386,524 | |
AMC Entertainment, Inc. | | | | | | | | |
5.23% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/22/26 | | | 299,250 | | | | 298,352 | |
EG Finco Ltd. | | | | | | | | |
6.60% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25 | | | 296,251 | | | | 291,855 | |
Petco Animal Supplies, Inc. | | | | | | | | |
5.83% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 01/26/23 | | | 350,841 | | | | 271,221 | |
Stars Group (Amaya) | | | | | | | | |
5.83% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/10/25 | | | 267,629 | | | | 267,490 | |
Power Solutions (Panther) | | | | | | | | |
5.90% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 04/30/26 | | | 225,000 | | | | 223,173 | |
Safe Fleet Holdings LLC | | | | | | | | |
5.42% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/03/25 | | | 209,617 | | | | 204,115 | |
1-800 Contacts | | | | | | | | |
5.45% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 01/22/23 | | | 193,538 | | | | 191,178 | |
Wyndham Hotels & Resorts, Inc. | | | | | | | | |
4.15% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 05/30/25 | | | 148,875 | | | | 148,341 | |
GVC Holdings plc | | | | | | | | |
4.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.25%) due 03/29/24 | | | 148,125 | | | | 147,459 | |
Truck Hero, Inc. | | | | | | | | |
6.15% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 04/22/24 | | | 150,601 | | | | 141,283 | |
Life Time Fitness, Inc. | | | | | | | | |
5.27% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 06/10/22 | | | 138,241 | | | | 137,550 | |
Argo Merchants | | | | | | | | |
6.08% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 12/06/24 | | | 123,177 | | | | 122,253 | |
Leslie’s Poolmart, Inc. | | | | | | | | |
5.98% (2 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/16/23 | | | 118,126 | | | | 111,408 | |
Belk, Inc. | | | | | | | | |
7.29% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/12/22 | | | 97,394 | | | | 78,416 | |
CPI Acquisition, Inc. | | | | | | | | |
7.35% (3 Month USD LIBOR + 4.50%, Rate Floor: 6.50%) due 08/17/22 | | | 41,839 | | | | 33,053 | |
Total Consumer, Cyclical | | | | | | | 10,282,807 | |
| | | | | | | | | |
Industrial - 16.5% |
ABC Supply Co., Inc. | | | | | | | | |
4.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.75%) due 10/31/23 | | | 744,289 | | | | 732,812 | |
DG Investment Intermediate Holdings 2, Inc. | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.75%) due 02/03/25 | | | 632,727 | | | | 610,582 | |
Charter Nex US, Inc. | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 05/16/24 | | | 516,722 | | | | 506,604 | |
5.90% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 05/16/24 | | | 100,000 | | | | 99,550 | |
Altra Industrial Motion Corp. | | | | | | | | |
4.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/01/25 | | | 616,045 | | | | 604,112 | |
46| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
| | Face
Amount | | | Value | |
| | | | | | | | | |
TransDigm Group, Inc. | | | | | | | | |
4.83% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/30/25 | | $ | 617,840 | | | $ | 602,907 | |
Hillman Group, Inc. | | | | | | | | |
6.40% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/30/25 | | | 594,000 | | | | 570,982 | |
Engineered Machinery Holdings, Inc. | | | | | | | | |
5.58% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 07/19/24 | | | 554,145 | | | | 538,906 | |
Lineage Logistics LLC | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/27/25 | | | 543,869 | | | | 538,262 | |
USIC Holding, Inc. | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 12/08/23 | | | 493,876 | | | | 489,762 | |
WP CPP Holdings LLC | | | | | | | | |
6.34% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/30/25 | | | 477,600 | | | | 476,406 | |
CHI Overhead Doors, Inc. | | | | | | | | |
5.65% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 07/29/22 | | | 434,733 | | | | 431,746 | |
BWAY Holding Co. | | | | | | | | |
5.85% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | | | 441,000 | | | | 425,380 | |
Berry Global, Inc. | | | | | | | | |
due 05/16/26 | | | 423,630 | | | | 420,499 | |
Flex Acquisition Company, Inc. | | | | | | | | |
5.44% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 12/29/23 | | | 433,139 | | | | 410,941 | |
GYP Holdings III Corp. | | | | | | | | |
5.15% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 06/01/25 | | | 384,733 | | | | 374,234 | |
CPG International LLC | | | | | | | | |
5.93% (6 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 05/05/24 | | | 345,581 | | | | 339,533 | |
American Bath Group LLC | | | | | | | | |
6.58% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 09/30/23 | | | 266,161 | | | | 263,832 | |
VC GB Holdings, Inc. | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/28/24 | | | 269,029 | | | | 262,976 | |
Titan Acquisition Ltd. (Husky) | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | | | 197,500 | | | | 188,338 | |
Hayward Industries, Inc. | | | | | | | | |
5.90% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/05/24 | | | 192,407 | | | | 188,138 | |
KUEHG Corp. (KinderCare) | | | | | | | | |
6.08% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/21/25 | | | 181,128 | | | | 180,222 | |
Arctic Long Carriers | | | | | | | | |
6.83% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 05/18/23 | | | 171,500 | | | | 168,070 | |
API Heat Transfer | | | | | | | | |
8.33% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 01/01/24 | | | 158,651 | | | | 140,671 | |
8.33% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 10/02/23 | | | 28,305 | | | | 25,475 | |
Bioplan USA, Inc. | | | | | | | | |
7.15% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 09/23/21 | | | 173,624 | | | | 157,998 | |
Total Industrial | | | | | | | 9,748,938 | |
| | | | | | | | | |
Technology - 13.5% |
TIBCO Software, Inc. | | | | | | | | |
5.91% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 12/04/20 | | | 488,721 | | | | 489,181 | |
due 06/11/26 | | | 200,000 | | | | 200,250 | |
Blackhawk Network | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/16/25 | | | 693,000 | | | | 687,082 | |
MACOM Technology Solutions Holdings, Inc. | | | | | | | | |
4.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 05/17/24 | | | 692,929 | | | | 616,707 | |
Micron Technology, Inc. | | | | | | | | |
4.16% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/26/22 | | | 389,975 | | | | 389,164 | |
4.41% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/29/25 | | | 172,467 | | | | 171,336 | |
Neustar, Inc. | | | | | | | | |
5.90% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 08/08/24 | | | 543,090 | | | | 525,440 | |
Sabre GLBL, Inc. | | | | | | | | |
4.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24 | | | 492,500 | | | | 491,062 | |
Solera LLC | | | | | | | | |
5.15% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/03/23 | | | 474,733 | | | | 471,025 | |
Peak 10 Holding Corp. | | | | | | | | |
5.83% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/01/24 | | | 491,250 | | | | 450,417 | |
Go Daddy Operating Company LLC | | | | | | | | |
4.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/24 | | | 447,406 | | | | 447,294 | |
Equian LLC | | | | | | | | |
5.65% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 05/20/24 | | | 440,436 | | | | 439,776 | |
Advanced Computer Software | | | | | | | | |
7.16% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 05/31/24 | | | 405,987 | | | | 404,465 | |
Optiv, Inc. | | | | | | | | |
5.65% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 02/01/24 | | | 411,118 | | | | 375,145 | |
LANDesk Group, Inc. | | | | | | | | |
6.67% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 01/20/24 | | | 283,568 | | | | 282,504 | |
Lumentum Holdings, Inc. | | | | | | | | |
4.90% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 12/10/25 | | | 248,750 | | | | 247,195 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 47 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
| | Face
Amount | | | Value | |
| | | | | | | | | |
Cvent, Inc. | | | | | | | | |
6.15% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/29/24 | | $ | 197,996 | | | $ | 195,521 | |
Aspect Software, Inc. | | | | | | | | |
7.42% (1 Week USD LIBOR + 5.00%, Rate Floor: 6.00%) due 01/15/24 | | | 215,018 | | | | 191,366 | |
Greenway Health LLC | | | | | | | | |
6.08% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/16/24 | | | 197,481 | | | | 172,796 | |
EIG Investors Corp. | | | | | | | | |
6.27% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/09/23 | | | 161,154 | | | | 159,845 | |
Ascend Learning LLC | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 07/12/24 | | | 147,375 | | | | 145,026 | |
Refinitiv (Financial & Risk Us Holdings, Inc.) | | | | | | | | |
6.15% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/01/25 | | | 129,350 | | | | 125,348 | |
Project Accelerate Parent, LLC | | | | | | | | |
6.66% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 01/02/25 | | | 123,438 | | | | 122,820 | |
Brave Parent Holdings, Inc. | | | | | | | | |
6.58% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25 | | | 99,248 | | | | 98,194 | |
MA Financeco LLC | | | | | | | | |
4.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/19/21 | | | 93,207 | | | | 92,081 | |
Total Technology | | | | | | | 7,991,040 | |
| | | | | | | | | |
Communications - 9.9% |
WMG Acquisition Corp. | | | | | | | | |
4.53% (1 Month USD LIBOR + 2.13%, Rate Floor: 2.13%) due 11/01/23 | | | 700,000 | | | | 689,850 | |
Telenet Financing USD LLC | | | | | | | | |
4.64% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/15/26 | | | 600,000 | | | | 593,142 | |
GTT Communications, Inc. | | | | | | | | |
5.15% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/31/25 | | | 643,500 | | | | 575,128 | |
CSC Holdings, LLC | | | | | | | | |
4.64% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/17/25 | | | 517,563 | | | | 508,666 | |
SFR Group S.A. | | | | | | | | |
6.08% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 01/31/26 | | | 488,806 | | | | 472,920 | |
McGraw-Hill Global Education Holdings LLC | | | | | | | | |
6.40% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 05/04/22 | | | 483,088 | | | | 459,842 | |
Ziggo Secured Finance BV | | | | | | | | |
4.89% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/15/25 | | | 450,000 | | | | 440,487 | |
Cengage Learning Acquisitions, Inc. | | | | | | | | |
6.65% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23 | | | 439,702 | | | | 420,764 | |
Sprint Communications, Inc. | | | | | | | | |
4.94% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.25%) due 02/02/24 | | | 293,250 | | | | 288,485 | |
Virgin Media Bristol LLC | | | | | | | | |
4.89% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/26 | | | 250,000 | | | | 248,917 | |
Internet Brands, Inc. | | | | | | | | |
6.15% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24 | | | 251,165 | | | | 246,456 | |
Radiate HoldCo LLC | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.75%) due 02/01/24 | | | 222,701 | | | | 217,285 | |
Charter Communications Operating, LLC | | | | | | | | |
4.33% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/30/25 | | | 197,000 | | | | 196,705 | |
Altice US Finance I Corp. | | | | | | | | |
4.64% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/26 | | | 199,500 | | | | 196,134 | |
Market Track LLC | | | | | | | | |
6.65% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/05/24 | | | 196,000 | | | | 175,420 | |
Authentic Brands | | | | | | | | |
5.90% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 09/27/24 | | | 168,827 | | | | 164,606 | |
Total Communications | | | | | | | 5,894,807 | |
| | | | | | | | | |
Basic Materials - 7.0% |
Messer Industries USA, Inc. | | | | | | | | |
4.83% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/01/26 | | | 750,000 | | | | 739,223 | |
LTI Holdings, Inc. | | | | | | | | |
5.90% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/06/25 | | | 694,750 | | | | 656,108 | |
HB Fuller Co. | | | | | | | | |
4.38% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/20/24 | | | 618,869 | | | | 607,618 | |
PQ Corp. | | | | | | | | |
5.08% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 02/08/25 | | | 600,000 | | | | 596,916 | |
GrafTech Finance, Inc. | | | | | | | | |
5.90% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 02/12/25 | | | 533,278 | | | | 522,612 | |
Pregis Holding I Corp. | | | | | | | | |
5.90% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/20/21 | | | 483,642 | | | | 483,438 | |
Vectra Co. | | | | | | | | |
5.65% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/08/25 | | | 445,500 | | | | 428,237 | |
PMHC II, Inc. (Prince) | | | | | | | | |
6.10% (3 Month USD LIBOR + 3.50% and 12 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/29/25 | | | 97,753 | | | | 88,629 | |
Total Basic Materials | | | | | | | 4,122,781 | |
| | | | | | | | | |
48| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
| | Face
Amount | | | Value | |
| | | | | | | | | |
Financial - 5.7% |
TransUnion LLC | | | | | | | | |
4.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/10/23 | | $ | 688,485 | | | $ | 686,887 | |
Capital Automotive L.P. | | | | | | | | |
4.91% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.50%) due 03/25/24 | | | 598,473 | | | | 590,137 | |
Delos Finance S.A.R.L (International Lease Finance) | | | | | | | | |
4.08% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/06/23 | | | 583,333 | | | | 582,482 | |
LPL Holdings, Inc. | | | | | | | | |
4.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 09/23/24 | | | 491,269 | | | | 489,579 | |
USI, Inc. | | | | | | | | |
5.33% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24 | | | 354,194 | | | | 344,896 | |
National Financial Partners Corp. | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/08/24 | | | 296,820 | | | | 288,238 | |
Aretec Group, Inc. | | | | | | | | |
6.65% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25 | | | 248,750 | | | | 242,220 | |
Advisor Group, Inc. | | | | | | | | |
6.15% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/15/25 | | | 148,875 | | | | 148,689 | |
Total Financial | | | | | | | 3,373,128 | |
| | | | | | | | | |
Energy - 1.2% |
Houston Fuel Oil Terminal Company | | | | | | | | |
5.16% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 06/26/25 | | | 445,500 | | | | 444,943 | |
Ultra Petroleum, Inc. | | | | | | | | |
6.15% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) (in-kind rate was 0.25%) due 04/12/246 | | | 327,394 | | | | 248,273 | |
Total Energy | | | | | | | 693,216 | |
Total Senior Floating Rate Interests | | | | | | | | |
(Cost $53,773,976) | | | | | | | 52,463,762 | |
| | | | | | | | | |
CORPORATE BONDS†† - 2.6% |
Industrial - 0.9% |
ADT Security Corp. | | | | | | | | |
6.25% due 10/15/21 | | | 500,000 | | | | 528,750 | |
| | | | | | | | | |
Consumer, Non-cyclical - 0.9% |
Tenet Healthcare Corp. | | | | | | | | |
6.00% due 10/01/20 | | | 500,000 | | | | 514,719 | |
| | | | | | | | | |
Communications - 0.8% |
Sprint Communications, Inc. | | | | | | | | |
7.00% due 03/01/205 | | | 500,000 | | | | 512,500 | |
Total Corporate Bonds | | | | | | | | |
(Cost $1,533,526) | | | | | | | 1,555,969 | |
| | | | | | | | | |
Total Investments - 101.8% | | | | | | | | |
(Cost $61,512,607) | | | | | | $ | 60,186,729 | |
Other Assets & Liabilities, net - (1.8)% | | | | | | | (1,049,077 | ) |
Total Net Assets - 100.0% | | | | | | $ | 59,137,652 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Security was fair valued by the Valuation Committee at June 30, 2019. The total market value of fair valued securities amounts to $7,587, (cost $7,587) or less than 0.1% of total net assets. |
2 | Affiliated issuer. |
3 | Rate indicated is the 7-day yield as of June 30, 2019. |
4 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. 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. |
5 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $512,500 (cost $509,350), or 0.9% of total net assets. |
6 | Payment-in-kind security. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | USD — United States Dollar |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 49 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | — | | | $ | 45,931 | | | $ | 7,587 | | | $ | 53,518 | |
Preferred Stocks | | | — | | | | 28,267 | | | | — | | | | 28,267 | |
Money Market Fund | | | 6,085,213 | | | | — | | | | — | | | | 6,085,213 | |
Senior Floating Rate Interests | | | — | | | | 52,463,762 | | | | — | | | | 52,463,762 | |
Corporate Bonds | | | — | | | | 1,555,969 | | | | — | | | | 1,555,969 | |
Total Assets | | $ | 6,085,213 | | | $ | 54,093,929 | | | $ | 7,587 | | | $ | 60,186,729 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Unfunded Loan Commitments (Note 8) | | $ | — | | | $ | — | | | $ | 819 | | | $ | 819 | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/18 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/19 | | | Shares/Face
Amount
06/30/19 | | | Investment
Income | |
Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Aspect Software, Inc.* | | $ | — | ** | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | — | | | $ | — | |
BP Holdco LLC *,1 | | | — | | | | 4,099 | | | | — | | | | — | | | | — | | | | 4,099 | | | | 11,609 | | | | — | |
Senior Floating Rate Interests | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Aspect Software, Inc. 13.46% (3 Month USD LIBOR + 11.00%, Rate Floor: 12.00%) due 05/25/202 | | | 263,266 | | | | — | | | | (216,601 | ) | | | (100,587 | ) | | | 53,922 | | | | — | | | | — | | | | — | |
Warrants | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Aspect Software, Inc.* | | | — | ** | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | $ | 263,266 | | | $ | 4,099 | | | $ | (216,601 | ) | | $ | (100,587 | ) | | $ | 53,922 | | | $ | 4,099 | | | | | | | $ | — | |
* | Non-income producing security. |
** | Market value is less than $1. |
1 | Security was fair valued by the Valuation Committee at June 30, 2019. The total market value of fair valued and affiliated securities amounts to $4,099, (cost $4,099) or less than 0.1% of total net assets. |
2 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. 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. |
50| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments in unaffiliated issuers, at value (cost $61,508,508) | | $ | 60,182,630 | |
Investments in affiliated issuers, at value (cost $4,099) | | | 4,099 | |
Cash | | | 168,878 | |
Prepaid expenses | | | 2,553 | |
Receivables: |
Securities sold | | | 666,310 | |
Fund shares sold | | | 173,299 | |
Interest | | | 140,428 | |
Total assets | | | 61,338,197 | |
| | | | | |
Liabilities: |
Unfunded loan commitments, at value (Note 8)(proceeds $920) | | | 819 | |
Payable for: |
Securities purchased | | | 2,095,475 | |
Fund shares redeemed | | | 30,682 | |
Management fees | | | 22,553 | |
Distribution and service fees | | | 11,265 | |
Fund accounting/administration fees | | | 3,605 | |
Transfer agent/maintenance fees | | | 1,960 | |
Trustees’ fees* | | | 1,120 | |
Miscellaneous | | | 33,066 | |
Total liabilities | | | 2,200,545 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 59,137,652 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 57,874,036 | |
Total distributable earnings (loss) | | | 1,263,616 | |
Net assets | | $ | 59,137,652 | |
Capital shares outstanding | | | 2,231,792 | |
Net asset value per share | | $ | 26.50 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Interest from securities of unaffiliated issuers | | $ | 1,559,152 | |
Total investment income | | | 1,559,152 | |
| | | | | |
Expenses: |
Management fees | | | 186,352 | |
Distribution and service fees | | | 71,674 | |
Transfer agent/maintenance fees | | | 12,418 | |
Professional fees | | | 26,770 | |
Fund accounting/administration fees | | | 22,936 | |
Line of credit fees | | | 10,737 | |
Trustees’ fees* | | | 10,087 | |
Custodian fees | | | 9,197 | |
Miscellaneous | | | 24,554 | |
Total expenses | | | 374,725 | |
Less: |
Expenses reimbursed by Adviser | | | (1,102 | ) |
Expenses waived by Adviser | | | (31,286 | ) |
Earnings credits applied | | | (1,037 | ) |
Total waived/reimbursed expenses | | | (33,425 | ) |
Net expenses | | | 341,300 | |
Net investment income | | | 1,217,852 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (351,242 | ) |
Investments in affiliated issuers | | | (100,587 | ) |
Net realized loss | | | (451,829 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 1,781,459 | |
Investments in affiliated issuers | | | 53,922 | |
Net change in unrealized appreciation (depreciation) | | | 1,835,381 | |
Net realized and unrealized gain | | | 1,383,552 | |
Net increase in net assets resulting from operations | | $ | 2,601,404 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 51 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,217,852 | | | $ | 2,561,613 | |
Net realized loss on investments | | | (451,829 | ) | | | (461,830 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 1,835,381 | | | | (2,843,843 | ) |
Net increase (decrease) in net assets resulting from operations | | | 2,601,404 | | | | (744,060 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (1,907,470 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 11,184,443 | | | | 56,864,387 | |
Distributions reinvested | | | — | | | | 1,907,470 | |
Cost of shares redeemed | | | (13,446,057 | ) | | | (48,360,750 | ) |
Net increase (decrease) from capital share transactions | | | (2,261,614 | ) | | | 10,411,107 | |
Net increase in net assets | | | 339,790 | | | | 7,759,577 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 58,797,862 | | | | 51,038,285 | |
End of period | | $ | 59,137,652 | | | $ | 58,797,862 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 424,537 | | | | 2,158,223 | |
Shares issued from reinvestment of distributions | | | — | | | | 73,648 | |
Shares redeemed | | | (516,369 | ) | | | (1,851,912 | ) |
Net increase (decrease) in shares | | | (91,832 | ) | | | 379,959 | |
52| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 25.30 | | | $ | 26.26 | | | $ | 26.22 | | | $ | 25.72 | | | $ | 26.24 | | | $ | 25.61 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .55 | | | | 1.01 | | | | .91 | | | | 1.05 | | | | .97 | | | | .95 | |
Net gain (loss) on investments (realized and unrealized) | | | .65 | | | | (1.21 | ) | | | (.02 | ) | | | 1.09 | | | | (.77 | ) | | | (.32 | ) |
Total from investment operations | | | 1.20 | | | | (.20 | ) | | | .89 | | | | 2.14 | | | | .20 | | | | .63 | |
Less distributions from: |
Net investment income | | | — | | | | (.76 | ) | | | (.85 | ) | | | (1.56 | ) | | | (.67 | ) | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | (.08 | ) | | | (.05 | ) | | | — | |
Total distributions | | | — | | | | (.76 | ) | | | (.85 | ) | | | (1.64 | ) | | | (.72 | ) | | | — | |
Net asset value, end of period | | $ | 26.50 | | | $ | 25.30 | | | $ | 26.26 | | | $ | 26.22 | | | $ | 25.72 | | | $ | 26.24 | |
|
Total Returnc | | | 4.74% | | | | (0.84 | %) | | | 3.46% | | | | 8.56% | | | | 0.73% | | | | 2.38% | |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 59,138 | | | $ | 58,798 | | | $ | 51,038 | | | $ | 53,245 | | | $ | 48,598 | | | $ | 45,837 | |
Ratios to average net assets: |
Net investment income (loss) | | | 4.24 | % | | | 3.85 | % | | | 3.44 | % | | | 4.06 | % | | | 3.66 | % | | | 3.65 | % |
Total expenses | | | 1.31 | % | | | 1.26 | % | | | 1.28 | % | | | 1.22 | % | | | 1.27 | % | | | 1.24 | % |
Net expensesd,e,f | | | 1.19 | % | | | 1.16 | % | | | 1.18 | % | | | 1.18 | % | | | 1.17 | % | | | 1.16 | % |
Portfolio turnover rate | | | 16 | % | | | 80 | % | | | 57 | % | | | 71 | % | | | 73 | % | | | 90 | % |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods would be: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 |
| | 1.15% | 1.15% | 1.15% | 1.15% | 1.15% | 1.15% |
f | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods was as follows: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | 0.00%* | 0.01% | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 53 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES J (STYLEPLUS—MID GROWTH SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.
Inception Date: October 1, 1992 |
Ten Largest Holdings (% of Total Net Assets) |
Guggenheim Variable Insurance Strategy Fund III | 32.0% |
Guggenheim Strategy Fund III | 26.0% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 8.7% |
Guggenheim Strategy Fund II | 6.7% |
STERIS plc | 0.5% |
Hill-Rom Holdings, Inc. | 0.4% |
Bio-Rad Laboratories, Inc. — Class A | 0.4% |
Post Holdings, Inc. | 0.4% |
Leidos Holdings, Inc. | 0.4% |
Zebra Technologies Corp. — Class A | 0.3% |
Top Ten Total | 75.8% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series J (StylePlus—Mid Growth Series) | 24.08% | 10.63% | 10.38% | 14.34% |
Russell Midcap Growth Index | 26.08% | 13.94% | 11.10% | 16.02% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell Midcap Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
COMMON STOCKS† - 20.9% |
| | | | | | | | | |
Consumer, Non-cyclical - 6.6% |
STERIS plc | | | 5,359 | | | $ | 797,848 | |
Hill-Rom Holdings, Inc. | | | 5,726 | | | | 599,054 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 1,826 | | | | 570,790 | |
Post Holdings, Inc.* | | | 5,414 | | | | 562,894 | |
Molina Healthcare, Inc.* | | | 3,537 | | | | 506,286 | |
Encompass Health Corp. | | | 7,795 | | | | 493,891 | |
Sabre Corp. | | | 21,877 | | | | 485,669 | |
PRA Health Sciences, Inc.* | | | 3,667 | | | | 363,583 | |
Charles River Laboratories International, Inc.* | | | 2,508 | | | | 355,885 | |
Hologic, Inc.* | | | 7,049 | | | | 338,493 | |
Zimmer Biomet Holdings, Inc. | | | 2,777 | | | | 326,964 | |
Humana, Inc. | | | 1,208 | | | | 320,483 | |
Baxter International, Inc. | | | 3,588 | | | | 293,857 | |
Aaron’s, Inc. | | | 4,654 | | | | 285,802 | |
Flowers Foods, Inc. | | | 12,164 | | | | 283,056 | |
Catalent, Inc.* | | | 4,877 | | | | 264,382 | |
Integra LifeSciences Holdings Corp.* | | | 4,427 | | | | 247,248 | |
DaVita, Inc.* | | | 4,270 | | | | 240,230 | |
Universal Health Services, Inc. — Class B | | | 1,793 | | | | 233,790 | |
Sysco Corp. | | | 3,101 | | | | 219,303 | |
West Pharmaceutical Services, Inc. | | | 1,699 | | | | 212,630 | |
United Rentals, Inc.* | | | 1,541 | | | | 204,383 | |
McKesson Corp. | | | 1,457 | | | | 195,806 | |
Alexion Pharmaceuticals, Inc.* | | | 1,489 | | | | 195,029 | |
Clorox Co. | | | 1,184 | | | | 181,282 | |
Constellation Brands, Inc. — Class A | | | 916 | | | | 180,397 | |
Adtalem Global Education, Inc.* | | | 3,920 | | | | 176,596 | |
Syneos Health, Inc.* | | | 3,376 | | | | 172,480 | |
MarketAxess Holdings, Inc. | | | 531 | | | | 170,674 | |
Kimberly-Clark Corp. | | | 1,203 | | | | 160,336 | |
H&R Block, Inc. | | | 5,356 | | | | 156,931 | |
HealthEquity, Inc.* | | | 1,998 | | | | 130,669 | |
Robert Half International, Inc. | | | 1,832 | | | | 104,442 | |
WEX, Inc.* | | | 477 | | | | 99,264 | |
Regeneron Pharmaceuticals, Inc.* | | | 302 | | | | 94,526 | |
Total Consumer, Non-cyclical | | | | | | | 10,224,953 | |
| | | | | | | | | |
Industrial - 5.0% |
Old Dominion Freight Line, Inc. | | | 3,444 | | | | 514,052 | |
Kennametal, Inc. | | | 12,841 | | | | 474,988 | |
Lincoln Electric Holdings, Inc. | | | 5,012 | | | | 412,588 | |
Regal Beloit Corp. | | | 5,004 | | | | 408,877 | |
Curtiss-Wright Corp. | | | 3,179 | | | | 404,146 | |
Gentex Corp. | | | 16,313 | | | | 401,463 | |
Landstar System, Inc. | | | 3,381 | | | | 365,114 | |
Carlisle Companies, Inc. | | | 2,377 | | | | 333,755 | |
Masco Corp. | | | 8,451 | | | | 331,617 | |
Kansas City Southern | | | 2,621 | | | | 319,290 | |
Kirby Corp.* | | | 3,959 | | | | 312,761 | |
Louisiana-Pacific Corp. | | | 10,645 | | | | 279,112 | |
Expeditors International of Washington, Inc. | | | 3,515 | | | | 266,648 | |
KBR, Inc. | | | 10,498 | | | | 261,820 | |
Crane Co. | | | 3,104 | | | | 258,998 | |
ITT, Inc. | | | 3,934 | | | | 257,598 | |
Littelfuse, Inc. | | | 1,427 | | | | 252,451 | |
XPO Logistics, Inc.* | | | 4,351 | | | | 251,531 | |
J.B. Hunt Transport Services, Inc. | | | 2,744 | | | | 250,829 | |
EnerSys | | | 3,337 | | | | 228,584 | |
Lennox International, Inc. | | | 781 | | | | 214,775 | |
GATX Corp. | | | 2,697 | | | | 213,845 | |
Agilent Technologies, Inc. | | | 2,372 | | | | 177,117 | |
Waters Corp.* | | | 743 | | | | 159,923 | |
IDEX Corp. | | | 790 | | | | 135,991 | |
Trimble, Inc.* | | | 2,868 | | | | 129,376 | |
Aerojet Rocketdyne Holdings, Inc.* | | | 2,487 | | | | 111,343 | |
Total Industrial | | | | | | | 7,728,592 | |
| | | | | | | | | |
Consumer, Cyclical - 2.7% |
Live Nation Entertainment, Inc.* | | | 6,586 | | | | 436,322 | |
UniFirst Corp. | | | 1,973 | | | | 372,049 | |
Cinemark Holdings, Inc. | | | 9,929 | | | | 358,437 | |
Domino’s Pizza, Inc. | | | 1,235 | | | | 343,676 | |
NVR, Inc.* | | | 97 | | | | 326,914 | |
MSC Industrial Direct Company, Inc. — Class A | | | 4,340 | | | | 322,288 | |
Deckers Outdoor Corp.* | | | 1,665 | | | | 292,990 | |
Williams-Sonoma, Inc. | | | 3,701 | | | | 240,565 | |
Cracker Barrel Old Country Store, Inc. | | | 1,407 | | | | 240,217 | |
VF Corp. | | | 2,529 | | | | 220,908 | |
Five Below, Inc.* | | | 1,663 | | | | 199,593 | |
Brinker International, Inc. | | | 4,952 | | | | 194,861 | |
Carter’s, Inc. | | | 1,650 | | | | 160,941 | |
AutoZone, Inc.* | | | 111 | | | | 122,041 | |
Eldorado Resorts, Inc.* | | | 2,394 | | | | 110,292 | |
WW Grainger, Inc. | | | 399 | | | | 107,024 | |
Sally Beauty Holdings, Inc.* | | | 7,531 | | | | 100,464 | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | 970 | | | | 84,497 | |
Total Consumer, Cyclical | | | | | | | 4,234,079 | |
| | | | | | | | | |
Technology - 2.2% |
Leidos Holdings, Inc. | | | 6,910 | | | | 551,764 | |
Zebra Technologies Corp. — Class A* | | | 2,464 | | | | 516,183 | |
Teradyne, Inc. | | | 8,778 | | | | 420,554 | |
j2 Global, Inc. | | | 3,960 | | | | 352,004 | |
MAXIMUS, Inc. | | | 4,585 | | | | 332,596 | |
Skyworks Solutions, Inc. | | | 3,488 | | | | 269,518 | |
Seagate Technology plc | | | 4,960 | | | | 233,715 | |
Cerner Corp. | | | 2,886 | | | | 211,544 | |
CDK Global, Inc. | | | 3,653 | | | | 180,604 | |
NetApp, Inc. | | | 2,783 | | | | 171,711 | |
Electronic Arts, Inc.* | | | 1,133 | | | | 114,728 | |
PTC, Inc.* | | | 1,105 | | | | 99,185 | |
Total Technology | | | | | | | 3,454,106 | |
| | | | | | | | | |
Communications - 1.8% |
John Wiley & Sons, Inc. — Class A | | | 8,040 | | | | 368,714 | |
InterDigital, Inc. | | | 5,585 | | | | 359,674 | |
AMC Networks, Inc. — Class A* | | | 6,516 | | | | 355,057 | |
Cable One, Inc. | | | 296 | | | | 346,613 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 55 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
New York Times Co. — Class A | | | 9,736 | | | $ | 317,588 | |
Ciena Corp.* | | | 6,330 | | | | 260,353 | |
Cars.com, Inc.* | | | 11,117 | | | | 219,227 | |
eBay, Inc. | | | 5,230 | | | | 206,585 | |
World Wrestling Entertainment, Inc. — Class A | | | 2,255 | | | | 162,834 | |
FactSet Research Systems, Inc. | | | 558 | | | | 159,901 | |
Total Communications | | | | | | | 2,756,546 | |
| | | | | | | | | |
Energy - 1.3% |
ONEOK, Inc. | | | 4,862 | | | | 334,554 | |
HollyFrontier Corp. | | | 6,130 | | | | 283,696 | |
Apache Corp. | | | 9,149 | | | | 265,047 | |
PBF Energy, Inc. — Class A | | | 8,160 | | | | 255,408 | |
Marathon Oil Corp. | | | 17,210 | | | | 244,554 | |
Devon Energy Corp. | | | 8,041 | | | | 229,329 | |
Murphy Oil Corp. | | | 6,220 | | | | 153,323 | |
CNX Resources Corp.* | | | 20,093 | | | | 146,880 | |
Southwestern Energy Co.* | | | 40,480 | | | | 127,917 | |
Total Energy | | | | | | | 2,040,708 | |
| | | | | | | | | |
Financial - 0.8% |
Weingarten Realty Investors REIT | | | 12,320 | | | | 337,814 | |
Western Union Co. | | | 16,171 | | | | 321,641 | |
Northern Trust Corp. | | | 2,004 | | | | 180,360 | |
Medical Properties Trust, Inc. REIT | | | 7,918 | | | | 138,090 | |
Interactive Brokers Group, Inc. — Class A | | | 2,333 | | | | 126,449 | |
National Retail Properties, Inc. REIT | | | 1,762 | | | | 93,404 | |
American Campus Communities, Inc. REIT | | | 1,327 | | | | 61,254 | |
Highwoods Properties, Inc. REIT | | | 1,397 | | | | 57,696 | |
Total Financial | | | | | | | 1,316,708 | |
| | | | | | | | | |
Utilities - 0.3% |
UGI Corp. | | | 6,536 | | | | 349,088 | |
Aqua America, Inc. | | | 3,517 | | | | 145,498 | |
Total Utilities | | | | | | | 494,586 | |
| | | | | | | | | |
Basic Materials - 0.2% |
Chemours Co. | | | 10,654 | | | | 255,696 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $30,677,309) | | | | | | | 32,505,974 | |
| | | | | | | | | |
MUTUAL FUNDS† - 73.4% |
Guggenheim Variable Insurance Strategy Fund III1 | | | 2,004,800 | | | | 49,638,840 | |
Guggenheim Strategy Fund III1 | | | 1,627,738 | | | | 40,351,637 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 1,362,238 | | | | 13,567,888 | |
Guggenheim Strategy Fund II1 | | | 415,887 | | | | 10,322,312 | |
Total Mutual Funds | | | | | | | | |
(Cost $114,605,880) | | | | | | | 113,880,677 | |
| | | | | | | | | |
MONEY MARKET FUND† - 4.9% |
Dreyfus Treasury Securities Cash Management - Institutional Shares 2.10%2 | | | 7,543,274 | | | | 7,543,274 | |
Total Money Market Fund | | | | | | | | |
(Cost $7,543,274) | | | | | | | 7,543,274 | |
| | | | | | | | | |
Total Investments - 99.2% | | | | | | | | |
(Cost $152,826,463) | | | | | | $ | 153,929,925 | |
Other Assets & Liabilities, net - 0.8% | | | | | | | 1,201,727 | |
Total Net Assets - 100.0% | | | | | | $ | 155,131,652 | |
Futures Contracts |
Description | | Number of
Contracts | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
S&P MidCap 400 Index Mini Futures Contracts | | | 10 | | Sep 2019 | | $ | 1,952,800 | | | $ | 48,217 | |
NASDAQ-100 Index Mini Futures Contracts | | | 4 | | Sep 2019 | | | 615,500 | | | | 10,483 | |
S&P 500 Index Mini Futures Contracts | | | 4 | | Sep 2019 | | | 588,650 | | | | 9,316 | |
| | | | | | | | $ | 3,156,950 | | | $ | 68,016 | |
Total Return Swap Agreements |
Counterparty | Index | | Financing
Rate Pay | | Payment
Frequency | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Wells Fargo Bank, N.A. | Russell MidCap Growth Index | | | 2.61 | % | At Maturity | 07/02/19 | | | 105,028 | | | $ | 120,651,020 | | | $ | 4,246,492 | |
56| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of June 30, 2019. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 32,505,974 | | | $ | — | | | $ | — | | | $ | 32,505,974 | |
Mutual Funds | | | 113,880,677 | | | | — | | | | — | | | | 113,880,677 | |
Money Market Fund | | | 7,543,274 | | | | — | | | | — | | | | 7,543,274 | |
Equity Futures Contracts** | | | 68,016 | | | | — | | | | — | | | | 68,016 | |
Equity Index Swap Agreements** | | | — | | | | 4,246,492 | | | | — | | | | 4,246,492 | |
Total Assets | | $ | 153,997,941 | | | $ | 4,246,492 | | | $ | — | | | $ | 158,244,433 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2018, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/18 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/19 | | | Shares
06/30/19 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 6,588,834 | | | $ | 3,732,883 | | | $ | — | | | $ | — | | | $ | 595 | | | $ | 10,322,312 | | | | 415,887 | | | $ | 126,721 | |
Guggenheim Strategy Fund III | | | 39,792,573 | | | | 559,241 | | | | — | | | | — | | | | (177 | ) | | | 40,351,637 | | | | 1,627,738 | | | | 564,679 | |
Guggenheim Ultra Short Duration Fund - Institutional Class | | | 3,167,024 | | | | 20,921,171 | | | | (10,528,978 | ) | | | (2,051 | ) | | | 10,722 | | | | 13,567,888 | | | | 1,362,238 | | | | 220,607 | |
Guggenheim Variable Insurance Strategy Fund III | | | 48,939,224 | | | | 679,790 | | | | — | | | | — | | | | 19,826 | | | | 49,638,840 | | | | 2,004,800 | | | | 681,104 | |
| | | $ | 98,487,655 | | | $ | 25,893,085 | | | $ | (10,528,978 | ) | | $ | (2,051 | ) | | $ | 30,966 | | | $ | 113,880,677 | | | | | | | $ | 1,593,111 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 57 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments in unaffiliated issuers, at value (cost $38,220,583) | | $ | 40,049,248 | |
Investments in affiliated issuers, at value (cost $114,605,880) | | | 113,880,677 | |
Segregated cash with broker | | | 140,600 | |
Unrealized appreciation on OTC swap agreements | | | 4,246,492 | |
Prepaid expenses | | | 3,287 | |
Receivables: |
Securities sold | | | 1,050,000 | |
Dividends | | | 279,775 | |
Variation margin on futures contracts | | | 28,330 | |
Fund shares sold | | | 26,327 | |
Interest | | | 8,722 | |
Total assets | | | 159,713,458 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 1,048,759 | |
Segregated cash due to broker | | | 2,600,000 | |
Payable for: |
Swap settlement | | | 488,812 | |
Securities purchased | | | 256,231 | |
Management fees | | | 57,863 | |
Distribution and service fees | | | 29,236 | |
Fund shares redeemed | | | 20,288 | |
Fund accounting/administration fees | | | 9,356 | |
Transfer agent/maintenance fees | | | 2,087 | |
Trustees’ fees* | | | 1,940 | |
Miscellaneous | | | 67,234 | |
Total liabilities | | | 4,581,806 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 155,131,652 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 124,488,391 | |
Total distributable earnings (loss) | | | 30,643,261 | |
Net assets | | $ | 155,131,652 | |
Capital shares outstanding | | | 2,564,678 | |
Net asset value per share | | $ | 60.49 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 208,553 | |
Dividends from securities of affiliated issuers | | | 1,593,111 | |
Interest | | | 69,757 | |
Total investment income | | | 1,871,421 | |
| | | | | |
Expenses: |
Management fees | | | 570,429 | |
Distribution and service fees | | | 190,143 | |
Transfer agent/maintenance fees | | | 12,264 | |
Interest expense | | | 92,658 | |
Fund accounting/administration fees | | | 60,846 | |
Trustees’ fees* | | | 11,802 | |
Custodian fees | | | 5,359 | |
Miscellaneous | | | 68,544 | |
Total expenses | | | 1,012,045 | |
Less: |
Expenses reimbursed by Adviser | | | (155 | ) |
Expenses waived by Adviser | | | (229,418 | ) |
Earnings credits applied | | | (1,307 | ) |
Total waived/reimbursed expenses | | | (230,880 | ) |
Net expenses | | | 781,165 | |
Net investment income | | | 1,090,256 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (236,389 | ) |
Investments in affiliated issuers | | | (2,051 | ) |
Swap agreements | | | 8,659,056 | |
Futures contracts | | | 603,645 | |
Net realized gain | | | 9,024,261 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 5,434,471 | |
Investments in affiliated issuers | | | 30,966 | |
Swap agreements | | | 16,799,992 | |
Futures contracts | | | 82,173 | |
Net change in unrealized appreciation (depreciation) | | | 22,347,602 | |
Net realized and unrealized gain | | | 31,371,863 | |
Net increase in net assets resulting from operations | | $ | 32,462,119 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
58| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,090,256 | | | $ | 2,875,192 | |
Net realized gain on investments | | | 9,024,261 | | | | 17,850,768 | |
Net change in unrealized appreciation (depreciation) on investments | | | 22,347,602 | | | | (28,579,475 | ) |
Net increase (decrease) in net assets resulting from operations | | | 32,462,119 | | | | (7,853,515 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (21,135,811 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 1,577,304 | | | | 5,267,526 | |
Distributions reinvested | | | — | | | | 21,135,811 | |
Cost of shares redeemed | | | (16,023,953 | ) | | | (48,194,906 | ) |
Net decrease from capital share transactions | | | (14,446,649 | ) | | | (21,791,569 | ) |
Net increase (decrease) in net assets | | | 18,015,470 | | | | (50,780,895 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 137,116,182 | | | | 187,897,077 | |
End of period | | $ | 155,131,652 | | | $ | 137,116,182 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 27,708 | | | | 87,944 | |
Shares issued from reinvestment of distributions | | | — | | | | 371,390 | |
Shares redeemed | | | (275,429 | ) | | | (787,947 | ) |
Net decrease in shares | | | (247,721 | ) | | | (328,613 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 59 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 48.75 | | | $ | 59.82 | | | $ | 48.43 | | | $ | 45.15 | | | $ | 49.12 | | | $ | 43.45 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .40 | | | | .97 | | | | .67 | | | | .52 | | | | .31 | | | | .49 | |
Net gain (loss) on investments (realized and unrealized) | | | 11.34 | | | | (4.08 | ) | | | 11.22 | | | | 3.37 | | | | (.10 | ) | | | 5.18 | |
Total from investment operations | | | 11.74 | | | | (3.11 | ) | | | 11.89 | | | | 3.89 | | | | .21 | | | | 5.67 | |
Less distributions from: |
Net investment income | | | — | | | | (.83 | ) | | | (.50 | ) | | | (.33 | ) | | | (.56 | ) | | | — | |
Net realized gains | | | — | | | | (7.13 | ) | | | — | | | | (.28 | ) | | | (3.62 | ) | | | — | |
Total distributions | | | — | | | | (7.96 | ) | | | (.50 | ) | | | (.61 | ) | | | (4.18 | ) | | | — | |
Net asset value, end of period | | $ | 60.49 | | | $ | 48.75 | | | $ | 59.82 | | | $ | 48.43 | | | $ | 45.15 | | | $ | 49.12 | |
|
Total Returnc | | | 24.08% | | | | (7.10 | %) | | | 24.67% | | | | 8.65% | | | | (0.08 | %) | | | 13.05% | |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 155,132 | | | $ | 137,116 | | | $ | 187,897 | | | $ | 166,814 | | | $ | 148,009 | | | $ | 163,066 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.43 | % | | | 1.64 | % | | | 1.25 | % | | | 1.14 | % | | | 0.63 | % | | | 1.06 | % |
Total expensesd | | | 1.33 | % | | | 1.28 | % | | | 1.14 | % | | | 0.95 | % | | | 0.97 | % | | | 0.98 | % |
Net expensese,f | | | 1.03 | % | | | 1.01 | % | | | 0.94 | % | | | 0.95 | % | | | 0.97 | % | | | 0.96 | % |
Portfolio turnover rate | | | 35 | % | | | 66 | % | | | 49 | % | | | 57 | % | | | 70 | % | | | 100 | % |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods would be: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 |
| | 0.91% | 0.94% | 0.92% | 0.95% | 0.97% | 0.96% |
60| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES N (MANAGED ASSET ALLOCATION SERIES)
OBJECTIVE: Seeks to provide growth of capital and, secondarily, preservation of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.
