UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811- 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: January 1, 2020 to June 30, 2020
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:
6.30.2020
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 | (SMid Cap Value Series) (formerly, 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-0620x1220 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 7 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) | 9 |
SERIES B (LARGE CAP VALUE SERIES) | 17 |
SERIES D (WORLD EQUITY INCOME SERIES) | 23 |
SERIES E (TOTAL RETURN BOND SERIES) | 30 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | 47 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | 58 |
SERIES N (MANAGED ASSET ALLOCATION SERIES) | 66 |
SERIES O (ALL CAP VALUE SERIES) | 73 |
SERIES P (HIGH YIELD SERIES) | 80 |
SERIES Q (SMALL CAP VALUE SERIES) | 93 |
SERIES V (SMID CAP VALUE SERIES) | 100 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | 107 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | 115 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | 122 |
NOTES TO FINANCIAL STATEMENTS | 138 |
OTHER INFORMATION | 160 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 167 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 172 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 175 |
| | 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, 2020.
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, 2020
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.
2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
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.
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
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3 |
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. ● Please read the prospectus for more detailed information regarding these and other risks.
4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2020 |
The six-month period ended June 30, 2020, was an unprecedented time for markets. It was marked by extreme volatility, resulting from the COVID-19 pandemic, tempered by a swift and aggressive monetary policy response by the U.S. Federal Reserve (the “Fed”) and sweeping fiscal support that cushioned downside risk for the economy and especially for markets.
The mere announcement of the Fed’s Primary and Secondary Market Corporate Credit Facilities on March 23, 2020 and June 15, 2020, respectively, caused credit spreads, which had blown out dramatically, to stabilize and then tighten as the market interpreted the move as a backstop against defaults, with most credits trading in their 80th percentile since. With credit markets shored up, equity markets have regained almost all of their lost ground. The Standard & Poor’s 500® (“S&P 500®”) index, which began the year at 3,230, peaked at 3,386 on February 19, 2020 before plummeting to 2,237 on March 23, 2020, the day of the Fed’s first announced facility. By June 30, 2020, the index had recovered to 3,100. The total return for the six-months ended June 30, 2020 was -3.08%.
The U.S. budget deficit is approaching 25% of Gross Domestic Product (“GDP”), the highest since World War II, and the Fed has promised to use all available tools, including powerful new emergency credit market facilities, to support the recovery. But even this policy response cannot force consumers to spend, or businesses to invest, amid staggering uncertainty. Moreover, future rounds of fiscal stimulus may be needed to avoid a series of fiscal cliffs as temporary measures expire. Future stimulus could also be more politically contentious, especially with the November election approaching, social unrest increasing and markets cheering sequential improvement in the economic data. And as the events of the global financial crisis and the ensuing European debt crisis illustrated, the persistence of macro stress means the risk of a systemic credit event is elevated. As fragility builds, we are watching developments in emerging markets particularly closely as a potential catalyst for a broader, systemic shock.
Meanwhile, joblessness has surged, with the fall in U.S. employment in April 2020 alone representing a 40 standard deviation shock, erasing jobs gained during the preceding 21 years. Rehiring activity turned the labor market tide in May and June 2020, but as personal, small business and corporate bankruptcies mount, permanent damage is being done to the productive capacity of the economy, which may stunt a recovery.
Overshadowing everything is the COVID-19 pandemic, which caused a steeper plunge in U.S. output and employment in two months (in both cases roughly 16% un-annualized) than during the first two years of the Great Depression. Real GDP leads core inflation by about 18 months, suggesting that inflation may also fall sharply in coming quarters. Reopening measures have supported a strong uptick in economic activity since April, but we do not expect a genuine recovery will be possible until a vaccine has been developed, tested, approved, produced and administered across the globe. In the meantime, keeping the infection rate in check will require social distancing measures that stymie economic activity. Indeed, the premature easing of lockdowns and a lax adherence to social distancing guidelines are resulting in a resurgence of new infections in the United States, reflecting the combination of millions of cases and limited testing and tracing capabilities. Recent trends do not bode well for the fall, when the start of the school year could boost social interactions and the return of flu season might strain healthcare capacity.
For the six months ended June 30, 2020, the S&P 500® Index* returned -3.08%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -11.34%. The return of the MSCI Emerging Markets Index* was -9.78%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 6.14% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned -3.80%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.60% 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).
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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2020 |
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.
Morningstar Long/Short Equity Category Average represents long-short portfolios which hold sizable stakes in both long and short positions in equities and related derivatives. Some funds that fall into this category will shift their exposure to long and short positions depending on their macro outlook or the opportunities they uncover through bottom-up research. Some funds may simply hedge long stock positions through exchange traded funds or derivatives. At least 75% of the assets are in equity securities or derivatives.
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 calculated with net dividends reinvested. It is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.
Russell 1000® 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 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 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 3000® Index measures the performance of the largest 3,000 U.S. companies, representing approximately 98% of the investable U.S. equity market.
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 Midcap® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap Index companies with higher price-to-book ratios and higher forecasted growth values.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) | |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning December 31, 2019 and ending June 30, 2020.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
December 31, 2019 | Ending
Account Value
June 30, 2020 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | |
Series A (StylePlus—Large Core Series) | 0.90% | (3.77%) | $ 1,000.00 | $ 962.30 | $ 4.39 |
Series B (Large Cap Value Series) | 0.80% | (17.81%) | 1,000.00 | 821.90 | 3.62 |
Series D (World Equity Income Series) | 0.90% | (10.38%) | 1,000.00 | 896.20 | 4.24 |
Series E (Total Return Bond Series) | 0.78% | 8.18% | 1,000.00 | 1,081.80 | 4.04 |
Series F (Floating Rate Strategies Series) | 1.22% | (5.47%) | 1,000.00 | 945.30 | 5.90 |
Series J (StylePlus—Mid Growth Series) | 0.90% | 0.53% | 1,000.00 | 1,005.30 | 4.49 |
Series N (Managed Asset Allocation Series) | 1.02% | (2.18%) | 1,000.00 | 978.20 | 5.02 |
Series O (All Cap Value Series) | 0.88% | (18.73%) | 1,000.00 | 812.70 | 3.97 |
Series P (High Yield Series) | 1.15% | (5.78%) | 1,000.00 | 942.20 | 5.55 |
Series Q (Small Cap Value Series) | 1.14% | (21.55%) | 1,000.00 | 784.50 | 5.06 |
Series V (SMid Cap Value Series) | 0.91% | (18.04%) | 1,000.00 | 819.60 | 4.12 |
Series X (StylePlus—Small Growth Series) | 1.06% | (5.62%) | 1,000.00 | 943.80 | 5.12 |
Series Y (StylePlus—Large Growth Series) | 0.92% | 8.27% | 1,000.00 | 1,082.70 | 4.76 |
Series Z (Alpha Opportunity Series) | 2.01% | (3.97%) | 1,000.00 | 960.30 | 9.80 |
|
Table 2. Based on hypothetical 5% return (before expenses) | |
Series A (StylePlus—Large Core Series) | 0.90% | 5.00% | $ 1,000.00 | $ 1,020.39 | $ 4.52 |
Series B (Large Cap Value Series) | 0.80% | 5.00% | 1,000.00 | 1,020.89 | 4.02 |
Series D (World Equity Income Series) | 0.90% | 5.00% | 1,000.00 | 1,020.39 | 4.52 |
Series E (Total Return Bond Series) | 0.78% | 5.00% | 1,000.00 | 1,020.98 | 3.92 |
Series F (Floating Rate Strategies Series) | 1.22% | 5.00% | 1,000.00 | 1,018.80 | 6.12 |
Series J (StylePlus—Mid Growth Series) | 0.90% | 5.00% | 1,000.00 | 1,020.39 | 4.52 |
Series N (Managed Asset Allocation Series) | 1.02% | 5.00% | 1,000.00 | 1,019.79 | 5.12 |