Inception Date: June 1, 1995 |
Ten Largest Holdings (% of Total Net Assets) |
Vanguard S&P 500 ETF | 17.8% |
SPDR S&P 500 ETF Trust | 17.3% |
iShares Core U.S. Aggregate Bond ETF | 15.6% |
Guggenheim Strategy Fund III | 7.9% |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 7.8% |
Guggenheim Variable Insurance Strategy Fund III | 6.4% |
iShares Core S&P Mid-Capital ETF | 5.4% |
iShares 1-3 Year Treasury Bond ETF | 4.6% |
iShares MSCI EAFE ETF | 4.2% |
iShares 7-10 Year Treasury Bond ETF | 4.0% |
Top Ten Total | 91.0% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series N (Managed Asset Allocation Series) | 13.02% | 6.55% | 5.96% | 8.96% |
Blended Index** | 13.64% | 9.86% | 7.74% | 10.50% |
Bloomberg Barclays U.S. Aggregate Bond Index | 6.11% | 7.87% | 2.95% | 3.90% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and Bloomberg Barclays U.S. Aggregate Bond Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | The Blended Index is 60% S&P 500 Index and 40% Bloomberg Barclays U.S. Aggregate Bond Index. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES N (MANAGED ASSET ALLOCATION SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 76.7% |
Vanguard S&P 500 ETF | | | 30,352 | | | $ | 8,169,241 | |
SPDR S&P 500 ETF Trust | | | 27,068 | | | | 7,930,924 | |
iShares Core U.S. Aggregate Bond ETF | | | 64,178 | | | | 7,146,220 | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | | | 28,607 | | | | 3,557,853 | |
iShares Core S&P Mid-Capital ETF | | | 12,738 | | | | 2,474,484 | |
iShares 1-3 Year Treasury Bond ETF | | | 25,124 | | | | 2,130,013 | |
iShares MSCI EAFE ETF | | | 29,714 | | | | 1,953,101 | |
iShares 7-10 Year Treasury Bond ETF | | | 16,738 | | | | 1,841,515 | |
iShares Core S&P 500 ETF | | | 2 | | | | 589 | |
Total Exchange-Traded Funds | | | | | | | | |
(Cost $25,248,327) | | | | | | | 35,203,940 | |
| | | | | | | | | |
MUTUAL FUNDS† - 20.4% |
Guggenheim Strategy Fund III1 | | | 146,830 | | | | 3,639,923 | |
Guggenheim Variable Insurance Strategy Fund III1 | | | 118,327 | | | | 2,929,773 | |
Guggenheim Strategy Fund II1 | | | 72,465 | | | | 1,798,585 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 101,519 | | | | 1,011,132 | |
Total Mutual Funds | | | | | | | | |
(Cost $9,431,915) | | | | | | | 9,379,413 | |
| | | | | | | | | |
MONEY MARKET FUND† - 2.0% |
Dreyfus Treasury Securities Cash Management — Institutional Shares 2.10%2 | | | 915,196 | | | | 915,196 | |
Total Money Market Fund | | | | | | | | |
(Cost $915,196) | | | | | | | 915,196 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 1.2% |
U.S. Treasury Bills | | | | | | | | |
2.11% due 07/16/193,4 | | $ | 530,000 | | | | 529,548 | |
Total U.S. Treasury Bills | | | | | | | | |
(Cost $529,517) | | | | | | | 529,548 | |
| | | | | | | | | |
Total Investments - 100.3% | | | | | | | | |
(Cost $36,124,955) | | | | | | $ | 46,028,097 | |
Other Assets & Liabilities, net - (0.3)% | | | | | | | (129,103 | ) |
Total Net Assets - 100.0% | | | | | | $ | 45,898,994 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Equity Futures Contracts Purchased† |
MSCI EAFE Index Mini Futures Contracts | | | 56 | | | | Sep 2019 | | | $ | 5,385,240 | | | $ | 150,828 | |
Russell 2000 Index Mini Futures Contracts | | | 27 | | | | Sep 2019 | | | | 2,116,260 | | | | 52,809 | |
S&P 500 Index Mini Futures Contracts | | | 6 | | | | Sep 2019 | | | | 882,975 | | | | 14,511 | |
S&P MidCap 400 Index Mini Futures Contracts | | | 2 | | | | Sep 2019 | | | | 390,560 | | | | 8,602 | |
CAC 40 10 Euro Index Futures Contracts | | | 5 | | | | Jul 2019 | | | | 314,377 | | | | 1,175 | |
Nikkei 225 (CME) Index Futures Contracts | | | 1 | | | | Sep 2019 | | | | 106,450 | | | | 646 | |
S&P/TSX 60 IX Index Futures Contracts | | | 1 | | | | Sep 2019 | | | | 149,136 | | | | (854 | ) |
| | | | | | | | | | | $ | 9,344,998 | | | $ | 227,717 | |
Interest Rate Futures Contracts Purchased† | | | | | | | | | | | | | | | | |
U.S. Treasury 10 Year Note Futures Contracts | | | 32 | | | | Sep 2019 | | | $ | 4,093,500 | | | $ | 69,946 | |
U.S. Treasury 2 Year Note Futures Contracts | | | 7 | | | | Sep 2019 | | | | 1,505,984 | | | | 7,348 | |
| | | | | | | | | | | $ | 5,599,484 | | | $ | 77,294 | |
Currency Futures Contracts Purchased† | | | | | | | | | | | | | | | | |
Euro FX Futures Contracts | | | 6 | | | | Sep 2019 | | | $ | 858,113 | | | $ | 5,497 | |
Japanese Yen Futures Contracts | | | 1 | | | | Sep 2019 | | | | 116,600 | | | | 585 | |
| | | | | | | | | | | $ | 974,713 | | | $ | 6,082 | |
Equity Futures Contracts Sold Short† | | | | | | | | | | | | | | | | |
SPI 200 Index Futures Contracts | | | 1 | | | | Sep 2019 | | | $ | 115,345 | | | $ | 187 | |
FTSE 100 Index Futures Contracts | | | 1 | | | | Sep 2019 | | | | 93,602 | | | | (241 | ) |
Hang Seng Index Futures Contracts†† | | | 1 | | | | Jul 2019 | | | | 182,349 | | | | (695 | ) |
DAX Index Futures Contracts | | | 1 | | | | Sep 2019 | | | | 352,181 | | | | (1,629 | ) |
| | | | | | | | | | | $ | 743,477 | | | $ | (2,378 | ) |
Currency Futures Contracts Sold Short† | | | | | | | | | | | | | | | | |
Swiss Franc Futures Contracts | | | 6 | | | | Sep 2019 | | | $ | 773,700 | | | $ | (3,465 | ) |
62| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES N (MANAGED ASSET ALLOCATION SERIES) | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of June 30, 2019. |
3 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
4 | Rate indicated is the effective yield at the time of purchase. |
| | CME — Chicago Mercantile Exchange |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Exchange-Traded Funds | | $ | 35,203,940 | | | $ | — | | | $ | — | | | $ | 35,203,940 | |
Mutual Funds | | | 9,379,413 | | | | — | | | | — | | | | 9,379,413 | |
Money Market Fund | | | 915,196 | | | | — | | | | — | | | | 915,196 | |
U.S. Treasury Bills | | | — | | | | 529,548 | | | | — | | | | 529,548 | |
Equity Futures Contracts** | | | 228,758 | | | | — | | | | — | | | | 228,758 | |
Interest Rate Futures Contracts** | | | 77,294 | | | | — | | | | — | | | | 77,294 | |
Currency Futures Contracts** | | | 6,082 | | | | — | | | | — | | | | 6,082 | |
Total Assets | | $ | 45,810,683 | | | $ | 529,548 | | | $ | — | | | $ | 46,340,231 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Currency Futures Contracts** | | $ | 3,465 | | | $ | — | | | $ | — | | | $ | 3,465 | |
Equity Futures Contracts** | | | 2,724 | | | | 695 | | | | — | | | | 3,419 | |
Total Liabilities | | $ | 6,189 | | | $ | 695 | | | $ | — | | | $ | 6,884 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 63 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES N (MANAGED ASSET ALLOCATION SERIES) | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2018, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/18 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/19 | | | Shares
06/30/19 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,773,302 | | | $ | 25,283 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,798,585 | | | | 72,465 | | | $ | 25,502 | |
Guggenheim Strategy Fund III | | | 5,183,918 | | | | 55,817 | | | | (1,600,000 | ) | | | (8,069 | ) | | | 8,257 | | | | 3,639,923 | | | | 146,830 | | | | 56,526 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 998,067 | | | | 13,071 | | | | — | | | | — | | | | (6 | ) | | | 1,011,132 | | | | 101,519 | | | | 13,177 | |
Guggenheim Variable Insurance Strategy Fund III | | | 6,071,540 | | | | 56,137 | | | | (3,200,000 | ) | | | (28,803 | ) | | | 30,899 | | | | 2,929,773 | | | | 118,327 | | | | 56,299 | |
| | | $ | 14,026,827 | | | $ | 150,308 | | | $ | (4,800,000 | ) | | $ | (36,872 | ) | | $ | 39,150 | | | $ | 9,379,413 | | | | | | | $ | 151,504 | |
64| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES N (MANAGED ASSET ALLOCATION SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments in unaffiliated issuers, at value (cost $26,693,040) | | $ | 36,648,684 | |
Investments in affiliated issuers, at value (cost $9,431,915) | | | 9,379,413 | |
Segregated cash with broker | | | 4,616 | |
Prepaid expenses | | | 1,875 | |
Receivables: |
Dividends | | | 102,158 | |
Variation margin on futures contracts | | | 61,878 | |
Interest | | | 1,441 | |
Fund shares sold | | | 23 | |
Total assets | | | 46,200,088 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 171,325 | |
Fund shares redeemed | | | 58,902 | |
Professional fees | | | 19,171 | |
Printing fees | | | 15,253 | |
Management fees | | | 13,722 | |
Distribution and service fees | | | 8,697 | |
Trustees’ fees* | | | 2,869 | |
Fund accounting/administration fees | | | 2,783 | |
Transfer agent/maintenance fees | | | 2,083 | |
Miscellaneous | | | 6,289 | |
Total liabilities | | | 301,094 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 45,898,994 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 33,142,836 | |
Total distributable earnings (loss) | | | 12,756,158 | |
Net assets | | $ | 45,898,994 | |
Capital shares outstanding | | | 1,485,432 | |
Net asset value per share | | $ | 30.90 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 389,124 | |
Dividends from securities of affiliated issuers | | | 151,504 | |
Interest | | | 10,541 | |
Total investment income | | | 551,169 | |
| | | | | |
Expenses: |
Management fees | | | 89,353 | |
Distribution and service fees | | | 55,846 | |
Transfer agent/maintenance fees | | | 12,264 | |
Professional fees | | | 20,221 | |
Fund accounting/administration fees | | | 17,871 | |
Trustees’ fees* | | | 11,437 | |
Custodian fees | | | 947 | |
Miscellaneous | | | 19,211 | |
Total expenses | | | 227,150 | |
Less: |
Expenses waived by Adviser | | | (1,244 | ) |
Earnings credits applied | | | (76 | ) |
Total waived expenses | | | (1,320 | ) |
Net expenses | | | 225,830 | |
Net investment income | | | 325,339 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (3,820 | ) |
Investments in affiliated issuers | | | (36,872 | ) |
Futures contracts | | | 1,098,638 | |
Foreign currency transactions | | | 294 | |
Net realized gain | | | 1,058,240 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 3,631,355 | |
Investments in affiliated issuers | | | 39,150 | |
Futures contracts | | | 396,087 | |
Foreign currency translations | | | (35 | ) |
Net change in unrealized appreciation (depreciation) | | | 4,066,557 | |
Net realized and unrealized gain | | | 5,124,797 | |
Net increase in net assets resulting from operations | | $ | 5,450,136 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 65 |
SERIES N (MANAGED ASSET ALLOCATION SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 325,339 | | | $ | 746,977 | |
Net realized gain on investments | | | 1,058,240 | | | | 1,116,990 | |
Net change in unrealized appreciation (depreciation) on investments | | | 4,066,557 | | | | (4,463,545 | ) |
Net increase (decrease) in net assets resulting from operations | | | 5,450,136 | | | | (2,599,578 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (4,136,596 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 1,176,096 | �� | | | 3,247,235 | |
Distributions reinvested | | | — | | | | 4,136,596 | |
Cost of shares redeemed | | | (3,362,937 | ) | | | (9,092,113 | ) |
Net decrease from capital share transactions | | | (2,186,841 | ) | | | (1,708,282 | ) |
Net increase (decrease) in net assets | | | 3,263,295 | | | | (8,444,456 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 42,635,699 | | | | 51,080,155 | |
End of period | | $ | 45,898,994 | | | $ | 42,635,699 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 40,211 | | | | 103,799 | |
Shares issued from reinvestment of distributions | | | — | | | | 140,034 | |
Shares redeemed | | | (114,131 | ) | | | (297,082 | ) |
Net decrease in shares | | | (73,920 | ) | | | (53,249 | ) |
66| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES N (MANAGED ASSET ALLOCATION SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 27.34 | | | $ | 31.68 | | | $ | 28.74 | | | $ | 27.43 | | | $ | 27.67 | | | $ | 25.93 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .21 | | | | .47 | | | | .39 | | | | .40 | | | | .32 | | | | .23 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.35 | | | | (2.08 | ) | | | 3.68 | | | | 1.78 | | | | (.28 | ) | | | 1.51 | |
Total from investment operations | | | 3.56 | | | | (1.61 | ) | | | 4.07 | | | | 2.18 | | | | .04 | | | | 1.74 | |
Less distributions from: |
Net investment income | | | — | | | | (.44 | ) | | | (.46 | ) | | | (.33 | ) | | | (.28 | ) | | | — | |
Net realized gains | | | — | | | | (2.29 | ) | | | (.67 | ) | | | (.54 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (2.73 | ) | | | (1.13 | ) | | | (.87 | ) | | | (.28 | ) | | | — | |
Net asset value, end of period | | $ | 30.90 | | | $ | 27.34 | | | $ | 31.68 | | | $ | 28.74 | | | $ | 27.43 | | | $ | 27.67 | |
|
Total Returnc | | | 13.02% | | | | (5.73 | %) | | | 14.39% | | | | 8.01% | | | | 0.11% | | | | 6.71% | |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 45,899 | | | $ | 42,636 | | | $ | 51,080 | | | $ | 52,840 | | | $ | 52,629 | | | $ | 60,319 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.46 | % | | | 1.53 | % | | | 1.29 | % | | | 1.42 | % | | | 1.14 | % | | | 0.87 | % |
Total expensesd | | | 1.02 | % | | | 0.99 | % | | | 0.98 | % | | | 0.92 | % | | | 0.94 | % | | | 0.93 | % |
Net expensese | | | 1.01 | % | | | 0.99 | % | | | 0.98 | % | | | 0.92 | % | | | 0.94 | % | | | 0.93 | % |
Portfolio turnover rate | | | 12 | % | | | 4 | % | | | 1 | % | | | 6 | % | | | 3 | % | | | 14 | % |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 67 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES O (ALL CAP VALUE SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: June 1, 1995 |
Ten Largest Holdings (% of Total Net Assets) |
JPMorgan Chase & Co. | 3.7% |
Chevron Corp. | 3.0% |
Bank of America Corp. | 2.4% |
Berkshire Hathaway, Inc. — Class B | 2.3% |
Cisco Systems, Inc. | 2.3% |
Exxon Mobil Corp. | 2.0% |
Citigroup, Inc. | 1.9% |
Pfizer, Inc. | 1.7% |
Intel Corp. | 1.6% |
Verizon Communications, Inc. | 1.5% |
Top Ten Total | 22.4% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series O (All Cap Value Series) | 13.00% | 0.21% | 6.25% | 11.87% |
Russell 3000 Value Index | 16.05% | 7.34% | 7.31% | 13.14% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 3000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES O (ALL CAP VALUE SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
COMMON STOCKS† - 98.9% |
| | | | | | | | | |
Financial - 33.2% |
JPMorgan Chase & Co. | | | 33,517 | | | $ | 3,747,201 | |
Bank of America Corp. | | | 83,325 | | | | 2,416,425 | |
Berkshire Hathaway, Inc. — Class B* | | | 11,247 | | | | 2,397,523 | |
Citigroup, Inc. | | | 27,506 | | | | 1,926,245 | |
Zions Bancorp North America | | | 33,481 | | | | 1,539,456 | |
Equity Commonwealth REIT | | | 41,909 | | | | 1,362,880 | |
Voya Financial, Inc. | | | 24,286 | | | | 1,343,016 | |
MetLife, Inc. | | | 21,897 | | | | 1,087,624 | |
SunTrust Banks, Inc. | | | 15,951 | | | | 1,002,520 | |
KeyCorp | | | 52,349 | | | | 929,195 | |
Axis Capital Holdings Ltd. | | | 14,954 | | | | 892,006 | |
Principal Financial Group, Inc. | | | 15,154 | | | | 877,720 | |
Allstate Corp. | | | 8,262 | | | | 840,163 | |
Alleghany Corp.* | | | 1,206 | | | | 821,419 | |
BB&T Corp. | | | 14,998 | | | | 736,852 | |
Huntington Bancshares, Inc. | | | 48,966 | | | | 676,710 | |
Willis Towers Watson plc | | | 3,446 | | | | 660,047 | |
Morgan Stanley | | | 13,028 | | | | 570,757 | |
Radian Group, Inc. | | | 24,321 | | | | 555,735 | |
Loews Corp. | | | 10,075 | | | | 550,800 | |
Medical Properties Trust, Inc. REIT | | | 30,988 | | | | 540,431 | |
Physicians Realty Trust REIT | | | 29,711 | | | | 518,160 | |
Alexandria Real Estate Equities, Inc. REIT | | | 3,552 | | | | 501,152 | |
Hartford Financial Services Group, Inc. | | | 8,753 | | | | 487,717 | |
Sun Communities, Inc. REIT | | | 3,748 | | | | 480,456 | |
Unum Group | | | 14,170 | | | | 475,403 | |
Federal Agricultural Mortgage Corp. — Class C | | | 6,089 | | | | 442,427 | |
Wintrust Financial Corp. | | | 5,756 | | | | 421,109 | |
Wells Fargo & Co. | | | 8,396 | | | | 397,299 | |
Regions Financial Corp. | | | 25,276 | | | | 377,623 | |
Prudential Financial, Inc. | | | 3,601 | | | | 363,701 | |
Umpqua Holdings Corp. | | | 21,084 | | | | 349,783 | |
Old Republic International Corp. | | | 14,969 | | | | 335,006 | |
Cousins Properties, Inc. REIT | | | 9,241 | | | | 334,247 | |
Pinnacle Financial Partners, Inc. | | | 5,460 | | | | 313,841 | |
IBERIABANK Corp. | | | 3,916 | | | | 297,029 | |
SVB Financial Group* | | | 1,147 | | | | 257,605 | |
Camden Property Trust REIT | | | 2,443 | | | | 255,025 | |
Redwood Trust, Inc. REIT | | | 14,098 | | | | 233,040 | |
Hilltop Holdings, Inc. | | | 10,087 | | | | 214,550 | |
Stifel Financial Corp. | | | 3,515 | | | | 207,596 | |
Howard Hughes Corp.* | | | 1,567 | | | | 194,057 | |
National Storage Affiliates Trust REIT | | | 6,657 | | | | 192,653 | |
Prosperity Bancshares, Inc. | | | 2,858 | | | | 188,771 | |
E*TRADE Financial Corp. | | | 4,097 | | | | 182,726 | |
WSFS Financial Corp. | | | 4,337 | | | | 179,118 | |
BOK Financial Corp. | | | 2,275 | | | | 171,717 | |
First Horizon National Corp. | | | 11,474 | | | | 171,307 | |
Total Financial | | | | | | | 34,017,843 | |
| | | | | | | | | |
Consumer, Non-cyclical - 16.3% |
Pfizer, Inc. | | | 41,289 | | | | 1,788,639 | |
Procter & Gamble Co. | | | 13,024 | | | | 1,428,082 | |
Johnson & Johnson | | | 8,984 | | | | 1,251,292 | |
Bunge Ltd. | | | 18,787 | | | | 1,046,624 | |
HCA Healthcare, Inc. | | | 6,649 | | | | 898,745 | |
Tyson Foods, Inc. — Class A | | | 9,842 | | | | 794,643 | |
Alexion Pharmaceuticals, Inc.* | | | 5,760 | | | | 754,445 | |
Archer-Daniels-Midland Co. | | | 16,063 | | | | 655,370 | |
Dentsply Sirona, Inc. | | | 10,779 | | | | 629,062 | |
Quest Diagnostics, Inc. | | | 5,569 | | | | 566,980 | |
Encompass Health Corp. | | | 8,850 | | | | 560,736 | |
Zimmer Biomet Holdings, Inc. | | | 4,740 | | | | 558,088 | |
Merck & Company, Inc. | | | 6,587 | | | | 552,320 | |
McKesson Corp. | | | 3,764 | | | | 505,844 | |
Medtronic plc | | | 4,628 | | | | 450,721 | |
DaVita, Inc.* | | | 6,941 | | | | 390,501 | |
Central Garden & Pet Co. — Class A* | | | 15,532 | | | | 382,709 | |
United Therapeutics Corp.* | | | 4,738 | | | | 369,848 | |
Biogen, Inc.* | | | 1,578 | | | | 369,047 | |
Premier, Inc. — Class A* | | | 9,167 | | | | 358,521 | |
Humana, Inc. | | | 1,232 | | | | 326,850 | |
Eagle Pharmaceuticals, Inc.* | | | 5,616 | | | | 312,699 | |
Amgen, Inc. | | | 1,636 | | | | 301,482 | |
Ingredion, Inc. | | | 3,653 | | | | 301,336 | |
Emergent BioSolutions, Inc.* | | | 5,533 | | | | 267,299 | |
Mylan N.V.* | | | 13,848 | | | | 263,666 | |
UnitedHealth Group, Inc. | | | 1,028 | | | | 250,842 | |
Cambrex Corp.* | | | 4,910 | | | | 229,837 | |
Corteva, Inc. * | | | 3,272 | | | | 96,753 | |
Total Consumer, Non-cyclical | | | | | | | 16,662,981 | |
| | | | | | | | | |
Energy - 9.8% |
Chevron Corp. | | | 24,806 | | | | 3,086,859 | |
Exxon Mobil Corp. | | | 26,348 | | | | 2,019,047 | |
Kinder Morgan, Inc. | | | 62,766 | | | | 1,310,554 | |
ConocoPhillips | | | 12,441 | | | | 758,901 | |
Marathon Oil Corp. | | | 51,739 | | | | 735,211 | |
Whiting Petroleum Corp.* | | | 36,447 | | | | 680,830 | |
Range Resources Corp. | | | 70,480 | | | | 491,950 | |
Parsley Energy, Inc. — Class A* | | | 24,809 | | | | 471,619 | |
Oasis Petroleum, Inc.* | | | 46,749 | | | | 265,534 | |
Antero Resources Corp.* | | | 30,775 | | | | 170,186 | |
Delek US Holdings, Inc. | | | 2,184 | | | | 88,496 | |
Total Energy | | | | | | | 10,079,187 | |
| | | | | | | | | |
Industrial - 9.0% |
Owens Corning | | | 12,274 | | | | 714,347 | |
Eaton Corporation plc | | | 6,391 | | | | 532,243 | |
Scorpio Tankers, Inc. | | | 17,745 | | | | 523,833 | |
MDU Resources Group, Inc. | | | 20,185 | | | | 520,773 | |
FedEx Corp. | | | 3,079 | | | | 505,541 | |
Jacobs Engineering Group, Inc. | | | 5,660 | | | | 477,647 | |
Jabil, Inc. | | | 14,430 | | | | 455,988 | |
Carlisle Companies, Inc. | | | 3,065 | | | | 430,357 | |
General Electric Co. | | | 39,208 | | | | 411,684 | |
3M Co. | | | 2,312 | | | | 400,762 | |
Westrock Co. | | | 10,875 | | | | 396,611 | |
Timken Co. | | | 7,048 | | | | 361,844 | |
US Concrete, Inc.* | | | 6,968 | | | | 346,240 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 69 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES O (ALL CAP VALUE SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
FLIR Systems, Inc. | | | 6,303 | | | $ | 340,992 | |
Avnet, Inc. | | | 6,468 | | | | 292,806 | |
Graphic Packaging Holding Co. | | | 20,768 | | | | 290,337 | |
PGT Innovations, Inc.* | | | 14,318 | | | | 239,397 | |
Snap-on, Inc. | | | 1,340 | | | | 221,957 | |
Rexnord Corp.* | | | 7,211 | | | | 217,917 | |
Huntington Ingalls Industries, Inc. | | | 964 | | | | 216,649 | |
Knight-Swift Transportation Holdings, Inc. | | | 6,487 | | | | 213,033 | |
Advanced Energy Industries, Inc.* | | | 3,763 | | | | 211,744 | |
Plexus Corp.* | | | 3,470 | | | | 202,544 | |
Park Electrochemical Corp. | | | 11,271 | | | | 188,113 | |
Crane Co. | | | 2,206 | | | | 184,069 | |
EnPro Industries, Inc. | | | 2,666 | | | | 170,197 | |
Kirby Corp.* | | | 1,659 | | | | 131,061 | |
Celadon Group, Inc.* | | | 32,234 | | | | 38,036 | |
Total Industrial | | | | | | | 9,236,722 | |
| | | | | | | | | |
Utilities - 7.7% |
OGE Energy Corp. | | | 35,149 | | | | 1,495,941 | |
Exelon Corp. | | | 23,741 | | | | 1,138,144 | |
Public Service Enterprise Group, Inc. | | | 18,280 | | | | 1,075,230 | |
Pinnacle West Capital Corp. | | | 10,008 | | | | 941,653 | |
Duke Energy Corp. | | | 8,207 | | | | 724,186 | |
Edison International | | | 8,820 | | | | 594,556 | |
AES Corp. | | | 34,323 | | | | 575,253 | |
Portland General Electric Co. | | | 9,436 | | | | 511,148 | |
Southwest Gas Holdings, Inc. | | | 3,787 | | | | 339,391 | |
Avista Corp. | | | 6,144 | | | | 274,022 | |
American Electric Power Company, Inc. | | | 3,063 | | | | 269,575 | |
Total Utilities | | | | | | | 7,939,099 | |
| | | | | | | | | |
Communications - 6.8% |
Cisco Systems, Inc. | | | 43,196 | | | | 2,364,117 | |
Verizon Communications, Inc. | | | 27,789 | | | | 1,587,586 | |
Symantec Corp. | | | 40,637 | | | | 884,261 | |
Comcast Corp. — Class A | | | 19,982 | | | | 844,839 | |
Ciena Corp.* | | | 9,679 | | | | 398,097 | |
Viavi Solutions, Inc.* | | | 29,156 | | | | 387,483 | |
F5 Networks, Inc.* | | | 2,282 | | | | 332,328 | |
Infinera Corp.* | | | 57,355 | | | | 166,903 | |
Total Communications | | | | | | | 6,965,614 | |
| | | | | | | | | |
Consumer, Cyclical - 6.8% |
Walmart, Inc. | | | 8,836 | | | | 976,289 | |
PVH Corp. | | | 8,723 | | | | 825,545 | |
DR Horton, Inc. | | | 19,137 | | | | 825,379 | |
Southwest Airlines Co. | | | 15,677 | | | | 796,078 | |
Lear Corp. | | | 4,534 | | | | 631,450 | |
LKQ Corp.* | | | 20,944 | | | | 557,320 | |
PACCAR, Inc. | | | 5,968 | | | | 427,667 | |
UniFirst Corp. | | | 1,884 | | | | 355,266 | |
Alaska Air Group, Inc. | | | 4,939 | | | | 315,651 | |
Carnival Corp. | | | 6,416 | | | | 298,665 | |
Macy’s, Inc. | | | 12,693 | | | | 272,392 | |
Foot Locker, Inc. | | | 5,799 | | | | 243,094 | |
Walgreens Boots Alliance, Inc. | | | 3,663 | | | | 200,256 | |
BorgWarner, Inc. | | | 3,048 | | | | 127,955 | |
Kohl’s Corp. | | | 1,358 | | | | 64,573 | |
Total Consumer, Cyclical | | | | | | | 6,917,580 | |
| | | | | | | | | |
Basic Materials - 4.8% |
Reliance Steel & Aluminum Co. | | | 11,043 | | | | 1,044,889 | |
Nucor Corp. | | | 15,903 | | | | 876,255 | |
Huntsman Corp. | | | 35,107 | | | | 717,587 | |
Alcoa Corp.* | | | 19,012 | | | | 445,071 | |
Steel Dynamics, Inc. | | | 14,339 | | | | 433,038 | |
Ashland Global Holdings, Inc. | | | 4,903 | | | | 392,093 | |
Olin Corp. | | | 11,594 | | | | 254,025 | |
DuPont de Nemours, Inc. | | | 3,272 | | | | 245,629 | |
Freeport-McMoRan, Inc. | | | 20,221 | | | | 234,765 | |
Dow, Inc. | | | 3,272 | | | | 161,342 | |
Pan American Silver Corp. | | | 7,745 | | | | 99,988 | |
Total Basic Materials | | | | | | | 4,904,682 | |
| | | | | | | | | |
Technology - 4.5% |
Intel Corp. | | | 35,117 | | | | 1,681,051 | |
Apple, Inc. | | | 3,512 | | | | 695,095 | |
Micron Technology, Inc.* | | | 14,762 | | | | 569,665 | |
Skyworks Solutions, Inc. | | | 5,203 | | | | 402,036 | |
Super Micro Computer, Inc.* | | | 19,484 | | | | 377,016 | |
MACOM Technology Solutions Holdings, Inc.* | | | 22,147 | | | | 335,084 | |
CSG Systems International, Inc. | | | 5,171 | | | | 252,500 | |
Oracle Corp. | | | 4,202 | | | | 239,388 | |
Evolent Health, Inc. — Class A* | | | 13,420 | | | | 106,689 | |
Total Technology | | | | | | | 4,658,524 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $85,749,498) | | | | | | | 101,382,232 | |
| | | | | | | | | |
RIGHTS††† - 0.0% |
Basic Materials - 0.0% | | | | | | | | |
Pan American Silver Corp.*,1 | | | 40,146 | | | | — | |
Total Rights | | | | | | | | |
(Cost $—) | | | | | | | — | |
| | | | | | | | | |
MONEY MARKET FUND† - 1.1% |
Dreyfus Treasury Securities Cash Management — Institutional Shares 2.10%2 | | | 1,180,627 | | | | 1,180,627 | |
Total Money Market Fund | | | | | | | | |
(Cost $1,180,627) | | | | | | | 1,180,627 | |
| | | | | | | | | |
Total Investments - 100.0% | | | | | | | | |
(Cost $86,930,125) | | | | | | $ | 102,562,859 | |
Other Assets & Liabilities, net - 0.0% | | | | | | | (17,615 | ) |
Total Net Assets - 100.0% | | | | | | $ | 102,545,244 | |
70| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES O (ALL CAP VALUE SERIES) | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Security was fair valued by the Valuation Committee at June 30, 2019. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
2 | Rate indicated is the 7-day yield as of June 30, 2019. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 101,382,232 | | | $ | — | | | $ | — | | | $ | 101,382,232 | |
Rights | | | — | | | | — | | | | — | * | | | — | |
Money Market Fund | | | 1,180,627 | | | | — | | | | — | | | | 1,180,627 | |
Total Assets | | $ | 102,562,859 | | | $ | — | | | $ | — | | | $ | 102,562,859 | |
* | Security has a market value of $0. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 71 |
SERIES O (ALL CAP VALUE SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments, at value (cost $86,930,125) | | $ | 102,562,859 | |
Prepaid expenses | | | 2,692 | |
Receivables: |
Dividends | | | 89,114 | |
Fund shares sold | | | 18,402 | |
Interest | | | 2,369 | |
Total assets | | | 102,675,436 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 33,947 | |
Printing fees | | | 32,808 | |
Distribution and service fees | | | 19,306 | |
Professional fees | | | 13,058 | |
Fund shares redeemed | | | 12,117 | |
Fund accounting/administration fees | | | 6,178 | |
Trustees’ fees* | | | 3,440 | |
Transfer agent/maintenance fees | | | 2,030 | |
Miscellaneous | | | 7,308 | |
Total liabilities | | | 130,192 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 102,545,244 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 74,568,993 | |
Total distributable earnings (loss) | | | 27,976,251 | |
Net assets | | $ | 102,545,244 | |
Capital shares outstanding | | | 3,095,769 | |
Net asset value per share | | $ | 33.12 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Dividends (net of foreign withholding tax of $81) | | $ | 1,203,551 | |
Interest | | | 7,012 | |
Total investment income | | | 1,210,563 | |
| | | | | |
Expenses: |
Management fees | | | 363,238 | |
Distribution and service fees | | | 129,727 | |
Transfer agent/maintenance fees | | | 12,269 | |
Fund accounting/administration fees | | | 41,513 | |
Trustees’ fees* | | | 12,801 | |
Custodian fees | | | 1,740 | |
Miscellaneous | | | 45,292 | |
Total expenses | | | 606,580 | |
Less: |
Expenses waived by Adviser | | | (154,378 | ) |
Earnings credits applied | | | (13 | ) |
Total waived expenses | | | (154,391 | ) |
Net expenses | | | 452,189 | |
Net investment income | | | 758,374 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 1,967,978 | |
Net realized gain | | | 1,967,978 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 9,948,076 | |
Net change in unrealized appreciation (depreciation) | | | 9,948,076 | |
Net realized and unrealized gain | | | 11,916,054 | |
Net increase in net assets resulting from operations | | $ | 12,674,428 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
72| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES O (ALL CAP VALUE SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 758,374 | | | $ | 1,508,050 | |
Net realized gain on investments | | | 1,967,978 | | | | 10,765,658 | |
Net change in unrealized appreciation (depreciation) on investments | | | 9,948,076 | | | | (24,181,176 | ) |
Net increase (decrease) in net assets resulting from operations | | | 12,674,428 | | | | (11,907,468 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (10,707,235 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 1,053,208 | | | | 7,428,149 | |
Distributions reinvested | | | — | | | | 10,707,235 | |
Cost of shares redeemed | | | (12,098,251 | ) | | | (27,375,695 | ) |
Net decrease from capital share transactions | | | (11,045,043 | ) | | | (9,240,311 | ) |
Net increase (decrease) in net assets | | | 1,629,385 | | | | (31,855,014 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 100,915,859 | | | | 132,770,873 | |
End of period | | $ | 102,545,244 | | | $ | 100,915,859 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 32,684 | | | | 215,525 | |
Shares issued from reinvestment of distributions | | | — | | | | 318,383 | |
Shares redeemed | | | (380,388 | ) | | | (781,562 | ) |
Net decrease in shares | | | (347,704 | ) | | | (247,654 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 73 |
SERIES O (ALL CAP VALUE SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 29.31 | | | $ | 35.97 | | | $ | 34.05 | | | $ | 29.30 | | | $ | 35.35 | | | $ | 32.85 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .23 | | | | .43 | | | | .24 | | | | .45 | | | | .43 | | | | .31 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.58 | | | | (3.83 | ) | | | 4.51 | | | | 6.01 | | | | (1.80 | ) | | | 2.19 | |
Total from investment operations | | | 3.81 | | | | (3.40 | ) | | | 4.75 | | | | 6.46 | | | | (1.37 | ) | | | 2.50 | |
Less distributions from: |
Net investment income | | | — | | | | (.40 | ) | | | (.38 | ) | | | (.48 | ) | | | (.33 | ) | | | (— | )c |
Net realized gains | | | — | | | | (2.86 | ) | | | (2.45 | ) | | | (1.23 | ) | | | (4.35 | ) | | | — | |
Total distributions | | | — | | | | (3.26 | ) | | | (2.83 | ) | | | (1.71 | ) | | | (4.68 | ) | | | (— | )c |
Net asset value, end of period | | $ | 33.12 | | | $ | 29.31 | | | $ | 35.97 | | | $ | 34.05 | | | $ | 29.30 | | | $ | 35.35 | |
|
Total Returnd | | | 13.00% | | | | (10.62 | %) | | | 14.77% | | | | 22.71% | | | | (4.70 | %) | | | 7.61% | |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 102,545 | | | $ | 100,916 | | | $ | 132,771 | | | $ | 128,367 | | | $ | 120,113 | | | $ | 147,317 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.46 | % | | | 1.23 | % | | | 0.69 | % | | | 1.48 | % | | | 1.33 | % | | | 0.92 | % |
Total expenses | | | 1.17 | % | | | 1.17 | % | | | 1.11 | % | | | 0.90 | % | | | 0.92 | % | | | 0.89 | % |
Net expensese,f,g | | | 0.87 | % | | | 0.88 | % | | | 0.89 | % | | | 0.90 | % | | | 0.92 | % | | | 0.89 | % |
Portfolio turnover rate | | | 13 | % | | | 36 | % | | | 33 | % | | | 47 | % | | | 39 | % | | | 49 | % |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Distributions from net investment income are less than $0.01 per share. |
d | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods would be: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 |
| | 0.87% | 0.88% | 0.88% | 0.90% | 0.92% | 0.89% |
g | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods was as follows: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | — | 0.00%* | — |
74| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES P (HIGH YIELD SERIES)
OBJECTIVE: Seeks high current income. Capital appreciation is a secondary objective.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: August 5, 1996 |
Ten Largest Holdings (% of Total Net Assets) |
Vector Group Ltd., 6.13% | 1.7% |
LBC Tank Terminals Holding Netherlands BV, 6.88% | 1.6% |
American Midstream Partners Limited Partnership / American Midstream Finance Corp., 9.50% | 1.6% |
EIG Investors Corp., 10.88% | 1.5% |
Indigo Natural Resources LLC, 6.88% | 1.5% |
Great Lakes Dredge & Dock Corp., 8.00% | 1.5% |
Fidelity & Guaranty Life Holdings, Inc., 5.50% | 1.4% |
Altice France S.A., 7.38% | 1.4% |
Unit Corp., 6.63% | 1.4% |
Pregis Holding I Corp., 5.90% | 1.3% |
Top Ten Total | 14.9% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 75 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2019 |
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series P (High Yield Series) | 8.11% | 4.49% | 3.75% | 8.41% |
Bloomberg Barclays U.S. Corporate High Yield Index | 9.94% | 7.48% | 4.70% | 9.24% |
Portfolio Composition by Quality Rating1 |
Rating | % of Total
Investments |
Fixed Income Instruments | |
A | 1.6% |
BBB | 12.0% |
BB | 42.8% |
B | 33.3% |
CCC | 7.0% |
CC | 0.0%3 |
NR2 | 1.2% |
Other Instruments | 2.1% |
Total Investments | 100.0% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays U.S. Corporate High Yield Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
1 | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter. |
2 | NR securities do not necessarily indicate low credit quality. |
3 | Value of securities is less than 0.1% of total investments. |
76 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES P (HIGH YIELD SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
COMMON STOCKS† - 1.0% |
| | | | | | | | | |
Utilities - 0.6% |
TexGen Power LLC*,†† | | | 7,929 | | | $ | 308,240 | |
| | | | | | | | | |
Energy - 0.2% |
SandRidge Energy, Inc.* | | | 14,330 | | | | 99,164 | |