Series O (All Cap Value Series) | 0.88% | 5.00% | 1,000.00 | 1,020.49 | 4.42 |
Series P (High Yield Series) | 1.15% | 5.00% | 1,000.00 | 1,019.14 | 5.77 |
Series Q (Small Cap Value Series) | 1.14% | 5.00% | 1,000.00 | 1,019.19 | 5.72 |
Series V (SMid Cap Value Series) | 0.91% | 5.00% | 1,000.00 | 1,020.34 | 4.57 |
Series X (StylePlus—Small Growth Series) | 1.06% | 5.00% | 1,000.00 | 1,019.59 | 5.32 |
Series Y (StylePlus—Large Growth Series) | 0.92% | 5.00% | 1,000.00 | 1,020.29 | 4.62 |
Series Z (Alpha Opportunity Series) | 2.01% | 5.00% | 1,000.00 | 1,014.87 | 10.07 |
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 | 06/30/20 |
| | Series A (StylePlus—Large Core Series) | 0.88% |
| | Series B (Large Cap Value Series) | 0.80% |
| | Series D (World Equity Income Series) | 0.90% |
| | Series E (Total Return Bond Series) | 0.77% |
| | Series F (Floating Rate Strategies Series) | 1.15% |
| | Series J (StylePlus—Mid Growth Series) | 0.90% |
| | Series O (All Cap Value Series) | 0.88% |
| | Series P (High Yield Series) | 1.07% |
| | Series Q (Small Cap Value Series) | 1.14% |
| | Series V (SMid Cap Value Series) | 0.91% |
| | Series X (StylePlus—Small Growth Series) | 1.03% |
| | Series Y (StylePlus—Large Growth Series) | 0.89% |
| | 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 182/366 (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, 2019 to June 30, 2020. |
8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 Strategy Fund III | 28.7% |
Guggenheim Variable Insurance Strategy Fund III | 28.7% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 23.2% |
Guggenheim Strategy Fund II | 1.0% |
Apple, Inc. | 0.9% |
Microsoft Corp. | 0.8% |
Amazon.com, Inc. | 0.6% |
Alphabet, Inc. — Class C | 0.5% |
Johnson & Johnson | 0.4% |
Facebook, Inc. — Class A | 0.3% |
Top Ten Total | 85.1% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series A (StylePlus—Large Core Series) | (3.77%) | 6.48% | 10.06% | 12.75% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) | |
| | Shares | | | Value | |
COMMON STOCKS† - 14.9% |
| | | | | | | | | |
Consumer, Non-cyclical - 4.2% |
Johnson & Johnson | | | 4,891 | | | $ | 687,821 | |
Eli Lilly & Co. | | | 2,756 | | | | 452,480 | |
Pfizer, Inc. | | | 13,439 | | | | 439,455 | |
Amgen, Inc. | | | 1,842 | | | | 434,454 | |
Medtronic plc | | | 4,544 | | | | 416,685 | |
UnitedHealth Group, Inc. | | | 1,308 | | | | 385,794 | |
Gilead Sciences, Inc. | | | 4,180 | | | | 321,609 | |
Bristol-Myers Squibb Co. | | | 5,226 | | | | 307,289 | |
Altria Group, Inc. | | | 7,113 | | | | 279,185 | |
Abbott Laboratories | | | 2,962 | | | | 270,816 | |
Philip Morris International, Inc. | | | 3,685 | | | | 258,171 | |
Merck & Company, Inc. | | | 2,966 | | | | 229,361 | |
McKesson Corp. | | | 1,473 | | | | 225,988 | |
CVS Health Corp. | | | 3,368 | | | | 218,819 | |
AbbVie, Inc. | | | 2,054 | | | | 201,662 | |
Biogen, Inc.* | | | 741 | | | | 198,255 | |
Cigna Corp. | | | 1,045 | | | | 196,094 | |
Regeneron Pharmaceuticals, Inc.* | | | 272 | | | | 169,633 | |
Cardinal Health, Inc. | | | 3,112 | | | | 162,415 | |
Anthem, Inc. | | | 611 | | | | 160,681 | |
Alexion Pharmaceuticals, Inc.* | | | 1,418 | | | | 159,156 | |
Humana, Inc. | | | 409 | | | | 158,590 | |
Procter & Gamble Co. | | | 1,318 | | | | 157,593 | |
Molson Coors Beverage Co. — Class B | | | 3,939 | | | | 135,344 | |
Becton Dickinson and Co. | | | 558 | | | | 133,513 | |
United Rentals, Inc.* | | | 895 | | | | 133,391 | |
Vertex Pharmaceuticals, Inc.* | | | 451 | | | | 130,930 | |
General Mills, Inc. | | | 1,817 | | | | 112,018 | |