| | | | | | | | | |
Consumer, Cyclical - 0.2% |
ATD New Holdings, Inc.*,†† | | | 3,166 | | | | 96,563 | |
Delta Air Lines, Inc. | | | 1 | | | | 57 | |
Chorus Aviation, Inc. | | | 3 | | | | 17 | |
Total Consumer, Cyclical | | | | | | | 96,637 | |
| | | | | | | | | |
Communications - 0.0% |
Cengage Learning Acquisitions, Inc.*,†† | | | 2,107 | | | | 29,235 | |
Aimia, Inc.* | | | 5 | | | | 14 | |
Total Communications | | | | | | | 29,249 | |
| | | | | | | | | |
Consumer, Non-cyclical - 0.0% |
Chef Holdings, Inc.*,†††,1 | | | 75 | | | | 9,438 | |
Crimson Wine Group Ltd.* | | | 24 | | | | 192 | |
MEDIQ, Inc.*,†††,1 | | | 92 | | | | — | |
Total Consumer, Non-cyclical | | | | | | | 9,630 | |
| | | | | | | | | |
Financial - 0.0% |
Jefferies Financial Group, Inc. | | | 247 | | | | 4,750 | |
Adelphia Recovery Trust*,†††,1 | | | 5,270 | | | | — | |
Total Financial | | | | | | | 4,750 | |
| | | | | | | | | |
Industrial - 0.0% |
BP Holdco LLC*,†††,1,2 | | | 523 | | | | 184 | |
Vector Phoenix Holdings, LP*,†††,1 | | | 523 | | | | 44 | |
Total Industrial | | | | | | | 228 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $1,191,359) | | | | | | | 547,898 | |
| | | | | | | | | |
PREFERRED STOCKS††† - 0.0% |
Industrial - 0.0%% |
U.S. Shipping Corp.*,1 | | | 24,529 | | | | — | |
Total Preferred Stocks | | | | | | | | |
(Cost $625,000) | | | | | | | — | |
| | | | | | | | | |
MONEY MARKET FUND† - 1.2% |
Dreyfus Treasury Securities Cash Management — Institutional Shares 2.10%3 | | | 646,100 | | | | 646,100 | |
Total Money Market Fund | | | | | | | | |
(Cost $646,100) | | | | | | | 646,100 | |
| | | | | | | | | |
| | Face
Amount | | | | |
| | | | | | | | | |
CORPORATE BONDS†† - 82.9% |
Financial - 17.4% |
Jefferies Finance LLC / JFIN Company-Issuer Corp. | | | | | | | | |
6.25% due 06/03/264 | | $ | 500,000 | | | | 504,375 | |
7.25% due 08/15/244 | | | 500,000 | | | | 491,085 | |
Fidelity & Guaranty Life Holdings, Inc. | | | | | | | | |
5.50% due 05/01/254 | | | 750,000 | | | | 778,125 | |
Icahn Enterprises, LP / Icahn Enterprises Finance Corp. | | | | | | | | |
5.88% due 02/01/22 | | | 700,000 | | | | 707,000 | |
Hunt Companies, Inc. | | | | | | | | |
6.25% due 02/15/264 | | | 725,000 | | | | 685,125 | |
LoanCore Capital Markets LLC / JLC Finance Corp. | | | | | | | | |
6.88% due 06/01/204 | | | 650,000 | | | | 646,750 | |
Quicken Loans, Inc. | | | | | | | | |
5.25% due 01/15/284 | | | 650,000 | | | | 646,750 | |
Springleaf Finance Corp. | | | | | | | | |
7.13% due 03/15/26 | | | 200,000 | | | | 219,125 | |
6.13% due 03/15/24 | | | 150,000 | | | | 161,250 | |
6.63% due 01/15/28 | | | 50,000 | | | | 52,500 | |
Newmark Group, Inc. | | | | | | | | |
6.13% due 11/15/23 | | | 400,000 | | | | 423,247 | |
AmWINS Group, Inc. | | | | | | | | |
7.75% due 07/01/264 | | | 400,000 | | | | 414,000 | |
Wilton Re Finance LLC | | | | | | | | |
5.88% due 03/30/334,5 | | | 400,000 | | | | 404,324 | |
GEO Group, Inc. | | | | | | | | |
5.88% due 10/15/24 | | | 200,000 | | | | 176,000 | |
6.00% due 04/15/26 | | | 200,000 | | | | 173,940 | |
5.88% due 01/15/22 | | | 50,000 | | | | 48,875 | |
CoreCivic, Inc. | | | | | | | | |
4.75% due 10/15/27 | | | 400,000 | | | | 360,000 | |
American Equity Investment Life Holding Co. | | | | | | | | |
5.00% due 06/15/27 | | | 350,000 | | | | 358,995 | |
EPR Properties | | | | | | | | |
5.75% due 08/15/22 | | | 300,000 | | | | 321,833 | |
Oxford Finance LLC / Oxford Finance Company-Issuer II, Inc. | | | | | | | | |
6.38% due 12/15/224 | | | 300,000 | | | | 308,250 | |
Kennedy-Wilson, Inc. | | | | | | | | |
5.88% due 04/01/24 | | | 302,000 | | | | 308,040 | |
Greystar Real Estate Partners LLC | | | | | | | | |
5.75% due 12/01/254 | | | 275,000 | | | | 280,500 | |
Goldman Sachs Group, Inc. | | | | | | | | |
5.30%5,7 | | | 250,000 | | | | 260,937 | |
USI, Inc. | | | | | | | | |
6.88% due 05/01/254 | | | 225,000 | | | | 222,750 | |
Assurant, Inc. | | | | | | | | |
7.00% due 03/27/485 | | | 200,000 | | | | 213,250 | |
NFP Corp. | | | | | | | | |
6.88% due 07/15/254 | | | 200,000 | | | | 197,940 | |
CNO Financial Group, Inc. | | | | | | | | |
5.25% due 05/30/29 | | | 150,000 | | | | 162,375 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 77 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES P (HIGH YIELD SERIES) | |
| | Face
Amount | | | Value | |
| | | | | | | | | |
HUB International Ltd. | | | | | | | | |
7.00% due 05/01/264 | | $ | 50,000 | | | $ | 50,687 | |
Total Financial | | | | | | | 9,578,028 | |
| | | | | | | | | |
Communications - 15.7% |
Altice France S.A. | | | | | | | | |
7.38% due 05/01/264 | | | 750,000 | | | | 768,750 | |
8.13% due 02/01/274 | | | 250,000 | | | | 262,500 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | | | | | | | | |
5.13% due 05/01/274 | | | 350,000 | | | | 362,376 | |
5.38% due 06/01/294 | | | 350,000 | | | | 361,375 | |
5.00% due 02/01/284 | | | 150,000 | | | | 153,180 | |
EIG Investors Corp. | | | | | | | | |
10.88% due 02/01/24 | | | 800,000 | | | | 848,000 | |
CSC Holdings LLC | | | | | | | | |
5.25% due 06/01/24 | | | 450,000 | | | | 467,437 | |
6.50% due 02/01/294 | | | 325,000 | | | | 354,656 | |
Level 3 Financing, Inc. | | | | | | | | |
5.25% due 03/15/26 | | | 250,000 | | | | 258,750 | |
5.38% due 01/15/24 | | | 200,000 | | | | 204,500 | |
5.38% due 08/15/22 | | | 150,000 | | | | 150,188 | |
5.63% due 02/01/23 | | | 50,000 | | | | 50,623 | |
Sprint Communications, Inc. | | | | | | | | |
7.00% due 03/01/204 | | | 550,000 | | | | 563,750 | |
Cengage Learning, Inc. | | | | | | | | |
9.50% due 06/15/244 | | | 575,000 | | | | 546,250 | |
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance | | | | | | | | |
7.88% due 05/15/244 | | | 462,000 | | | | 422,730 | |
Virgin Media Secured Finance plc | | | | | | | | |
5.50% due 05/15/294 | | | 400,000 | | | | 405,880 | |
MDC Partners, Inc. | | | | | | | | |
6.50% due 05/01/244 | | | 438,000 | | | | 402,504 | |
Sirius XM Radio, Inc. | | | | | | | | |
4.63% due 07/15/244 | | | 200,000 | | | | 204,656 | |
5.50% due 07/01/294 | | | 175,000 | | | | 179,410 | |
DISH DBS Corp. | | | | | | | | |
5.88% due 11/15/24 | | | 335,000 | | | | 316,994 | |
Ziggo BV | | | | | | | | |
5.50% due 01/15/274 | | | 300,000 | | | | 305,163 | |
Match Group, Inc. | | | | | | | | |
5.63% due 02/15/294 | | | 225,000 | | | | 237,375 | |
Anixter, Inc. | | | | | | | | |
6.00% due 12/01/254 | | | 200,000 | | | | 217,000 | |
Telenet Finance Lux Note | | | | | | | | |
5.50% due 03/01/28 | | | 200,000 | | | | 203,000 | |
Ziggo Bond Company BV | | | | | | | | |
5.88% due 01/15/254 | | | 200,000 | | | | 202,084 | |
GrubHub Holdings, Inc. | | | | | | | | |
5.50% due 07/01/274 | | | 150,000 | | | | 153,956 | |
Total Communications | | | | | | | 8,603,087 | |
| | | | | | | | | |
Energy - 12.5% |
American Midstream Partners Limited Partnership / American Midstream Finance Corp. | | | | | | | | |
9.50% due 12/15/214 | | | 880,000 | | | | 860,200 | |
Indigo Natural Resources LLC | | | | | | | | |
6.88% due 02/15/264 | | | 925,000 | | | | 830,187 | |
Unit Corp. | | | | | | | | |
6.63% due 05/15/21 | | | 825,000 | | | | 746,625 | |
Exterran Energy Solutions Limited Partnership / EES Finance Corp. | | | | | | | | |
8.13% due 05/01/25 | | | 525,000 | | | | 533,531 | |
Parkland Fuel Corp. | | | | | | | | |
5.88% due 07/15/274 | | | 250,000 | | | | 253,988 | |
6.00% due 04/01/264 | | | 200,000 | | | | 204,500 | |
PDC Energy, Inc. | | | | | | | | |
6.13% due 09/15/24 | | | 250,000 | | | | 250,000 | |
5.75% due 05/15/26 | | | 200,000 | | | | 196,500 | |
Moss Creek Resources Holdings, Inc. | | | | | | | | |
7.50% due 01/15/264 | | | 519,000 | | | | 442,448 | |
Antero Midstream Partners Limited Partnership / Antero Midstream Finance Corp. | | | | | | | | |
5.75% due 01/15/284 | | | 350,000 | | | | 346,500 | |
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. | | | | | | | | |
5.75% due 04/15/25 | | | 350,000 | | | | 306,250 | |
Antero Resources Corp. | | | | | | | | |
5.13% due 12/01/22 | | | 300,000 | | | | 288,000 | |
Range Resources Corp. | | | | | | | | |
5.00% due 03/15/23 | | | 200,000 | | | | 188,500 | |
5.88% due 07/01/22 | | | 100,000 | | | | 99,000 | |
NuStar Logistics, LP | | | | | | | | |
5.63% due 04/28/27 | | | 150,000 | | | | 151,125 | |
6.00% due 06/01/26 | | | 100,000 | | | | 103,500 | |
Bruin E&P Partners LLC | | | | | | | | |
8.88% due 08/01/234 | | | 300,000 | | | | 252,000 | |
SRC Energy, Inc. | | | | | | | | |
6.25% due 12/01/25 | | | 200,000 | | | | 182,000 | |
Pattern Energy Group, Inc. | | | | | | | | |
5.88% due 02/01/244 | | | 175,000 | | | | 177,625 | |
CNX Resources Corp. | | | | | | | | |
5.88% due 04/15/22 | | | 163,000 | | | | 158,110 | |
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp. | | | | | | | | |
5.63% due 05/01/274 | | | 150,000 | | | | 149,625 | |
Basic Energy Services, Inc. | | | | | | | | |
10.75% due 10/15/234 | | | 175,000 | | | | 136,500 | |
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp. | | | | | | | | |
8.00% due 09/20/238 | | | 580,000 | | | | 26,100 | |
Total Energy | | | | | | | 6,882,814 | |
| | | | | | | | | |
Consumer, Non-cyclical - 12.1% |
Vector Group Ltd. | | | | | | | | |
6.13% due 02/01/254 | | | 1,000,000 | | | | 926,780 | |
78| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES P (HIGH YIELD SERIES) | |
| | Face
Amount | | | Value | |
| | | | | | | | | |
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. | | | | | | | | |
7.88% due 10/01/224 | | $ | 700,000 | | | $ | 666,750 | |
Par Pharmaceutical, Inc. | | | | | | | | |
7.50% due 04/01/274 | | | 625,000 | | | | 614,062 | |
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | | | | | | | | |
5.63% due 08/15/264 | | | 660,000 | | | | 580,800 | |
Prime Security Services Borrower LLC / Prime Finance, Inc. | | | | | | | | |
5.25% due 04/15/244 | | | 450,000 | | | | 457,875 | |
Tenet Healthcare Corp. | | | | | | | | |
6.00% due 10/01/20 | | | 225,000 | | | | 231,623 | |
6.25% due 02/01/274 | | | 150,000 | | | | 155,250 | |
Nathan’s Famous, Inc. | | | | | | | | |
6.63% due 11/01/254 | | | 350,000 | | | | 344,750 | |
Beverages & More, Inc. | | | | | | | | |
11.50% due 06/15/229 | | | 450,000 | | | | 342,000 | |
KeHE Distributors LLC / KeHE Finance Corp. | | | | | | | | |
7.63% due 08/15/214 | | | 300,000 | | | | 297,750 | |
Endo Dac / Endo Finance LLC / Endo Finco, Inc. | | | | | | | | |
6.00% due 07/15/234 | | | 200,000 | | | | 144,000 | |
5.88% due 10/15/244 | | | 150,000 | | | | 142,500 | |
HCA, Inc. | | | | | | | | |
5.88% due 02/01/29 | | | 250,000 | | | | 274,063 | |
Bausch Health Companies, Inc. | | | | | | | | |
6.50% due 03/15/224 | | | 150,000 | | | | 155,438 | |
5.75% due 08/15/274 | | | 100,000 | | | | 105,098 | |
Harsco Corp. | | | | | | | | |
5.75% due 07/31/274 | | | 225,000 | | | | 234,306 | |
C&S Group Enterprises LLC | | | | | | | | |
5.38% due 07/15/224 | | | 225,000 | | | | 225,000 | |
Flexi-Van Leasing, Inc. | | | | | | | | |
10.00% due 02/15/234 | | | 225,000 | | | | 208,688 | |
DaVita, Inc. | | | | | | | | |
5.00% due 05/01/25 | | | 200,000 | | | | 197,450 | |
Avanos Medical, Inc. | | | | | | | | |
6.25% due 10/15/22 | | | 150,000 | | | | 152,437 | |
Post Holdings, Inc. | | | | | | | | |
5.50% due 12/15/294 | | | 100,000 | | | | 100,250 | |
Nielsen Finance LLC / Nielsen Finance Co. | | | | | | | | |
5.00% due 04/15/224 | | | 100,000 | | | | 99,750 | |
Total Consumer, Non-cyclical | | | | | | | 6,656,620 | |
| | | | | | | | | |
Consumer, Cyclical - 10.0% |
LBC Tank Terminals Holding Netherlands BV | | | | | | | | |
6.88% due 05/15/234 | | | 875,000 | | | | 866,250 | |
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | | | | | | | | |
5.88% due 03/01/27 | | | 275,000 | | | | 275,688 | |
5.75% due 03/01/25 | | | 200,000 | | | | 201,500 | |
5.50% due 06/01/24 | | | 150,000 | | | | 150,750 | |
Williams Scotsman International, Inc. | | | | | | | | |
6.88% due 08/15/234 | | | 425,000 | | | | 443,063 | |
7.88% due 12/15/224 | | | 70,000 | | | | 73,500 | |
AMC Entertainment Holdings, Inc. | | | | | | | | |
6.13% due 05/15/27 | | | 375,000 | | | | 333,750 | |
5.88% due 11/15/26 | | | 150,000 | | | | 134,250 | |
Titan International, Inc. | | | | | | | | |
6.50% due 11/30/23 | | | 450,000 | | | | 390,375 | |
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. | | | | | | | | |
5.50% due 03/01/254 | | | 350,000 | | | | 361,480 | |
Wabash National Corp. | | | | | | | | |
5.50% due 10/01/254 | | | 355,000 | | | | 336,362 | |
JB Poindexter & Company, Inc. | | | | | | | | |
7.13% due 04/15/264 | | | 300,000 | | | | 306,000 | |
MGM Resorts International | | | | | | | | |
5.50% due 04/15/27 | | | 250,000 | | | | 262,187 | |
Superior Plus Limited Partnership / Superior General Partner, Inc. | | | | | | | | |
7.00% due 07/15/264 | | | 250,000 | | | | 258,437 | |
Panther BF Aggregator 2 Limited Partnership / Panther Finance Company, Inc. | | | | | | | | |
8.50% due 05/15/274 | | | 200,000 | | | | 206,000 | |
VOC Escrow Ltd. | | | | | | | | |
5.00% due 02/15/284 | | | 200,000 | | | | 202,750 | |
Party City Holdings, Inc. | | | | | | | | |
6.63% due 08/01/264,10 | | | 176,000 | | | | 170,720 | |
Boyne USA, Inc. | | | | | | | | |
7.25% due 05/01/254 | | | 150,000 | | | | 162,375 | |
American Airlines Group, Inc. | | | | | | | | |
5.00% due 06/01/224 | | | 125,000 | | | | 128,788 | |
Cedar Fair, LP | | | | | | | | |
5.25% due 07/15/294 | | | 100,000 | | | | 102,031 | |
Allison Transmission, Inc. | | | | | | | | |
4.75% due 10/01/274 | | | 100,000 | | | | 99,250 | |
Delphi Technologies plc | | | | | | | | |
5.00% due 10/01/254 | | | 30,000 | | | | 26,775 | |
Total Consumer, Cyclical | | | | | | | 5,492,281 | |
| | | | | | | | | |
Industrial - 8.8% |
Great Lakes Dredge & Dock Corp. | | | | | | | | |
8.00% due 05/15/22 | | | 776,000 | | | | 821,590 | |
Grinding Media Inc. / MC Grinding Media Canada Inc. | | | | | | | | |
7.38% due 12/15/234 | | | 700,000 | | | | 670,250 | |
Standard Industries, Inc. | | | | | | | | |
4.75% due 01/15/284 | | | 400,000 | | | | 397,000 | |
Cleaver-Brooks, Inc. | | | | | | | | |
7.88% due 03/01/234 | | | 400,000 | | | | 383,584 | |
Amsted Industries, Inc. | | | | | | | | |
5.63% due 07/01/274 | | | 200,000 | | | | 208,500 | |
5.38% due 09/15/244 | | | 100,000 | | | | 102,375 | |
Masonite International Corp. | | | | | | | | |
5.75% due 09/15/264 | | | 300,000 | | | | 309,000 | |
Intertape Polymer Group, Inc. | | | | | | | | |
7.00% due 10/15/264 | | | 250,000 | | | | 258,437 | |
JELD-WEN, Inc. | | | | | | | | |
4.88% due 12/15/274 | | | 250,000 | | | | 241,875 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 79 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES P (HIGH YIELD SERIES) | |
| | Face
Amount | | | Value | |
| | | | | | | | | |
Trinity Industries, Inc. | | | | | | | | |
4.55% due 10/01/24 | | $ | 225,000 | | | $ | 222,708 | |
Berry Global Escrow Corp. | | | | | | | | |
4.88% due 07/15/264 | | | 200,000 | | | | 204,250 | |
New Enterprise Stone & Lime Company, Inc. | | | | | | | | |
6.25% due 03/15/264 | | | 175,000 | | | | 177,625 | |
EnPro Industries, Inc. | | | | | | | | |
5.75% due 10/15/26 | | | 170,000 | | | | 173,825 | |
Resideo Funding, Inc. | | | | | | | | |
6.13% due 11/01/264 | | | 150,000 | | | | 156,000 | |
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. | | | | | | | | |
7.25% due 05/15/244 | | | 125,000 | | | | 131,719 | |
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu | | | | | | | | |
5.75% due 10/15/20 | | | 106,602 | | | | 106,868 | |
Summit Materials LLC / Summit Materials Finance Corp. | | | | | | | | |
6.50% due 03/15/274 | | | 100,000 | | | | 104,000 | |
American Woodmark Corp. | | | | | | | | |
4.88% due 03/15/264 | | | 84,000 | | | | 82,950 | |
TransDigm, Inc. | | | | | | | | |
6.25% due 03/15/264 | | | 50,000 | | | | 52,625 | |
Graphic Packaging International LLC | | | | | | | | |
4.75% due 07/15/274 | | | 50,000 | | | | 51,313 | |
Total Industrial | | | | | | | 4,856,494 | |
| | | | | | | | | |
Utilities - 2.9% |
Terraform Global Operating LLC | | | | | | | | |
6.13% due 03/01/264 | | | 695,000 | | | | 698,475 | |
AmeriGas Partners, LP / AmeriGas Finance Corp. | | | | | | | | |
5.75% due 05/20/27 | | | 300,000 | | | | 315,000 | |
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp. | | | | | | | | |
5.50% due 05/20/25 | | | 250,000 | | | | 263,125 | |
Clearway Energy Operating LLC | | | | | | | | |
5.75% due 10/15/254 | | | 250,000 | | | | 253,750 | |
DPL, Inc. | | | | | | | | |
7.25% due 10/15/21 | | | 72,000 | | | | 77,400 | |
Total Utilities | | | | | | | 1,607,750 | |
| | | | | | | | | |
Basic Materials - 2.6% |
Yamana Gold, Inc. | | | | | | | | |
4.95% due 07/15/24 | | | 300,000 | | | | 316,168 | |
Novelis Corp. | | | | | | | | |
5.88% due 09/30/264 | | | 250,000 | | | | 253,125 | |
Alcoa Nederland Holding B.V. | | | | | | | | |
7.00% due 09/30/264 | | | 200,000 | | | | 214,000 | |
Neon Holdings, Inc. | | | | | | | | |
10.13% due 04/01/264 | | | 200,000 | | | | 197,000 | |
Alcoa Nederland Holding BV | | | | | | | | |
6.13% due 05/15/284 | | | 150,000 | | | | 156,750 | |
United States Steel Corp. | | | | | | | | |
6.88% due 08/15/25 | | | 150,000 | | | | 141,750 | |
Valvoline, Inc. | | | | | | | | |
5.50% due 07/15/24 | | | 100,000 | | | | 103,000 | |
Mirabela Nickel Ltd. | | | | | | | | |
9.50% due 06/24/198,9 | | | 390,085 | | | | 39,008 | |
Total Basic Materials | | | | | | | 1,420,801 | |
| | | | | | | | | |
Technology - 0.9% |
TIBCO Software, Inc. | | | | | | | | |
11.38% due 12/01/214 | | | 275,000 | | | | 292,187 | |
CDK Global, Inc. | | | | | | | | |
5.25% due 05/15/294 | | | 100,000 | | | | 103,625 | |
First Data Corp. | | | | | | | | |
5.00% due 01/15/244 | | | 100,000 | | | | 102,450 | |
Total Technology | | | | | | | 498,262 | |
Total Corporate Bonds | | | | | | | | |
(Cost $46,868,249) | | | | | | | 45,596,137 | |
| | | | | | | | | |
SENIOR FLOATING RATE INTERESTS††,6 - 12.0% |
Communications - 2.7% |
Houghton Mifflin Co. | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 05/28/21 | | | 371,518 | | | | 349,784 | |
Cengage Learning Acquisitions, Inc. | | | | | | | | |
6.65% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23 | | | 352,546 | | | | 337,362 | |
Resource Label Group LLC | | | | | | | | |
11.09% (3 Month USD LIBOR + 8.50%, Rate Floor: 9.50%) due 11/26/23 | | | 250,000 | | | | 232,500 | |
McGraw-Hill Global Education Holdings LLC | | | | | | | | |
6.40% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 05/04/22 | | | 242,882 | | | | 231,195 | |
GTT Communications, Inc. | | | | | | | | |
5.15% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/31/25 | | | 198,000 | | | | 176,962 | |
Imagine Print Solutions LLC | | | | | | | | |
7.16% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/21/22 | | | 195,500 | | | | 161,287 | |
Total Communications | | | | | | | 1,489,090 | |
| | | | | | | | | |
Consumer, Non-cyclical - 2.4% |
Springs Window Fashions | | | | | | | | |
6.65% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/15/25 | | | 272,250 | | | | 269,528 | |
10.90% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26 | | | 150,000 | | | | 142,500 | |
ScribeAmerica Intermediate Holdco LLC (Healthchannels) | | | | | | | | |
6.91% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25 | | | 197,748 | | | | 196,018 | |
Albertson’s LLC | | | | | | | | |
5.40% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.75%) due 11/17/25 | | | 149,250 | | | | 148,401 | |
Hearthside Group Holdings LLC | | | | | | | | |
6.09% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 05/23/25 | | | 148,500 | | | | 144,814 | |
80| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES P (HIGH YIELD SERIES) | |
| | Face
Amount | | | Value | |
| | | | | | | | | |
Acosta, Inc. | | | | | | | | |
6.20% (1 Month USD LIBOR + 3.25% and Commercial Prime Lending Rate + 2.25%, Rate Floor: 3.25%) due 09/26/19 | | $ | 381,795 | | | $ | 137,328 | |
Diamond (BC) B.V. | | | | | | | | |
5.58% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 09/06/24 | | | 149,242 | | | | 130,960 | |
Give and Go Prepared Foods Corp. | | | | | | | | |
6.65% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 07/29/23 | | | 127,725 | | | | 116,789 | |
CTI Foods Holding Co. LLC | | | | | | | | |
9.58% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 05/03/24 | | | 41,874 | | | | 41,874 | |
Total Consumer, Non-cyclical | | | | | | | 1,328,212 | |
| | | | | | | | | |
Industrial - 2.3% |
CPG International LLC | | | | | | | | |
5.93% (6 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 05/05/24 | | | 480,970 | | | | 472,553 | |
Diversitech Holdings, Inc. | | | | | | | | |
9.83% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25 | | | 200,000 | | | | 193,750 | |
Arctic Long Carriers | | | | | | | | |
6.83% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 05/18/23 | | | 196,000 | | | | 192,080 | |
STS Operating, Inc. (SunSource) | | | | | | | | |
6.65% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24 | | | 123,744 | | | | 122,932 | |
YAK MAT (YAK ACCESS LLC) | | | | | | | | |
12.39% (1 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 | | | 125,000 | | | | 107,500 | |
Dynasty Acquisition Co. | | | | | | | | |
6.33% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/06/26 | | | 100,000 | | | | 100,357 | |
Tank Holdings Corp. | | | | | | | | |
6.63% (1 Month USD LIBOR + 4.00% and 12 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 03/26/26 | | | 100,000 | | | | 99,906 | |
Total Industrial | | | | | | | 1,289,078 | |
| | | | | | | | | |
Technology - 1.4% |
Planview, Inc. | | | | | | | | |
7.65% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 01/27/23†††,1 | | | 343,000 | | | | 343,000 | |
GlobalFoundries, Inc. | | | | | | | | |
6.44% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/05/26 | | | 150,000 | | | | 147,375 | |
Refinitiv (Financial & Risk Us Holdings, Inc.) | | | | | | | | |
6.15% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/01/25 | | | 149,250 | | | | 144,632 | |
Cvent, Inc. | | | | | | | | |
6.15% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/29/24 | | | 99,246 | | | | 98,006 | |
Aspect Software, Inc. | | | | | | | | |
7.42% (1 Week USD LIBOR + 5.00%, Rate Floor: 6.00%) due 01/15/24 | | | 9,681 | | | | 8,616 | |
Total Technology | | | | | | | 741,629 | |
| | | | | | | | | |
Basic Materials - 1.3% |
Pregis Holding I Corp. | | | | | | | | |
5.90% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/20/21 | | | 728,440 | | | | 728,124 | |
| | | | | | | | | |
Consumer, Cyclical - 1.3% |
Power Solutions (Panther) | | | | | | | | |
5.90% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 04/30/26 | | | 225,000 | | | | 223,173 | |
Blue Nile, Inc. | | | | | | | | |
9.02% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23 | | | 202,500 | | | | 178,200 | |
BBB Industries, LLC | | | | | | | | |
6.90% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 08/01/25 | | | 158,825 | | | | 158,031 | |
Belk, Inc. | | | | | | | | |
7.29% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/12/22 | | | 143,924 | | | | 115,879 | |
American Tire Distributors, Inc. | | | | | | | | |
8.52% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23 | | | 29,221 | | | | 28,928 | |
9.98% (2 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24 | | | 19,384 | | | | 18,104 | |
Total Consumer, Cyclical | | | | | | | 722,315 | |
| | | | | | | | | |
Financial - 0.3% |
iStar, Inc. | | | | | | | | |
5.15% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 06/28/23 | | | 148,875 | | | | 148,503 | |
| | | | | | | | | |
Energy - 0.3% |
Permian Production Partners LLC | | | | | | | | |
8.41% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 05/20/24 | | | 190,000 | | | | 142,500 | |
Total Senior Floating Rate Interests | | | | | | | | |
(Cost $6,993,729) | | | | | | | 6,589,451 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 81 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES P (HIGH YIELD SERIES) | |
| | Face
Amount | | | Value | |
| | | | | | | | | |
COMMERCIAL PAPER†† - 4.7% |
Ryder System, Inc. | | | | | | | | |
2.56% due 07/22/1911 | | $ | 500,000 | | | $ | 499,253 | |
2.55% due 07/25/1911 | | | 500,000 | | | | 499,150 | |
Marsh & McLennan Cos., Inc. | | | | | | | | |
2.55% due 07/11/194,11 | | | 600,000 | | | | 599,575 | |
Cintas Corp. No. 2 | | | | | | | | |
2.56% due 07/01/194,11 | | | 500,000 | | | | 500,000 | |
UnitedHealth Group, Inc. | | | | | | | | |
2.52% due 07/24/194,11 | | | 500,000 | | | | 499,195 | |
Total Commercial Paper | | | | | | | | |
(Cost $2,597,173) | | | | | | | 2,597,173 | |
| | | | | | | | | |
Total Investments - 101.8% | | | | | | | | |
(Cost $58,921,610) | | | | | | $ | 55,976,759 | |
Other Assets & Liabilities, net - (1.8)% | | | | | | | (1,008,952 | ) |
Total Net Assets - 100.0% | | | | | | $ | 54,967,807 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Security was fair valued by the Valuation Committee at June 30, 2019. The total market value of fair valued securities amounts to $352,666 (cost $1,020,390), or 0.6% of total net assets. |
2 | Affiliated issuer. |
3 | Rate indicated is the 7-day yield as of June 30, 2019. |
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 $31,992,292 (cost $32,321,997), or 58.2% of total net assets. |
5 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
6 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. 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. |
7 | Perpetual maturity. |
8 | Security is in default of interest and/or principal obligations. |
9 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $381,008 (cost $755,180), or 0.7% of total net assets — See Note 9. |
10 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. As of June 30, 2019, the total market value of segregated or earmarked security was $170,720. |
11 | Rate indicated is the effective yield at the time of purchase. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
82| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES P (HIGH YIELD SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 104,194 | | | $ | 434,038 | | | $ | 9,666 | | | $ | 547,898 | |
Preferred Stocks | | | — | | | | — | | | | — | * | | | — | |
Money Market Fund | | | 646,100 | | | | — | | | | — | | | | 646,100 | |
Corporate Bonds | | | — | | | | 45,596,137 | | | | — | | | | 45,596,137 | |
Senior Floating Rate Interests | | | — | | | | 6,246,451 | | | | 343,000 | | | | 6,589,451 | |
Commercial Paper | | | — | | | | 2,597,173 | | | | — | | | | 2,597,173 | |
Total Assets | | $ | 750,294 | | | $ | 54,873,799 | | | $ | 352,666 | | | $ | 55,976,759 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Unfunded Loan Commitments (Note 8) | | $ | — | | | $ | 478,346 | | | $ | 13,621 | | | $ | 491,967 | |
* | Security has a market value of $0. |
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 $140,863 are categorized as Level 2 within the disclosure hierarchy — See Note 12.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/18 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/19 | | | Shares/Face
Amount
06/30/19 | | | Investment
Income | |
Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Aspect Software, Inc.* | | $ | — | ** | | $ | — | | | $ | — | | | $ | (922,259 | ) | | $ | 922,259 | | | $ | — | | | | — | | | $ | — | |
BP Holdco LLC *,1 | | | — | | | | 184 | | | | — | | | | — | | | | — | | | | 184 | | | | 523 | | | | — | |
Senior Floating Rate Interests | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Aspect Software, Inc. 13.46% (3 Month USD LIBOR + 12.00%) due 05/25/202 | | | 11,930 | | | | — | | | | (9,845 | ) | | | (4,529 | ) | | | 2,444 | | | | — | | | | — | | | | — | |
Warrants | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Aspect Software, Inc.* | | | — | ** | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | $ | 11,930 | | | $ | 184 | | | $ | (9,845 | ) | | $ | (926,788 | ) | | $ | 924,703 | | | $ | 184 | | | | | | | $ | — | |
* | Non-income producing security. |
** | Market value is less than $1. |
1 | Security was fair valued by the Valuation Committee at June 30, 2019. The total market value of fair valued and affiliated securities amounts to $184, (cost $184) or less than 0.1% of total net assets. |
2 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 83 |
SERIES P (HIGH YIELD SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments in unaffiliated issuers, at value (cost $58,921,426) | | $ | 55,976,575 | |
Investments in affiliated issuers, at value (cost $184) | | | 184 | |
Cash | | | 26,744 | |
Prepaid expenses | | | 2,480 | |
Receivables: |
Interest | | | 759,279 | |
Securities sold | | | 428,278 | |
Foreign tax reclaims | | | 550 | |
Total assets | | | 57,194,090 | |
| | | | | |
Liabilities: |
Unfunded loan commitments, at value (Note 8)(proceeds $272,396) | | | 491,967 | |
Reverse repurchase agreements (Note 12) | | | 140,863 | |
Payable for: |
Securities purchased | | | 1,444,485 | |
Fund shares redeemed | | | 36,499 | |
Management fees | | | 21,151 | |
Distribution and service fees | | | 10,312 | |
Fund accounting/administration fees | | | 3,300 | |
Trustees’ fees* | | | 2,946 | |
Transfer agent/maintenance fees | | | 2,006 | |
Miscellaneous | | | 72,754 | |
Total liabilities | | | 2,226,283 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 54,967,807 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 57,567,898 | |
Total distributable earnings (loss) | | | (2,600,091 | ) |
Net assets | | $ | 54,967,807 | |
Capital shares outstanding | | | 1,848,354 | |
Net asset value per share | | $ | 29.74 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 63 | |
Interest from securities of unaffiliated issuers | | | 1,905,648 | |
Total investment income | | | 1,905,711 | |
| | | | | |
Expenses: |
Management fees | | | 159,498 | |
Distribution and service fees | | | 66,457 | |
Transfer agent/maintenance fees | | | 12,264 | |
Professional fees | | | 23,305 | |
Fund accounting/administration fees | | | 21,267 | |
Trustees’ fees* | | | 11,583 | |
Custodian fees | | | 7,651 | |
Interest expense | | | 349 | |
Miscellaneous | | | 33,758 | |
Total expenses | | | 336,132 | |
Less: |
Expenses reimbursed by Adviser | | | (624 | ) |
Expenses waived by Adviser | | | (50,168 | ) |
Earnings credits applied | | | (1,553 | ) |
Total waived/reimbursed expenses | | | (52,345 | ) |
Net expenses | | | 283,787 | |
Net investment income | | | 1,621,924 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (945,377 | ) |
Investments in affiliated issuers | | | (926,788 | ) |
Foreign currency transactions | | | (1,339 | ) |
Forward foreign currency exchange contracts | | | (14,552 | ) |
Net realized loss | | | (1,888,056 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 3,479,092 | |
Investments in affiliated issuers | | | 924,703 | |
Foreign currency translations | | | 31 | |
Forward foreign currency exchange contracts | | | 7,198 | |
Net change in unrealized appreciation (depreciation) | | | 4,411,024 | |
Net realized and unrealized gain | | | 2,522,968 | |
Net increase in net assets resulting from operations | | $ | 4,144,892 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
84| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES P (HIGH YIELD SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,621,924 | | | $ | 4,018,920 | |
Net realized loss on investments | | | (1,888,056 | ) | | | (1,400,353 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 4,411,024 | | | | (5,126,574 | ) |
Net increase (decrease) in net assets resulting from operations | | | 4,144,892 | | | | (2,508,007 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (5,180,373 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 7,656,582 | | | | 20,015,580 | |
Distributions reinvested | | | — | | | | 5,180,373 | |
Cost of shares redeemed | | | (9,337,722 | ) | | | (44,275,141 | ) |
Net decrease from capital share transactions | | | (1,681,140 | ) | | | (19,079,188 | ) |
Net increase (decrease) in net assets | | | 2,463,752 | | | | (26,767,568 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 52,504,055 | | | | 79,271,623 | |
End of period | | $ | 54,967,807 | | | $ | 52,504,055 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 263,432 | | | | 657,221 | |
Shares issued from reinvestment of distributions | | | — | | | | 181,005 | |
Shares redeemed | | | (323,281 | ) | | | (1,476,612 | ) |
Net decrease in shares | | | (59,849 | ) | | | (638,386 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 85 |
SERIES P (HIGH YIELD SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 27.51 | | | $ | 31.13 | | | $ | 30.82 | | | $ | 28.63 | | | $ | 33.87 | | | $ | 33.02 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .87 | | | | 1.79 | | | | 1.81 | | | | 1.91 | | | | 2.17 | | | | 2.23 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.36 | | | | (2.99 | ) | | | .09 | | | | 2.93 | | | | (3.23 | ) | | | (1.38 | ) |
Total from investment operations | | | 2.23 | | | | (1.20 | ) | | | 1.90 | | | | 4.84 | | | | (1.06 | ) | | | .85 | |
Less distributions from: |
Net investment income | | | — | | | | (2.42 | ) | | | (1.59 | ) | | | (2.65 | ) | | | (3.49 | ) | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.69 | ) | | | — | |
Total distributions | | | — | | | | (2.42 | ) | | | (1.59 | ) | | | (2.65 | ) | | | (4.18 | ) | | | — | |
Net asset value, end of period | | $ | 29.74 | | | $ | 27.51 | | | $ | 31.13 | | | $ | 30.82 | | | $ | 28.63 | | | $ | 33.87 | |
|
Total Returnc | | | 8.11% | | | | (4.16 | %) | | | 6.23% | | | | 17.52% | | | | (3.95 | %) | | | 2.51% | |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 54,968 | | | $ | 52,504 | | | $ | 79,272 | | | $ | 95,760 | | | $ | 66,908 | | | $ | 79,192 | |
Ratios to average net assets: |
Net investment income (loss) | | | 6.10 | % | | | 5.98 | % | | | 5.79 | % | | | 6.46 | % | | | 6.69 | % | | | 6.50 | % |
Total expensesd | | | 1.26 | % | | | 1.42 | % | | | 1.40 | % | | | 1.17 | % | | | 1.19 | % | | | 1.09 | % |
Net expensese,f,g | | | 1.07 | % | | | 1.26 | % | | | 1.33 | % | | | 1.13 | % | | | 1.15 | % | | | 1.08 | % |
Portfolio turnover rate | | | 30 | % | | | 51 | % | | | 76 | % | | | 84 | % | | | 101 | % | | | 90 | % |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement and affiliated fee waivers. Excluding these expenses, the net expense ratios for the periods would be: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 |
| | 1.07% | 1.07% | 1.07% | 1.07% | 1.07% | 0.97% |
g | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods was as follows: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | —* | 0.02% | — |
86| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES Q (SMALL CAP VALUE SERIES)
OBJECTIVE: Seeks long-term capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 1, 2000 |
Ten Largest Holdings (% of Total Net Assets) |
iShares Russell 2000 Value ETF | 3.0% |
Equity Commonwealth | 1.8% |
Radian Group, Inc. | 1.8% |
Portland General Electric Co. | 1.7% |
Wintrust Financial Corp. | 1.7% |
MDU Resources Group, Inc. | 1.5% |
Physicians Realty Trust | 1.5% |
Scorpio Tankers, Inc. | 1.5% |
Axis Capital Holdings Ltd. | 1.5% |
Black Hills Corp. | 1.4% |
Top Ten Total | 17.4% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series Q (Small Cap Value Series) | 11.97% | (5.59%) | 2.65% | 10.93% |
Russell 2000 Value Index | 13.47% | (6.24%) | 5.39% | 12.40% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES Q (SMALL CAP VALUE SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
COMMON STOCKS† - 93.0% |
| | | | | | | | | |
Financial - 35.3% |
Equity Commonwealth REIT | | | 39,218 | | | $ | 1,275,369 | |
Radian Group, Inc. | | | 55,810 | | | | 1,275,258 | |
Wintrust Financial Corp. | | | 16,226 | | | | 1,187,094 | |
Physicians Realty Trust REIT | | | 62,421 | | | | 1,088,622 | |
Axis Capital Holdings Ltd. | | | 17,543 | | | | 1,046,440 | |
Umpqua Holdings Corp. | | | 59,098 | | | | 980,436 | |
Federal Agricultural Mortgage Corp. — Class C | | | 12,962 | | | | 941,819 | |
Invesco Mortgage Capital, Inc. REIT | | | 56,325 | | | | 907,959 | |
Investors Bancorp, Inc. | | | 71,084 | | | | 792,586 | |
Hanmi Financial Corp. | | | 35,569 | | | | 792,122 | |
Cathay General Bancorp | | | 21,370 | | | | 767,397 | |
Lexington Realty Trust REIT | | | 81,504 | | | | 766,953 | |
WSFS Financial Corp. | | | 18,256 | | | | 753,973 | |
Cousins Properties, Inc. REIT | | | 19,807 | | | | 716,419 | |
CNO Financial Group, Inc. | | | 40,859 | | | | 681,528 | |
Berkshire Hills Bancorp, Inc. | | | 21,325 | | | | 669,392 | |
Pinnacle Financial Partners, Inc. | | | 11,399 | | | | 655,215 | |
RLJ Lodging Trust REIT | | | 33,967 | | | | 602,575 | |
IBERIABANK Corp. | | | 7,556 | | | | 573,123 | |
First Horizon National Corp. | | | 37,894 | | | | 565,757 | |
Hilltop Holdings, Inc. | | | 26,270 | | | | 558,763 | |
Hancock Whitney Corp. | | | 13,170 | | | | 527,590 | |
Redwood Trust, Inc. REIT | | | 31,831 | | | | 526,167 | |
Sunstone Hotel Investors, Inc. REIT | | | 35,434 | | | | 485,800 | |
Piedmont Office Realty Trust, Inc. — Class A REIT | | | 22,755 | | | | 453,507 | |
Howard Hughes Corp.* | | | 3,584 | | | | 443,842 | |
Stifel Financial Corp. | | | 7,323 | | | | 432,496 | |
Kennedy-Wilson Holdings, Inc. | | | 20,793 | | | | 427,712 | |
Flagstar Bancorp, Inc. | | | 12,439 | | | | 412,228 | |
Washington Federal, Inc. | | | 11,777 | | | | 411,371 | |
PennyMac Mortgage Investment Trust REIT | | | 18,713 | | | | 408,505 | |
National Storage Affiliates Trust REIT | | | 13,297 | | | | 384,815 | |
Preferred Bank/Los Angeles CA | | | 7,794 | | | | 368,266 | |
American National Insurance Co. | | | 3,134 | | | | 365,017 | |
Prosperity Bancshares, Inc. | | | 5,335 | | | | 352,377 | |
Simmons First National Corp. — Class A | | | 14,919 | | | | 347,016 | |
BOK Financial Corp. | | | 4,531 | | | | 342,000 | |
RMR Group, Inc. — Class A | | | 7,220 | | | | 339,196 | |
MGIC Investment Corp.* | | | 25,555 | | | | 335,793 | |
Third Point Reinsurance Ltd.* | | | 27,165 | | | | 280,343 | |
Total Financial | | | | | | | 25,242,841 | |
| | | | | | | | | |
Industrial - 17.5% |
MDU Resources Group, Inc. | | | 42,708 | | | | 1,101,866 | |
Scorpio Tankers, Inc. | | | 36,799 | | | | 1,086,307 | |
Louisiana-Pacific Corp. | | | 35,517 | | | | 931,256 | |
GATX Corp. | | | 9,649 | | | | 765,069 | |
US Concrete, Inc.* | | | 14,795 | | | | 735,164 | |
Graphic Packaging Holding Co. | | | 49,979 | | | | 698,706 | |
Valmont Industries, Inc. | | | 4,900 | | | | 621,369 | |
Trinseo S.A. | | | 12,217 | | | | 517,268 | |
Sanmina Corp.* | | | 16,812 | | | | 509,067 | |
PGT Innovations, Inc.* | | | 29,537 | �� | | | 493,859 | |
Owens Corning | | | 8,337 | | | | 485,213 | |
Plexus Corp.* | | | 8,116 | | | | 473,731 | |
Advanced Energy Industries, Inc.* | | | 7,576 | | | | 426,302 | |
Kirby Corp.* | | | 5,289 | | | | 417,831 | |
Rexnord Corp.* | | | 13,710 | | | | 414,316 | |
Knight-Swift Transportation Holdings, Inc. | | | 12,225 | | | | 401,469 | |
Gibraltar Industries, Inc.* | | | 9,897 | | | | 399,443 | |
Park Electrochemical Corp. | | | 22,473 | | | | 375,074 | |
Crane Co. | | | 4,455 | | | | 371,725 | |
EnPro Industries, Inc. | | | 5,574 | | | | 355,844 | |
Oshkosh Corp. | | | 3,965 | | | | 331,038 | |
KEMET Corp. | | | 15,569 | | | | 292,853 | |
Vishay Intertechnology, Inc. | | | 17,265 | | | | 285,218 | |
Total Industrial | | | | | | | 12,489,988 | |
| | | | | | | | | |
Consumer, Non-cyclical - 8.1% |
Encompass Health Corp. | | | 14,281 | | | | 904,844 | |
Premier, Inc. — Class A* | | | 21,812 | | | | 853,067 | |
Central Garden & Pet Co. — Class A* | | | 32,559 | | | | 802,254 | |
Navigant Consulting, Inc. | | | 28,245 | | | | 655,002 | |
Sanderson Farms, Inc. | | | 4,557 | | | | 622,304 | |
Eagle Pharmaceuticals, Inc.* | | | 9,416 | | | | 524,283 | |
Cambrex Corp.* | | | 10,320 | | | | 483,079 | |
Emergent BioSolutions, Inc.* | | | 7,378 | | | | 356,431 | |
Ingredion, Inc. | | | 4,242 | | | | 349,922 | |
AMAG Pharmaceuticals, Inc.* | | | 25,754 | | | | 257,283 | |
Total Consumer, Non-cyclical | | | | | | | 5,808,469 | |
| | | | | | | | | |
Utilities - 7.8% |
Portland General Electric Co. | | | 22,549 | | | | 1,221,480 | |
Black Hills Corp. | | | 12,958 | | | | 1,012,927 | |
Southwest Gas Holdings, Inc. | | | 8,470 | | | | 759,081 | |
PNM Resources, Inc. | | | 14,664 | | | | 746,544 | |
Avista Corp. | | | 16,495 | | | | 735,677 | |
ALLETE, Inc. | | | 6,868 | | | | 571,486 | |
Ormat Technologies, Inc. | | | 8,423 | | | | 533,934 | |
Total Utilities | | | | | | | 5,581,129 | |
| | | | | | | | | |
Consumer, Cyclical - 7.6% |
Hawaiian Holdings, Inc. | | | 31,086 | | | | 852,689 | |
UniFirst Corp. | | | 3,933 | | | | 741,646 | |
Foot Locker, Inc. | | | 12,223 | | | | 512,388 | |
St. Joe Co.* | | | 28,768 | | | | 497,111 | |
International Speedway Corp. — Class A | | | 10,155 | | | | 455,858 | |
MDC Holdings, Inc. | | | 13,612 | | | | 446,201 | |
Wabash National Corp. | | | 25,239 | | | | 410,638 | |
Asbury Automotive Group, Inc.* | | | 4,199 | | | | 354,144 | |
Abercrombie & Fitch Co. — Class A | | | 21,841 | | | | 350,330 | |
KB Home | | | 10,094 | | | | 259,719 | |
Tenneco, Inc. — Class A | | | 17,087 | | | | 189,495 | |
Methode Electronics, Inc. | | | 6,263 | | | | 178,934 | |
La-Z-Boy, Inc. | | | 5,593 | | | | 171,481 | |
Total Consumer, Cyclical | | | | | | | 5,420,634 | |
88| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES Q (SMALL CAP VALUE SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
Communications - 5.1% |
Viavi Solutions, Inc.* | | | 73,819 | | | $ | 981,055 | |
Ciena Corp.* | | | 22,464 | | | | 923,944 | |
Gray Television, Inc.* | | | 25,944 | | | | 425,222 | |
Scholastic Corp. | | | 12,148 | | | | 403,800 | |
InterDigital, Inc. | | | 5,712 | | | | 367,853 | |
Infinera Corp.* | | | 119,229 | | | | 346,956 | |
Tribune Publishing Co. | | | 18,952 | | | | 151,047 | |
Total Communications | | | | | | | 3,599,877 | |
| | | | | | | | | |
Energy - 4.2% |
Whiting Petroleum Corp.* | | | 40,388 | | | | 754,448 | |
Oasis Petroleum, Inc.* | | | 96,673 | | | | 549,103 | |
Range Resources Corp. | | | 72,698 | | | | 507,432 | |
MRC Global, Inc.* | | | 25,687 | | | | 439,761 | |
Delek US Holdings, Inc. | | | 10,067 | | | | 407,915 | |
Gulfport Energy Corp.* | | | 45,132 | | | | 221,598 | |
Antero Resources Corp.* | | | 25,278 | | | | 139,787 | |
Total Energy | | | | | | | 3,020,044 | |
| | | | | | | | | |
Basic Materials - 4.0% |
Ashland Global Holdings, Inc. | | | 10,472 | | | | 837,446 | |
Olin Corp. | | | 24,200 | | | | 530,222 | |
Huntsman Corp. | | | 18,619 | | | | 380,572 | |
Verso Corp. — Class A* | | | 19,294 | | | | 367,551 | |
Reliance Steel & Aluminum Co. | | | 3,874 | | | | 366,558 | |
Pan American Silver Corp. | | | 15,676 | | | | 202,377 | |
Alcoa Corp.* | | | 7,562 | | | | 177,026 | |
Total Basic Materials | | | | | | | 2,861,752 | |
| | | | | | | | | |
Technology - 3.4% |
MACOM Technology Solutions Holdings, Inc.* | | | 46,823 | | | | 708,432 | |
CSG Systems International, Inc. | | | 11,286 | | | | 551,095 | |
Nanometrics, Inc.* | | | 8,929 | | | | 309,926 | |
ManTech International Corp. — Class A | | | 4,692 | | | | 308,968 | |
Evolent Health, Inc. — Class A* | | | 26,625 | | | | 211,669 | |
TiVo Corp. | | | 25,580 | | | | 188,525 | |
Axcelis Technologies, Inc.* | | | 10,266 | | | | 154,503 | |
Total Technology | | | | | | | 2,433,118 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $65,718,786) | | | | | | | 66,457,852 | |
| | | | | | | | | |
CONVERTIBLE PREFERRED STOCKS††† - 0.0% |
INDUSTRIAL - 0.0% | | | | | | | | |
Thermoenergy Corp.*,1,2 | | | 116,667 | | | | — | |
Total Convertible Preferred Stocks | | | | | | | | |
(Cost $111,410) | | | | | | | — | |
| | | | | | | | | |
RIGHTS††† - 0.0% |
Basic Materials - 0.0% | | | | | | | | |
Pan American Silver Corp.*,1 | | | 81,258 | | | | — | |
Total Rights | | | | | | | | |
(Cost $—) | | | | | | | — | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 3.0% |
iShares Russell 2000 Value ETF | | | 17,851 | | | | 2,151,046 | |
Total Exchange-Traded Funds | | | | | | | | |
(Cost $2,122,718) | | | | | | | 2,151,046 | |
| | | | | | | | | |
MONEY MARKET FUND† - 3.9% |
Dreyfus Treasury Securities Cash Management — Institutional Shares 2.10%3 | | | 2,804,955 | | | | 2,804,955 | |
Total Money Market Fund | | | | | | | | |
(Cost $2,804,955) | | | | | | | 2,804,955 | |
| | | | | | | | | |
Total Investments - 99.9% | | | | | | | | |
(Cost $70,757,869) | | | | | | $ | 71,413,853 | |
Other Assets & Liabilities, net - 0.1% | | | | | | | 83,117 | |
Total Net Assets - 100.0% | | | | | | $ | 71,496,970 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Security was fair valued by the Valuation Committee at June 30, 2019. The total market value of fair valued securities amounts to $0, (cost $111,410) or 0.0% of total net assets. |
2 | PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering. |
3 | Rate indicated is the 7-day yield as of June 30, 2019. |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 89 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES Q (SMALL CAP VALUE SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 66,457,852 | | | $ | — | | | $ | — | | | $ | 66,457,852 | |
Convertible Preferred Stocks | | | — | | | | — | | | | — | * | | | — | |
Rights | | | — | | | | — | | | | — | * | | | — | |
Exchange-Traded Funds | | | 2,151,046 | | | | — | | | | — | | | | 2,151,046 | |
Money Market Fund | | | 2,804,955 | | | | — | | | | — | | | | 2,804,955 | |
Total Assets | | $ | 71,413,853 | | | $ | — | | | $ | — | | | $ | 71,413,853 | |
* | Security has a market value of $0. |
90| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES Q (SMALL CAP VALUE SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments, at value (cost $70,757,869) | | $ | 71,413,853 | |
Cash | | | 4,438 | |
Prepaid expenses | | | 2,251 | |
Receivables: |
Dividends | | | 141,455 | |
Investment Adviser | | | 15,945 | |
Fund shares sold | | | 11,435 | |
Interest | | | 5,281 | |
Total assets | | | 71,594,658 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 30,471 | |
Printing fees | | | 22,244 | |
Professional fees | | | 14,617 | |
Distribution and service fees | | | 13,444 | |
Legal fees | | | 5,447 | |
Fund accounting/administration fees | | | 4,302 | |
Transfer agent/maintenance fees | | | 1,921 | |
Trustees’ fees* | | | 625 | |
Fund shares redeemed | | | 380 | |
Miscellaneous | | | 4,237 | |
Total liabilities | | | 97,688 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 71,496,970 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 62,869,260 | |
Total distributable earnings (loss) | | | 8,627,710 | |
Net assets | | $ | 71,496,970 | |
Capital shares outstanding | | | 1,764,769 | |
Net asset value per share | | $ | 40.51 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Dividends (net of foreign withholding tax of $219) | | $ | 750,359 | |
Interest | | | 24,132 | |
Total investment income | | | 774,491 | |
| | | | | |
Expenses: |
Management fees | | | 273,425 | |
Distribution and service fees | | | 91,142 | |
Transfer agent/maintenance fees | | | 12,345 | |
Fund accounting/administration fees | | | 29,166 | |
Trustees’ fees* | | | 7,950 | |
Custodian fees | | | 981 | |
Miscellaneous | | | 47,809 | |
Total expenses | | | 462,818 | |
Less: |
Expenses reimbursed by Adviser: | | | (957 | ) |
Expenses waived by Adviser | | | (49,141 | ) |
Earnings credits applied | | | (60 | ) |
Total waived/reimbursed expenses | | | (50,158 | ) |
Net expenses | | | 412,660 | |
Net investment income | | | 361,831 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 2,958,630 | |
Net realized gain | | | 2,958,630 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 4,796,213 | |
Net change in unrealized appreciation (depreciation) | | | 4,796,213 | |
Net realized and unrealized gain | | | 7,754,843 | |
Net increase in net assets resulting from operations | | $ | 8,116,674 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 91 |
SERIES Q (SMALL CAP VALUE SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 361,831 | | | $ | 611,257 | |
Net realized gain on investments | | | 2,958,630 | | | | 6,571,751 | |
Net change in unrealized appreciation (depreciation) on investments | | | 4,796,213 | | | | (16,678,682 | ) |
Net increase (decrease) in net assets resulting from operations | | | 8,116,674 | | | | (9,495,674 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (8,781,206 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 1,250,387 | | | | 5,199,979 | |
Distributions reinvested | | | — | | | | 8,781,206 | |
Cost of shares redeemed | | | (6,219,317 | ) | | | (26,081,131 | ) |
Net decrease from capital share transactions | | | (4,968,930 | ) | | | (12,099,946 | ) |
Net increase (decrease) in net assets | | | 3,147,744 | | | | (30,376,826 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 68,349,226 | | | | 98,726,052 | |
End of period | | $ | 71,496,970 | | | $ | 68,349,226 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 30,591 | | | | 113,450 | |
Shares issued from reinvestment of distributions | | | — | | | | 199,936 | |
Shares redeemed | | | (154,800 | ) | | | (575,543 | ) |
Net decrease in shares | | | (124,209 | ) | | | (262,157 | ) |
92| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES Q (SMALL CAP VALUE SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 36.18 | | | $ | 45.89 | | | $ | 46.02 | | | $ | 39.71 | | | $ | 51.73 | | | $ | 52.46 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .20 | | | | .30 | | | | .05 | | | | .21 | | | | .12 | | | | .08 | |
Net gain (loss) on investments (realized and unrealized) | | | 4.13 | | | | (5.28 | ) | | | 1.58 | | | | 9.76 | | | | (2.87 | ) | | | (.80 | ) |
Total from investment operations | | | 4.33 | | | | (4.98 | ) | | | 1.63 | | | | 9.97 | | | | (2.75 | ) | | | (.72 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.16 | ) | | | (.17 | ) | | | (.05 | ) | | | — | | | | (.01 | ) |
Net realized gains | | | — | | | | (4.57 | ) | | | (1.59 | ) | | | (3.61 | ) | | | (9.27 | ) | | | — | |
Total distributions | | | — | | | | (4.73 | ) | | | (1.76 | ) | | | (3.66 | ) | | | (9.27 | ) | | | (.01 | ) |
Net asset value, end of period | | $ | 40.51 | | | $ | 36.18 | | | $ | 45.89 | | | $ | 46.02 | | | $ | 39.71 | | | $ | 51.73 | |
|
Total Returnc | | | 11.97% | | | | (12.66 | %) | | | 3.70% | | | | 26.60% | | | | (6.62 | %) | | | (1.38 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 71,497 | | | $ | 68,349 | | | $ | 98,726 | | | $ | 106,304 | | | $ | 89,757 | | | $ | 115,933 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.99 | % | | | 0.68 | % | | | 0.11 | % | | | 0.52 | % | | | 0.26 | % | | | 0.15 | % |
Total expensesd | | | 1.27 | % | | | 1.26 | % | | | 1.23 | % | | | 1.16 | % | | | 1.19 | % | | | 1.16 | % |
Net expensese,f,g | | | 1.13 | % | | | 1.14 | % | | | 1.14 | % | | | 1.16 | % | | | 1.19 | % | | | 1.16 | % |
Portfolio turnover rate | | | 34 | % | | | 37 | % | | | 32 | % | | | 68 | % | | | 57 | % | | | 50 | % |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods would be: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 |
| | 1.13% | 1.14% | 1.12% | 1.16% | 1.19% | 1.16% |
g | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods was as follows: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | — | 0.00%* | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 93 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES V (MID CAP VALUE SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 1, 1997 |
Ten Largest Holdings (% of Total Net Assets) |
OGE Energy Corp. | 2.5% |
Alleghany Corp. | 2.5% |
Voya Financial, Inc. | 2.3% |
KeyCorp | 2.1% |
Zions Bancorp North America | 2.0% |
Huntington Bancshares, Inc. | 1.9% |
Willis Towers Watson plc | 1.9% |
Equity Commonwealth | 1.7% |
Bunge Ltd. | 1.7% |
Portland General Electric Co. | 1.6% |
Top Ten Total | 20.2% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series V (Mid Cap Value Series) | 14.83% | (4.21%) | 4.85% | 11.02% |
Russell 2500 Value Index | 15.26% | (1.92%) | 5.55% | 13.28% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2500 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
94 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES V (MID CAP VALUE SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
COMMON STOCKS† - 96.7% |
| | | | | | | | | |
Financial - 38.0% |
Alleghany Corp.* | | | 6,814 | | | $ | 4,641,084 | |
Voya Financial, Inc. | | | 78,495 | | | | 4,340,773 | |
KeyCorp | | | 222,823 | | | | 3,955,108 | |
Zions Bancorp North America | | | 82,192 | | | | 3,779,188 | |
Huntington Bancshares, Inc. | | | 263,866 | | | | 3,646,628 | |
Willis Towers Watson plc | | | 18,584 | | | | 3,559,579 | |
Equity Commonwealth REIT | | | 100,532 | | | | 3,269,301 | |
Radian Group, Inc. | | | 130,391 | | | | 2,979,434 | |
Sun Communities, Inc. REIT | | | 22,661 | | | | 2,904,914 | |
Physicians Realty Trust REIT | | | 164,891 | | | | 2,875,699 | |
Alexandria Real Estate Equities, Inc. REIT | | | 20,037 | | | | 2,827,020 | |
Axis Capital Holdings Ltd. | | | 46,130 | | | | 2,751,654 | |
Federal Agricultural Mortgage Corp. — Class C | | | 33,399 | | | | 2,426,772 | |
Wintrust Financial Corp. | | | 31,465 | | | | 2,301,979 | |
Umpqua Holdings Corp. | | | 121,778 | | | | 2,020,297 | |
Cousins Properties, Inc. REIT | | | 52,002 | | | | 1,880,912 | |
Old Republic International Corp. | | | 83,860 | | | | 1,876,787 | |
IBERIABANK Corp. | | | 22,009 | | | | 1,669,383 | |
Pinnacle Financial Partners, Inc. | | | 28,949 | | | | 1,663,989 | |
Camden Property Trust REIT | | | 13,652 | | | | 1,425,132 | |
SVB Financial Group* | | | 6,310 | | | | 1,417,163 | |
Redwood Trust, Inc. REIT | | | 84,906 | | | | 1,403,496 | |
Hilltop Holdings, Inc. | | | 50,937 | | | | 1,083,430 | |
Stifel Financial Corp. | | | 18,070 | | | | 1,067,214 | |
Unum Group | | | 30,343 | | | | 1,018,008 | |
Prosperity Bancshares, Inc. | | | 15,213 | | | | 1,004,819 | |
Howard Hughes Corp.* | | | 8,070 | | | | 999,389 | |
National Storage Affiliates Trust REIT | | | 34,502 | | | | 998,488 | |
Medical Properties Trust, Inc. REIT | | | 55,511 | | | | 968,112 | |
American National Insurance Co. | | | 8,206 | | | | 955,753 | |
First Horizon National Corp. | | | 63,003 | | | | 940,635 | |
WSFS Financial Corp. | | | 22,704 | | | | 937,675 | |
E*TRADE Financial Corp. | | | 20,700 | | | | 923,220 | |
BOK Financial Corp. | | | 11,694 | | | | 882,663 | |
Total Financial | | | | | | | 71,395,698 | |
| | | | | | | | | |
Industrial - 16.6% |
MDU Resources Group, Inc. | | | 111,674 | | | | 2,881,189 | |
Scorpio Tankers, Inc. | | | 93,753 | | | | 2,767,589 | |
Jacobs Engineering Group, Inc. | | | 29,972 | | | | 2,529,337 | |
Carlisle Companies, Inc. | | | 16,643 | | | | 2,336,844 | |
US Concrete, Inc.* | | | 38,812 | | | | 1,928,569 | |
FLIR Systems, Inc. | | | 35,617 | | | | 1,926,880 | |
Graphic Packaging Holding Co. | | | 113,998 | | | | 1,593,692 | |
Valmont Industries, Inc. | | | 12,039 | | | | 1,526,665 | |
PGT Innovations, Inc.* | | | 77,867 | | | | 1,301,936 | |
Owens Corning | | | 21,466 | | | | 1,249,321 | |
Snap-on, Inc. | | | 7,217 | | | | 1,195,424 | |
Rexnord Corp.* | | | 38,972 | | | | 1,177,734 | |
Knight-Swift Transportation Holdings, Inc. | | | 34,485 | | | | 1,132,487 | |
Huntington Ingalls Industries, Inc. | | | 5,020 | | | | 1,128,195 | |
Advanced Energy Industries, Inc.* | | | 19,422 | | | | 1,092,876 | |
Plexus Corp.* | | | 18,488 | | | | 1,079,144 | |
Park Electrochemical Corp. | | | 59,124 | | | | 986,780 | |
Crane Co. | | | 11,532 | | | | 962,230 | |
EnPro Industries, Inc. | | | 14,272 | | | | 911,124 | |
Kirby Corp.* | | | 9,262 | | | | 731,698 | |
Oshkosh Corp. | | | 8,195 | | | | 684,201 | |
Celadon Group, Inc.* | | | 182,914 | | | | 215,838 | |
Total Industrial | | | | | | | 31,339,753 | |
| | | | | | | | | |
Utilities - 10.4% |
OGE Energy Corp. | | | 109,636 | | | | 4,666,108 | |
Portland General Electric Co. | | | 56,919 | | | | 3,083,302 | |
Pinnacle West Capital Corp. | | | 27,650 | | | | 2,601,589 | |
Southwest Gas Holdings, Inc. | | | 21,506 | | | | 1,927,368 | |
Black Hills Corp. | | | 19,466 | | | | 1,521,657 | |
Avista Corp. | | | 33,998 | | | | 1,516,311 | |
UGI Corp. | | | 27,368 | | | | 1,461,725 | |
American Electric Power Company, Inc. | | | 15,915 | | | | 1,400,679 | |
AES Corp. | | | 80,187 | | | | 1,343,934 | |
Total Utilities | | | | | | | 19,522,673 | |
| | | | | | | | | |
Consumer, Non-cyclical - 8.0% |
Bunge Ltd. | | | 58,388 | | | | 3,252,795 | |
Premier, Inc. — Class A* | | | 57,590 | | | | 2,252,345 | |
Central Garden & Pet Co. — Class A* | | | 83,345 | | | | 2,053,621 | |
Encompass Health Corp. | | | 29,619 | | | | 1,876,660 | |
Eagle Pharmaceuticals, Inc.* | | | 29,682 | | | | 1,652,694 | |
Emergent BioSolutions, Inc.* | | | 30,577 | | | | 1,477,175 | |
Cambrex Corp.* | | | 26,999 | | | | 1,263,823 | |
Ingredion, Inc. | | | 14,325 | | | | 1,181,669 | |
Total Consumer, Non-cyclical | | | | | | | 15,010,782 | |
| | | | | | | | | |
Consumer, Cyclical - 7.4% |
LKQ Corp.* | | | 109,889 | | | | 2,924,146 | |
PVH Corp. | | | 22,985 | | | | 2,175,300 | |
DR Horton, Inc. | | | 49,297 | | | | 2,126,180 | |
UniFirst Corp. | | | 10,404 | | | | 1,961,882 | |
Alaska Air Group, Inc. | | | 26,204 | | | | 1,674,698 | |
Foot Locker, Inc. | | | 31,529 | | | | 1,321,696 | |
BorgWarner, Inc. | | | 16,383 | | | | 687,759 | |
Lear Corp. | | | 4,875 | | | | 678,941 | |
Kohl’s Corp. | | | 7,192 | | | | 341,979 | |
Total Consumer, Cyclical | | | | | | | 13,892,581 | |
| | | | | | | | | |
Energy - 4.6% |
Parsley Energy, Inc. — Class A* | | | 137,280 | | | | 2,609,694 | |
Whiting Petroleum Corp.* | | | 104,217 | | | | 1,946,773 | |
Oasis Petroleum, Inc.* | | | 247,239 | | | | 1,404,317 | |
Range Resources Corp. | | | 184,618 | | | | 1,288,634 | |
Delek US Holdings, Inc. | | | 26,038 | | | | 1,055,060 | |
Antero Resources Corp.* | | | 64,195 | | | | 354,998 | |
HydroGen Corp.*,†††,1,2 | | | 672,346 | | | | 1 | |
Total Energy | | | | | | | 8,659,477 | |
| | | | | | | | | |
Basic Materials - 4.5% |
Ashland Global Holdings, Inc. | | | 27,062 | | | | 2,164,148 | |
Reliance Steel & Aluminum Co. | | | 20,869 | | | | 1,974,625 | |
Olin Corp. | | | 63,771 | | | | 1,397,223 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 95 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES V (MID CAP VALUE SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
Huntsman Corp. | | | 48,836 | | | $ | 998,208 | |
Nucor Corp. | | | 16,779 | | | | 924,523 | |
Pan American Silver Corp. | | | 42,503 | | | | 548,714 | |
Alcoa Corp.* | | | 19,835 | | | | 464,337 | |
Total Basic Materials | | | | | | | 8,471,778 | |
| | | | | | | | | |
Communications - 4.1% |
Symantec Corp. | | | 115,663 | | | | 2,516,827 | |
Ciena Corp.* | | | 53,126 | | | | 2,185,072 | |
Viavi Solutions, Inc.* | | | 158,606 | | | | 2,107,874 | |
Infinera Corp.* | | | 307,508 | | | | 894,848 | |
Total Communications | | | | | | | 7,704,621 | |
| | | | | | | | | |
Technology - 3.1% |
Super Micro Computer, Inc.* | | | 108,850 | | | | 2,106,248 | |
MACOM Technology Solutions Holdings, Inc.* | | | 121,376 | | | | 1,836,419 | |
CSG Systems International, Inc. | | | 27,033 | | | | 1,320,021 | |
Evolent Health, Inc. — Class A* | | | 68,624 | | | | 545,561 | |
Total Technology | | | | | | | 5,808,249 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $171,158,059) | | | | | | | 181,805,612 | |
| | | | | | | | | |
CONVERTIBLE PREFERRED STOCKS††† - 0.0% |
INDUSTRIAL - 0.0% | | | | | | | | |
Thermoenergy Corp.*,1,3 | | | 308,333 | | | | — | |
Total Convertible Preferred Stocks | | | | | | | | |
(Cost $294,439) | | | | | | | — | |
| | | | | | | | | |
RIGHTS††† - 0.0% |
Basic Materials - 0.0% | | | | | | | | |
Pan American Silver Corp.*,1 | | | 220,317 | | | | — | |
Total Rights | | | | | | | | |
(Cost $—) | | | | | | | — | |
| | | | | | | | | |
MONEY MARKET FUND† - 3.4% |
Dreyfus Treasury Securities Cash Management — Institutional Shares 2.10%4 | | | 6,372,342 | | | | 6,372,342 | |
Total Money Market Fund | | | | | | | | |
(Cost $6,372,342) | | | | | | | 6,372,342 | |
| | | | | | | | | |
Total Investments - 100.1% | | | | | | | | |
(Cost $177,824,840) | | | | | | $ | 188,177,954 | |
Other Assets & Liabilities, net - (0.1)% | | | | | | | (141,695 | ) |
Total Net Assets - 100.0% | | | | | | $ | 188,036,259 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Security was fair valued by the Valuation Committee at June 30, 2019. The total market value of fair valued securities amounts to $1, (cost $2,866,013) or less than 0.1% of total net assets. |
2 | Affiliated issuer. |
3 | PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering. |
4 | Rate indicated is the 7-day yield as of June 30, 2019. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
96| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES V (MID CAP VALUE SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 181,805,611 | | | $ | — | | | $ | 1 | | | $ | 181,805,612 | |
Convertible Preferred Stocks | | | — | | | | — | | | | — | * | | | — | |
Rights | | | — | | | | — | | | | — | * | | | — | |
Money Market Fund | | | 6,372,342 | | | | — | | | | — | | | | 6,372,342 | |
Total Assets | | $ | 188,177,953 | | | $ | — | | | $ | 1 | | | $ | 188,177,954 | |
* | Security has a market value of $0. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/18 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/19 | | | Shares
06/30/19 | | | Investment
Income | |
Common Stock | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
HydroGen Corp.*,1 | | $ | 1 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1 | | | | 672,346 | | | $ | — | |
* | Non-income producing security. |
1 | Security was fair valued by the Valuation Committee at June 30, 2019. The total market value of fair valued and affiliated securities amounts to $1 (cost $2,571,575) or less than 0.1% of total net assets. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 97 |
SERIES V (MID CAP VALUE SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments in unaffiliated issuers, at value (cost $175,253,265) | | $ | 188,177,953 | |
Investments in affiliated issuers, at value (cost $2,571,575) | | | 1 | |
Prepaid expenses | | | 3,771 | |
Receivables: |
Dividends | | | 268,864 | |
Fund shares sold | | | 18,668 | |
Interest | | | 11,099 | |
Foreign tax reclaims | | | 149 | |
Total assets | | | 188,480,505 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 69,597 | |
Fund shares redeemed | | | 47,340 | |
Distribution and service fees | | | 35,452 | |
Printing fees | | | 33,780 | |
Fund accounting/administration fees | | | 11,345 | |
Trustees’ fees* | | | 4,144 | |
Transfer agent/maintenance fees | | | 3,110 | |
Miscellaneous (Note 11) | | | 239,478 | |
Total liabilities | | | 444,246 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 188,036,259 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 154,016,962 | |
Total distributable earnings (loss) | | | 34,019,297 | |
Net assets | | $ | 188,036,259 | |
Capital shares outstanding | | | 2,653,934 | |
Net asset value per share | | $ | 70.85 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $446) | | $ | 1,786,183 | |
Interest | | | 43,591 | |
Total investment income | | | 1,829,774 | |
| | | | | |
Expenses: |
Management fees | | | 706,711 | |
Distribution and service fees | | | 235,570 | |
Transfer agent/maintenance fees | | | 12,343 | |
Fund accounting/administration fees | | | 75,383 | |
Trustees’ fees* | | | 14,520 | |
Custodian fees | | | 2,736 | |
Miscellaneous | | | 67,485 | |
Total expenses | | | 1,114,748 | |
Less: |
Expenses waived by Adviser | | | (263,348 | ) |
Earnings credits applied | | | (34 | ) |
Total waived expenses | | | (263,382 | ) |
Net expenses | | | 851,366 | |
Net investment income | | | 978,408 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 1,252,335 | |
Net realized gain | | | 1,252,335 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 23,549,561 | |
Net change in unrealized appreciation (depreciation) | | | 23,549,561 | |
Net realized and unrealized gain | | | 24,801,896 | |
Net increase in net assets resulting from operations | | $ | 25,780,304 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
98| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES V (MID CAP VALUE SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 978,408 | | | $ | 1,532,361 | |
Net realized gain on investments | | | 1,252,335 | | | | 26,927,246 | |
Net change in unrealized appreciation (depreciation) on investments | | | 23,549,561 | | | | (53,819,261 | ) |
Net increase (decrease) in net assets resulting from operations | | | 25,780,304 | | | | (25,359,654 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (31,674,903 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 1,474,591 | | | | 3,603,028 | |
Distributions reinvested | | | — | | | | 31,674,903 | |
Cost of shares redeemed | | | (15,331,274 | ) | | | (44,347,994 | ) |
Net decrease from capital share transactions | | | (13,856,683 | ) | | | (9,070,063 | ) |
Net increase (decrease) in net assets | | | 11,923,621 | | | | (66,104,620 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 176,112,638 | | | | 242,217,258 | |
End of period | | $ | 188,036,259 | | | $ | 176,112,638 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 21,179 | | | | 46,175 | |
Shares issued from reinvestment of distributions | | | — | | | | 422,445 | |
Shares redeemed | | | (221,695 | ) | | | (555,135 | ) |
Net decrease in shares | | | (200,516 | ) | | | (86,515 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 99 |
SERIES V (MID CAP VALUE SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 61.70 | | | $ | 82.36 | | | $ | 74.35 | | | $ | 65.74 | | | $ | 84.22 | | | $ | 83.46 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .35 | | | | .53 | | | | (.16 | ) | | | .99 | | | | .71 | | | | .53 | |
Net gain (loss) on investments (realized and unrealized) | | | 8.80 | | | | (9.07 | ) | | | 10.16 | | | | 15.50 | | | | (5.42 | ) | | | .23 | |
Total from investment operations | | | 9.15 | | | | (8.54 | ) | | | 10.00 | | | | 16.49 | | | | (4.71 | ) | | | .76 | |
Less distributions from: |
Net investment income | | | — | | | | (.49 | ) | | | (.52 | ) | | | (.68 | ) | | | (.51 | ) | | | (— | )c |
Net realized gains | | | — | | | | (11.63 | ) | | | (1.47 | ) | | | (7.20 | ) | | | (13.26 | ) | | | — | |
Total distributions | | | — | | | | (12.12 | ) | | | (1.99 | ) | | | (7.88 | ) | | | (13.77 | ) | | | (— | )c |
Net asset value, end of period | | $ | 70.85 | | | $ | 61.70 | | | $ | 82.36 | | | $ | 74.35 | | | $ | 65.74 | | | $ | 84.22 | |
|
Total Returnd | | | 14.83% | | | | (12.97 | %) | | | 13.71% | | | | 26.75% | | | | (6.79 | %) | | | 0.91% | |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 188,036 | | | $ | 176,113 | | | $ | 242,217 | | | $ | 248,062 | | | $ | 207,393 | | | $ | 264,495 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.04 | % | | | 0.68 | % | | | (0.21 | %) | | | 1.46 | % | | | 0.94 | % | | | 0.62 | % |
Total expenses | | | 1.18 | % | | | 1.19 | % | | | 1.10 | % | | | 0.93 | % | | | 0.95 | % | | | 0.93 | % |
Net expensese,f | | | 0.90 | % | | | 0.91 | % | | | 0.91 | % | | | 0.93 | % | | | 0.95 | % | | | 0.93 | % |
Portfolio turnover rate | | | 22 | % | | | 65 | % | | | 54 | % | | | 60 | % | | | 50 | % | | | 53 | % |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Distributions from net investment income are less than $0.01 per share. |
d | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement and affiliated fee waivers. Excluding these expenses, the net expense ratios for the periods would be: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 |
| | 0.90% | 0.91% | 0.89% | 0.93% | 0.95% | 0.93% |
100| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.