HCA Healthcare, Inc. | | | 1,116 | | | | 108,319 | |
Kimberly-Clark Corp. | | | 766 | | | | 108,274 | |
PayPal Holdings, Inc.* | | | 588 | | | | 102,447 | |
Kraft Heinz Co. | | | 3,198 | | | | 101,984 | |
Campbell Soup Co. | | | 2,019 | | | | 100,203 | |
Kroger Co. | | | 2,860 | | | | 96,811 | |
AmerisourceBergen Corp. — Class A | | | 923 | | | | 93,011 | |
DaVita, Inc.* | | | 1,173 | | | | 92,831 | |
JM Smucker Co. | | | 855 | | | | 90,468 | |
Universal Health Services, Inc. — Class B | | | 957 | | | | 88,896 | |
Laboratory Corporation of America Holdings* | | | 503 | | | | 83,553 | |
Tyson Foods, Inc. — Class A | | | 1,354 | | | | 80,847 | |
Total Consumer, Non-cyclical | | | | | | | 8,284,846 | |
| | | | | | | | | |
Technology - 3.3% |
Apple, Inc. | | | 4,605 | | | | 1,679,904 | |
Microsoft Corp. | | | 7,244 | | | | 1,474,226 | |
Intel Corp. | | | 7,640 | | | | 457,101 | |
International Business Machines Corp. | | | 3,253 | | | | 392,865 | |
Oracle Corp. | | | 5,840 | | | | 322,777 | |
Cerner Corp. | | | 4,509 | | | | 309,092 | |
Cognizant Technology Solutions Corp. — Class A | | | 3,968 | | | | 225,462 | |
QUALCOMM, Inc. | | | 2,410 | | | | 219,816 | |
Broadcom, Inc. | | | 666 | | | | 210,196 | |
Seagate Technology plc | | | 4,211 | | | | 203,854 | |
Applied Materials, Inc. | | | 2,976 | | | | 179,899 | |
NetApp, Inc. | | | 3,251 | | | | 144,247 | |
Micron Technology, Inc.* | | | 2,427 | | | | 125,039 | |
NVIDIA Corp. | | | 304 | | | | 115,493 | |
HP, Inc. | | | 6,305 | | | | 109,896 | |
Electronic Arts, Inc.* | | | 769 | | | | 101,546 | |
KLA Corp. | | | 503 | | | | 97,824 | |
Adobe, Inc.* | | | 154 | | | | 67,038 | |
Total Technology | | | | | | | 6,436,275 | |
| | | | | | | | | |
Communications - 2.8% |
Amazon.com, Inc.* | | | 444 | | | | 1,224,916 | |
Alphabet, Inc. — Class C* | | | 661 | | | | 934,396 | |
Facebook, Inc. — Class A* | | | 2,718 | | | | 617,176 | |
Verizon Communications, Inc. | | | 10,101 | | | | 556,868 | |
Comcast Corp. — Class A | | | 11,479 | | | | 447,452 | |
Cisco Systems, Inc. | | | 9,161 | | | | 427,269 | |
AT&T, Inc. | | | 11,487 | | | | 347,252 | |
Booking Holdings, Inc.* | | | 148 | | | | 235,666 | |
Juniper Networks, Inc. | | | 7,966 | | | | 182,103 | |
eBay, Inc. | | | 3,324 | | | | 174,344 | |
Omnicom Group, Inc. | | | 1,833 | | | | 100,082 | |
Fox Corp. — Class A | | | 3,632 | | | | 97,410 | |
Walt Disney Co. | | | 722 | | | | 80,510 | |
Total Communications | | | | | | | 5,425,444 | |
| | | | | | | | | |
Industrial - 1.8% |
Caterpillar, Inc. | | | 2,838 | | | | 359,007 | |
Union Pacific Corp. | | | 2,038 | | | | 344,565 | |
Norfolk Southern Corp. | | | 1,909 | | | | 335,163 | |
Garmin Ltd. | | | 2,698 | | | | 263,055 | |
CSX Corp. | | | 3,519 | | | | 245,415 | |
Eaton Corporation plc | | | 2,670 | | | | 233,572 | |
J.B. Hunt Transport Services, Inc. | | | 1,773 | | | | 213,363 | |
Snap-on, Inc. | | | 1,473 | | | | 204,025 | |
3M Co. | | | 958 | | | | 149,438 | |
United Parcel Service, Inc. — Class B | | | 1,299 | | | | 144,423 | |
FedEx Corp. | | | 1,025 | | | | 143,725 | |
Emerson Electric Co. | | | 2,262 | | | | 140,312 | |
Waters Corp.* | | | 644 | | | | 116,178 | |
TE Connectivity Ltd. | | | 1,213 | | | | 98,920 | |
Raytheon Technologies Corp. | | | 1,582 | | | | 97,483 | |
Textron, Inc. | | | 2,778 | | | | 91,424 | |
Expeditors International of Washington, Inc. | | | 1,179 | | | | 89,651 | |
Honeywell International, Inc. | | | 564 | | | | 81,549 | |
Westrock Co. | | | 2,785 | | | | 78,704 | |
Total Industrial | | | | | | | 3,429,972 | |
10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) | |
| | Shares | | | Value | |
Consumer, Cyclical - 1.4% |
Home Depot, Inc. | | | 1,387 | | | $ | 347,457 | |
Cummins, Inc. | | | 1,839 | | | | 318,625 | |
PACCAR, Inc. | | | 3,084 | | | | 230,838 | |
Best Buy Company, Inc. | | | 2,607 | | | | 227,513 | |
General Motors Co. | | | 8,408 | | | | 212,722 | |
Lowe’s Companies, Inc. | | | 1,401 | | | | 189,303 | |
Southwest Airlines Co. | | | 4,674 | | | | 159,758 | |
Whirlpool Corp. | | | 1,171 | | | | 151,680 | |
DR Horton, Inc. | | | 2,588 | | | | 143,505 | |
Walmart, Inc. | | | 1,169 | | | | 140,023 | |
PulteGroup, Inc. | | | 3,542 | | | | 120,534 | |
Lennar Corp. — Class A | | | 1,884 | | | | 116,092 | |
Aptiv plc | | | 1,331 | | | | 103,711 | |
Hanesbrands, Inc. | | | 8,928 | | | | 100,797 | |
Mohawk Industries, Inc.* | | | 949 | | | | 96,570 | |
Alaska Air Group, Inc. | | | 2,055 | | | | 74,514 | |
PVH Corp. | | | 1,438 | | | | 69,096 | |
Total Consumer, Cyclical | | | | | | | 2,802,738 | |
| | | | | | | | | |
Financial - 1.0% |
Bank of America Corp. | | | 11,372 | | | | 270,085 | |
JPMorgan Chase & Co. | | | 2,431 | | | | 228,660 | |
Berkshire Hathaway, Inc. — Class B* | | | 1,143 | | | | 204,037 | |
MetLife, Inc. | | | 5,525 | | | | 201,773 | |
Visa, Inc. — Class A | | | 951 | | | | 183,705 | |
Allstate Corp. | | | 1,503 | | | | 145,776 | |
Mastercard, Inc. — Class A | | | 394 | | | | 116,506 | |
Western Union Co. | | | 4,918 | | | | 106,327 | |
Morgan Stanley | | | 1,833 | | | | 88,534 | |
Ameriprise Financial, Inc. | | | 565 | | | | 84,772 | |
Travelers Companies, Inc. | | | 718 | | | | 81,888 | |
U.S. Bancorp | | | 1,408 | | | | 51,843 | |
Citigroup, Inc. | | | 1,000 | | | | 51,100 | |
Wells Fargo & Co. | | | 1,839 | | | | 47,078 | |
Total Financial | | | | | | | 1,862,084 | |
| | | | | | | | | |
Utilities - 0.3% |
Exelon Corp. | | | 5,564 | | | | 201,918 | |
PPL Corp. | | | 6,930 | | | | 179,071 | |
Consolidated Edison, Inc. | | | 2,352 | | | | 169,179 | |
Public Service Enterprise Group, Inc. | | | 2,074 | | | | 101,958 | |
Total Utilities | | | | | | | 652,126 | |
| | | | | | | | | |
Energy - 0.1% |
ConocoPhillips | | | 2,937 | | | | 123,413 | |
Chevron Corp. | | | 890 | | | | 79,414 | |
Exxon Mobil Corp. | | | 1,679 | | | | 75,085 | |
Total Energy | | | | | | | 277,912 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $27,511,827) | | | | | | | 29,171,397 | |
| | | | | | | | | |
MUTUAL FUNDS† - 81.7% |
Guggenheim Strategy Fund III1 | | | 2,270,814 | | | | 56,316,178 | |
Guggenheim Variable Insurance Strategy Fund III1 | | | 2,271,581 | | | | 56,198,910 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 4,586,286 | | | | 45,495,961 | |
Guggenheim Strategy Fund II1 | | | 82,749 | | | | 2,046,388 | |
Total Mutual Funds | | | | |
(Cost $160,472,700) | | | | | | | 160,057,437 | |
| | | | | | | | | |
MONEY MARKET FUND† - 1.9% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.08%2 | | | 3,705,751 | | | | 3,705,751 | |
Total Money Market Fund | | | | |
(Cost $3,705,751) | | | | | | | 3,705,751 | |
| | | | | | | | | |
Total Investments - 98.5% | | | | |
(Cost $191,690,278) | | $ | 192,934,585 | |
Other Assets & Liabilities, net - 1.5% | | | 3,028,830 | |
Total Net Assets - 100.0% | | $ | 195,963,415 | |
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 | | | 68 | | | | Sep 2020 | | | $ | 10,486,450 | | | $ | 74,911 | |
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†† |