Inception Date: October 15, 1997 |
Ten Largest Holdings (% of Total Net Assets) |
Guggenheim Variable Insurance Strategy Fund III | 31.0% |
Guggenheim Strategy Fund III | 27.5% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 11.2% |
Guggenheim Strategy Fund II | 4.4% |
UniFirst Corp. | 0.4% |
Integer Holdings Corp. | 0.4% |
Viavi Solutions, Inc. | 0.3% |
Applied Industrial Technologies, Inc. | 0.3% |
Allegiant Travel Co. — Class A | 0.3% |
Hillenbrand, Inc. | 0.3% |
Top Ten Total | 76.1% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series X (StylePlus—Small Growth Series) | 18.92% | (1.95%) | 8.74% | 14.98% |
Russell 2000 Growth Index | 20.36% | (0.49%) | 8.63% | 14.41% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 101 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
COMMON STOCKS† - 20.5% |
| | | | | | | | | |
Consumer, Non-cyclical - 6.7% |
Integer Holdings Corp.* | | | 1,517 | | | $ | 127,307 | |
Cal-Maine Foods, Inc. | | | 1,939 | | | | 80,895 | |
CONMED Corp. | | | 908 | | | | 77,698 | |
Repligen Corp.* | | | 892 | | | | 76,667 | |
WD-40 Co. | | | 433 | | | | 68,864 | |
Merit Medical Systems, Inc.* | | | 1,136 | | | | 67,660 | |
AMN Healthcare Services, Inc.* | | | 1,230 | | | | 66,727 | |
John B Sanfilippo & Son, Inc. | | | 837 | | | | 66,700 | |
Strategic Education, Inc. | | | 374 | | | | 66,572 | |
Harsco Corp.* | | | 2,389 | | | | 65,554 | |
Flowers Foods, Inc. | | | 2,748 | | | | 63,946 | |
B&G Foods, Inc. | | | 3,017 | | | | 62,754 | |
Neogen Corp.* | | | 985 | | | | 61,178 | |
Medicines Co.* | | | 1,637 | | | | 59,701 | |
Innoviva, Inc.* | | | 4,042 | | | | 58,852 | |
Medpace Holdings, Inc.* | | | 886 | | | | 57,962 | |
Integra LifeSciences Holdings Corp.* | | | 1,023 | | | | 57,135 | |
HMS Holdings Corp.* | | | 1,754 | | | | 56,812 | |
CorVel Corp.* | | | 652 | | | | 56,731 | |
Korn Ferry | | | 1,406 | | | | 56,338 | |
Supernus Pharmaceuticals, Inc.* | | | 1,647 | | | | 54,499 | |
Ensign Group, Inc. | | | 929 | | | | 52,879 | |
Monro, Inc. | | | 608 | | | | 51,862 | |
ANI Pharmaceuticals, Inc.* | | | 621 | | | | 51,046 | |
EVERTEC, Inc. | | | 1,451 | | | | 47,448 | |
Varex Imaging Corp.* | | | 1,508 | | | | 46,220 | |
Natus Medical, Inc.* | | | 1,765 | | | | 45,343 | |
Syneos Health, Inc.* | | | 869 | | | | 44,397 | |
Orthofix Medical, Inc.* | | | 790 | | | | 41,775 | |
Phibro Animal Health Corp. — Class A | | | 1,296 | | | | 41,174 | |
Myriad Genetics, Inc.* | | | 1,477 | | | | 41,031 | |
BioTelemetry, Inc.* | | | 775 | | | | 37,316 | |
Aaron’s, Inc. | | | 572 | | | | 35,127 | |
Meridian Bioscience, Inc. | | | 2,926 | | | | 34,761 | |
Cardtronics plc — Class A* | | | 1,251 | | | | 34,177 | |
Tootsie Roll Industries, Inc. | | | 918 | | | | 33,902 | |
CoreLogic, Inc.* | | | 798 | | | | 33,380 | |
Eagle Pharmaceuticals, Inc.* | | | 593 | | | | 33,018 | |
Enanta Pharmaceuticals, Inc.* | | | 373 | | | | 31,474 | |
Acorda Therapeutics, Inc.* | | | 2,565 | | | | 19,674 | |
Heidrick & Struggles International, Inc. | | | 613 | | | | 18,372 | |
Endo International plc* | | | 3,870 | | | | 15,945 | |
Total Consumer, Non-cyclical | | | | | | | 2,200,873 | |
| | | | | | | | | |
Industrial - 4.8% |
Applied Industrial Technologies, Inc. | | | 1,550 | | | | 95,371 | |
Hillenbrand, Inc. | | | 2,228 | | | | 88,162 | |
Matson, Inc. | | | 2,259 | | | | 87,762 | |
Aerojet Rocketdyne Holdings, Inc.* | | | 1,769 | | | | 79,198 | |
Kennametal, Inc. | | | 2,023 | | | | 74,831 | |
Forward Air Corp. | | | 1,254 | | | | 74,174 | |
Regal Beloit Corp. | | | 885 | | | | 72,313 | |
Hub Group, Inc. — Class A* | | | 1,597 | | | | 67,042 | |
AAR Corp. | | | 1,707 | | | | 62,801 | |
Albany International Corp. — Class A | | | 736 | | | | 61,022 | |
Heartland Express, Inc. | | | 3,371 | | | | 60,914 | |
Axon Enterprise, Inc.* | | | 939 | | | | 60,293 | |
Landstar System, Inc. | | | 514 | | | | 55,507 | |
Kirby Corp.* | | | 633 | | | | 50,007 | |
Watts Water Technologies, Inc. — Class A | | | 532 | | | | 49,572 | |
KBR, Inc. | | | 1,944 | | | | 48,483 | |
Actuant Corp. — Class A | | | 1,948 | | | | 48,330 | |
Gibraltar Industries, Inc.* | | | 1,194 | | | | 48,190 | |
Sturm Ruger & Company, Inc. | | | 773 | | | | 42,113 | |
Fabrinet* | | | 800 | | | | 39,736 | |
Knowles Corp.* | | | 2,091 | | | | 38,286 | |
Comfort Systems USA, Inc. | | | 728 | | | | 37,121 | |
EnerSys | | | 540 | | | | 36,990 | |
GATX Corp. | | | 449 | | | | 35,601 | |
Crane Co. | | | 409 | | | | 34,127 | |
AZZ, Inc. | | | 719 | | | | 33,089 | |
National Presto Industries, Inc. | | | 299 | | | | 27,894 | |
Louisiana-Pacific Corp. | | | 1,040 | | | | 27,269 | |
Federal Signal Corp. | | | 887 | | | | 23,727 | |
Total Industrial | | | | | | | 1,559,925 | |
| | | | | | | | | |
Consumer, Cyclical - 3.4% |
UniFirst Corp. | | | 700 | | | | 131,999 | |
Allegiant Travel Co. — Class A | | | 619 | | | | 88,826 | |
Cinemark Holdings, Inc. | | | 1,707 | | | | 61,623 | |
FirstCash, Inc. | | | 546 | | | | 54,611 | |
MSC Industrial Direct Company, Inc. — Class A | | | 731 | | | | 54,284 | |
Dorman Products, Inc.* | | | 611 | | | | 53,243 | |
Fox Factory Holding Corp.* | | | 645 | | | | 53,219 | |
Gentherm, Inc.* | | | 1,221 | | | | 51,074 | |
Wingstop, Inc. | | | 510 | | | | 48,323 | |
Oxford Industries, Inc. | | | 621 | | | | 47,072 | |
Wolverine World Wide, Inc. | | | 1,681 | | | | 46,295 | |
iRobot Corp.* | | | 488 | | | | 44,720 | |
Marcus Corp. | | | 1,314 | | | | 43,310 | |
Dave & Buster’s Entertainment, Inc. | | | 989 | | | | 40,025 | |
Wyndham Destinations, Inc. | | | 776 | | | | 34,066 | |
Cracker Barrel Old Country Store, Inc. | | | 195 | | | | 33,292 | |
RH* | | | 287 | | | | 33,177 | |
Williams-Sonoma, Inc. | | | 434 | | | | 28,210 | |
Guess?, Inc. | | | 1,654 | | | | 26,712 | |
Brinker International, Inc. | | | 670 | | | | 26,365 | |
Deckers Outdoor Corp.* | | | 141 | | | | 24,812 | |
Crocs, Inc.* | | | 1,226 | | | | 24,213 | |
Regis Corp.* | | | 1,379 | | | | 22,891 | |
Tailored Brands, Inc. | | | 3,459 | | | | 19,958 | |
Total Consumer, Cyclical | | | | | | | 1,092,320 | |
| | | | | | | | | |
Communications - 1.8% |
Viavi Solutions, Inc.* | | | 7,329 | | | | 97,403 | |
Cogent Communications Holdings, Inc. | | | 1,184 | | | | 70,282 | |
John Wiley & Sons, Inc. — Class A | | | 1,462 | | | | 67,047 | |
AMC Networks, Inc. — Class A* | | | 1,222 | | | | 66,587 | |
InterDigital, Inc. | | | 1,026 | | | | 66,074 | |
HealthStream, Inc.* | | | 1,988 | | | | 51,410 | |
102| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
ATN International, Inc. | | | 845 | | | $ | 48,782 | |
Cars.com, Inc.* | | | 2,351 | | | | 46,362 | |
Iridium Communications, Inc.* | | | 1,890 | | | | 43,961 | |
ePlus, Inc.* | | | 308 | | | | 21,233 | |
Total Communications | | | | | | | 579,141 | |
| | | | | | | | | |
Technology - 1.3% |
Omnicell, Inc.* | | | 666 | | | | 57,296 | |
Brooks Automation, Inc. | | | 1,390 | | | | 53,863 | |
Diodes, Inc.* | | | 1,391 | | | | 50,591 | |
j2 Global, Inc. | | | 567 | | | | 50,400 | |
Cabot Microelectronics Corp. | | | 366 | | | | 40,289 | |
Computer Programs & Systems, Inc. | | | 1,443 | | | | 40,101 | |
CTS Corp. | | | 1,307 | | | | 36,047 | |
NextGen Healthcare, Inc.* | | | 1,803 | | | | 35,880 | |
MAXIMUS, Inc. | | | 432 | | | | 31,337 | |
Unisys Corp.* | | | 3,215 | | | | 31,250 | |
Total Technology | | | | | | | 427,054 | |
| | | | | | | | | |
Financial - 1.2% |
Community Bank System, Inc. | | | 1,121 | | | | 73,806 | |
Independent Bank Corp. | | | 651 | | | | 49,574 | |
American Equity Investment Life Holding Co. | | | 1,649 | | | | 44,787 | |
TrustCo Bank Corp. NY | | | 3,772 | | | | 29,874 | |
Primerica, Inc. | | | 234 | | | | 28,068 | |
Waddell & Reed Financial, Inc. — Class A | | | 1,565 | | | | 26,089 | |
RMR Group, Inc. — Class A | | | 500 | | | | 23,490 | |
Great Western Bancorp, Inc. | | | 646 | | | | 23,075 | |
Easterly Government Properties, Inc. REIT | | | 1,154 | | | | 20,899 | |
ServisFirst Bancshares, Inc. | | | 607 | | | | 20,796 | |
Glacier Bancorp, Inc. | | | 500 | | | | 20,275 | |
RLI Corp. | | | 234 | | | | 20,056 | |
Westamerica Bancorporation | | | 323 | | | | 19,900 | |
Total Financial | | | | | | | 400,689 | |
| | | | | | | | | |
Energy - 1.1% |
Renewable Energy Group, Inc.* | | | 3,649 | | | | 57,873 | |
Whiting Petroleum Corp.* | | | 2,569 | | | | 47,989 | |
ProPetro Holding Corp.* | | | 2,090 | | | | 43,263 | |
Unit Corp.* | | | 4,810 | | | | 42,761 | |
PBF Energy, Inc. — Class A | | | 1,031 | | | | 32,270 | |
Archrock, Inc. | | | 3,033 | | | | 32,150 | |
CONSOL Energy, Inc.* | | | 903 | | | | 24,029 | |
CNX Resources Corp.* | | | 3,145 | | | | 22,990 | |
Southwestern Energy Co.* | | | 6,503 | | | | 20,549 | |
KLX Energy Services Holdings, Inc.* | | | 946 | | | | 19,327 | |
Penn Virginia Corp.* | | | 563 | | | | 17,273 | |
Total Energy | | | | | | | 360,474 | |
| | | | | | | | | |
Basic Materials - 0.2% |
Quaker Chemical Corp. | | | 251 | | | | 50,923 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $6,515,586) | | | | | | | 6,671,399 | |
| | | | | | | | | |
MUTUAL FUNDS† - 74.1% |
Guggenheim Variable Insurance Strategy Fund III1 | | | 407,987 | | | | 10,101,760 | |
Guggenheim Strategy Fund III1 | | | 361,856 | | | | 8,970,419 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 367,144 | | | | 3,656,759 | |
Guggenheim Strategy Fund II1 | | | 58,118 | | | | 1,442,480 | |
Total Mutual Funds | | | | | | | | |
(Cost $24,315,374) | | | | | | | 24,171,418 | |
| | | | | | | | | |
MONEY MARKET FUND† - 4.8% |
Dreyfus Treasury Securities Cash Management — Institutional Shares 2.10%2 | | | 1,566,898 | | | | 1,566,898 | |
Total Money Market Fund | | | | | | | | |
(Cost $1,566,898) | | | | | | | 1,566,898 | |
| | | | | | | | | |
Total Investments - 99.4% | | | | | | | | |
(Cost $32,397,858) | | | | | | $ | 32,409,715 | |
Other Assets & Liabilities, net - 0.6% | | | | | | | 198,040 | |
Total Net Assets - 100.0% | | | | | | $ | 32,607,755 | |
Futures Contracts |
Description | | Number of
Contracts | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
S&P MidCap 400 Index Mini Futures Contracts | | | 2 | | Sep 2019 | | $ | 390,560 | | | $ | 9,643 | |
Russell 2000 Index Mini Futures Contracts | | | 6 | | Sep 2019 | | | 470,280 | | | | 8,905 | |
| | | | | | | | $ | 860,840 | | | $ | 18,548 | |
Total Return Swap Agreements |
Counterparty | Index | | Financing
Rate Pay | | Payment
Frequency | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements��† |
Citibank N.A., New York | Russell 2000 Growth Index | | | 2.48 | % | At Maturity | 07/05/19 | | | 24,882 | | | $ | 25,447,145 | | | $ | 446,741 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 103 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of June 30, 2019. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 6,671,399 | | | $ | — | | | $ | — | | | $ | 6,671,399 | |
Mutual Funds | | | 24,171,418 | | | | — | | | | — | | | | 24,171,418 | |
Money Market Fund | | | 1,566,898 | | | | — | | | | — | | | | 1,566,898 | |
Equity Futures Contracts** | | | 18,548 | | | | — | | | | — | | | | 18,548 | |
Equity Index Swap Agreements** | | | — | | | | 446,741 | | | | — | | | | 446,741 | |
Total Assets | | $ | 32,428,263 | | | $ | 446,741 | | | $ | — | | | $ | 32,875,004 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2018, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/18 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/19 | | | Shares
06/30/19 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 960,582 | | | $ | 481,626 | | | $ | — | | | $ | — | | | $ | 272 | | | $ | 1,442,480 | | | | 58,118 | | | $ | 18,776 | |
Guggenheim Strategy Fund III | | | 8,846,136 | | | | 124,322 | | | | — | | | | — | | | | (39 | ) | | | 8,970,419 | | | | 361,856 | | | | 125,532 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 641,809 | | | | 4,957,520 | | | | (1,943,990 | ) | | | (1,225 | ) | | | 2,645 | | | | 3,656,759 | | | | 367,144 | | | | 53,942 | |
Guggenheim Variable Insurance Strategy Fund III | | | 9,959,384 | | | | 138,341 | | | | — | | | | — | | | | 4,035 | | | | 10,101,760 | | | | 407,987 | | | | 138,608 | |
| | | $ | 20,407,911 | | | $ | 5,701,809 | | | $ | (1,943,990 | ) | | $ | (1,225 | ) | | $ | 6,913 | | | $ | 24,171,418 | | | | | | | $ | 336,858 | |
104| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments in unaffiliated issuers, at value (cost $8,082,484) | | $ | 8,238,297 | |
Investments in affiliated issuers, at value (cost $24,315,374) | | | 24,171,418 | |
Segregated cash with broker | | | 38,300 | |
Unrealized appreciation on OTC swap agreements | | | 446,741 | |
Prepaid expenses | | | 1,722 | |
Receivables: |
Dividends | | | 58,555 | |
Securities sold | | | 21,531 | |
Variation margin on futures contracts | | | 10,460 | |
Fund shares sold | | | 4,845 | |
Interest | | | 2,327 | |
Total assets | | | 32,994,196 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 16,293 | |
Payable for: |
Fund shares redeemed | | | 114,927 | |
Swap settlement | | | 109,749 | |
Securities purchased | | | 90,259 | |
Distribution and service fees | | | 6,108 | |
Management fees | | | 5,073 | |
Trustees’ fees* | | | 3,738 | |
Transfer agent/maintenance fees | | | 2,001 | |
Fund accounting/administration fees | | | 1,955 | |
Miscellaneous | | | 36,338 | |
Total liabilities | | | 386,441 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 32,607,755 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 29,655,006 | |
Total distributable earnings (loss) | | | 2,952,749 | |
Net assets | | $ | 32,607,755 | |
Capital shares outstanding | | | 888,168 | |
Net asset value per share | | $ | 36.71 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 32,900 | |
Dividends from securities of affiliated issuers | | | 336,858 | |
Interest | | | 13,548 | |
Total investment income | | | 383,306 | |
| | | | | |
Expenses: |
Management fees | | | 119,706 | |
Distribution and service fees | | | 39,902 | |
Transfer agent/maintenance fees | | | 12,264 | |
Interest expense | | | 18,209 | |
Professional fees | | | 17,778 | |
Fund accounting/administration fees | | | 12,769 | |
Trustees’ fees* | | | 12,095 | |
Custodian fees | | | 7,635 | |
Miscellaneous | | | 20,866 | |
Total expenses | | | 261,224 | |
Less: |
Expenses reimbursed by Adviser | | | (6,624 | ) |
Expenses waived by Adviser | | | (73,462 | ) |
Earnings credits applied | | | (326 | ) |
Total waived/reimbursed expenses | | | (80,412 | ) |
Net expenses | | | 180,812 | |
Net investment income | | | 202,494 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (204,051 | ) |
Investments in affiliated issuers | | | (1,225 | ) |
Swap agreements | | | (1,236,026 | ) |
Futures contracts | | | 177,655 | |
Net realized loss | | | (1,263,647 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 1,128,539 | |
Investments in affiliated issuers | | | 6,913 | |
Swap agreements | | | 5,321,976 | |
Futures contracts | | | (2,677 | ) |
Net change in unrealized appreciation (depreciation) | | | 6,454,751 | |
Net realized and unrealized gain | | | 5,191,104 | |
Net increase in net assets resulting from operations | | $ | 5,393,598 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 105 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 202,494 | | | $ | 530,275 | |
Net realized gain (loss) on investments | | | (1,263,647 | ) | | | 4,401,130 | |
Net change in unrealized appreciation (depreciation) on investments | | | 6,454,751 | | | | (7,633,406 | ) |
Net increase (decrease) in net assets resulting from operations | | | 5,393,598 | | | | (2,702,001 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (5,483,772 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 814,505 | | | | 1,853,913 | |
Distributions reinvested | | | — | | | | 5,483,772 | |
Cost of shares redeemed | | | (2,244,645 | ) | | | (10,067,145 | ) |
Net decrease from capital share transactions | | | (1,430,140 | ) | | | (2,729,460 | ) |
Net increase (decrease) in net assets | | | 3,963,458 | | | | (10,915,233 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 28,644,297 | | | | 39,559,530 | |
End of period | | $ | 32,607,755 | | | $ | 28,644,297 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 23,312 | | | | 46,425 | |
Shares issued from reinvestment of distributions | | | — | | | | 140,429 | |
Shares redeemed | | | (62,913 | ) | | | (243,287 | ) |
Net decrease in shares | | | (39,601 | ) | | | (56,433 | ) |
106| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 30.87 | | | $ | 40.19 | | | $ | 33.08 | | | $ | 31.03 | | | $ | 31.77 | | | $ | 29.20 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .22 | | | | .56 | | | | .36 | | | | .25 | | | | .10 | | | | .22 | |
Net gain (loss) on investments (realized and unrealized) | | | 5.62 | | | | (3.33 | ) | | | 7.02 | | | | 3.74 | | | | (.47 | ) | | | 2.35 | |
Total from investment operations | | | 5.84 | | | | (2.77 | ) | | | 7.38 | | | | 3.99 | | | | (.37 | ) | | | 2.57 | |
Less distributions from: |
Net investment income | | | — | | | | (.43 | ) | | | (.27 | ) | | | (.13 | ) | | | (.27 | ) | | | — | |
Net realized gains | | | — | | | | (6.12 | ) | | | — | | | | (1.81 | ) | | | (.10 | ) | | | — | |
Total distributions | | | — | | | | (6.55 | ) | | | (.27 | ) | | | (1.94 | ) | | | (.37 | ) | | | — | |
Net asset value, end of period | | $ | 36.71 | | | $ | 30.87 | | | $ | 40.19 | | | $ | 33.08 | | | $ | 31.03 | | | $ | 31.77 | |
|
Total Returnc | | | 18.92% | | | | (10.30 | %) | | | 22.38% | | | | 13.45% | | | | (1.29 | %) | | | 8.80% | |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 32,608 | | | $ | 28,644 | | | $ | 39,560 | | | $ | 34,216 | | | $ | 38,601 | | | $ | 37,005 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.27 | % | | | 1.42 | % | | | 0.99 | % | | | 0.83 | % | | | 0.32 | % | | | 0.74 | % |
Total expensesd | | | 1.64 | % | | | 1.47 | % | | | 1.37 | % | | | 1.23 | % | | | 1.21 | % | | | 1.26 | % |
Net expensese,f,g | | | 1.13 | % | | | 1.12 | % | | | 1.10 | % | | | 1.23 | % | | | 1.21 | % | | | 1.24 | % |
Portfolio turnover rate | | | 38 | % | | | 65 | % | | | 50 | % | | | 76 | % | | | 79 | % | | | 102 | % |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement and affiliated fee waivers. Excluding these expenses, the net expense ratios for the periods would be: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 |
| | 1.03% | 1.06% | 1.09% | 1.23% | 1.21% | 1.24% |
g | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions of expense reimbursements for the periods presented was as follows: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | 0.00%* | — | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 107 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.
Inception Date: May 3, 1999 |
Ten Largest Holdings (% of Total Net Assets) |
Guggenheim Variable Insurance Strategy Fund III | 30.0% |
Guggenheim Strategy Fund III | 24.5% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 12.2% |
Guggenheim Strategy Fund II | 9.1% |
Microsoft Corp. | 1.4% |
Alphabet, Inc. — Class C | 1.2% |
Amazon.com, Inc. | 1.0% |
Pfizer, Inc. | 0.6% |
Johnson & Johnson | 0.5% |
Merck & Company, Inc. | 0.5% |
Top Ten Total | 81.0% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series Y (StylePlus—Large Growth Series) | 20.28% | 9.18% | 13.05% | 14.61% |
Russell 1000 Growth Index | 21.49% | 11.56% | 13.39% | 16.28% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 1000 Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
108 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
COMMON STOCKS† - 19.7% |
| | | | | | | | | |
Consumer, Non-cyclical - 5.9% |
Pfizer, Inc. | | | 4,998 | | | $ | 216,513 | |
Johnson & Johnson | | | 1,459 | | | | 203,210 | |
Merck & Company, Inc. | | | 2,396 | | | | 200,905 | |
Medtronic plc | | | 1,536 | | | | 149,591 | |
Amgen, Inc. | | | 676 | | | | 124,573 | |
Humana, Inc. | | | 362 | | | | 96,039 | |
Philip Morris International, Inc. | | | 1,217 | | | | 95,571 | |
Constellation Brands, Inc. — Class A | | | 463 | | | | 91,183 | |
Kimberly-Clark Corp. | | | 679 | | | | 90,497 | |
Biogen, Inc.* | | | 379 | | | | 88,637 | |
United Rentals, Inc.* | | | 637 | | | | 84,485 | |
HCA Healthcare, Inc. | | | 618 | | | | 83,535 | |
Regeneron Pharmaceuticals, Inc.* | | | 259 | | | | 81,067 | |
Robert Half International, Inc. | | | 1,357 | | | | 77,363 | |
Sysco Corp. | | | 943 | | | | 66,689 | |
Procter & Gamble Co. | | | 561 | | | | 61,514 | |
DaVita, Inc.* | | | 1,079 | | | | 60,704 | |
Universal Health Services, Inc. — Class B | | | 445 | | | | 58,024 | |
H&R Block, Inc. | | | 1,803 | | | | 52,828 | |
PepsiCo, Inc. | | | 288 | | | | 37,766 | |
AbbVie, Inc. | | | 447 | | | | 32,506 | |
McKesson Corp. | | | 231 | | | | 31,044 | |
Lamb Weston Holdings, Inc. | | | 446 | | | | 28,259 | |
Abbott Laboratories | | | 294 | | | | 24,725 | |
PayPal Holdings, Inc.* | | | 199 | | | | 22,777 | |
Colgate-Palmolive Co. | | | 314 | | | | 22,504 | |
Bristol-Myers Squibb Co. | | | 478 | | | | 21,677 | |
Kellogg Co. | | | 395 | | | | 21,160 | |
Medicines Co.* | | | 500 | | | | 18,235 | |
Total Consumer, Non-cyclical | | | | | | | 2,243,581 | |
| | | | | | | | | |
Communications - 4.4% |
Alphabet, Inc. — Class C* | | | 420 | | | | 453,982 | |
Amazon.com, Inc.* | | | 202 | | | | 382,514 | |
Verizon Communications, Inc. | | | 3,509 | | | | 200,469 | |
Facebook, Inc. — Class A* | | | 993 | | | | 191,649 | |
Comcast Corp. — Class A | | | 2,955 | | | | 124,937 | |
eBay, Inc. | | | 2,258 | | | | 89,191 | |
Walt Disney Co. | | | 578 | | | | 80,712 | |
Cisco Systems, Inc. | | | 1,448 | | | | 79,249 | |
F5 Networks, Inc.* | | | 281 | | | | 40,922 | |
Netflix, Inc.* | | | 62 | | | | 22,774 | |
Total Communications | | | | | | | 1,666,399 | |
| | | | | | | | | |
Technology - 3.6% |
Microsoft Corp. | | | 3,923 | | | | 525,525 | |
Intel Corp. | | | 3,504 | | | | 167,737 | |
Texas Instruments, Inc. | | | 1,064 | | | | 122,105 | |
Oracle Corp. | | | 2,133 | | | | 121,517 | |
Cerner Corp. | | | 1,254 | | | | 91,918 | |
Skyworks Solutions, Inc. | | | 1,157 | | | | 89,401 | |
Seagate Technology plc | | | 1,773 | | | | 83,544 | |
NetApp, Inc. | | | 1,266 | | | | 78,112 | |
KLA-Tencor Corp. | | | 532 | | | | 62,882 | |
Adobe, Inc.* | | | 79 | | | | 23,278 | |
Total Technology | | | | | | | 1,366,019 | |
| | | | | | | | | |
Industrial - 2.3% |
Union Pacific Corp. | | | 746 | | | | 126,156 | |
United Parcel Service, Inc. — Class B | | | 976 | | | | 100,792 | |
CSX Corp. | | | 1,185 | | | | 91,683 | |
FedEx Corp. | | | 529 | | | | 86,857 | |
Waters Corp.* | | | 386 | | | | 83,083 | |
Masco Corp. | | | 2,056 | | | | 80,677 | |
Norfolk Southern Corp. | | | 384 | | | | 76,543 | |
Expeditors International of Washington, Inc. | | | 925 | | | | 70,170 | |
J.B. Hunt Transport Services, Inc. | | | 680 | | | | 62,159 | |
Kansas City Southern | | | 487 | | | | 59,326 | |
Boeing Co. | | | 97 | | | | 35,309 | |
Total Industrial | | | | | | | 872,755 | |
| | | | | | | | | |
Energy - 1.7% |
Exxon Mobil Corp. | | | 2,388 | | | | 182,992 | |
ConocoPhillips | | | 1,546 | | | | 94,306 | |
ONEOK, Inc. | | | 1,260 | | | | 86,701 | |
Apache Corp. | | | 2,133 | | | | 61,793 | |
Marathon Oil Corp. | | | 4,124 | | | | 58,602 | |
Cimarex Energy Co. | | | 786 | | | | 46,633 | |
HollyFrontier Corp. | | | 970 | | | | 44,892 | |
Devon Energy Corp. | | | 1,396 | | | | 39,814 | |
Occidental Petroleum Corp. | | | 438 | | | | 22,023 | |
Total Energy | | | | | | | 637,756 | |
| | | | | | | | | |
Financial - 0.9% |
Visa, Inc. — Class A | | | 728 | | | | 126,344 | |
Western Union Co. | | | 3,956 | | | | 78,685 | |
Mastercard, Inc. — Class A | | | 228 | | | | 60,313 | |
Berkshire Hathaway, Inc. — Class B* | | | 178 | | | | 37,944 | |
RMR Group, Inc. — Class A | | | 500 | | | | 23,490 | |
Total Financial | | | | | | | 326,776 | |
| | | | | | | | | |
Consumer, Cyclical - 0.8% |
TJX Companies, Inc. | | | 2,192 | | | | 115,913 | |
AutoZone, Inc.* | | | 85 | | | | 93,455 | |
WW Grainger, Inc. | | | 258 | | | | 69,203 | |
McDonald’s Corp. | | | 112 | | | | 23,258 | |
Total Consumer, Cyclical | | | | | | | 301,829 | |
| | | | | | | | | |
Basic Materials - 0.1% |
Ecolab, Inc. | | | 146 | | | | 28,826 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $6,740,758) | | | | | | | 7,443,941 | |
| | | | | | | | | |
MUTUAL FUNDS† - 75.8% |
Guggenheim Variable Insurance Strategy Fund III1 | | | 456,453 | | | | 11,301,769 | |
Guggenheim Strategy Fund III1 | | | 371,331 | | | | 9,205,299 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 461,710 | | | | 4,598,629 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 109 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
Guggenheim Strategy Fund II1 | | | 137,980 | | | $ | 3,424,660 | |
Total Mutual Funds | | | | | | | | |
(Cost $28,715,422) | | | | | | | 28,530,357 | |
| | | | | | | | | |
MONEY MARKET FUND† - 3.6% |
Dreyfus Treasury Securities Cash Management - Institutional Shares 2.10%2 | | | 1,342,120 | | | | 1,342,120 | |
Total Money Market Fund | | | | | | | | |
(Cost $1,342,120) | | | | | | | 1,342,120 | |
| | | | | | | | | |
Total Investments - 99.1% | | | | | | | | |
(Cost $36,798,300) | | | | | | $ | 37,316,418 | |
Other Assets & Liabilities, net - 0.9% | | | | | | | 333,681 | |
Total Net Assets - 100.0% | | | | | | $ | 37,650,099 | |
Futures Contracts |
Description | | Number of
Contracts | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
S&P 500 Index Mini Futures Contracts | | | 6 | | Sep 2019 | | $ | 882,975 | | | $ | 13,975 | |
NASDAQ-100 Index Mini Futures Contracts | | | 3 | | Sep 2019 | | | 461,625 | | | | 7,862 | |
| | | | | | | | $ | 1,344,600 | | | $ | 21,837 | |
Total Return Swap Agreements |
Counterparty | Index | | Financing
Rate Pay | | Payment
Frequency | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Wells Fargo Bank, N.A | Russell 1000 Growth Index | | | 2.65 | % | At Maturity | 07/02/19 | | | 18,150 | | | $ | 28,797,643 | | | $ | 797,711 | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of June 30, 2019. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
110| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 7,443,941 | | | $ | — | | | $ | — | | | $ | 7,443,941 | |
Mutual Funds | | | 28,530,357 | | | | — | | | | — | | | | 28,530,357 | |
Money Market Fund | | | 1,342,120 | | | | — | | | | — | | | | 1,342,120 | |
Equity Futures Contracts** | | | 21,837 | | | | — | | | | — | | | | 21,837 | |
Equity Index Swap Agreements** | | | — | | | | 797,711 | | | | — | | | | 797,711 | |
Total Assets | | $ | 37,338,255 | | | $ | 797,711 | | | $ | — | | | $ | 38,135,966 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2018, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/18 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/19 | | | Shares
06/30/19 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,525,973 | | | $ | 1,898,342 | | | $ | — | | | $ | — | | | $ | 345 | | | $ | 3,424,660 | | | | 137,980 | | | $ | 33,564 | |
Guggenheim Strategy Fund III | | | 9,077,761 | | | | 127,578 | | | | — | | | | — | | | | (40 | ) | | | 9,205,299 | | | | 371,331 | | | | 128,901 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,021,666 | | | | 4,671,415 | | | | (1,094,995 | ) | | | (2,980 | ) | | | 3,523 | | | | 4,598,629 | | | | 461,710 | | | | 57,939 | |
Guggenheim Variable Insurance Strategy Fund III | | | 11,142,480 | | | | 154,774 | | | | — | | | | — | | | | 4,515 | | | | 11,301,769 | | | | 456,453 | | | | 154,928 | |
| | | $ | 22,767,880 | | | $ | 6,852,109 | | | $ | (1,094,995 | ) | | $ | (2,980 | ) | | $ | 8,343 | | | $ | 28,530,357 | | | | | | | $ | 375,332 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 111 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments in unaffiliated issuers, at value (cost $8,082,878) | | $ | 8,786,061 | |
Investments in affiliated issuers, at value (cost $28,715,422) | | | 28,530,357 | |
Segregated cash with broker | | | 60,600 | |
Unrealized appreciation on OTC swap agreements | | | 797,711 | |
Prepaid expenses | | | 1,730 | |
Receivables: |
Dividends | | | 69,557 | |
Variation margin on futures contracts | | | 3,900 | |
Interest | | | 1,293 | |
Total assets | | | 38,251,209 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 16,500 | |
Segregated cash due to broker | | | 350,000 | |
Payable for: |
Swap settlement | | | 90,714 | |
Securities purchased | | | 83,123 | |
Distribution and service fees | | | 7,074 | |
Management fees | | | 4,297 | |
Fund shares redeemed | | | 3,313 | |
Fund accounting/administration fees | | | 2,264 | |
Transfer agent/maintenance fees | | | 2,068 | |
Trustees’ fees* | | | 1,769 | |
Miscellaneous | | | 39,988 | |
Total liabilities | | | 601,110 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 37,650,099 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 30,439,306 | |
Total distributable earnings (loss) | | | 7,210,793 | |
Net assets | | $ | 37,650,099 | |
Capital shares outstanding | | | 1,900,891 | |
Net asset value per share | | $ | 19.81 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 59,038 | |
Dividends from securities of affiliated issuers | | | 375,332 | |
Interest | | | 15,904 | |
Total investment income | | | 450,274 | |
| | | | | |
Expenses: |
Management fees | | | 115,850 | |
Distribution and service fees | | | 44,558 | |
Transfer agent/maintenance fees | | | 12,321 | |
Professional fees | | | 17,214 | |
Interest expense | | | 15,381 | |
Fund accounting/administration fees | | | 14,259 | |
Trustees’ fees* | | | 9,955 | |
Custodian fees | | | 6,733 | |
Miscellaneous | | | 24,516 | |
Total expenses | | | 260,787 | |
Less: |
Expenses reimbursed by Adviser | | | (5,653 | ) |
Expenses waived by Adviser | | | (80,706 | ) |
Earnings credits applied | | | (314 | ) |
Total waived/reimbursed expenses | | | (86,673 | ) |
Net expenses | | | 174,114 | |
Net investment income | | | 276,160 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 92,633 | |
Investments in affiliated issuers | | | (2,980 | ) |
Swap agreements | | | 1,445,756 | |
Futures contracts | | | 192,593 | |
Net realized gain | | | 1,728,002 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 1,036,750 | |
Investments in affiliated issuers | | | 8,343 | |
Swap agreements | | | 3,368,048 | |
Futures contracts | | | 23,243 | |
Net change in unrealized appreciation (depreciation) | | | 4,436,384 | |
Net realized and unrealized gain | | | 6,164,386 | |
Net increase in net assets resulting from operations | | $ | 6,440,546 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
112| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 276,160 | | | $ | 725,580 | |
Net realized gain on investments | | | 1,728,002 | | | | 6,273,548 | |
Net change in unrealized appreciation (depreciation) on investments | | | 4,436,384 | | | | (6,932,089 | ) |
Net increase in net assets resulting from operations | | | 6,440,546 | | | | 67,039 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (6,149,452 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 1,595,746 | | | | 4,400,491 | |
Distributions reinvested | | | — | | | | 6,149,452 | |
Cost of shares redeemed | | | (2,123,238 | ) | | | (20,903,247 | ) |
Net decrease from capital share transactions | | | (527,492 | ) | | | (10,353,304 | ) |
Net increase (decrease) in net assets | | | 5,913,054 | | | | (16,435,717 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 31,737,045 | | | | 48,172,762 | |
End of period | | $ | 37,650,099 | | | $ | 31,737,045 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 85,670 | | | | 220,024 | |
Shares issued from reinvestment of distributions | | | — | | | | 325,368 | |
Shares redeemed | | | (112,102 | ) | | | (991,652 | ) |
Net decrease in shares | | | (26,432 | ) | | | (446,260 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 113 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 16.47 | | | $ | 20.30 | | | $ | 15.75 | | | $ | 15.11 | | | $ | 15.58 | | | $ | 13.52 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .14 | | | | .34 | | | | .25 | | | | .17 | | | | .08 | | | | .15 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.20 | | | | (.63 | ) | | | 4.48 | | | | 1.13 | | | | .79 | | | | 1.91 | |
Total from investment operations | | | 3.34 | | | | (.29 | ) | | | 4.73 | | | | 1.30 | | | | .87 | | | | 2.06 | |
Less distributions from: |
Net investment income | | | — | | | | (.34 | ) | | | (.18 | ) | | | (.08 | ) | | | (.17 | ) | | | — | |
Net realized gains | | | — | | | | (3.20 | ) | | | — | | | | (.58 | ) | | | (1.17 | ) | | | — | |
Total distributions | | | — | | | | (3.54 | ) | | | (.18 | ) | | | (.66 | ) | | | (1.34 | ) | | | — | |
Net asset value, end of period | | $ | 19.81 | | | $ | 16.47 | | | $ | 20.30 | | | $ | 15.75 | | | $ | 15.11 | | | $ | 15.58 | |
|
Total Returnc | | | 20.28% | | | | (3.68 | %) | | | 30.11% | | | | 8.72% | | | | 5.49% | | | | 15.24% | |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 37,650 | | | $ | 31,737 | | | $ | 48,173 | | | $ | 38,565 | | | $ | 40,178 | | | $ | 36,942 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.55 | % | | | 1.70 | % | | | 1.36 | % | | | 1.14 | % | | | 0.52 | % | | | 1.05 | % |
Total expensesd | | | 1.46 | % | | | 1.38 | % | | | 1.20 | % | | | 1.04 | % | | | 1.15 | % | | | 1.18 | % |
Net expensese,f,g | | | 0.98 | % | | | 1.02 | % | | | 0.97 | % | | | 1.04 | % | | | 1.15 | % | | | 1.16 | % |
Portfolio turnover rate | | | 28 | % | | | 59 | % | | | 43 | % | | | 42 | % | | | 65 | % | | | 96 | % |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods would be: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 |
| | 0.90% | 0.93% | 0.97% | 1.04% | 1.15% | 1.16% |
g | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions of expense reimbursements for the periods presented was as follows: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | 0.00%* | — | — |
114| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
SERIES Z (ALPHA OPPORTUNITY SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: July 7, 2003 |
Ten Largest Holdings (% of Total Net Assets) |
Chevron Corp. | 1.3% |
Kinder Morgan, Inc. | 1.3% |
Equity Commonwealth | 1.3% |
Apartment Investment & Management Co. — Class A | 1.3% |
Exxon Mobil Corp. | 1.3% |
Omnicom Group, Inc. | 1.3% |
McKesson Corp. | 1.2% |
FedEx Corp. | 1.2% |
Medtronic plc | 1.2% |
ONEOK, Inc. | 1.2% |
Top Ten Total | 12.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series Z (Alpha Opportunity Series) | (3.67%) | (6.20%) | 0.30% | 9.15% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 1.24% | 2.31% | 0.87% | 0.49% |
Morningstar Long/Short Equity Category Average | 7.87% | 1.60% | 2.12% | 5.43% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The ICE BofA Merill Lynch 3-Month U.S. Treasury Bill Index and Morningstar Long/Short Equity Category Average are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 115 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
COMMON STOCKS† - 101.1% |
| | | | | | | | | |
Consumer, Non-cyclical - 35.2% |
McKesson Corp. | | | 658 | | | $ | 88,429 | |
Medtronic plc | | | 883 | | | | 85,995 | |
Archer-Daniels-Midland Co.1 | | | 2,091 | | | | 85,313 | |
Amgen, Inc.1 | | | 459 | | | | 84,585 | |
Merck & Company, Inc.1 | | | 980 | | | | 82,173 | |
Pfizer, Inc.1 | | | 1,859 | | | | 80,532 | |
Gilead Sciences, Inc.1 | | | 1,174 | | | | 79,315 | |
Kimberly-Clark Corp. | | | 573 | | | | 76,369 | |
Ingredion, Inc.1 | | | 855 | | | | 70,529 | |
Zimmer Biomet Holdings, Inc.1 | | | 554 | | | | 65,228 | |
CVS Health Corp.1 | | | 1,143 | | | | 62,282 | |
Molson Coors Brewing Co. — Class B1 | | | 1,086 | | | | 60,816 | |
Tyson Foods, Inc. — Class A1 | | | 698 | | | | 56,357 | |
PepsiCo, Inc.1 | | | 428 | | | | 56,124 | |
Pilgrim’s Pride Corp.*,1 | | | 2,105 | | | | 53,446 | |