Goldman Sachs International | S&P 500 Index Total Return | 0.19% (3 Month USD LIBOR - 1.20%) | At Maturity | | | 07/02/20 | | | | 24,625 | | | $ | 156,395,838 | | | $ | 29,597,393 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES A (STYLEPLUS—LARGE CORE 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, 2020. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (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 | | $ | 29,171,397 | | | $ | — | | | $ | — | | | $ | 29,171,397 | |
Mutual Funds | | | 160,057,437 | | | | — | | | | — | | | | 160,057,437 | |
Money Market Fund | | | 3,705,751 | | | | — | | | | — | | | | 3,705,751 | |
Futures Contracts** | | | 74,911 | | | | — | | | | — | | | | 74,911 | |
Total Return Swap Agreements** | | | — | | | | 29,597,393 | | | | — | | | | 29,597,393 | |
Total Assets | | $ | 193,009,496 | | | $ | 29,597,393 | | | $ | — | | | $ | 222,606,889 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
SERIES A (STYLEPLUS—LARGE CORE 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/19 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/20 | | | Shares
06/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 12,015,307 | | | $ | 59,005 | | | $ | (10,080,012 | ) | | $ | (11,823 | ) | | $ | 63,911 | | | $ | 2,046,388 | | | | 82,749 | | | $ | 59,685 | |
Guggenheim Strategy Fund III | | | 61,933,211 | | | | 584,311 | | | | (6,330,471 | ) | | | (93,034 | ) | | | 222,161 | | | | 56,316,178 | | | | 2,270,814 | | | | 587,371 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 17,010,235 | | | | 42,609,680 | | | | (14,625,998 | ) | | | 16,957 | | | | 485,087 | | | | 45,495,961 | | | | 4,586,286 | | | | 175,586 | |
Guggenheim Variable Insurance Strategy Fund III | | | 69,062,402 | | | | 609,161 | | | | (13,356,679 | ) | | | (197,053 | ) | | | 81,079 | | | | 56,198,910 | | | | 2,271,581 | | | | 613,064 | |
| | | $ | 160,021,155 | | | $ | 43,862,157 | | | $ | (44,393,160 | ) | | $ | (284,953 | ) | | $ | 852,238 | | | $ | 160,057,437 | | | | | | | $ | 1,435,706 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $31,217,578) | | $ | 32,877,148 | |
Investments in affiliated issuers, at value (cost $160,472,700) | | | 160,057,437 | |
Cash | | | 1,474 | |
Segregated cash with broker | | | 816,000 | |
Unrealized appreciation on OTC swap agreements | | | 29,597,393 | |
Prepaid expenses | | | 7,283 | |
Receivables: |
Dividends | | | 264,378 | |
Variation margin on futures contracts | | | 124,270 | |
Interest | | | 538 | |
Fund shares sold | | | 61 | |
Total assets | | | 223,745,982 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 27,170,000 | |
Payable for: |
Securities purchased | | | 230,175 | |
Fund shares redeemed | | | 85,496 | |
Management fees | | | 64,095 | |
Swap settlement | | | 56,047 | |
Distribution and service fees | | | 40,189 | |
Trustees’ fees* | | | 18,167 | |
Fund accounting/administration fees | | | 11,759 | |
Transfer agent/maintenance fees | | | 2,353 | |
Miscellaneous (Note 11) | | | 104,286 | |
Total liabilities | | | 27,782,567 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 195,963,415 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 170,750,235 | |
Total distributable earnings (loss) | | | 25,213,180 | |
Net assets | | $ | 195,963,415 | |
Capital shares outstanding | | | 4,603,762 | |
Net asset value per share | | $ | 42.57 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 418,233 | |
Dividends from securities of affiliated issuers | | | 1,435,706 | |
Interest | | | 31,759 | |
Total investment income | | | 1,885,698 | |
| | | | | |
Expenses: |
Management fees | | | 721,954 | |
Distribution and service fees | | | 240,651 | |