Hologic, Inc.*,1 | | | 1,110 | | | | 53,302 | |
Becton Dickinson and Co. | | | 211 | | | | 53,174 | |
Darling Ingredients, Inc.*,1 | | | 2,666 | | | | 53,027 | |
Baxter International, Inc.1 | | | 627 | | | | 51,351 | |
Allergan plc1 | | | 301 | | | | 50,397 | |
Cal-Maine Foods, Inc. | | | 1,177 | | | | 49,104 | |
AmerisourceBergen Corp. — Class A | | | 563 | | | | 48,001 | |
Johnson & Johnson | | | 342 | | | | 47,634 | |
Cardinal Health, Inc.1 | | | 970 | | | | 45,687 | |
Hill-Rom Holdings, Inc. | | | 433 | | | | 45,301 | |
AMERCO | | | 116 | | | | 43,912 | |
Philip Morris International, Inc.1 | | | 554 | | | | 43,505 | |
Biogen, Inc.* | | | 180 | | | | 42,097 | |
Colgate-Palmolive Co. | | | 578 | | | | 41,425 | |
Sysco Corp.1 | | | 572 | | | | 40,452 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 126 | | | | 39,386 | |
Clorox Co. | | | 250 | | | | 38,278 | |
Post Holdings, Inc.* | | | 368 | | | | 38,261 | |
Vector Group Ltd. | | | 3,775 | | | | 36,806 | |
Kroger Co.1 | | | 1,667 | | | | 36,191 | |
Herbalife Nutrition Ltd.* | | | 837 | | | | 35,790 | |
Jazz Pharmaceuticals plc* | | | 238 | | | | 33,929 | |
General Mills, Inc. | | | 613 | | | | 32,195 | |
Integer Holdings Corp.* | | | 373 | | | | 31,302 | |
ManpowerGroup, Inc. | | | 317 | | | | 30,622 | |
JM Smucker Co. | | | 227 | | | | 26,148 | |
Constellation Brands, Inc. — Class A1 | | | 132 | | | | 25,996 | |
Abbott Laboratories | | | 308 | | | | 25,903 | |
Innoviva, Inc.* | | | 1,726 | | | | 25,131 | |
Procter & Gamble Co. | | | 221 | | | | 24,233 | |
Alexion Pharmaceuticals, Inc.* | | | 183 | | | | 23,969 | |
Kraft Heinz Co.1 | | | 755 | | | | 23,435 | |
TrueBlue, Inc.* | | | 1,038 | | | | 22,898 | |
Flowers Foods, Inc. | | | 935 | | | | 21,758 | |
US Foods Holding Corp.* | | | 603 | | | | 21,563 | |
B&G Foods, Inc. | | | 913 | | | | 18,990 | |
Central Garden & Pet Co. — Class A* | | | 763 | | | | 18,800 | |
Laboratory Corporation of America Holdings* | | | 107 | | | | 18,500 | |
Macquarie Infrastructure Corp. | | | 453 | | | | 18,365 | |
Mylan N.V.*,1 | | | 907 | | | | 17,269 | |
Total Consumer, Non-cyclical | | | | | | | 2,481,580 | |
| | | | | | | | | |
Industrial - 14.8% |
FedEx Corp.1 | | | 530 | | | | 87,021 | |
United Parcel Service, Inc. — Class B1 | | | 525 | | | | 54,217 | |
CSX Corp.1 | | | 683 | | | | 52,844 | |
Cummins, Inc.1 | | | 289 | | | | 49,517 | |
Knight-Swift Transportation Holdings, Inc. | | | 1,436 | | | | 47,158 | |
Norfolk Southern Corp.1 | | | 232 | | | | 46,245 | |
Landstar System, Inc. | | | 421 | | | | 45,464 | |
Schneider National, Inc. — Class B | | | 2,389 | | | | 43,575 | |
J.B. Hunt Transport Services, Inc. | | | 457 | | | | 41,774 | |
Heartland Express, Inc. | | | 2,265 | | | | 40,929 | |
Parker-Hannifin Corp. | | | 240 | | | | 40,802 | |
Werner Enterprises, Inc. | | | 1,302 | | | | 40,466 | |
Saia, Inc.* | | | 599 | | | | 38,737 | |
Textron, Inc. | | | 672 | | | | 35,643 | |
Caterpillar, Inc. | | | 261 | | | | 35,572 | |
Kennametal, Inc. | | | 944 | | | | 34,919 | |
Oshkosh Corp. | | | 388 | | | | 32,394 | |
Huntington Ingalls Industries, Inc. | | | 137 | | | | 30,789 | |
Forward Air Corp. | | | 491 | | | | 29,043 | |
Kansas City Southern1 | | | 236 | | | | 28,749 | |
Echo Global Logistics, Inc.* | | | 1,329 | | | | 27,736 | |
Waters Corp.* | | | 124 | | | | 26,690 | |
Agilent Technologies, Inc. | | | 333 | | | | 24,865 | |
Marten Transport Ltd. | | | 1,327 | | | | 24,085 | |
Old Dominion Freight Line, Inc. | | | 159 | | | | 23,732 | |
Masco Corp. | | | 573 | | | | 22,485 | |
Avnet, Inc. | | | 466 | | | | 21,096 | |
Vishay Intertechnology, Inc. | | | 1,111 | | | | 18,353 | |
Total Industrial | | | | | | | 1,044,900 | |
| | | | | | | | | |
Energy - 12.7% |
Chevron Corp. | | | 738 | | | | 91,837 | |
Kinder Morgan, Inc.1 | | | 4,397 | | | | 91,809 | |
Exxon Mobil Corp. | | | 1,175 | | | | 90,040 | |
ONEOK, Inc.1 | | | 1,242 | | | | 85,462 | |
Williams Companies, Inc.1 | | | 3,032 | | | | 85,017 | |
Phillips 661 | | | 703 | | | | 65,759 | |
HollyFrontier Corp.1 | | | 1,372 | | | | 63,496 | |
Valero Energy Corp.1 | | | 724 | | | | 61,982 | |
Delek US Holdings, Inc.1 | | | 1,392 | | | | 56,404 | |
Marathon Petroleum Corp. | | | 852 | | | | 47,610 | |
Cheniere Energy, Inc.* | | | 473 | | | | 32,377 | |
CVR Energy, Inc. | | | 622 | | | | 31,094 | |
Targa Resources Corp. | | | 765 | | | | 30,034 | |
Renewable Energy Group, Inc.* | | | 1,663 | | | | 26,375 | |
Unit Corp.* | | | 2,571 | | | | 22,856 | |
PBF Energy, Inc. — Class A1 | | | 472 | | | | 14,773 | |
Total Energy | | | | | | | 896,925 | |
| | | | | | | | | |
Communications - 11.7% |
Omnicom Group, Inc.1 | | | 1,094 | | | | 89,653 | |
Verizon Communications, Inc. | | | 1,305 | | | | 74,555 | |
116| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Value | |
| | | | | | | | | |
Discovery, Inc. — Class A*,1 | | | 2,136 | | | $ | 65,575 | |
AT&T, Inc.1 | | | 1,662 | | | | 55,694 | |
AMC Networks, Inc. — Class A*,1 | | | 1,008 | | | | 54,926 | |
Shenandoah Telecommunications Co. | | | 1,353 | | | | 52,118 | |
Cogent Communications Holdings, Inc.1 | | | 794 | | | | 47,132 | |
TEGNA, Inc. | | | 2,951 | | | | 44,708 | |
John Wiley & Sons, Inc. — Class A | | | 896 | | | | 41,091 | |
MSG Networks, Inc. — Class A* | | | 1,941 | | | | 40,256 | |
Scholastic Corp. | | | 1,119 | | | | 37,195 | |
Alphabet, Inc. — Class C* | | | 31 | | | | 33,508 | |
Meredith Corp. | | | 599 | | | | 32,981 | |
ATN International, Inc. | | | 570 | | | | 32,906 | |
Comcast Corp. — Class A | | | 607 | | | | 25,664 | |
News Corp. — Class A | | | 1,677 | | | | 22,623 | |
Facebook, Inc. — Class A* | | | 97 | | | | 18,721 | |
New Media Investment Group, Inc. | | | 1,871 | | | | 17,662 | |
Vonage Holdings Corp.* | | | 1,538 | | | | 17,425 | |
InterDigital, Inc.1 | | | 265 | | | | 17,066 | |
Total Communications | | | | | | | 821,459 | |
| | | | | | | | | |
Utilities - 8.5% |
Pinnacle West Capital Corp. | | | 846 | | | | 79,600 | |
Portland General Electric Co. | | | 1,452 | | | | 78,655 | |
National Fuel Gas Co.1 | | | 1,428 | | | | 75,327 | |
PPL Corp.1 | | | 2,164 | | | | 67,106 | |
Ameren Corp.1 | | | 861 | | | | 64,670 | |
FirstEnergy Corp.1 | | | 1,423 | | | | 60,919 | |
Exelon Corp.1 | | | 1,002 | | | | 48,036 | |
AES Corp.1 | | | 2,786 | | | | 46,693 | |
OGE Energy Corp.1 | | | 1,062 | | | | 45,199 | |
Southern Co. | | | 330 | | | | 18,242 | |
NRG Energy, Inc. | | | 496 | | | | 17,419 | |
Total Utilities | | | | | | | 601,866 | |
| | | | | | | | | |
Consumer, Cyclical - 8.5% |
Delta Air Lines, Inc.1 | | | 1,216 | | | | 69,008 | |
JetBlue Airways Corp.*,1 | | | 3,524 | | | | 65,159 | |
Allison Transmission Holdings, Inc.1 | | | 1,305 | | | | 60,487 | |
Southwest Airlines Co.1 | | | 1,100 | | | | 55,858 | |
United Continental Holdings, Inc.*,1 | | | 582 | | | | 50,954 | |
Casey’s General Stores, Inc. | | | 278 | | | | 43,365 | |
Alaska Air Group, Inc.1 | | | 659 | | | | 42,117 | |
World Fuel Services Corp. | | | 1,167 | | | | 41,965 | |
PACCAR, Inc.1 | | | 418 | | | | 29,954 | |
Cinemark Holdings, Inc.1 | | | 746 | | | | 26,931 | |
SkyWest, Inc. | | | 424 | | | | 25,724 | |
Lear Corp.1 | | | 181 | | | | 25,208 | |
Lions Gate Entertainment Corp. — Class A | | | 1,846 | | | | 22,613 | |
Nu Skin Enterprises, Inc. — Class A | | | 383 | | | | 18,890 | |
Walgreens Boots Alliance, Inc. | | | 341 | | | | 18,642 | |
Total Consumer, Cyclical | | | | | | | 596,875 | |
| | | | | | | | | |
Financial - 7.5% |
Equity Commonwealth REIT1 | | | 2,793 | | | | 90,828 | |
Apartment Investment & Management Co. — Class A REIT1 | | | 1,798 | | | | 90,116 | |
Medical Properties Trust, Inc. REIT1 | | | 4,198 | | | | 73,213 | |
HCP, Inc. REIT1 | | | 1,949 | | | | 62,329 | |
Hospitality Properties Trust REIT | | | 1,217 | | | | 30,425 | |
Deluxe Corp. | | | 718 | | | | 29,194 | |
Summit Hotel Properties, Inc. REIT | | | 1,836 | | | | 21,059 | |
Assured Guaranty Ltd. | | | 485 | | | | 20,409 | |
Host Hotels & Resorts, Inc. REIT1 | | | 1,097 | | | | 19,987 | |
Hartford Financial Services Group, Inc.1 | | | 335 | | | | 18,666 | |
MetLife, Inc. | | | 375 | | | | 18,626 | |
Prudential Financial, Inc.1 | | | 179 | | | | 18,079 | |
JPMorgan Chase & Co.1 | | | 160 | | | | 17,888 | |
Northern Trust Corp.1 | | | 190 | | | | 17,100 | |
Total Financial | | | | | | | 527,919 | |
| | | | | | | | | |
Technology - 1.6% |
Skyworks Solutions, Inc. | | | 656 | | | | 50,689 | |
Activision Blizzard, Inc. | | | 562 | | | | 26,526 | |
Diodes, Inc.* | | | 534 | | | | 19,422 | |
Oracle Corp.1 | | | 332 | | | | 18,914 | |
Total Technology | | | | | | | 115,551 | |
| | | | | | | | | |
Basic Materials - 0.6% |
Westlake Chemical Corp.1 | | | 330 | | | | 22,922 | |
Domtar Corp. | | | 483 | | | | 21,508 | |
Total Basic Materials | | | | | | | 44,430 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $7,054,440) | | | | | | | 7,131,505 | |
| | | | | | | | | |
MONEY MARKET FUND† - 1.2% |
Goldman Sachs Financial Square Treasury Instruments Fund – Institutional Class 2.08%2 | | | 84,867 | | | | 84,867 | |
Total Money Market Fund | | | | | | | | |
(Cost $84,867) | | | | | | | 84,867 | |
| | | | | | | | | |
Total Investments - 102.3% | | | | | | | | |
(Cost $7,139,307) | | | | | | $ | 7,216,372 | |
Other Assets & Liabilities, net - (2.3)% | | | | | | | (164,371 | ) |
Total Net Assets - 100.0% | | | | | | $ | 7,052,001 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 117 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
Custom Basket Swap Agreements |
Counterparty | Reference Obligation | | Financing Rate
Pay (Receive) | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Custom Basket Swap Agreements†† | | | | | | | | | | | | | | | | | | |
Goldman Sachs International | Alpha Opportunity Portfolio Long Custom Basket Swap5 | 2.83% | At Maturity | | | 05/06/24 | | | $ | 760,523 | | | $ | 18,976 | |
Morgan Stanley Capital Services LLC | Alpha Opportunity Portfolio Long Custom Basket Swap3 | 2.78% | At Maturity | | | 02/01/24 | | | | 707,629 | | | | 13,420 | |
| | | | | | | | | | | | | $ | 1,468,152 | | | $ | 32,396 | |
OTC Custom Basket Swap Agreements Sold Short†† | | | | | | | | | | | | | | | | | |
Morgan Stanley Capital Services LLC | Alpha Opportunity Portfolio Short Custom Basket Swap4 | (2.08%) | At Maturity | | | 02/01/24 | | | $ | 3,509,042 | | | $ | (129,086 | ) |
Goldman Sachs International | Alpha Opportunity Portfolio Short Custom Basket Swap6 | (2.18%) | At Maturity | | | 05/06/24 | | | | 3,447,545 | | | | (40,846 | ) |
| | | | | | | | | | | | | $ | 6,956,587 | | | $ | (169,932 | ) |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation | |
| | | | | | | | | | | | | |
CUSTOM BASKET OF LONG SECURITIES3 |
Tyson Foods, Inc. — Class A | | | 69 | | | | 0.78 | % | | $ | 1,333 | |
McKesson Corp. | | | 65 | | | | 1.22 | % | | | 1,215 | |
Kimberly-Clark Corp. | | | 57 | | | | 1.06 | % | | | 1,189 | |
Kinder Morgan, Inc. | | | 437 | | | | 1.28 | % | | | 1,096 | |
Delek US Holdings, Inc. | | | 138 | | | | 0.79 | % | | | 1,060 | |
TEGNA, Inc. | | | 293 | | | | 0.63 | % | | | 1,058 | |
Omnicom Group, Inc. | | | 108 | | | | 1.25 | % | | | 982 | |
Pilgrim’s Pride Corp.* | | | 209 | | | | 0.75 | % | | | 897 | |
Casey’s General Stores, Inc. | | | 27 | | | | 0.60 | % | | | 852 | |
JetBlue Airways Corp.* | | | 350 | | | | 0.91 | % | | | 842 | |
Allergan plc | | | 30 | | | | 0.71 | % | | | 826 | |
Delta Air Lines, Inc. | | | 121 | | | | 0.97 | % | | | 822 | |
World Fuel Services Corp. | | | 116 | | | | 0.59 | % | | | 786 | |
Cummins, Inc. | | | 28 | | | | 0.68 | % | | | 690 | |
Portland General Electric Co. | | | 144 | | | | 1.10 | % | | | 649 | |
AT&T, Inc. | | | 165 | | | | 0.78 | % | | | 645 | |
Merck & Company, Inc. | | | 97 | | | | 1.15 | % | | | 640 | |
Medtronic plc | | | 87 | | | | 1.20 | % | | | 620 | |
FirstEnergy Corp. | | | 141 | | | | 0.85 | % | | | 604 | |
Discovery, Inc. — Class A* | | | 212 | | | | 0.92 | % | | | 601 | |
CVR Energy, Inc. | | | 62 | | | | 0.44 | % | | | 592 | |
Alaska Air Group, Inc. | | | 65 | | | | 0.59 | % | | | 580 | |
Pinnacle West Capital Corp. | | | 84 | | | | 1.12 | % | | | 563 | |
United Continental Holdings, Inc.* | | | 57 | | | | 0.71 | % | | | 514 | |
ManpowerGroup, Inc. | | | 31 | | | | 0.42 | % | | | 451 | |
Gilead Sciences, Inc. | | | 116 | | | | 1.11 | % | | | 423 | |
Oshkosh Corp. | | | 38 | | | | 0.45 | % | | | 402 | |
Norfolk Southern Corp. | | | 23 | | | | 0.65 | % | | | 389 | |
SkyWest, Inc. | | | 42 | | | | 0.36 | % | | | 368 | |
Hill-Rom Holdings, Inc. | | | 43 | | | | 0.64 | % | | | 354 | |
Constellation Brands, Inc. — Class A | | | 13 | | | | 0.36 | % | | | 349 | |
Hologic, Inc.* | | | 110 | | | | 0.75 | % | | | 348 | |
Jazz Pharmaceuticals plc* | | | 23 | | | | 0.46 | % | | | 313 | |
Colgate-Palmolive Co. | | | 57 | | | | 0.58 | % | | | 312 | |
Caterpillar, Inc. | | | 26 | | | | 0.50 | % | | | 303 | |
Sysco Corp. | | | 57 | | | | 0.57 | % | | | 290 | |
Huntington Ingalls Industries, Inc. | | | 13 | | | | 0.41 | % | | | 285 | |
MetLife, Inc. | | | 37 | | | | 0.26 | % | | | 282 | |
CSX Corp. | | | 68 | | | | 0.74 | % | | | 270 | |
Williams Companies, Inc. | | | 301 | | | | 1.19 | % | | | 248 | |
AmerisourceBergen Corp. — Class A | | | 56 | | | | 0.67 | % | | | 246 | |
Facebook, Inc. — Class A* | | | 9 | | | | 0.25 | % | | | 244 | |
Pfizer, Inc. | | | 185 | | | | 1.13 | % | | | 241 | |
Hartford Financial Services Group, Inc. | | | 33 | | | | 0.26 | % | | | 230 | |
Marathon Petroleum Corp. | | | 84 | | | | 0.66 | % | | | 229 | |
Agilent Technologies, Inc. | | | 33 | | | | 0.35 | % | | | 226 | |
PACCAR, Inc. | | | 41 | | | | 0.42 | % | | | 222 | |
Saia, Inc.* | | | 59 | | | | 0.54 | % | | | 218 | |
Becton Dickinson and Co. | | | 21 | | | | 0.75 | % | | | 208 | |
Knight-Swift Transportation Holdings, Inc. | | | 142 | | | | 0.66 | % | | | 207 | |
News Corp. — Class A | | | 166 | | | | 0.32 | % | | | 196 | |
118| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | |
Value and
Unrealized
Appreciation
| |
| | | | | | | | | | | | | |
Allison Transmission Holdings, Inc. | | | 129 | | | | 0.84 | % | | $ | 194 | |
Flowers Foods, Inc. | | | 93 | | | | 0.31 | % | | | 193 | |
Textron, Inc. | | | 66 | | | | 0.49 | % | | | 184 | |
JPMorgan Chase & Co. | | | 15 | | | | 0.24 | % | | | 183 | |
CVS Health Corp. | | | 127 | | | | 0.98 | % | | | 180 | |
Marten Transport Ltd. | | | 132 | | | | 0.34 | % | | | 175 | |
Baxter International, Inc. | | | 62 | | | | 0.72 | % | | | 174 | |
Abbott Laboratories | | | 30 | | | | 0.36 | % | | | 169 | |
AMERCO | | | 11 | | | | 0.59 | % | | | 167 | |
Kennametal, Inc. | | | 93 | | | | 0.49 | % | | | 163 | |
Kansas City Southern | | | 23 | | | | 0.40 | % | | | 162 | |
Prudential Financial, Inc. | | | 17 | | | | 0.24 | % | | | 162 | |
Philip Morris International, Inc. | | | 55 | | | | 0.61 | % | | | 152 | |
ONEOK, Inc. | | | 123 | | | | 1.20 | % | | | 149 | |
Innoviva, Inc.* | | | 171 | | | | 0.35 | % | | | 149 | |
Avnet, Inc. | | | 46 | | | | 0.29 | % | | | 149 | |
Landstar System, Inc. | | | 41 | | | | 0.63 | % | | | 144 | |
Oracle Corp. | | | 33 | | | | 0.27 | % | | | 137 | |
Diodes, Inc.* | | | 53 | | | | 0.27 | % | | | 133 | |
General Mills, Inc. | | | 61 | | | | 0.45 | % | | | 131 | |
John Wiley & Sons, Inc. — Class A | | | 89 | | | | 0.58 | % | | | 123 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 12 | | | | 0.53 | % | | | 122 | |
Parker-Hannifin Corp. | | | 23 | | | | 0.55 | % | | | 122 | |
Chevron Corp. | | | 73 | | | | 1.28 | % | | | 120 | |
Lear Corp. | | | 18 | | | | 0.35 | % | | | 116 | |
Clorox Co. | | | 24 | | | | 0.52 | % | | | 114 | |
Cheniere Energy, Inc.* | | | 47 | | | | 0.45 | % | | | 105 | |
Southwest Airlines Co. | | | 109 | | | | 0.78 | % | | | 104 | |
Skyworks Solutions, Inc. | | | 65 | | | | 0.71 | % | | | 96 | |
Old Dominion Freight Line, Inc. | | | 15 | | | | 0.32 | % | | | 91 | |
Central Garden & Pet Co. — Class A* | | | 76 | | | | 0.26 | % | | | 89 | |
Alexion Pharmaceuticals, Inc.* | | | 18 | | | | 0.33 | % | | | 86 | |
Westlake Chemical Corp. | | | 32 | | | | 0.31 | % | | | 84 | |
Cogent Communications Holdings, Inc. | | | 79 | | | | 0.66 | % | | | 81 | |
US Foods Holding Corp.* | | | 60 | | | | 0.30 | % | | | 80 | |
Ameren Corp. | | | 85 | | | | 0.90 | % | | | 80 | |
JM Smucker Co. | | | 22 | | | | 0.36 | % | | | 75 | |
Masco Corp. | | | 57 | | | | 0.32 | % | | | 69 | |
Procter & Gamble Co. | | | 22 | | | | 0.34 | % | | | 68 | |
Laboratory Corporation of America Holdings* | | | 10 | | | | 0.24 | % | | | 65 | |
Integer Holdings Corp.* | | | 37 | | | | 0.44 | % | | | 65 | |
Assured Guaranty Ltd. | | | 48 | | | | 0.29 | % | | | 60 | |
Equity Commonwealth | | | 278 | | | | 1.28 | % | | | 59 | |
Johnson & Johnson | | | 34 | | | | 0.67 | % | | | 55 | |
| | | | | | | | | | | | | |
| | | | | | | | Value and
Unrealized
Appreciation
(Depreciation) | |
| | | | | | | | | | | | | |
PepsiCo, Inc. | | | 42 | | | | 0.78 | % | | | 52 | |
Nu Skin Enterprises, Inc. — Class A | | | 38 | | | | 0.26 | % | | | 46 | |
Southern Co. | | | 32 | | | | 0.25 | % | | | 42 | |
Northern Trust Corp. | | | 18 | | | | 0.23 | % | | | 22 | |
Valero Energy Corp. | | | 72 | | | | 0.87 | % | | | 11 | |
Activision Blizzard, Inc. | | | 55 | | | | 0.37 | % | | | 11 | |
Summit Hotel Properties, Inc. | | | 182 | | | | 0.30 | % | | | 7 | |
HCP, Inc. | | | 194 | | | | 0.88 | % | | | 7 | |
Deluxe Corp. | | | 71 | | | | 0.41 | % | | | 1 | |
Host Hotels & Resorts, Inc. | | | 109 | | | | 0.28 | % | | | (4 | ) |
Macquarie Infrastructure Corp. | | | 45 | | | | 0.26 | % | | | (12 | ) |
Echo Global Logistics, Inc.* | | | 132 | | | | 0.39 | % | | | (12 | ) |
InterDigital, Inc. | | | 26 | | | | 0.24 | % | | | (18 | ) |
PPL Corp. | | | 215 | | | | 0.94 | % | | | (33 | ) |
OGE Energy Corp. | | | 105 | | | | 0.63 | % | | | (37 | ) |
Zimmer Biomet Holdings, Inc. | | | 55 | | | | 0.92 | % | | | (40 | ) |
Apartment Investment & Management Co. — Class A | | | 178 | | | | 1.26 | % | | | (44 | ) |
Comcast Corp. — Class A | | | 60 | | | | 0.36 | % | | | (57 | ) |
AES Corp. | | | 277 | | | | 0.66 | % | | | (68 | ) |
TrueBlue, Inc.* | | | 103 | | | | 0.32 | % | | | (79 | ) |
Vonage Holdings Corp.* | | | 153 | | | | 0.24 | % | | | (84 | ) |
Cardinal Health, Inc. | | | 96 | | | | 0.64 | % | | | (92 | ) |
ATN International, Inc. | | | 56 | | | | 0.46 | % | | | (99 | ) |
Kraft Heinz Co. | | | 75 | | | | 0.33 | % | | | (120 | ) |
Amgen, Inc. | | | 45 | | | | 1.17 | % | | | (122 | ) |
B&G Foods, Inc. | | | 90 | | | | 0.26 | % | | | (124 | ) |
Meredith Corp. | | | 59 | | | | 0.46 | % | | | (130 | ) |
Hospitality Properties Trust | | | 121 | | | | 0.43 | % | | | (163 | ) |
Targa Resources Corp. | | | 76 | | | | 0.42 | % | | | (182 | ) |
Post Holdings, Inc.* | | | 36 | | | | 0.53 | % | | | (186 | ) |
AMC Networks, Inc. — Class A* | | | 100 | | | | 0.77 | % | | | (192 | ) |
Forward Air Corp. | | | 48 | | | | 0.40 | % | | | (195 | ) |
Medical Properties Trust, Inc. | | | 417 | | | | 1.03 | % | | | (196 | ) |
Alphabet, Inc. — Class C* | | | 3 | | | | 0.46 | % | | | (197 | ) |
Vishay Intertechnology, Inc. | | | 110 | | | | 0.26 | % | | | (202 | ) |
Domtar Corp. | | | 48 | | | | 0.30 | % | | | (216 | ) |
Exxon Mobil Corp. | | | 117 | | | | 1.27 | % | | | (242 | ) |
Cinemark Holdings, Inc. | | | 74 | | | | 0.38 | % | | | (249 | ) |
Darling Ingredients, Inc.* | | | 265 | | | | 0.74 | % | | | (249 | ) |
Walgreens Boots Alliance, Inc. | | | 33 | | | | 0.25 | % | | | (249 | ) |
Exelon Corp. | | | 99 | | | | 0.67 | % | | | (256 | ) |
Heartland Express, Inc. | | | 225 | | | | 0.57 | % | | | (257 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 119 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
| | | | | | | | | | | | | |
Biogen, Inc.* | | | 17 | | | | 0.56 | % | | $ | (260 | ) |
Phillips 66 | | | 70 | | | | 0.93 | % | | | (261 | ) |
NRG Energy, Inc. | | | 49 | | | | 0.24 | % | | | (268 | ) |
Cal-Maine Foods, Inc. | | | 117 | | | | 0.69 | % | | | (269 | ) |
MSG Networks, Inc. — Class A* | | | 193 | | | | 0.57 | % | | | (274 | ) |
Werner Enterprises, Inc. | | | 129 | | | | 0.57 | % | | | (294 | ) |
United Parcel Service, Inc. — Class B | | | 52 | | | | 0.76 | % | | | (297 | ) |
J.B. Hunt Transport Services, Inc. | | | 45 | | | | 0.58 | % | | | (310 | ) |
Verizon Communications, Inc. | | | 129 | | | | 1.04 | % | | | (342 | ) |
Archer-Daniels-Midland Co. | | | 208 | | | | 1.20 | % | | | (352 | ) |
Molson Coors Brewing Co. — Class B | | | 108 | | | | 0.85 | % | | | (355 | ) |
New Media Investment Group, Inc. | | | 186 | | | | 0.25 | % | | | (390 | ) |
Vector Group Ltd. | | | 375 | | | | 0.52 | % | | | (394 | ) |
Waters Corp.* | | | 12 | | | | 0.37 | % | | | (410 | ) |
Unit Corp.* | | | 255 | | | | 0.32 | % | | | (528 | ) |
Kroger Co. | | | 165 | | | | 0.51 | % | | | (555 | ) |
Scholastic Corp. | | | 111 | | | | 0.52 | % | | | (557 | ) |
PBF Energy, Inc. — Class A | | | 129 | | | | 0.57 | % | | | (587 | ) |
Schneider National, Inc. — Class B | | | 237 | | | | 0.61 | % | | | (608 | ) |
HollyFrontier Corp. | | | 136 | | | | 0.89 | % | | | (617 | ) |
FedEx Corp. | | | 52 | | | | 1.21 | % | | | (619 | ) |
Lions Gate Entertainment Corp. — Class A | | | 183 | | | | 0.32 | % | | | (641 | ) |
Herbalife Nutrition Ltd.* | | | 83 | | | | 0.50 | % | | | (862 | ) |
Ingredion, Inc. | | | 85 | | | | 0.99 | % | | | (887 | ) |
Shenandoah Telecommunications Co. | | | 134 | | | | 0.73 | % | | | (1,013 | ) |
Mylan N.V.* | | | 90 | | | | 0.24 | % | | | (1,028 | ) |
Renewable Energy Group, Inc.* | | | 165 | | | | 0.37 | % | | | (1,122 | ) |
National Fuel Gas Co. | | | 142 | | | | 1.06 | % | | | (1,162 | ) |
Total Custom Basket of Long Securities | | $ | 13,420 | |
| |
CUSTOM BASKET OF SHORT SECURITIES4 |
Core Laboratories N.V. | | | (384 | ) | | | (0.56 | %) | | $ | 5,940 | |
Palo Alto Networks, Inc.* | | | (131 | ) | | | (0.75 | %) | | | 4,883 | |
National Oilwell Varco, Inc. | | | (968 | ) | | | (0.61 | %) | | | 4,802 | |
Texas Roadhouse, Inc. — Class A | | | (434 | ) | | | (0.66 | %) | | | 3,293 | |
Realty Income Corp. | | | (668 | ) | | | (1.31 | %) | | | 2,992 | |
New York Community Bancorp, Inc. | | | (1,617 | ) | | | (0.46 | %) | | | 2,966 | |
FireEye, Inc.* | | | (828 | ) | | | (0.35 | %) | | | 2,592 | |
Nutanix, Inc. — Class A* | | | (191 | ) | | | (0.14 | %) | | | 2,224 | |
NewMarket Corp. | | | (68 | ) | | | (0.78 | %) | | | 2,106 | |
salesforce.com, Inc.* | | | (238 | ) | | | (1.03 | %) | | | 1,942 | |
Concho Resources, Inc. | | | (214 | ) | | | (0.63 | %) | | | 1,869 | |
Empire State Realty Trust, Inc. — Class A | | | (1,812 | ) | | | (0.76 | %) | | | 1,850 | |
Paychex, Inc. | | | (274 | ) | | | (0.64 | %) | | | 1,398 | |
Hudson Pacific Properties, Inc. | | | (1,052 | ) | | | (1.00 | %) | | | 1,369 | |
Brandywine Realty Trust | | | (1,133 | ) | | | (0.46 | %) | | | 1,365 | |
BOK Financial Corp. | | | (319 | ) | | | (0.69 | %) | | | 1,343 | |
CVB Financial Corp. | | | (1,167 | ) | | | (0.70 | %) | | | 1,334 | |
Autodesk, Inc.* | | | (121 | ) | | | (0.56 | %) | | | 1,325 | |
New Residential Investment Corp. | | | (923 | ) | | | (0.40 | %) | | | 1,244 | |
Agree Realty Corp. | | | (570 | ) | | | (1.04 | %) | | | 1,186 | |
Alarm.com Holdings, Inc.* | | | (119 | ) | | | (0.18 | %) | | | 903 | |
Kaiser Aluminum Corp. | | | (145 | ) | | | (0.40 | %) | | | 887 | |
Allegheny Technologies, Inc.* | | | (1,103 | ) | | | (0.79 | %) | | | 872 | |
CNO Financial Group, Inc. | | | (726 | ) | | | (0.35 | %) | | | 865 | |
Signature Bank | | | (110 | ) | | | (0.38 | %) | | | 776 | |
Rollins, Inc. | | | (452 | ) | | | (0.46 | %) | | | 745 | |
STORE Capital Corp. | | | (867 | ) | | | (0.82 | %) | | | 681 | |
Federal Realty Investment Trust | | | (82 | ) | | | (0.30 | %) | | | 679 | |
DocuSign, Inc.* | | | (134 | ) | | | (0.19 | %) | | | 647 | |
Douglas Emmett, Inc. | | | (644 | ) | | | (0.73 | %) | | | 612 | |
Fortive Corp. | | | (371 | ) | | | (0.86 | %) | | | 590 | |
Glacier Bancorp, Inc. | | | (392 | ) | | | (0.45 | %) | | | 514 | |
First Republic Bank | | | (179 | ) | | | (0.50 | %) | | | 501 | |
Alexandria Real Estate Equities, Inc. | | | (193 | ) | | | (0.78 | %) | | | 358 | |
WesBanco, Inc. | | | (287 | ) | | | (0.32 | %) | | | 332 | |
American Campus Communities, Inc. | | | (245 | ) | | | (0.32 | %) | | | 314 | |
Diamondback Energy, Inc. | | | (196 | ) | | | (0.61 | %) | | | 301 | |
MFA Financial, Inc. | | | (1,992 | ) | | | (0.41 | %) | | | 279 | |
First Financial Bankshares, Inc. | | | (831 | ) | | | (0.73 | %) | | | 279 | |
CoreSite Realty Corp. | | | (93 | ) | | | (0.31 | %) | | | 260 | |
Healthcare Realty Trust, Inc. | | | (361 | ) | | | (0.32 | %) | | | 254 | |
MongoDB, Inc.* | | | (45 | ) | | | (0.20 | %) | | | 247 | |
UDR, Inc. | | | (559 | ) | | | (0.72 | %) | | | 240 | |
Tyler Technologies, Inc.* | | | (91 | ) | | | (0.56 | %) | | | 190 | |
Equity Residential | | | (165 | ) | | | (0.36 | %) | | | 127 | |
BankUnited, Inc. | | | (562 | ) | | | (0.54 | %) | | | 116 | |
ServiceNow, Inc.* | | | (25 | ) | | | (0.20 | %) | | | 80 | |
WP Carey, Inc. | | | (221 | ) | | | (0.51 | %) | | | 65 | |
WR Grace & Co. | | | (648 | ) | | | (1.41 | %) | | | 65 | |
Twilio, Inc. — Class A* | | | (51 | ) | | | (0.20 | %) | | | 35 | |
MercadoLibre, Inc.* | | | (11 | ) | | | (0.19 | %) | | | 19 | |
Columbia Financial, Inc.* | | | (727 | ) | | | (0.31 | %) | | | 18 | |
Livent Corp.* | | | (1 | ) | | | 0.00 | % | | | 3 | |
HubSpot, Inc.* | | | (41 | ) | | | (0.20 | %) | | | (1 | ) |
Associated Banc-Corp. | | | (671 | ) | | | (0.40 | %) | | | (13 | ) |
120| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | |
Value and
Unrealized
Depreciation
| |
| | | | | | | | | | | | | |
Elastic N.V.* | | | (94 | ) | | | (0.20 | %) | | $ | (17 | ) |
Essex Property Trust, Inc. | | | (43 | ) | | | (0.36 | %) | | | (17 | ) |
Workday, Inc. — Class A* | | | (34 | ) | | | (0.20 | %) | | | (19 | ) |
VeriSign, Inc.* | | | (34 | ) | | | (0.20 | %) | | | (39 | ) |
Trade Desk, Inc. — Class A* | | | (31 | ) | | | (0.20 | %) | | | (41 | ) |
Blackline, Inc.* | | | (132 | ) | | | (0.20 | %) | | | (80 | ) |
NIKE, Inc. — Class B | | | (129 | ) | | | (0.31 | %) | | | (113 | ) |
Paylocity Holding Corp.* | | | (75 | ) | | | (0.20 | %) | | | (143 | ) |
PTC, Inc.* | | | (348 | ) | | | (0.89 | %) | | | (146 | ) |
Anaplan, Inc.* | | | (140 | ) | | | (0.20 | %) | | | (146 | ) |
Okta, Inc.* | | | (58 | ) | | | (0.20 | %) | | | (150 | ) |
Q2 Holdings, Inc.* | | | (93 | ) | | | (0.20 | %) | | | (151 | ) |
Dominion Energy, Inc. | | | (843 | ) | | | (1.86 | %) | | | (160 | ) |
RingCentral, Inc. — Class A* | �� | | (63 | ) | | | (0.21 | %) | | | (164 | ) |
Zendesk, Inc.* | | | (79 | ) | | | (0.20 | %) | | | (172 | ) |
Everbridge, Inc.* | | | (78 | ) | | | (0.20 | %) | | | (185 | ) |
People’s United Financial, Inc. | | | (1,347 | ) | | | (0.64 | %) | | | (193 | ) |
Veeva Systems, Inc. — Class A* | | | (45 | ) | | | (0.21 | %) | | | (240 | ) |
Aspen Technology, Inc.* | | | (58 | ) | | | (0.21 | %) | | | (242 | ) |
Paycom Software, Inc.* | | | (32 | ) | | | (0.21 | %) | | | (253 | ) |
Zscaler, Inc.* | | | (95 | ) | | | (0.21 | %) | | | (284 | ) |
Blackstone Mortgage Trust, Inc. — Class A | | | (487 | ) | | | (0.49 | %) | | | (287 | ) |
Atlassian Corporation plc — Class A* | | | (56 | ) | | | (0.21 | %) | | | (299 | ) |
PayPal Holdings, Inc.* | | | (221 | ) | | | (0.72 | %) | | | (300 | ) |
Alteryx, Inc. — Class A* | | | (67 | ) | | | (0.21 | %) | | | (310 | ) |
Avalara, Inc.* | | | (101 | ) | | | (0.21 | %) | | | (319 | ) |
Marsh & McLennan Companies, Inc. | | | (131 | ) | | | (0.37 | %) | | | (329 | ) |
Chegg, Inc.* | | | (189 | ) | | | (0.21 | %) | | | (338 | ) |
Coupa Software, Inc.* | | | (58 | ) | | | (0.21 | %) | | | (359 | ) |
Atmos Energy Corp. | | | (139 | ) | | | (0.42 | %) | | | (364 | ) |
American Water Works Company, Inc. | | | (112 | ) | | | (0.37 | %) | | | (394 | ) |
Universal Display Corp. | | | (40 | ) | | | (0.21 | %) | | | (429 | ) |
Welltower, Inc. | | | (303 | ) | | | (0.70 | %) | | | (437 | ) |
Redwood Trust, Inc. | | | (1,078 | ) | | | (0.51 | %) | | | (496 | ) |
Old National Bancorp | | | (2,167 | ) | | | (1.02 | %) | | | (503 | ) |
American Tower Corp. — Class A | | | (112 | ) | | | (0.65 | %) | | | (552 | ) |
Marriott Vacations Worldwide Corp. | | | (195 | ) | | | (0.54 | %) | | | (559 | ) |
Proofpoint, Inc.* | | | (164 | ) | | | (0.56 | %) | | | (569 | ) |
Appfolio, Inc. — Class A* | | | (144 | ) | | | (0.42 | %) | | | (603 | ) |
Extra Space Storage, Inc. | | | (145 | ) | | | (0.44 | %) | | | (617 | ) |
Compass Minerals International, Inc. | | | (358 | ) | | | (0.56 | %) | | | (621 | ) |
Intercontinental Exchange, Inc. | | | (142 | ) | | | (0.35 | %) | | | (673 | ) |
CubeSmart | | | (519 | ) | | | (0.49 | %) | | | (681 | ) |
Monolithic Power Systems, Inc. | | | (165 | ) | | | (0.64 | %) | | | (683 | ) |
Fair Isaac Corp.* | | | (37 | ) | | | (0.33 | %) | | | (689 | ) |
Axis Capital Holdings Ltd. | | | (204 | ) | | | (0.35 | %) | | | (757 | ) |
Avery Dennison Corp. | | | (129 | ) | | | (0.43 | %) | | | (789 | ) |
McDonald’s Corp. | | | (95 | ) | | | (0.56 | %) | | | (803 | ) |
Commercial Metals Co. | | | (1,643 | ) | | | (0.84 | %) | | | (821 | ) |
CoStar Group, Inc.* | | | (43 | ) | | | (0.68 | %) | | | (907 | ) |
Adobe, Inc.* | | | (84 | ) | | | (0.71 | %) | | | (951 | ) |
RPM International, Inc. | | | (256 | ) | | | (0.45 | %) | | | (1,006 | ) |
Amazon.com, Inc.* | | | (8 | ) | | | (0.43 | %) | | | (1,023 | ) |
Cintas Corp. | | | (96 | ) | | | (0.65 | %) | | | (1,049 | ) |
PPG Industries, Inc. | | | (128 | ) | | | (0.43 | %) | | | (1,090 | ) |
Sensient Technologies Corp. | | | (175 | ) | | | (0.37 | %) | | | (1,104 | ) |
Reliance Steel & Aluminum Co. | | | (155 | ) | | | (0.42 | %) | | | (1,112 | ) |
NextEra Energy, Inc. | | | (115 | ) | | | (0.67 | %) | | | (1,170 | ) |
Sherwin-Williams Co. | | | (37 | ) | | | (0.48 | %) | | | (1,225 | ) |
Camden Property Trust | | | (267 | ) | | | (0.79 | %) | | | (1,257 | ) |
Capitol Federal Financial, Inc. | | | (2,538 | ) | | | (1.00 | %) | | | (1,265 | ) |
Advanced Micro Devices, Inc.* | | | (401 | ) | | | (0.35 | %) | | | (1,270 | ) |
Microchip Technology, Inc. | | | (283 | ) | | | (0.70 | %) | | | (1,275 | ) |
Crown Castle International Corp. | | | (321 | ) | | | (1.19 | %) | | | (1,296 | ) |
Dunkin’ Brands Group, Inc. | | | (226 | ) | | | (0.51 | %) | | | (1,300 | ) |
Schlumberger Ltd. | | | (1,127 | ) | | | (1.28 | %) | | | (1,337 | ) |
American Homes 4 Rent — Class A | | | (819 | ) | | | (0.57 | %) | | | (1,412 | ) |
CyrusOne, Inc. | | | (263 | ) | | | (0.43 | %) | | | (1,447 | ) |
South Jersey Industries, Inc. | | | (1,000 | ) | | | (0.96 | %) | | | (1,550 | ) |
Liberty Property Trust | | | (1,069 | ) | | | (1.52 | %) | | | (1,552 | ) |
EastGroup Properties, Inc. | | | (355 | ) | | | (1.17 | %) | | | (1,657 | ) |
KAR Auction Services, Inc. | | | (402 | ) | | | (0.29 | %) | | | (1,665 | ) |
First Industrial Realty Trust, Inc. | | | (543 | ) | | | (0.57 | %) | | | (1,713 | ) |
Pacific Premier Bancorp, Inc. | | | (539 | ) | | | (0.47 | %) | | | (1,756 | ) |
IAA, Inc.* | | | (402 | ) | | | (0.44 | %) | | | (1,815 | ) |
SPS Commerce, Inc.* | | | (130 | ) | | | (0.38 | %) | | | (1,816 | ) |
Arthur J Gallagher & Co. | | | (207 | ) | | | (0.52 | %) | | | (1,940 | ) |
Valley National Bancorp | | | (3,857 | ) | | | (1.18 | %) | | | (1,959 | ) |
Southern Copper Corp. | | | (751 | ) | | | (0.83 | %) | | | (1,986 | ) |
Invitation Homes, Inc. | | | (796 | ) | | | (0.61 | %) | | | (2,054 | ) |
International Flavors & Fragrances, Inc. | | | (223 | ) | | | (0.92 | %) | | | (2,070 | ) |
Guidewire Software, Inc.* | | | (323 | ) | | | (0.93 | %) | | | (2,246 | ) |
Linde plc | | | (75 | ) | | | (0.43 | %) | | | (2,274 | ) |
Washington Federal, Inc. | | | (426 | ) | | | (0.42 | %) | | | (2,403 | ) |
Wingstop, Inc. | | | (233 | ) | | | (0.63 | %) | | | (2,497 | ) |
Wyndham Hotels & Resorts, Inc. | | | (533 | ) | | | (0.85 | %) | | | (2,735 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 121 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | |
Value and
Unrealized
Depreciation
| |
| | | | | | | | | | | | | |
Martin Marietta Materials, Inc. | | | (75 | ) | | | (0.49 | %) | | $ | (2,778 | ) |
Costco Wholesale Corp. | | | (120 | ) | | | (0.90 | %) | | | (2,982 | ) |
Equinix, Inc. | | | (55 | ) | | | (0.79 | %) | | | (3,024 | ) |
MarketAxess Holdings, Inc. | | | (41 | ) | | | (0.38 | %) | | | (3,130 | ) |
Vulcan Materials Co. | | | (97 | ) | | | (0.38 | %) | | | (3,191 | ) |
Balchem Corp. | | | (276 | ) | | | (0.79 | %) | | | (3,243 | ) |
Americold Realty Trust | | | (1,123 | ) | | | (1.04 | %) | | | (3,455 | ) |
IHS Markit Ltd.* | | | (734 | ) | | | (1.33 | %) | | | (3,517 | ) |
Pool Corp. | | | (119 | ) | | | (0.65 | %) | | | (3,589 | ) |
TransDigm Group, Inc.* | | | (108 | ) | | | (1.49 | %) | | | (3,694 | ) |
Woodward, Inc. | | | (199 | ) | | | (0.64 | %) | | | (3,720 | ) |
Bright Horizons Family Solutions, Inc.* | | | (142 | ) | | | (0.61 | %) | | | (3,774 | ) |
Pegasystems, Inc. | | | (548 | ) | | | (1.11 | %) | | | (3,819 | ) |
Everest Re Group Ltd. | | | (124 | ) | | | (0.87 | %) | | | (3,862 | ) |
Equity LifeStyle Properties, Inc. | | | (260 | ) | | | (0.90 | %) | | | (4,074 | ) |
Ball Corp. | | | (368 | ) | | | (0.73 | %) | | | (4,319 | ) |
TransUnion | | | (600 | ) | | | (1.26 | %) | | | (4,407 | ) |
SBA Communications Corp.* | | | (228 | ) | | | (1.46 | %) | | | (4,660 | ) |
Materion Corp. | | | (422 | ) | | | (0.82 | %) | | | (4,809 | ) |
Sun Communities, Inc. | | | (434 | ) | | | (1.59 | %) | | | (4,999 | ) |
RLI Corp. | | | (357 | ) | | | (0.87 | %) | | | (5,266 | ) |
Air Products & Chemicals, Inc. | | | (143 | ) | | | (0.92 | %) | | | (5,537 | ) |
Scotts Miracle-Gro Co. — Class A | | | (273 | ) | | | (0.77 | %) | | | (5,723 | ) |
Terreno Realty Corp. | | | (795 | ) | | | (1.11 | %) | | | (6,900 | ) |
AptarGroup, Inc. | | | (383 | ) | | | (1.36 | %) | | | (7,267 | ) |
Rexford Industrial Realty, Inc. | | | (1,422 | ) | | | (1.64 | %) | | | (8,490 | ) |
Total Custom Basket of Short Securities | | $ | (129,086 | ) |
| | Shares | | | Percentage
Notional
Amount | | |
Value and
Unrealized
Appreciation
| |
| | | | | | | | | | | | | |
CUSTOM BASKET OF LONG SECURITIES5 |
Medicines Co.* | | | 629 | | | | 3.02 | % | | | 1,691 | |
RMR Group, Inc. — Class A | | | 496 | | | | 3.06 | % | | | 1,389 | |
Allergan plc | | | 30 | | | | 0.66 | % | | | 1,337 | |
HollyFrontier Corp. | | | 137 | | | | 0.83 | % | | | 789 | |
Marathon Petroleum Corp. | | | 85 | | | | 0.62 | % | | | 689 | |
Delek US Holdings, Inc. | | | 139 | | | | 0.74 | % | | | 684 | |
Valero Energy Corp. | | | 72 | | | | 0.81 | % | | | 666 | |
PBF Energy, Inc. — Class A | | | 129 | | | | 0.53 | % | | | 658 | |
Phillips 66 | | | 70 | | | | 0.86 | % | | | 618 | |
Amgen, Inc. | | | 46 | | | | 1.11 | % | | | 444 | |
ONEOK, Inc. | | | 124 | | | | 1.12 | % | | | 383 | |
Discovery, Inc. — Class A* | | | 213 | | | | 0.86 | % | | | 368 | |
Kennametal, Inc. | | | 94 | | | | 0.46 | % | | | 356 | |
Jazz Pharmaceuticals plc* | | | 24 | | | | 0.45 | % | | | 336 | |
CVR Energy, Inc. | | | 62 | | | | 0.41 | % | | | 330 | |
World Fuel Services Corp. | | | 116 | | | | 0.55 | % | | | 324 | |
Becton Dickinson and Co. | | | 21 | | | | 0.70 | % | | | 315 | |
Allison Transmission Holdings, Inc. | | | 130 | | | | 0.79 | % | | | 312 | |
Renewable Energy Group, Inc.* | | | 166 | | | | 0.35 | % | | | 310 | |
Saia, Inc.* | | | 60 | | | | 0.51 | % | | | 302 | |
Omnicom Group, Inc. | | | 109 | | | | 1.17 | % | | | 299 | |
Textron, Inc. | | | 67 | | | | 0.47 | % | | | 293 | |
News Corp. — Class A | | | 167 | | | | 0.30 | % | | | 282 | |
United Continental Holdings, Inc.* | | | 58 | | | | 0.67 | % | | | 277 | |
Casey’s General Stores, Inc. | | | 28 | | | | 0.57 | % | | | 269 | |
Landstar System, Inc. | | | 42 | | | | 0.60 | % | | | 266 | |
Baxter International, Inc. | | | 62 | | | | 0.67 | % | | | 264 | |
Knight-Swift Transportation Holdings, Inc. | | | 143 | | | | 0.62 | % | | | 255 | |
FedEx Corp. | | | 53 | | | | 1.14 | % | | | 252 | |
Alexion Pharmaceuticals, Inc.* | | | 18 | | | | 0.31 | % | | | 249 | |
Meredith Corp. | | | 60 | | | | 0.43 | % | | | 243 | |
Chevron Corp. | | | 73 | | | | 1.19 | % | | | 239 | |
Cardinal Health, Inc. | | | 97 | | | | 0.60 | % | | | 239 | |
Caterpillar, Inc. | | | 26 | | | | 0.47 | % | | | 234 | |
Integer Holdings Corp.* | | | 37 | | | | 0.41 | % | | | 232 | |
AT&T, Inc. | | | 165 | | | | 0.73 | % | | | 231 | |
Westlake Chemical Corp. | | | 33 | | | | 0.30 | % | | | 228 | |
Delta Air Lines, Inc. | | | 121 | | | | 0.90 | % | | | 226 | |
Huntington Ingalls Industries, Inc. | | | 14 | | | | 0.41 | % | | | 217 | |
Skyworks Solutions, Inc. | | | 65 | | | | 0.66 | % | | | 215 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 13 | | | | 0.53 | % | | | 214 | |
Exxon Mobil Corp. | | | 117 | | | | 1.18 | % | | | 209 | |
Werner Enterprises, Inc. | | | 130 | | | | 0.53 | % | | | 208 | |
Alaska Air Group, Inc. | | | 66 | | | | 0.55 | % | | | 208 | |
122| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | |
Value and
Unrealized
Appreciation
| |
| | | | | | | | | | | | | |
Cummins, Inc. | | | 29 | | | | 0.65 | % | | $ | 207 | |
Oshkosh Corp. | | | 39 | | | | 0.43 | % | | | 207 | |
Ingredion, Inc. | | | 85 | | | | 0.92 | % | | | 192 | |
Gilead Sciences, Inc. | | | 117 | | | | 1.04 | % | | | 171 | |
United Parcel Service, Inc. — Class B | | | 52 | | | | 0.71 | % | | | 170 | |
Unit Corp.* | | | 256 | | | | 0.30 | % | | | 169 | |
J.B. Hunt Transport Services, Inc. | | | 46 | | | | 0.55 | % | | | 161 | |
Agilent Technologies, Inc. | | | 33 | | | | 0.32 | % | | | 151 | |
Facebook, Inc. — Class A* | | | 10 | | | | 0.25 | % | | | 149 | |
Molson Coors Brewing Co. — Class B | | | 108 | | | | 0.80 | % | | | 148 | |
Mylan N.V.* | | | 90 | | | | 0.23 | % | | | 138 | |
Old Dominion Freight Line, Inc. | | | 16 | | | | 0.31 | % | | | 136 | |
Archer-Daniels-Midland Co. | | | 208 | | | | 1.12 | % | | | 131 | |
Diodes, Inc.* | | | 53 | | | | 0.25 | % | | | 131 | |
ManpowerGroup, Inc. | | | 32 | | | | 0.41 | % | | | 130 | |
Williams Companies, Inc. | | | 302 | | | | 1.11 | % | | | 124 | |
Pfizer, Inc. | | | 185 | | | | 1.05 | % | | | 120 | |
Darling Ingredients, Inc.* | | | 265 | | | | 0.69 | % | | | 119 | |
McKesson Corp. | | | 66 | | | | 1.17 | % | | | 118 | |
Innoviva, Inc.* | | | 172 | | | | 0.33 | % | | | 110 | |
Cheniere Energy, Inc.* | | | 47 | | | | 0.42 | % | | | 108 | |
AES Corp. | | | 277 | | | | 0.61 | % | | | 105 | |
Oracle Corp. | | | 33 | | | | 0.25 | % | | | 100 | |
Abbott Laboratories | | | 31 | | | | 0.34 | % | | | 92 | |
Waters Corp.* | | | 12 | | | | 0.34 | % | | | 88 | |
HCP, Inc. | | | 194 | | | | 0.82 | % | | | 87 | |
Biogen, Inc.* | | | 18 | | | | 0.55 | % | | | 86 | |
PPL Corp. | | | 215 | | | | 0.88 | % | | | 86 | |
Merck & Company, Inc. | | | 98 | | | | 1.08 | % | | | 85 | |
PACCAR, Inc. | | | 42 | | | | 0.40 | % | | | 79 | |
Vishay Intertechnology, Inc. | | | 111 | | | | 0.24 | % | | | 74 | |
Masco Corp. | | | 57 | | | | 0.29 | % | | | 74 | |
Parker-Hannifin Corp. | | | 24 | | | | 0.54 | % | | | 70 | |
Laboratory Corporation of America Holdings* | | | 11 | | | | 0.25 | % | | | 69 | |
Domtar Corp. | | | 48 | | | | 0.28 | % | | | 69 | |
TEGNA, Inc. | | | 294 | | | | 0.59 | % | | | 68 | |
Schneider National, Inc. — Class B | | | 238 | | | | 0.57 | % | | | 67 | |
CVS Health Corp. | | | 127 | | | | 0.91 | % | | | 66 | |
TrueBlue, Inc.* | | | 103 | | | | 0.30 | % | | | 65 | |
Cal-Maine Foods, Inc. | | | 117 | | | | 0.64 | % | | | 64 | |
Comcast Corp. — Class A | | | 60 | | | | 0.33 | % | | | 64 | |
Shenandoah Telecommunications Co. | | | 135 | | | | 0.68 | % | | | 63 | |
Kansas City Southern | | | 24 | | | | 0.38 | % | | | 63 | |
Walgreens Boots Alliance, Inc. | | | 34 | | | | 0.24 | % | | | 61 | |
| | | | | | | | | | | | | |
| | | | | | | | Value and
Unrealized
Appreciation
(Depreciation) | |
| | | | | | | | | | | | | |
Echo Global Logistics, Inc.* | | | 132 | | | | 0.36 | % | | | 61 | |
Kraft Heinz Co. | | | 75 | | | | 0.31 | % | | | 60 | |
Targa Resources Corp. | | | 76 | | | | 0.39 | % | | | 59 | |
John Wiley & Sons, Inc. — Class A | | | 89 | | | | 0.54 | % | | | 51 | |
SkyWest, Inc. | | | 42 | | | | 0.34 | % | | | 48 | |
Lear Corp. | | | 18 | | | | 0.33 | % | | | 48 | |
Hospitality Properties Trust | | | 121 | | | | 0.40 | % | | | 47 | |
Kinder Morgan, Inc. | | | 438 | | | | 1.20 | % | | | 44 | |
Northern Trust Corp. | | | 19 | | | | 0.22 | % | | | 42 | |
MetLife, Inc. | | | 37 | | | | 0.24 | % | | | 41 | |
Verizon Communications, Inc. | | | 130 | | | | 0.98 | % | | | 39 | |
Hill-Rom Holdings, Inc. | | | 43 | | | | 0.59 | % | | | 39 | |
Marten Transport Ltd. | | | 132 | | | | 0.32 | % | | | 34 | |
Hartford Financial Services Group, Inc. | | | 33 | | | | 0.24 | % | | | 34 | |
Avnet, Inc. | | | 46 | | | | 0.27 | % | | | 32 | |
Forward Air Corp. | | | 49 | | | | 0.38 | % | | | 31 | |
AmerisourceBergen Corp. — Class A | | | 56 | | | | 0.63 | % | | | 30 | |
Hologic, Inc.* | | | 111 | | | | 0.70 | % | | | 29 | |
Activision Blizzard, Inc. | | | 56 | | | | 0.35 | % | | | 28 | |
NRG Energy, Inc. | | | 49 | | | | 0.23 | % | | | 28 | |
Constellation Brands, Inc. — Class A | | | 13 | | | | 0.34 | % | | | 26 | |
Flowers Foods, Inc. | | | 93 | | | | 0.28 | % | | | 25 | |
Southern Co. | | | 33 | | | | 0.24 | % | | | 24 | |
Scholastic Corp. | | | 111 | | | | 0.49 | % | | | 23 | |
Prudential Financial, Inc. | | | 18 | | | | 0.24 | % | | | 23 | |
Southwest Airlines Co. | | | 110 | | | | 0.73 | % | | | 22 | |
Philip Morris International, Inc. | | | 55 | | | | 0.57 | % | | | 21 | |
JPMorgan Chase & Co. | | | 16 | | | | 0.24 | % | | | 18 | |
MSG Networks, Inc. — Class A* | | | 193 | | | | 0.53 | % | | | 17 | |
Ameren Corp. | | | 86 | | | | 0.85 | % | | | 15 | |
General Mills, Inc. | | | 61 | | | | 0.42 | % | | | 9 | |
FirstEnergy Corp. | | | 142 | | | | 0.80 | % | | | 9 | |
Norfolk Southern Corp. | | | 23 | | | | 0.60 | % | | | 8 | |
Portland General Electric Co. | | | 145 | | | | 1.03 | % | | | 7 | |
Assured Guaranty Ltd. | | | 48 | | | | 0.27 | % | | | 7 | |
Alphabet, Inc. — Class C* | | | 3 | | | | 0.43 | % | | | 7 | |
Procter & Gamble Co. | | | 22 | | | | 0.32 | % | | | 6 | |
AMC Networks, Inc. — Class A* | | | 100 | | | | 0.72 | % | | | (10 | ) |
Medtronic plc | | | 88 | | | | 1.13 | % | | | (15 | ) |
Johnson & Johnson | | | 34 | | | | 0.62 | % | | | (17 | ) |
Macquarie Infrastructure Corp. | | | 45 | | | | 0.24 | % | | | (17 | ) |
InterDigital, Inc. | | | 26 | | | | 0.22 | % | | | (22 | ) |
Deluxe Corp. | | | 71 | | | | 0.38 | % | | | (23 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 123 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
| | | | | | | | | | | | | |
National Fuel Gas Co. | | | 142 | | | | 0.98 | % | | $ | (28 | ) |
OGE Energy Corp. | | | 106 | | | | 0.59 | % | | | (36 | ) |
Host Hotels & Resorts, Inc. | | | 109 | | | | 0.26 | % | | | (39 | ) |
New Media Investment Group, Inc. | | | 186 | | | | 0.23 | % | | | (41 | ) |
Central Garden & Pet Co. — Class A* | | | 76 | | | | 0.25 | % | | | (41 | ) |
Nu Skin Enterprises, Inc. — Class A | | | 38 | | | | 0.25 | % | | | (47 | ) |
Summit Hotel Properties, Inc. | | | 183 | | | | 0.28 | % | | | (49 | ) |
US Foods Holding Corp.* | | | 60 | | | | 0.28 | % | | | (61 | ) |
Vonage Holdings Corp.* | | | 153 | | | | 0.23 | % | | | (61 | ) |
Post Holdings, Inc.* | | | 37 | | | | 0.51 | % | | | (62 | ) |
Cogent Communications Holdings, Inc. | | | 79 | | | | 0.62 | % | | | (71 | ) |
Clorox Co. | | | 25 | | | | 0.50 | % | | | (76 | ) |
Kimberly-Clark Corp. | | | 57 | | | | 1.00 | % | | | (76 | ) |
CSX Corp. | | | 68 | | | | 0.69 | % | | | (84 | ) |
Herbalife Nutrition Ltd.* | | | 83 | | | | 0.47 | % | | | (84 | ) |
PepsiCo, Inc. | | | 43 | | | | 0.74 | % | | | (89 | ) |
Cinemark Holdings, Inc. | | | 74 | | | | 0.35 | % | | | (95 | ) |
Colgate-Palmolive Co. | | | 58 | | | | 0.55 | % | | | (96 | ) |
Tyson Foods, Inc. — Class A | | | 70 | | | | 0.74 | % | | | (110 | ) |
Sysco Corp. | | | 57 | | | | 0.53 | % | | | (116 | ) |
Exelon Corp. | | | 100 | | | | 0.63 | % | | | (127 | ) |
Heartland Express, Inc. | | | 226 | | | | 0.54 | % | | | (149 | ) |
Zimmer Biomet Holdings, Inc. | | | 55 | | | | 0.85 | % | | | (151 | ) |
AMERCO | | | 12 | | | | 0.60 | % | | | (153 | ) |
Apartment Investment & Management Co. — Class A | | | 179 | | | | 1.18 | % | | | (181 | ) |
JM Smucker Co. | | | 23 | | | | 0.35 | % | | | (182 | ) |
Pinnacle West Capital Corp. | | | 84 | | | | 1.04 | % | | | (193 | ) |
B&G Foods, Inc. | | | 91 | | | | 0.25 | % | | | (197 | ) |
JetBlue Airways Corp.* | | | 351 | | | | 0.85 | % | | | (211 | ) |
Lions Gate Entertainment Corp. — Class A | | | 184 | | | | 0.30 | % | | | (212 | ) |
Medical Properties Trust, Inc. | | | 418 | | | | 0.96 | % | | | (242 | ) |
Vector Group Ltd. | | | 376 | | | | 0.48 | % | | | (244 | ) |
ATN International, Inc. | | | 57 | | | | 0.43 | % | | | (262 | ) |
Equity Commonwealth | | | 278 | | | | 1.19 | % | | | (297 | ) |
Pilgrim’s Pride Corp.* | | | 210 | | | | 0.70 | % | | | (344 | ) |
Kroger Co. | | | 166 | | | | 0.47 | % | | | (490 | ) |
Total Custom Basket of Long Securities | | $ | 18,976 | |
| | | | | | | | | | |
| | | | | | | |
Value and
Unrealized
Appreciation
| |
| | | | | | | | | | | | | |
CUSTOM BASKET OF SHORT SECURITIES6 |
Realty Income Corp. | | | (668 | ) | | | (1.33 | %) | | | 2,178 | |
Alexandria Real Estate Equities, Inc. | | | (193 | ) | | | (0.78 | %) | | | 1,918 | |
Crown Castle International Corp. | | | (321 | ) | | | (1.21 | %) | | | 1,782 | |
International Flavors & Fragrances, Inc. | | | (223 | ) | | | (0.94 | %) | | | 1,574 | |
Agree Realty Corp. | | | (570 | ) | | | (1.06 | %) | | | 1,362 | |
Paychex, Inc. | | | (275 | ) | | | (0.66 | %) | | | 1,309 | |
Brandywine Realty Trust | | | (1,134 | ) | | | (0.47 | %) | | | 1,168 | |
Hudson Pacific Properties, Inc. | | | (1,053 | ) | | | (1.02 | %) | | | 1,085 | |
STORE Capital Corp. | | | (868 | ) | | | (0.84 | %) | | | 1,033 | |
Advanced Micro Devices, Inc.* | | | (402 | ) | | | (0.35 | %) | | | 820 | |
WP Carey, Inc. | | | (221 | ) | | | (0.52 | %) | | | 820 | |
Empire State Realty Trust, Inc. — Class A | | | (1,812 | ) | | | (0.78 | %) | | | 797 | |
Rollins, Inc. | | | (453 | ) | | | (0.47 | %) | | | 757 | |
Douglas Emmett, Inc. | | | (645 | ) | | | (0.75 | %) | | | 671 | |
SPS Commerce, Inc.* | | | (131 | ) | | | (0.39 | %) | | | 650 | |
New York Community Bancorp, Inc. | | | (1,617 | ) | | | (0.47 | %) | | | 647 | |
UDR, Inc. | | | (560 | ) | | | (0.73 | %) | | | 644 | |
Compass Minerals International, Inc. | | | (359 | ) | | | (0.57 | %) | | | 607 | |
CyrusOne, Inc. | | | (264 | ) | | | (0.44 | %) | | | 586 | |
RLI Corp. | | | (357 | ) | | | (0.89 | %) | | | 582 | |
MarketAxess Holdings, Inc. | | | (41 | ) | | | (0.38 | %) | | | 515 | |
American Tower Corp. — Class A | | | (113 | ) | | | (0.67 | %) | | | 511 | |
Sherwin-Williams Co. | | | (38 | ) | | | (0.51 | %) | | | 478 | |
Extra Space Storage, Inc. | | | (145 | ) | | | (0.45 | %) | | | 436 | |
CVB Financial Corp. | | | (1,167 | ) | | | (0.71 | %) | | | 397 | |
Healthcare Realty Trust, Inc. | | | (361 | ) | | | (0.33 | %) | | | 361 | |
Nutanix, Inc. — Class A* | | | (191 | ) | | | (0.14 | %) | | | 361 | |
BOK Financial Corp. | | | (319 | ) | | | (0.70 | %) | | | 338 | |
American Homes 4 Rent — Class A | | | (819 | ) | | | (0.58 | %) | | | 336 | |
CubeSmart | | | (519 | ) | | | (0.50 | %) | | | 327 | |
Tyler Technologies, Inc.* | | | (92 | ) | | | (0.58 | %) | | | 320 | |
Equity Residential | | | (166 | ) | | | (0.37 | %) | | | 312 | |
Essex Property Trust, Inc. | | | (44 | ) | | | (0.37 | %) | | | 312 | |
Equity LifeStyle Properties, Inc. | | | (260 | ) | | | (0.92 | %) | | | 294 | |
Texas Roadhouse, Inc. — Class A | | | (434 | ) | | | (0.68 | %) | | | 286 | |
NewMarket Corp. | | | (69 | ) | | | (0.80 | %) | | | 284 | |
Marriott Vacations Worldwide Corp. | | | (196 | ) | | | (0.55 | %) | | | 278 | |
124| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
| | | | | | | | | | | | | |
Blackstone Mortgage Trust, Inc. — Class A | | | (487 | ) | | | (0.50 | %) | | $ | 248 | |
Camden Property Trust | | | (267 | ) | | | (0.81 | %) | | | 240 | |
Everest Re Group Ltd. | | | (125 | ) | | | (0.90 | %) | | | 234 | |
Snap, Inc. — Class A* | | | (468 | ) | | | (0.19 | %) | | | 225 | |
Roku, Inc.* | | | (75 | ) | | | (0.20 | %) | | | 209 | |
Wyndham Hotels & Resorts, Inc. | | | (534 | ) | | | (0.86 | %) | | | 208 | |
American Campus Communities, Inc. | | | (246 | ) | | | (0.33 | %) | | | 194 | |
Sun Communities, Inc. | | | (435 | ) | | | (1.62 | %) | | | 191 | |
Dunkin’ Brands Group, Inc. | | | (227 | ) | | | (0.52 | %) | | | 179 | |
Woodward, Inc. | | | (200 | ) | | | (0.66 | %) | | | 176 | |
Welltower, Inc. | | | (303 | ) | | | (0.72 | %) | | | 176 | |
Federal Realty Investment Trust | | | (83 | ) | | | (0.31 | %) | | | 171 | |
Invitation Homes, Inc. | | | (797 | ) | | | (0.62 | %) | | | 167 | |
New Relic, Inc.* | | | (79 | ) | | | (0.20 | %) | | | 125 | |
Axis Capital Holdings Ltd. | | | (205 | ) | | | (0.35 | %) | | | 72 | |
Alarm.com Holdings, Inc.* | | | (120 | ) | | | (0.19 | %) | | | 41 | |
First Republic Bank | | | (179 | ) | | | (0.51 | %) | | | 34 | |
PayPal Holdings, Inc.* | | | (221 | ) | | | (0.73 | %) | | | 31 | |
Capitol Federal Financial, Inc. | | | (2,539 | ) | | | (1.01 | %) | | | 25 | |
Sensient Technologies Corp. | | | (176 | ) | | | (0.38 | %) | | | 25 | |
Autodesk, Inc.* | | | (164 | ) | | | (0.77 | %) | | | 21 | |
PPG Industries, Inc. | | | (128 | ) | | | (0.43 | %) | | | 18 | |
Old National Bancorp | | | (2,168 | ) | | | (1.04 | %) | | | – | |
Linde plc | | | (75 | ) | | | (0.44 | %) | | | (1 | ) |
Equinix, Inc. | | | (55 | ) | | | (0.80 | %) | | | (3 | ) |
New Residential Investment Corp. | | | (924 | ) | | | (0.41 | %) | | | (28 | ) |
Chimera Investment Corp. | | | (957 | ) | | | (0.52 | %) | | | (29 | ) |
Arthur J Gallagher & Co. | | | (207 | ) | | | (0.53 | %) | | | (29 | ) |
CME Group, Inc. — Class A | | | (36 | ) | | | (0.20 | %) | | | (31 | ) |
CoreSite Realty Corp. | | | (93 | ) | | | (0.31 | %) | | | (33 | ) |
Signature Bank | | | (111 | ) | | | (0.39 | %) | | | (58 | ) |
American Water Works Company, Inc. | | | (113 | ) | | | (0.38 | %) | | | (70 | ) |
Mastercard, Inc. — Class A | | | (27 | ) | | | (0.21 | %) | | | (81 | ) |
NIKE, Inc. — Class B | | | (130 | ) | | | (0.32 | %) | | | (90 | ) |
Intuit, Inc. | | | (27 | ) | | | (0.20 | %) | | | (93 | ) |
Visa, Inc. — Class A | | | (41 | ) | | | (0.21 | %) | | | (102 | ) |
Etsy, Inc.* | | | (115 | ) | | | (0.20 | %) | | | (108 | ) |
PROS Holdings, Inc.* | | | (112 | ) | | | (0.21 | %) | | | (120 | ) |
Columbia Financial, Inc.* | | | (728 | ) | | | (0.32 | %) | | | (124 | ) |
AGNC Investment Corp. | | | (1,049 | ) | | | (0.51 | %) | | | (126 | ) |
Align Technology, Inc.* | | | (26 | ) | | | (0.21 | %) | | | (127 | ) |
Intuitive Surgical, Inc.* | | | (14 | ) | | | (0.21 | %) | | | (129 | ) |
BankUnited, Inc. | | | (563 | ) | | | (0.55 | %) | | | (135 | ) |
Associated Banc-Corp. | | | (672 | ) | | | (0.41 | %) | | | (141 | ) |
| | | | | | | | | | |
| | | | | | | |
Value and
Unrealized
Depreciation
| |
| | | | | | | | | | | | | |
Intercontinental Exchange, Inc. | | | (142 | ) | | | (0.35 | %) | | | (142 | ) |
Glacier Bancorp, Inc. | | | (392 | ) | | | (0.46 | %) | | | (149 | ) |
Fair Isaac Corp.* | | | (37 | ) | | | (0.34 | %) | | | (152 | ) |
MFA Financial, Inc. | | | (1,992 | ) | | | (0.41 | %) | | | (159 | ) |
First Industrial Realty Trust, Inc. | | | (543 | ) | | | (0.58 | %) | | | (163 | ) |
Marsh & McLennan Companies, Inc. | | | (131 | ) | | | (0.38 | %) | | | (166 | ) |
Planet Fitness, Inc. — Class A* | | | (99 | ) | | | (0.21 | %) | | | (182 | ) |
Appfolio, Inc. — Class A* | | | (76 | ) | | | (0.23 | %) | | | (191 | ) |
Qualys, Inc.* | | | (82 | ) | | | (0.21 | %) | | | (217 | ) |
ABIOMED, Inc.* | | | (28 | ) | | | (0.21 | %) | | | (219 | ) |
ANSYS, Inc.* | | | (35 | ) | | | (0.21 | %) | | | (224 | ) |
DocuSign, Inc.* | | | (275 | ) | | | (0.40 | %) | | | (239 | ) |
Amazon.com, Inc.* | | | (8 | ) | | | (0.44 | %) | | | (239 | ) |
Annaly Capital Management, Inc. | | | (1,938 | ) | | | (0.51 | %) | | | (252 | ) |
MSCI, Inc. — Class A | | | (30 | ) | | | (0.21 | %) | | | (261 | ) |
CoStar Group, Inc.* | | | (30 | ) | | | (0.48 | %) | | | (278 | ) |
RPM International, Inc. | | | (257 | ) | | | (0.46 | %) | | | (301 | ) |
Pegasystems, Inc. | | | (549 | ) | | | (1.13 | %) | | | (302 | ) |
Five9, Inc.* | | | (142 | ) | | | (0.21 | %) | | | (308 | ) |
FireEye, Inc.* | | | (829 | ) | | | (0.36 | %) | | | (315 | ) |
NextEra Energy, Inc. | | | (115 | ) | | | (0.68 | %) | | | (332 | ) |
HealthEquity, Inc.* | | | (112 | ) | | | (0.21 | %) | | | (353 | ) |
SBA Communications Corp.* | | | (229 | ) | | | (1.49 | %) | | | (360 | ) |
Two Harbors Investment Corp. | | | (1,381 | ) | | | (0.51 | %) | | | (373 | ) |
LiveRamp Holdings, Inc.* | | | (151 | ) | | | (0.21 | %) | | | (375 | ) |
CNO Financial Group, Inc. | | | (726 | ) | | | (0.35 | %) | | | (378 | ) |
salesforce.com, Inc.* | | | (239 | ) | | | (1.05 | %) | | | (378 | ) |
Microchip Technology, Inc. | | | (284 | ) | | | (0.71 | %) | | | (386 | ) |
Palo Alto Networks, Inc.* | | | (131 | ) | | | (0.77 | %) | | | (389 | ) |
Guardant Health, Inc.* | | | (85 | ) | | | (0.21 | %) | | | (390 | ) |
Atmos Energy Corp. | | | (139 | ) | | | (0.43 | %) | | | (409 | ) |
McDonald’s Corp. | | | (95 | ) | | | (0.57 | %) | | | (418 | ) |
Redwood Trust, Inc. | | | (1,079 | ) | | | (0.52 | %) | | | (432 | ) |
Avery Dennison Corp. | | | (130 | ) | | | (0.44 | %) | | | (443 | ) |
Pacific Premier Bancorp, Inc. | | | (540 | ) | | | (0.48 | %) | | | (470 | ) |
Cintas Corp. | | | (97 | ) | | | (0.67 | %) | | | (486 | ) |
PTC, Inc.* | | | (348 | ) | | | (0.91 | %) | | | (501 | ) |
Concho Resources, Inc. | | | (215 | ) | | | (0.64 | %) | | | (503 | ) |
EastGroup Properties, Inc. | | | (355 | ) | | | (1.19 | %) | | | (533 | ) |
IAA, Inc.* | | | (402 | ) | | | (0.45 | %) | | | (574 | ) |
Liberty Property Trust | | | (1,069 | ) | | | (1.55 | %) | | | (609 | ) |
Vulcan Materials Co. | | | (97 | ) | | | (0.39 | %) | | | (615 | ) |
Pool Corp. | | | (120 | ) | | | (0.66 | %) | | | (620 | ) |
Core Laboratories N.V. | | | (385 | ) | | | (0.58 | %) | | | (639 | ) |
AptarGroup, Inc. | | | (383 | ) | | | (1.38 | %) | | | (674 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 125 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | |
Value and
Unrealized
Depreciation
| |
| | | | | | | | | | | | | |
Martin Marietta Materials, Inc. | | | (75 | ) | | | (0.50 | %) | | $ | (688 | ) |
People’s United Financial, Inc. | | | (1,347 | ) | | | (0.66 | %) | | | (754 | ) |
Monolithic Power Systems, Inc. | | | (166 | ) | | | (0.65 | %) | | | (765 | ) |
Kaiser Aluminum Corp. | | | (145 | ) | | | (0.41 | %) | | | (787 | ) |
WesBanco, Inc. | | | (287 | ) | | | (0.32 | %) | | | (838 | ) |
Washington Federal, Inc. | | | (427 | ) | | | (0.43 | %) | | | (850 | ) |
Reliance Steel & Aluminum Co. | | | (156 | ) | | | (0.43 | %) | | | (861 | ) |
Costco Wholesale Corp. | | | (121 | ) | | | (0.93 | %) | | | (865 | ) |
Fortive Corp. | | | (372 | ) | | | (0.88 | %) | | | (878 | ) |
National Oilwell Varco, Inc. | | | (968 | ) | | | (0.62 | %) | | | (900 | ) |
KAR Auction Services, Inc. | | | (402 | ) | | | (0.29 | %) | | | (910 | ) |
Balchem Corp. | | | (276 | ) | | | (0.80 | %) | | | (916 | ) |
Wingstop, Inc. | | | (157 | ) | | | (0.43 | %) | | | (923 | ) |
WR Grace & Co. | | | (649 | ) | | | (1.43 | %) | | | (1,019 | ) |
First Financial Bankshares, Inc. | | | (831 | ) | | | (0.74 | %) | | | (1,047 | ) |
Air Products & Chemicals, Inc. | | | (144 | ) | | | (0.95 | %) | | | (1,054 | ) |
Materion Corp. | | | (423 | ) | | | (0.83 | %) | | | (1,108 | ) |
Adobe, Inc.* | | | (61 | ) | | | (0.52 | %) | | | (1,138 | ) |
Southern Copper Corp. | | | (751 | ) | | | (0.85 | %) | | | (1,232 | ) |
Allegheny Technologies, Inc.* | | | (1,103 | ) | | | (0.81 | %) | | | (1,246 | ) |
Rexford Industrial Realty, Inc. | | | (1,422 | ) | | | (1.67 | %) | | | (1,251 | ) |
Ball Corp. | | | (369 | ) | | | (0.75 | %) | | | (1,310 | ) |
Valley National Bancorp | | | (3,858 | ) | | | (1.21 | %) | | | (1,350 | ) |
Scotts Miracle-Gro Co. — Class A | | | (273 | ) | | | (0.78 | %) | | | (1,499 | ) |
Guidewire Software, Inc.* | | | (393 | ) | | | (1.16 | %) | | | (1,549 | ) |
Terreno Realty Corp. | | | (796 | ) | | | (1.13 | %) | | | (1,568 | ) |
Bright Horizons Family Solutions, Inc.* | | | (142 | ) | | | (0.62 | %) | | | (1,781 | ) |
TransDigm Group, Inc.* | | | (108 | ) | | | (1.52 | %) | | | (1,798 | ) |
Diamondback Energy, Inc. | | | (196 | ) | | | (0.62 | %) | | | (1,805 | ) |
Proofpoint, Inc.* | | | (164 | ) | | | (0.57 | %) | | | (1,807 | ) |
South Jersey Industries, Inc. | | | (1,000 | ) | | | (0.98 | %) | | | (1,880 | ) |
TransUnion | | | (600 | ) | | | (1.28 | %) | | | (2,064 | ) |
IHS Markit Ltd.* | | | (734 | ) | | | (1.36 | %) | | | (2,995 | ) |
Howard Hughes Corp.* | | | (161 | ) | | | (0.58 | %) | | | (3,381 | ) |
Schlumberger Ltd. | | | (1,128 | ) | | | (1.30 | %) | | | (3,440 | ) |
Commercial Metals Co. | | | (1,643 | ) | | | (0.85 | %) | | | (4,978 | ) |
Total Custom Basket of Short Securities | | $ | (40,846 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is pledged as custom basket swap collateral at June 30, 2019. |
2 | Rate indicated is the 7-day yield as of June 30, 2019. |
3 | Total Return based on the return of the custom Morgan Stanley long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
4 | Total Return based on the return of the custom Morgan Stanley short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
5 | Total Return based on the return of the custom Goldman Sachs long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
6 | Total Return based on the return of the custom Goldman Sachs short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
126| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 7,131,505 | | | $ | — | | | $ | — | | | $ | 7,131,505 | |
Money Market Fund | | | 84,867 | | | | — | | | | — | | | | 84,867 | |
Custom Basket Swap Agreements** | | | — | | | | 32,396 | | | | — | | | | 32,396 | |
Total Assets | | $ | 7,216,372 | | | $ | 32,396 | | | $ | — | | | $ | 7,248,768 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Custom Basket Swap Agreements** | | $ | — | | | $ | 169,932 | | | $ | — | | | $ | 169,932 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 127 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: |
Investments, at value (cost $7,139,307) | | $ | 7,216,372 | |
Cash | | | 197 | |
Unrealized appreciation on OTC swap agreements | | | 32,396 | |
Prepaid expenses | | | 1,489 | |
Receivables: |
Dividends | | | 9,210 | |
Investment Adviser | | | 4,776 | |
Interest | | | 264 | |
Total assets | | | 7,264,704 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 169,932 | |
Payable for: |
Professional fees | | | 14,229 | |
Swap settlement | | | 8,577 | |
Transfer agent/maintenance fees | | | 3,895 | |
Trustees’ fees* | | | 2,528 | |
Distribution and service fees | | | 1,342 | |
Fund shares redeemed | | | 823 | |
Miscellaneous | | | 11,377 | |
Total liabilities | | | 212,703 | |
Commitments and contingent liabilities (Note 15) | | | — | |
Net assets | | $ | 7,052,001 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 8,551,825 | |
Total distributable earnings (loss) | | | (1,499,824 | ) |
Net assets | | $ | 7,052,001 | |
Capital shares outstanding | | | 479,324 | |
Net asset value per share | | $ | 14.71 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: |
Dividends | | $ | 88,381 | |
Interest | | | 3,087 | |
Total investment income | | | 91,468 | |
| | | | | |
Expenses: |
Management fees | | | 34,123 | |
Distribution and service fees | | | 9,479 | |
Transfer agent/maintenance fees | | | 12,372 | |
Professional fees | | | 18,779 | |
Fund accounting/administration fees | | | 12,397 | |
Trustees’ fees* | | | 10,854 | |
Custodian fees | | | 8,110 | |
Miscellaneous | | | 16,357 | |
Total expenses | | | 122,471 | |
Less: |
Expenses reimbursed by Adviser | | | (15,154 | ) |
Expenses waived by Adviser | | | (31,679 | ) |
Earnings credits applied | | | (15 | ) |
Total waived/reimbursed expenses | | | (46,848 | ) |
Net expenses | | | 75,623 | |
Net investment income | | | 15,845 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (195,683 | ) |
Swap agreements | | | (653,567 | ) |
Net realized loss | | | (849,250 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 1,074,762 | |
Swap agreements | | | (516,458 | ) |
Net change in unrealized appreciation (depreciation) | | | 558,304 | |
Net realized and unrealized loss | | | (290,946 | ) |
Net decrease in net assets resulting from operations | | $ | (275,101 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
128| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Period Ended
June 30,
2019
(Unaudited) | | | Year Ended
December 31,
2018 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 15,845 | | | $ | 21,761 | |
Net realized loss on investments | | | (849,250 | ) | | | (604,305 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 558,304 | | | | (704,773 | ) |
Net decrease in net assets resulting from operations | | | (275,101 | ) | | | (1,287,317 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (1,239,887 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 99,183 | | | | 242,866 | |
Distributions reinvested | | | — | | | | 1,239,887 | |
Cost of shares redeemed | | | (828,422 | ) | | | (3,215,853 | ) |
Net decrease from capital share transactions | | | (729,239 | ) | | | (1,733,100 | ) |
Net decrease in net assets | | | (1,004,340 | ) | | | (4,260,304 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 8,056,341 | | | | 12,316,645 | |
End of period | | $ | 7,052,001 | | | $ | 8,056,341 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 6,508 | | | | 14,248 | |
Shares issued from reinvestment of distributions | | | — | | | | 78,723 | |
Shares redeemed | | | (54,706 | ) | | | (179,652 | ) |
Net decrease in shares | | | (48,198 | ) | | | (86,681 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT| 129 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | Period Ended
June 30,
2019a | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 15.27 | | | $ | 20.05 | | | $ | 18.70 | | | $ | 16.59 | | | $ | 27.33 | | | $ | 25.00 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .03 | | | | .04 | | | | (.04 | ) | | | (.21 | ) | | | (.43 | ) | | | (.43 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (.59 | ) | | | (2.28 | ) | | | 1.39 | | | | 2.32 | | | | (.69 | ) | | | 2.76 | |
Total from investment operations | | | (.56 | ) | | | (2.24 | ) | | | 1.35 | | | | 2.11 | | | | (1.12 | ) | | | 2.33 | |
Less distributions from: |
Net realized gains | | | — | | | | (2.54 | ) | | | — | | | | — | | | | (9.62 | ) | | | — | |
Total distributions | | | — | | | | (2.54 | ) | | | — | | | | — | | | | (9.62 | ) | | | — | |
Net asset value, end of period | | $ | 14.71 | | | $ | 15.27 | | | $ | 20.05 | | | $ | 18.70 | | | $ | 16.59 | | | $ | 27.33 | |
|
Total Returnc | | | (3.67 | %) | | | (11.57 | %) | | | 7.22% | | | | 12.79% | | | | (4.69 | %) | | | 9.36% | |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,052 | | | $ | 8,056 | | | $ | 12,317 | | | $ | 13,192 | | | $ | 12,548 | | | $ | 15,611 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.42 | % | | | 0.22 | % | | | (0.23 | %) | | | (1.18 | %) | | | (2.03 | %) | | | (1.65 | %) |
Total expenses | | | 3.23 | % | | | 2.47 | % | | | 2.48 | % | | | 2.92 | % | | | 3.54 | % | | | 2.71 | % |
Net expensesd,e,f | | | 2.00 | % | | | 1.99 | % | | | 2.22 | % | | | 2.92 | % | | | 3.46 | % | | | 2.33 | % |
Portfolio turnover rate | | | 95 | % | | | 219 | % | | | 182 | % | | | 198 | % | | | 446 | % | | | — | |
a | Unaudited figures for the period ended June 30, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods would be: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 |
| | 2.00% | 1.99% | 2.13% | 2.35% | 2.35% | 2.32% |
f | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods was as follows: |
| | 06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | — | 0.15% | — |
130| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Variable Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (collectively the “Funds”). The Trust is authorized to issue an unlimited number of shares. The Trust accounts for the assets of each fund separately. At June 30, 2019, the Trust consisted of fourteen funds.
This report covers the following Funds:
Fund Name | Investment
Company Type |
Series A (StylePlus—Large Core Series) | Diversified |
Series B (Large Cap Value Series) | Diversified |
Series D (World Equity Income Series) | Diversified |
Series E (Total Return Bond Series) | Diversified |
Series F (Floating Rate Strategies Series) | Diversified |
Series J (StylePlus—Mid Growth Series) | Diversified |
Series N (Managed Asset Allocation Series) | Diversified |
Series O (All Cap Value Series) | Diversified |
Series P (High Yield Series) | Diversified |
Series Q (Small Cap Value Series) | Diversified |
Series V (Mid Cap Value Series) | Diversified |
Series X (StylePlus—Small Growth Series) | Diversified |
Series Y (StylePlus—Large Growth Series) | Diversified |
Series Z (Alpha Opportunity Series) | Diversified |
Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments (“GI”), provide advisory services. GPIM provides advisory services to Series F (Floating Rate Strategies Series) and Security Investors, LLC provides advisory services to the remaining Funds covered in this report. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The net asset value per share (“NAV”) of a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, by the number of outstanding shares of that fund.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sale price as of the close of business on the NYSE, usually at 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the NYSE. The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 131 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
U.S. Government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value. Money market funds are valued at their NAV.
Typically, loans are valued using information provided by an independent third party pricing service which uses broker quotes. If the pricing service cannot or does not provide a valuation for a particular loan or such valuation is deemed unrealiable, such loan is fair valued by the Valuation Committee.
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 is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The value of interest rate swap agreements entered into by a fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the spread priced off the previous day’s Chicago Mercantile Exchange price.
The values of OTC swap agreements and credit default swap agreements entered into by a fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index that the swaps pertain to at the close of the NYSE.
The value of equity swaps with custom portfolio baskets are computed by using the last exchange sale price for each underlying equity security with the swap agreement.
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 GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
(b) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
132 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Inflation-Indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these securities is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recognized as a component of Interest on the Statements of Operations, even though principal is not received until maturity.
(c) Senior Floating Rate Interests
Senior floating rate interests in which the Funds invest generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Funds’ Schedules of Investments. The interest rate indicated is the rate in effect at June 30, 2019.
(d) Interests in When-Issued Securities
The Funds may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Funds actually take delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Funds will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.
(e) Short Sales
When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(f) Options
Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.
When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
(g) Futures Contracts
Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(h) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 133 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Credit default swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Upfront payments received or made by a Fund on credit default or interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(i) Currency Translations
The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(j) Forward Foreign Currency Exchange Contracts
The change in value of the contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
(k) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2019, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(l) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively. Cash flows received in excess of the effective yield are reflected as a return of capital.
(m) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all distributions of a Fund will automatically be reinvested without charge in additional shares of the same Fund. Distributions are recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.
134 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(n) Expenses
Expenses directly attributable to a Fund are charged directly to the Fund. Other expenses common to various funds within the fund complex are generally allocated amongst such funds on the basis of average net assets.
(o) Earnings Credits
Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the period ended June 30, 2019, are disclosed in the Statements of Operations.
(p) Cash
The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 2.40% at June 30, 2019.
(q) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Note 2 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized in the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize derivatives for the following purposes:
Duration: the use of an instrument to manage the interest rate risk of a portfolio.
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Speculation: the use of an instrument to express macro-economic and other investment views.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 135 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Options Purchased and Written
A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
The following table represents the Fund’s use and volume of call/put options purchased on a quarterly basis:
Fund | Use | | Average Notional
Purchased | |
Series E (Total Return Bond Series) | Hedge | | $ | 70,080,112 | |
The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.
The following table represents the Fund’s use and volume of options written on a quarterly basis:
Fund | Use | | Average Notional
Written | |
Series E (Total Return Bond Series) | Hedge | | $ | 3,530,112 | |
Futures Contracts
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.
The following table represents the Funds’ use and volume of futures on a quarterly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Series A (StylePlus—Large Core Series) | Index exposure | | $ | 993,300 | | | $ | — | |
Series D (World Equity Income Series) | Hedge | | | — | | | | 8,220,561 | |
Series E (Total Return Bond Series) | Hedge, Income | | | — | | | | 1,594,688 | |
Series J (StylePlus—Mid Growth Series) | Index exposure | | | 3,515,308 | | | | — | |
Series N (Managed Asset Allocation Series) | Index exposure, Speculation | | | 15,768,870 | | | | 1,188,369 | |
Series X (StylePlus—Small Growth Series) | Index exposure | | | 1,024,555 | | | | — | |
Series Y (StylePlus—Large Growth Series) | Index exposure | | | 1,535,990 | | | | — | |
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. A Fund utilizing OTC swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. Upon entering into certain
136 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
centrally-cleared swap transactions, the Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin payments or receipts are made or received by the Fund, depending on fluctuations in the fair value of the reference entity. For a fund utilizing centrally cleared swaps, the exchange bears the risk of loss. 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 and custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index or a custom basket of securities) for a fixed or variable interest rate. Total return and custom basket swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. A fund utilizing total return or custom basket swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.
The following table represents the Funds’ use and volume of total return and custom basket swaps on a quarterly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Series A (StylePlus—Large Core Series) | Index exposure | | $ | 166,205,151 | | | $ | — | |
Series J (StylePlus—Mid Growth Series) | Index exposure | | | 122,527,258 | | | | — | |
Series X (StylePlus—Small Growth Series) | Index exposure | | | 23,523,630 | | | | — | |
Series Y (StylePlus—Large Growth Series) | Index exposure | | | 28,340,500 | | | | — | |
Series Z (Alpha Opportunity Series) | Hedge, Leverage | | | 2,091,056 | | | | 7,352,438 | |
Interest rate swaps involve the exchange by the Funds with another party for their respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.
The following table represents the Fund’s use and volume of interest rate swaps on a quarterly basis:
| | | | Average Notional Amount | |
Fund | Use | | Pay Floating Rate | | | Receive
Floating Rate | |
Series E (Total Return Bond Series) | Duration, Hedge | | $ | — | | | $ | 1,262,500 | |
Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the 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 reference obligation or underlying securities comprising the reference 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 reference obligation or underlying securities comprising the reference index. The Notional Amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs, an adjustment will be made to any upfront premiums that were received by a reduction of 1.00% per event. 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. 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 137 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The following table represents the Fund’s use and volume of credit default swaps on a quarterly basis:
| | | | Average Notional Amount | |
Fund | Use | | Protection Sold | | | Protection Purchased | |
Series E (Total Return Bond Series) | Hedge | | $ | — | | | $ | 24,030,000 | |
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Funds may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
The following table represents the Funds’ use and volume of forward foreign currency exchange contracts on a quarterly basis:
| | | | Average Value | |
Fund | Use | | Purchased | | | Sold | |
Series E (Total Return Bond Series) | Hedge, Income | | $ | 6,532,387 | | | $ | 22,223,222 | |
Series P (High Yield Series) | Hedge | | | — | | | | 164,842 | |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of June 30, 2019:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Interest Rate contracts | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
| Variation margin on futures contracts | Variation margin on futures contracts |
| Investments in unaffiliated issuers, at value | Options written, at value |
Currency contracts | Unrealized appreciation on forward foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts |
| Variation margin on futures contracts | Variation margin on futures contracts |
Credit contracts | Variation margin on futures contracts | Unamortized upfront premiums received on credit default swap agreements |
| | | Variation margin on credit default swap agreements |
| | | Unrealized depreciation on OTC swap agreements |
138 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2019:
Asset Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Options
Purchased
Equity
Risk | | | Options
Purchased
Interest
Rate
Risk | | | Futures
Currency
Risk* | | | Forward
Foreign
Currency
Exchange
Risk | | | Futures
Interest
Rate
Risk* | | | Swaps
Credit
Risk* | | | Total
Value at
June 30, 2019 | |
Series A (StylePlus—Large Core Series) | | $ | — | | | $ | 4,213,899 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,213,899 | |
Series E (Total Return Bond Series) | | | — | | | | — | | | | 10,800 | | | | 272,200 | | | | — | | | | 97,607 | | | | — | | | | — | | | | 380,607 | |
Series J (StylePlus—Mid Growth Series) | | | 68,016 | | | | 4,246,492 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,314,508 | |
Series N (Managed Asset Allocation Series) | | | 228,758 | | | | — | | | | — | | | | — | | | | 6,082 | | | | — | | | | 77,294 | | | | — | | | | 312,134 | |
Series X (StylePlus—Small Growth Series) | | | 18,548 | | | | 446,741 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 465,289 | |
Series Y (StylePlus—Large Growth Series) | | | 21,837 | | | | 797,711 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 819,548 | |
Series Z (Alpha Opportunity Series) | | | — | | | | 32,396 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 32,396 | |
Liability Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Options
Written
Equity
Risk | | | Options
Purchased
Equity
Risk | | | Futures
Currency
Risk* | | | Forward
Foreign
Currency
Exchange
Risk | | | Futures
Interest
Rate
Risk* | | | Swaps
Credit
Risk* | | | Total
Value at
June 30, 2019 | |
Series E (Total Return Bond Series) | | $ | — | | | $ | — | | | $ | 2,040 | | | $ | — | | | $ | — | | | $ | 240,241 | | | $ | 39,715 | | | $ | 315,594 | | | $ | 597,590 | |
Series N (Managed Asset Allocation Series) | | | 3,419 | | | | — | | | | — | | | | — | | | | 3,465 | | | | — | | | | — | | | | — | | | | 6,884 | |
Series Z (Alpha Opportunity Series) | | | — | | | | 169,932 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 169,932 | |
* | Includes cumulative appreciation (depreciation) of futures contracts and OTC and centrally-cleared swap agreements as reported on the Schedules of Investments. Variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended June 30, 2019:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Interest Rate contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
| Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
| | Net realized gain (loss) on options purchased |
| | Net change in unrealized appreciation (depreciation) on options purchased |
| | Net realized gain (loss) on options written |
| Net change in unrealized appreciation (depreciation) on option written |
Currency contracts | Net realized gain (loss) on futures contracts |
| | Net change in unrealized appreciation (depreciation) on futures contracts |
| | Net realized gain (loss) on forward foreign currency exchange contracts |
| Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts |
Credit contracts | Net realized gain (loss) on swap agreements |
| | Net change in unrealized appreciation (depreciation) on swap agreements |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 139 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended June 30, 2019:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Options
Written
Equity
Risk | | | Options
Purchased
Equity
Risk | | | Futures
Currency
Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Futures
Interest
Rate
Risk | | | Swaps
Interest
Rate
Risk | | | Swaps
Credit
Risk | | | Total | |
Series A (StylePlus—Large Core Series) | | $ | 632,537 | | | $ | 7,864,859 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,497,396 | |
Series D (World Equity Income Series) | | | — | | | | — | | | | — | | | | — | | | | (506,671 | ) | | | — | | | | — | | | | — | | | | — | | | | (506,671 | ) |
Series E (Total Return Bond Series) | | | — | | | | — | | | | 16,814 | | | | (227,991 | ) | | | — | | | | (78,262 | ) | | | (35,981 | ) | | | (1,079,186 | ) | | | (97,303 | ) | | | (1,501,909 | ) |
Series J (StylePlus—Mid Growth Series) | | | 603,645 | | | | 8,659,056 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 9,262,701 | |
Series N (Managed Asset Allocation Series) | | | 817,393 | | | | — | | | | — | | | | — | | | | (4,315 | ) | | | — | | | | 285,560 | | | | — | | | | — | | | | 1,098,638 | |
Series P (High Yield Series) | | | — | | | | — | | | | — | | | | — | | | | — | | | | (14,552 | ) | | | — | | | | — | | | | — | | | | (14,552 | ) |
Series X (StylePlus—Small Growth Series) | | | 177,655 | | | | (1,236,026 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1,058,371 | ) |
Series Y (StylePlus—Large Growth Series) | | | 192,593 | | | | 1,445,756 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,638,349 | |
Series Z (Alpha Opportunity Series) | | | — | | | | (653,567 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (653,567 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Options
Written
Equity
Risk | | | Options
Purchased
Equity
Risk | | | Options
Purchased
Interest
Rate
Risk | | | Futures
Currency
Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Futures
Interest
Rate
Risk | | | Swaps
Interest
Rate
Risk | | | Swaps
Credit
Risk | | | Total | |
Series A (StylePlus—Large Core Series) | | $ | (101,546 | ) | | $ | 17,032,397 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 16,930,851 | |
Series D (World Equity Income Series) | | | — | | | | — | | | | — | | | | — | | | | — | | | | (159,575 | ) | | | — | | | | — | | | | — | | | | — | | | | (159,575 | ) |
Series E (Total Return Bond Series) | | | — | | | | — | | | | 21,000 | | | | 110,680 | | | | 53,406 | | | | — | | | | (3,926 | ) | | | (680 | ) | | | 882,379 | | | | (482,724 | ) | | | 580,135 | |
Series J (StylePlus—Mid Growth Series) | | | 82,173 | | | | 16,799,992 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 16,882,165 | |
Series N (Managed Asset Allocation Series) | | | 488,822 | | | | — | | | | — | | | | — | | | | — | | | | 2,613 | | | | — | | | | (95,348 | ) | | | — | | | | — | | | | 396,087 | |
Series P (High Yield Series) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 7,198 | | | | — | | | | — | | | | — | | | | 7,198 | |
Series X (StylePlus—Small Growth Series) | | | (2,677 | ) | | | 5,321,976 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,319,299 | |
Series Y (StylePlus—Large Growth Series) | | | 23,243 | | | | 3,368,048 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,391,291 | |
Series Z (Alpha Opportunity Series) | | | — | | | | (516,458 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (516,458 | ) |
In conjunction with the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds.
140 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.
The Funds may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Funds.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
Note 3 – Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 141 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Assets1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Assets
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received | | | Net
Amount | |
Series A (StylePlus—Large Core Series) | Swap equity contracts | | $ | 4,213,899 | | | $ | — | | | $ | 4,213,899 | | | $ | — | | | $ | (2,605,000 | ) | | $ | 1,608,899 | |
Series E (Total Return Bond Series) | Forward foreign currency exchange contracts | | | 97,607 | | | | — | | | | 97,607 | | | | (97,607 | ) | | | — | | | | — | |
| | Options purchased contracts | | | 283,000 | | | | — | | | | 283,000 | | | | (107,457 | ) | | | (124,518 | ) | | | 51,025 | |
Series J (StylePlus—Mid Growth Series) | Swap equity contracts | | | 4,246,492 | | | | — | | | | 4,246,492 | | | | — | | | | (2,600,000 | ) | | | 1,646,492 | |
Series X (StylePlus—Small Growth Series) | Swap equity contracts | | | 446,741 | | | | — | | | | 446,741 | | | | — | | | | — | | | | 446,741 | |
Series Y (StylePlus—Large Growth Series) | Swap equity contracts | | | 797,711 | | | | — | | | | 797,711 | | | | — | | | | (350,000 | ) | | | 447,711 | |
Series Z (Alpha Opportunity Series) | Custom basket swap agreements | | | 32,396 | | | | — | | | | 32,396 | | | | (32,396 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
Series E (Total Return Bond Series) | Credit default swap agreements | | $ | 73,654 | | | $ | — | | | $ | 73,654 | | | $ | (73,654 | ) | | $ | — | | | $ | — | |
| | Forward foreign currency exchange contracts | | | 240,241 | | | | — | | | | 240,241 | | | | (129,370 | ) | | | — | | | | 110,871 | |
| | Options written contracts | | | 2,040 | | | | — | | | | 2,040 | | | | (2,040 | ) | | | — | | | | — | |
Series P (High Yield Series) | Reverse Repurchase Agreements | | | 140,863 | | | | — | | | | 140,863 | | | | (140,863 | ) | | | — | | | | — | |
Series Z (Alpha Opportunity Series) | Custom basket swap agreements | | | 169,932 | | | | — | | | | 169,932 | | | | (169,932 | ) | | | — | | | | — | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
142 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of June 30, 2019.
Fund | Counterparty/Clearing Agent | Asset Type | | Cash Pledged | | | Cash Received | |
Series A (StylePlus—Large Core Series) | Bank of America Merrill Lynch | Total return swap agreements | | $ | — | | | $ | 2,605,000 | |
| Morgan Stanley | Futures contracts | | | 69,300 | | | | — | |
Series A (StylePlus—Large Core Series) Total | | | | | 69,300 | | | | 2,605,000 | |
Series E (Total Return Bond Series) | Bank of America Merrill Lynch | Credit default swap agreements | | | 216,906 | | | | — | |
| | Bank of America Merrill Lynch | Forward foreign currency exchange contracts, credit default swap agreements, options purchased contracts | | | — | | | | 265,000 | |
| | Bank of America Merrill Lynch | Futures contracts | | | 17,820 | | | | — | |
| Bank of America Merrill Lynch | Interest rate swap agreements | | | 167,200 | | | | — | |
Series E (Total Return Bond Series) Total | | | | | 401,926 | | | | 265,000 | |
Series J (StylePlus—Mid Growth Series) | Morgan Stanley | Futures contracts | | | 140,600 | | | | — | |
| Wells Fargo | Total return swap agreements | | | — | | | | 2,600,000 | |
Series J (StylePlus—Mid Growth Series) Total | | | | | 140,600 | | | | 2,600,000 | |
Series N (Managed Asset Allocation Series) | Goldman Sachs Group | Futures contracts | | | 4,616 | | | | — | |
Series X (StylePlus—Small Growth Series) | Morgan Stanley | Futures contracts | | | 38,300 | | | | — | |
Series Y (StylePlus—Large Growth Series) | Morgan Stanley | Futures contracts | | | 60,600 | | | | — | |
| Wells Fargo | Total return swap agreements | | | — | | | | 350,000 | |
Series Y (StylePlus—Large Growth Series) Total | | | | | 60,600 | | | | 350,000 | |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Funds’ investments. When values are not available from a pricing service, they 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.
Indicative quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may be also used to value the Funds’ assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although indicative quotes are typically received from established market participants, the Funds may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in an indicative quote would generally result in significant changes in the fair value of the security.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 143 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Certain fixed income securities are valued by obtaining a monthly indicative quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | | Management Fees
(as a % of Net Assets) | |
Series A (StylePlus—Large Core Series) | | | 0.75 | % |
Series B (Large Cap Value Series) | | | 0.65 | % |
Series D (World Equity Income Series) | | | 0.70 | % |
Series E (Total Return Bond Series) | | | 0.39 | % |
Series F (Floating Rate Strategies Series) | | | 0.65 | %1 |
Series J (StylePlus—Mid Growth Series) | | | 0.75 | % |
Series N (Managed Asset Allocation Series) | | | 0.40 | % |
Series O (All Cap Value Series) | | | 0.70 | % |
Series P (High Yield Series) | | | 0.60 | % |
Series Q (Small Cap Value Series) | | | 0.75 | % |
Series V (Mid Cap Value Series) | | | 0.75 | % |
Series X (StylePlus—Small Growth Series) | | | 0.75 | % |
Series Y (StylePlus—Large Growth Series) | | | 0.65 | % |
Series Z (Alpha Opportunity Series) | | | 0.90 | % |
1 | The Series’ management fee is subject to a 0.05% reduction on assets over $5 billion. |
GI engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted a Distribution and Shareholder Services Plan pursuant to Rule 12b-1 under the 1940 Act that allows those Funds to pay distribution and shareholder services fees to GFD. The Funds will pay distribution and shareholder services fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD may, in turn, pay all or a portion of the proceeds from the distribution and shareholder services fees to insurance companies or their affiliates and qualified plan administrators (“intermediaries”) for services they provide on behalf of the Funds to current and prospective variable contract owners and qualified plan participants that invest in the Funds through the intermediaries.
144 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Contractual expense limitation agreements for the following Funds provide that the total expenses be limited to a percentage of average net assets for the Funds, exclusive of brokerage costs, dividends on securities sold short, expenses of other investment companies in which a Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| | Limit | | Effective
Date | Contract
End Date |
Series A (StylePlus—Large Core Series) | | | 0.91 | % | 05/01/17 | 05/01/22 |
Series B (Large Cap Value Series) | | | 0.80 | % | 05/01/17 | 05/01/22 |
Series D (World Equity Income Series) | | | 0.90 | % | 05/01/17 | 05/01/22 |
Series E (Total Return Bond Series) | | | 0.81 | % | 11/30/12 | 05/01/20 |
Series F (Floating Rate Strategies Series) | | | 1.15 | % | 04/22/13 | 05/01/20 |
Series J (StylePlus—Mid Growth Series) | | | 0.94 | % | 05/01/17 | 05/01/22 |
Series O (All Cap Value Series) | | | 0.88 | % | 05/01/17 | 05/01/22 |
Series P (High Yield Series) | | | 1.07 | % | 10/20/14 | 05/01/20 |
Series Q (Small Cap Value Series) | | | 1.14 | % | 05/01/17 | 05/01/22 |
Series V (Mid Cap Value Series) | | | 0.91 | % | 05/01/17 | 05/01/22 |
Series X (StylePlus—Small Growth Series) | | | 1.06 | % | 05/01/17 | 05/01/22 |
Series Y (StylePlus—Large Growth Series) | | | 0.93 | % | 05/01/17 | 05/01/22 |
Series Z (Alpha Opportunity Series) | | | 2.00 | % | 05/31/17 | 05/01/22 |
GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At June 30, 2019, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended December 31, are presented in the following table:
Fund | | 2019 | | | 2020 | | | 2021 | | | 2022 | | | Total | |
Series A (StylePlus—Large Core Series) | | $ | — | | | $ | 436,916 | | | $ | 660,760 | | | $ | 354,685 | | | $ | 1,452,361 | |
Series B (Large Cap Value Series) | | | — | | | | 555,470 | | | | 657,291 | | | | 289,244 | | | | 1,502,005 | |
Series D (World Equity Income Series) | | | — | | | | 359,114 | | | | 403,628 | | | | 187,528 | | | | 950,270 | |
Series E (Total Return Bond Series) | | | 100,187 | | | | 188,079 | | | | 130,822 | | | | 44,203 | | | | 463,291 | |
Series F (Floating Rate Strategies Series) | | | 6,195 | | | | 52,478 | | | | 64,413 | | | | 32,388 | | | | 155,474 | |
Series J (StylePlus—Mid Growth Series) | | | — | | | | 342,729 | | | | 471,165 | | | | 208,746 | | | | 1,022,640 | |
Series O (All Cap Value Series) | | | — | | | | 272,422 | | | | 349,269 | | | | 154,378 | | | | 776,069 | |
Series P (High Yield Series) | | | 18,687 | | | | 59,723 | | | | 105,313 | | | | 50,792 | | | | 234,515 | |
Series Q (Small Cap Value Series) | | | — | | | | 88,099 | | | | 102,746 | | | | 50,098 | | | | 240,943 | |
Series V (Mid Cap Value Series) | | | — | | | | 448,055 | | | | 612,269 | | | | 263,348 | | | | 1,323,672 | |
Series X (StylePlus—Small Growth Series) | | | — | | | | 95,707 | | | | 132,343 | | | | 75,018 | | | | 303,068 | |
Series Y (StylePlus—Large Growth Series) | | | — | | | | 98,297 | | | | 153,784 | | | | 80,949 | | | | 333,030 | |
Series Z (Alpha Opportunity Series) | | | — | | | | 33,178 | | | | 47,889 | | | | 46,833 | | | | 127,900 | |
For the period ended June 30, 2019, GI recouped $15,234 from Series A (StylePlus—Large Core Series).
If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2019, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
Series A (StylePlus—Large Core Series) | | $ | 22,357 | |
Series E (Total Return Bond Series) | | | 24,039 | |
Series J (StylePlus—Mid Growth Series) | | | 20,827 | |
Series N (Managed Asset Allocation Series) | | | 1,244 | |
Series X (StylePlus—Small Growth Series) | | | 5,068 | |
Series Y (StylePlus—Large Growth Series) | | | 5,410 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 145 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Certain officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Funds’ securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Funds’ custodian. As custodian, BNY is responsible for the custody of the Funds’ assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Funds’ average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
Note 6 – Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
At June 30, 2019, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value were as follows:
Fund | | Tax
Cost | | | Tax
Unrealized
Appreciation | | | Tax
Unrealized
Depreciation | | | Net
Unrealized
Appreciation
(Depreciation) | |
Series A (StylePlus—Large Core Series) | | $ | 207,544,767 | | | $ | 7,174,868 | | | $ | (2,419,543 | ) | | $ | 4,755,325 | |
Series B (Large Cap Value Series) | | | 179,774,725 | | | | 50,849,517 | | | | (13,564,161 | ) | | | 37,285,356 | |
Series D (World Equity Income Series) | | | 124,015,537 | | | | 11,397,675 | | | | (4,347,654 | ) | | | 7,050,021 | |
Series E (Total Return Bond Series) | | | 136,012,409 | | | | 3,414,448 | | | | (1,024,197 | ) | | | 2,390,251 | |
Series F (Floating Rate Strategies Series) | | | 61,512,611 | | | | 46,988 | | | | (1,372,870 | ) | | | (1,325,882 | ) |
Series J (StylePlus—Mid Growth Series) | | | 152,929,284 | | | | 7,053,773 | | | | (1,738,624 | ) | | | 5,315,149 | |
Series N (Managed Asset Allocation Series) | | | 36,163,044 | | | | 10,229,889 | | | | (59,586 | ) | | | 10,170,303 | |
Series O (All Cap Value Series) | | | 86,955,569 | | | | 22,669,985 | | | | (7,062,695 | ) | | | 15,607,290 | |
Series P (High Yield Series) | | | 58,940,401 | | | | 1,172,618 | | | | (4,136,260 | ) | | | (2,963,642 | ) |
Series Q (Small Cap Value Series) | | | 70,888,345 | | | | 8,741,991 | | | | (8,216,483 | ) | | | 525,508 | |
Series V (Mid Cap Value Series) | | | 178,042,708 | | | | 26,886,140 | | | | (16,750,894 | ) | | | 10,135,246 | |
Series X (StylePlus—Small Growth Series) | | | 32,414,692 | | | | 1,006,192 | | | | (545,880 | ) | | | 460,312 | |
Series Y (StylePlus—Large Growth Series) | | | 36,816,708 | | | | 1,644,198 | | | | (324,940 | ) | | | 1,319,258 | |
Series Z (Alpha Opportunity Series) | | | 7,188,347 | | | | 375,958 | | | | (485,469 | ) | | | (109,511 | ) |
146 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 7 – Securities Transactions
For the period ended June 30, 2019, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | | Purchases | | | Sales | |
Series A (StylePlus—Large Core Series) | | $ | 54,117,710 | | | $ | 38,724,159 | |
Series B (Large Cap Value Series) | | | 24,504,570 | | | | 33,792,472 | |
Series D (World Equity Income Series) | | | 62,933,254 | | | | 70,673,267 | |
Series E (Total Return Bond Series) | | | 18,579,887 | | | | 9,396,454 | |
Series F (Floating Rate Strategies Series) | | | 8,619,269 | | | | 10,747,964 | |
Series J (StylePlus—Mid Growth Series) | | | 63,783,997 | | | | 50,837,168 | |
Series N (Managed Asset Allocation Series) | | | 5,550,731 | | | | 5,400,259 | |
Series O (All Cap Value Series) | | | 12,830,765 | | | | 22,004,478 | |
Series P (High Yield Series) | | | 15,751,967 | | | | 17,090,932 | |
Series Q (Small Cap Value Series) | | | 23,642,153 | | | | 29,558,457 | |
Series V (Mid Cap Value Series) | | | 40,309,606 | | | | 56,027,854 | |
Series X (StylePlus—Small Growth Series) | | | 14,938,606 | | | | 11,703,616 | |
Series Y (StylePlus—Large Growth Series) | | | 14,779,395 | | | | 9,552,284 | |
Series Z (Alpha Opportunity Series) | | | 7,174,237 | | | | 8,463,720 | |
For the period ended June 30, 2019, the cost of purchases and proceeds from the sales of government securities were as follows:
Fund | | Purchases | | | Sales | |
Series E (Total Return Bond Series) | | $ | 32,511,138 | | | $ | 21,837,533 | |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended June 30, 2019, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | | Purchases | | | Sales | | | Realized Loss | |
Series P (High Yield Series) | | $ | 1,749,563 | | | $ | 1,317,150 | | | $ | (8,998 | ) |
Note 8 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of June 30, 2019. The Funds are obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of June 30, 2019, were as follows:
Fund | Borrower | Maturity Date | | Face Amount | | | Value | |
Series F (Floating Rate Strategies Series) | | | | | | | | | |
| | Aspect Software, Inc. | 07/15/23 | | $ | 44,625 | | | $ | 611 | |
| | Mavis Tire Express Services Corp. | 03/20/25 | | | 50,135 | | | | 208 | |
| | | | | | | | $ | 819 | |
Series P (High Yield Series) | | | | | | | | | |
| | Acosta, Inc. | 09/26/19 | | $ | 618,205 | | | $ | 395,843 | |
| | Advantage Sales & Marketing LLC | 07/25/19 | | | 900,000 | | | | 82,503 | |
| | Aspect Software, Inc. | 07/15/23 | | | 2,009 | | | | 27 | |
| | Epicor Software | 06/01/20 | | | 600,000 | | | | 13,594 | |
| | | | | | | | | $ | 491,967 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 147 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 9 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Fund | Restricted Securities | Acquisition Date | | Cost | | | Value | |
Series E (Total Return Bond Series) | | | | | | | | | | |
| | Copper River CLO Ltd. | | | | | | | | | |
| | 2007-1A, due 01/20/211 | 05/09/14 | | $ | 118,389 | | | $ | 91,577 | |
| | Turbine Engines Securitization Ltd. | | | | | | | | | |
| | 2013-1A, 5.13% due 12/13/48 | 11/27/13 | | | 442,938 | | | | 433,909 | |
| | | | | $ | 561,327 | | | $ | 525,486 | |
Series P (High Yield Series) | | | | | | | | | | |
| | Beverages & More, Inc. | | | | | | | | | |
| | 11.50% due 6/15/22 | 06/16/17 | | $ | 401,271 | | | $ | 342,000 | |
| | Mirabela Nickel Ltd. | | | | | | | | | |
| | 9.50% due 06/24/192 | 12/31/13 | | | 353,909 | | | | 39,008 | |
| | | | | $ | 755,180 | | | $ | 381,008 | |
1 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
2 | Security is in default of interest and/or principal obligations. |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured a 364-day committed, $1,065,000,000 line of credit from Citibank, N.A., which was in place through October 5, 2018 at which time the line of credit was renewed, with an increased commitment amount to $1,205,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The allocated commitment fee amount for each Fund is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the period ended June 30, 2019.
In addition, Series E (Total Return Bond Series) and Series F (Floating Rate Strategies Series)(the “Funds”) entered into an additional unlimited credit facility agreement with BNP Paribas Prime Brokerage, Inc. (the “counterparty”) whereby the counterparty has agreed to provide secured financing to the Funds and the Funds will provide pledged collateral to the counterparty. Fees related to borrowings, if any, equate to 1 month LIBOR plus 0.90%. The Funds did not have any borrowings under this agreement at or during the period ended June 30, 2019.
Note 11 – Other Liabilities
Series A (StylePlus—Large Core Series) and Series V (Mid Cap Value Series) (the “Funds”) each wrote put option contracts through Lehman Brothers, Inc. (“Lehman”) that were exercised prior to the option contracts expiration and prior to the bankruptcy filing by Lehman, during September 2008. However, these transactions have not settled and the securities have not been delivered to the Funds as of June 30, 2019.
Although the ultimate resolution of these transactions is uncertain, the Funds have recorded a liability on their respective books equal to the difference between the strike price on the put options and the market prices of the underlying security on the exercise date. The amount of liability recorded by the Funds as of June 30, 2019 was $18,615 for Series A (StylePlus—Large Core Series) and $205,716 for Series V (Mid Cap Value Series) and included in payable for miscellaneous in the Statements of Assets and Liabilities.
148 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 12 – Reverse Repurchase Agreements
Each of the Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.
For the period ended June 30, 2019, the following Funds entered into reverse repurchase agreements:
Fund | | Number
of Days
Outstanding | | | Balance at
June 30,
2019 | | | Average
Balance
outstanding | | | Average
Interest
Rate | |
Series E (Total Return Bond Series) | | | 1 | | | $ | — | * | | $ | 3,539,375 | | | | 2.45 | % |
Series P (High Yield Series) | | | 55 | | | | 140,863 | | | | 139,719 | | | | -0.09 | % |
* | As June 30, 2019, Series E (Total Return Bond Series) did not have any open reverse repurchase agreements. |
Note 13 – Recent Regulatory Reporting Updates
In August 2018, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2018-13, Fair Value Measurement (Topic 820), Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement (the “2018 ASU”) which adds, modifies and removes disclosure requirements related to certain aspects of fair value measurement. The 2018 ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. As of June 30, 2019, the Fund has fully adopted the provisions of the 2018 ASU, which did not have a material impact on the Fund’s financial statements and related disclosures or impact the Fund’s net assets or results of operations.
Note 14 – Change in Accounting Principle
In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “2017 ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The 2017 ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity.
As of June 30, 2019 the Funds have fully adopted the provisions of the 2017 ASU which were applied through a modified-retrospective transition approach, as prescribed. The adoption resulted in a cumulative effect adjustment reducing the amortized cost basis of investments with a corresponding increase in unrealized appreciation on investments in the following amounts:
Fund | | Cumulative Effect
Adjustment | |
Series E (Total Return Bond Series) | | $ | 5,191 | |
Series P (High Yield Series) | | | 22,569 | |
The adoption of ASU 2017-08 had no impact on beginning net assets, the current period results from operations, or any prior period information presented in the financial statements.
Note 15 – Legal Proceedings
Tribune Company
SBL Fund has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the SBL Fund of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 149 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the SBL Fund, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). SBL Fund has been named as a defendant in two of the SLCFC actions: Deutsche Bank Trust Co. Americas v. Ohlson Enter., No. 12-0064 (S.D.N.Y.) and Deutsche Bank Trust Co. Americas v. Cantor Fitzgerald & Co., No. 11-4900 (S.D.N.Y.). In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2296 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order. On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. On April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed a response to plaintiffs’ motion to recall the mandate. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.”
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. The Court concluded that the plaintiff had failed to allege that Tribune entered the LBO with actual intent to hinder, delay, or defraud its creditors, and therefore the complaint failed to state a claim. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. The plaintiff requested that the Court direct entry of a final judgment in order to make the order immediately appealable. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law. On March 8, 2018, the plaintiff renewed his request for leave to file a motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions.
150 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. The plaintiff has not yet filed any such motion. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District Court’s denial of his motion for leave to amend.
None of these lawsuits alleges any wrongdoing on the part of Guggenheim Variable Funds Trust f/k/a SBL Fund. The following series of Guggenheim Variable Funds Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Series A (StylePlus–Large Core Series) f/k/a Series H (Enhanced Index Series), Series N (Managed Asset Allocation Series) and Series O (All Cap Value Series) (the “Funds”). The value of the proceeds received by the foregoing Funds was $158,950, $51,000 and $3,774,000, respectively. At this stage of the proceedings, Guggenheim Variable Funds Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
Note 16 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 151 |
OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. The Funds’ Forms N-PORT and N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Variable Funds Trust Contracts Review Committee
Guggenheim Variable Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● Series A (StylePlus—Large Core Series) (“Series A”) ● Series D (World Equity Income Series) (“Series D”) ● Series F (Floating Rate Strategies Series) (“Series F”) ● Series N (Managed Asset Allocation Series) (“Series N”) ● Series P (High Yield Series) (“Series P”) ● Series V (Mid Cap Value Series) (“Series V”) ● Series Y (StylePlus—Large Growth Series) (“Series Y”) | ● Series B (Large Cap Value Series) (“Series B”) ● Series E (Total Return Bond Series) (“Series E”) ● Series J (StylePlus—Mid Growth Series) (“Series J”) ● Series O (All Cap Value Series) (“Series O”) ● Series Q (Small Cap Value Series) (“Series Q”) ● Series X (StylePlus—Small Growth Series) (“Series X”) ● Series Z (Alpha Opportunity Series) (“Series Z”) |
152 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(continued) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Series A; (ii) Series B; (iii) Series D; (iv) Series E; (v) Series J; (vi) Series N; (vii) Series O; (viii) Series P; (ix) Series Q; (x) Series V; (xi) Series X; (xii) Series Y; and (xiii) Series Z (collectively, the “SI-Advised Funds”). Guggenheim Partners Investment Management, LLC (“GPIM”) serves as investment adviser to Series F (the “GPIM-Advised Fund” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).1 (Guggenheim Partners, Security Investors, GPIM and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio.
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 25, 2019 (the “April Meeting”) and on May 21, 2019 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. Recognizing that the evaluation process with respect to the services provided by Guggenheim is an ongoing one, the Committee also considered the variety of written materials, reports and oral presentations the Board receives throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim. The Committee noted that although FUSE’s process typically results in the identification for each Fund of a universe of similar funds for performance comparisons and a narrower group of similar funds from the universe based on asset levels for comparative fee and expense data evaluation (i.e., the peer group), the peer group constituent funds identified by FUSE for Series F, Series V and Series Z were the same as the performance universe constituent funds due to each Fund’s investment strategy and pricing.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and weighed the factors and standards discussed with Independent Legal Counsel.
1 | The investment advisory agreements pertaining to the SI-Advised Funds and the investment advisory agreement pertaining to the GPIM-Advised Fund are each referred to herein as an “Advisory Agreement” and together, the “Advisory Agreements.” In addition, unless the context indicates otherwise, Security Investors, with respect to its service as investment adviser to the SI-Advised Funds, and GPIM as to the GPIM-Advised Fund, are each referred to herein as the “Adviser” and together, the “Advisers.” |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 153 |
OTHER INFORMATION (Unaudited)(continued) |
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements for an additional annual term.
Nature, Extent and Quality of Services Provided by each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee considered Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal and regulatory risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2018, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee considered more recent performance periods in circumstances in which enhancements were being made to the portfolio management processes or techniques employed for a Fund. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
154 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(continued) |
In addition, the Committee made the following observations:
Series F (Floating Rate Strategies Series): The Fund’s returns ranked in the 1st and 80th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2018, respectively. The Committee considered management’s explanation that, although the Fund’s returns have ranked well over the five-year period, the majority of the Fund’s underperformance in more recent periods was generated in 2018, as the Fund was positioned more conservatively than peers. The Committee noted management’s view that a more conservative approach is likely warranted and more attractive risk-adjusted returns will be realized when volatility and downside risk increases, as management believes that credit fundamentals are deteriorating and that markets remain disproportionately tight.
Series Q (Small Cap Value Series): The Fund’s returns ranked in the 90th and 80th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2018, respectively. The Committee noted measures taken by the Adviser to remedy longer-term relative underperformance with respect to the Value Funds strategy, including strategy enhancements such as implementation of a refined stock selection process and additional risk controls to enforce the strategy’s sell discipline. In light of the foregoing, the Committee also considered the more recent one-year and three-month periods ended December 31, 2018, and observed that the Fund’s returns ranked in the 10th and 20th percentiles, respectively, of its peer universe.
Series Z (Alpha Opportunity Series): The Fund’s returns ranked in the 100th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2018, respectively. The Committee considered management’s explanation that the Fund’s underperformance can be attributed to poor performance in 2018 as well as its very limited universe of comparable funds. The Committee noted management’s statement that the Fund incorporates a multi-factor relative value strategy that invests long and short with respect to various fundamental factors, and in 2018 had a high positive allocation to value as a factor, which, along with security selection, detracted from performance that year, impacting the trailing five-year and three-year periods. The Committee considered management’s view that the Fund’s multi-factor relative-value approach to low beta, long short equity investing has demonstrated an ability to capture attractive risk premia in the marketplace over the long term. The Committee also took into account management’s statement that the peer universe is very limited, with managers employing various styles and exposures within long short equity investing.
After reviewing the foregoing and related factors, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Profits Realized by each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by the applicable Adviser to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal and regulatory risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that each Fund’s contractual advisory fee, net effective management fee2 and total net expense ratio each rank in the third quartile or better of such Fund’s peer group.
2 | The “net effective management fee” represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 155 |
OTHER INFORMATION (Unaudited)(continued) |
In addition, the Committee made the following observations:
Series F (Floating Rate Strategies Series): The Fund’s contractual advisory fee ranks in the fourth quartile (100th percentile) of its peer group. The Fund’s net effective management fee ranks in the third quartile (60th percentile) of its peer group. The Fund’s total net expense ratio ranks in the fourth quartile (100th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique, fundamentally-driven investment approach focused on relative-value credit selection that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2018. The Committee also considered that the peer group is limited in size and is comprised of only six funds. In addition, the Committee took into account the Adviser’s statement that the Fund’s currently effective expense limitation agreement with the Adviser is intended to limit the impact of the Fund’s small size.
Series O (All Cap Value Series): The Fund’s contractual advisory fee ranks in the fourth quartile (86th percentile) of its peer group. The Committee considered that the Fund’s net effective management fee and total net expense ratio each rank in the first quartile (each 21st percentile) of its peer group. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Series P (High Yield Series): The Fund’s contractual advisory fee and net effective management fee each rank in the first quartile (20th and 13th percentiles, respectively) of its peer group. The Fund’s total net expense ratio ranks in the fourth quartile (87th percentile) of its peer group. The Committee took into consideration the Fund’s strong investment performance for the five-year period ended December 31, 2018. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Series Z (Alpha Opportunities Series): The Fund’s contractual advisory fee ranks in the third quartile (67th percentile) of its peer group. The Fund’s net effective management fee ranks in the first quartile (17th percentile) of its peer group. The Fund’s total net expense ratio ranks in the fourth quartile (100th percentile). The Committee considered the Adviser’s statement explaining the higher expenses that the Fund employs a sophisticated quantitative methodology that seeks to generate absolute returns through factor and stock selection with minimal market exposure. The Committee also took into account the Adviser’s statement that the Fund’s currently effective expense limitation agreement with the Adviser is intended to limit the impact of the Fund’s small size. The Committee noted that the Fund’s size is the smallest of its peer group and the Fund’s other operating expenses are the highest of its peer group.
With respect to the costs of services provided and profits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2018, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2017. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented, and concluded that the profits were not unreasonable.
The Committee considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from marketing synergies arising from offering a broad spectrum of products, including the Funds.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to the shareholders. The Committee noted the Adviser’s statements, including that Guggenheim believes it is appropriately sharing potential economies of scale and that costs continue to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things, and that, in this regard, management’s costs for providing services have increased in recent years without regard to asset levels.
156 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(concluded) |
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, the Committee determined that the advisory fee for each Fund was reasonable.
Overall Conclusions
Based on the foregoing, the Committee determined that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Advisory Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 157 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
Name, Address*
and Year of Birth | Position(s)
Held with
the Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees |
INDEPENDENT TRUSTEES | | | |
Randall C. Barnes (1951) | Trustee | Since 2014 | Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 49 | Current: Trustee, Purpose Investments, Inc. (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2003-2016). |
Donald A. Chubb, Jr. (1946) | Trustee and Chairman of the Valuation Oversight Committee | Since 1994 | Current: Retired. Former: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-2017). | 48 | Former: Midland Care, Inc. (2011-2016). |
Jerry B. Farley (1946) | Trustee and Chairman of the Audit Committee | Since 2005 | Current: President, Washburn University (1997-present). | 48 | Current: CoreFirst Bank & Trust (2000-present). Former: Westar Energy, Inc. (2004-2018). |
Roman Friedrich III (1946) | Trustee and Chairman of the Contracts Review Committee | Since 2014 | Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). | 48 | Former: Zincore Metals, Inc. (2009-January 2019). |
Ronald A. Nyberg (1953) | Trustee and Chairman of the Nominating and Governance Committee | Since 2014 | Current: Partner, Momkus LLC (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 49 | Current: PPM Funds (2018-present); Edward-Elmhurst Healthcare System (2012-present); Western Asset Inflation-Linked Opportunities & Income Fund (2004-present); Western Asset Inflation-Linked Income Fund (2003-present). Former: Managed Duration Investment Grade Municipal Fund (2003-2016). |
158 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
the Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees |
INDEPENDENT TRUSTEES - concluded | | |
Ronald E. Toupin, Jr. (1958) | Trustee and Chairman of the Board | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 48 | Current: Western Asset Inflation-Linked Opportunities & Income Fund (2004-present); Western Asset Inflation-Linked Income Fund (2003-present). Former: Managed Duration Investment Grade Municipal Fund (2003-2016); Bennett Group of Funds (2011-2013). |
INTERESTED TRUSTEE | | | | |
Amy J. Lee*** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee) Since 2014
(Chief Legal Officer) Since 2007
(Vice President) | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); President, certain other funds in the Fund Complex (2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer (2017-2018); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 48 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
*** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 159 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
the Trust | Term of Office
and Length of
Time Served** | Principal Occupations
During Past Five Years |
OFFICERS | | | |
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President and Chief Executive Officer, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2014 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
Adam J. Nelson (1979) | Assistant Treasurer | Since 2015 | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
160 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
the Trust | Term of Office
and Length of
Time Served** | Principal Occupations
During Past Five Years |
OFFICERS - concluded | |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2014 | Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014-2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 161 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
162 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
| | ● | We use information as otherwise permitted by law, as we may notify you. |
| | ● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 163 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
164 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
This page intentionally left blank.
Not required at this time.
| Item 3. | Audit Committee Financial Expert. |
Not required at this time.
| Item 4. | Principal Accountant Fees and Services. |
Not required at this time.
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Managers of Closed-end Management Investment Companies |
Not applicable
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board.
There have been no changes to the procedures by which shareholders may recommend nominees to the registrant’s board.
| Item 11. | Controls and Procedures. |
(a) The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation as required by Rule 30a-3(b) under the Investment Company Act, that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 12. | Disclosure of Securities Lending Activities for Closed End Management Investment Companies. |
Not Applicable
(a)(1)Not applicable.
(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | Guggenheim Variable Funds Trust | |
| | | |
| By (Signature and Title)* | /s/ Brian Binder | |
| | Brian Binder, President and Chief Executive Officer | |
| | | |
| Date | September 6, 2019 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | /s/ Brian Binder | |
| | Brian Binder, President and Chief Executive Officer | |
| | | |
| Date | September 6, 2019 | |
| | | |
| By (Signature and Title)* | /s/John L. Sullivan | |
| | John L. Sullivan, Chief Financial Officer,
Chief Accounting Officer and Treasurer | |
| | | |
| Date | September 6, 2019 | |
| * | Print the name and title of each signing officer under his or her signature. |