Transfer agent/maintenance fees | | | 12,593 | |
Fund accounting/administration fees | | | 71,242 | |
Professional fees | | | 32,300 | |
Interest expense | | | 15,549 | |
Trustees’ fees* | | | 10,847 | |
Custodian fees | | | 7,440 | |
Line of credit fees | | | 2,431 | |
Miscellaneous | | | 58,670 | |
Total expenses | | | 1,173,677 | |
Less: |
Expenses waived by Adviser | | | (309,848 | ) |
Earnings credits applied | | | (1,807 | ) |
Total waived expenses | | | (311,655 | ) |
Net expenses | | | 862,022 | |
Net investment income | | | 1,023,676 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (2,232,181 | ) |
Investments in affiliated issuers | | | (284,953 | ) |
Swap agreements | | | (17,480,912 | ) |
Futures contracts | | | 1,170,688 | |
Net realized loss | | | (18,827,358 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (3,572,576 | ) |
Investments in affiliated issuers | | | 852,238 | |
Swap agreements | | | 11,699,705 | |
Futures contracts | | | 59,094 | |
Net change in unrealized appreciation (depreciation) | | | 9,038,461 | |
Net realized and unrealized loss | | | (9,788,897 | ) |
Net decrease in net assets resulting from operations | | $ | (8,765,221 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES A (STYLEPLUS—LARGE CORE SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,023,676 | | | $ | 3,421,328 | |
Net realized gain (loss) on investments | | | (18,827,358 | ) | | | 10,837,317 | |
Net change in unrealized appreciation (depreciation) on investments | | | 9,038,461 | | | | 39,670,957 | |
Net increase (decrease) in net assets resulting from operations | | | (8,765,221 | ) | | | 53,929,602 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (15,823,058 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 1,948,973 | | | | 2,928,839 | |
Distributions reinvested | | | — | | | | 15,823,058 | |
Cost of shares redeemed | | | (15,302,790 | ) | | | (29,420,471 | ) |
Net decrease from capital share transactions | | | (13,353,817 | ) | | | (10,668,574 | ) |
Net increase (decrease) in net assets | | | (22,119,038 | ) | | | 27,437,970 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 218,082,453 | | | | 190,644,483 | |
End of period | | $ | 195,963,415 | | | $ | 218,082,453 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 49,863 | | | | 70,822 | |
Shares issued from reinvestment of distributions | | | — | | | | 387,345 | |
Shares redeemed | | | (375,348 | ) | | | (709,256 | ) |
Net decrease in shares | | | (325,485 | ) | | | (251,089 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 44.24 | | | $ | 36.80 | | | $ | 45.50 | | | $ | 38.20 | | | $ | 34.34 | | | $ | 37.53 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .22 | | | | .68 | | | | .83 | | | | .62 | | | | .46 | | | | .30 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.89 | ) | | | 10.06 | | | | (3.10 | ) | | | 7.76 | | | | 4.09 | | | | .36 | |
Total from investment operations | | | (1.67 | ) | | | 10.74 | | | | (2.27 | ) | | | 8.38 | | | | 4.55 | | | | .66 | |
Less distributions from: |
Net investment income | | | — | | | | (.91 | ) | | | (.75 | ) | | | (.50 | ) | | | (.32 | ) | | | (.52 | ) |
Net realized gains | | | — | | | | (2.39 | ) | | | (5.68 | ) | | | (.58 | ) | | | (.37 | ) | | | (3.33 | ) |
Total distributions | | | — | | | | (3.30 | ) | | | (6.43 | ) | | | (1.08 | ) | | | (.69 | ) | | | (3.85 | ) |
Net asset value, end of period | | $ | 42.57 | | | $ | 44.24 | | | $ | 36.80 | | | $ | 45.50 | | | $ | 38.20 | | | $ | 34.34 | |
|
Total Returnc | | | (3.77 | %) | | | 29.97 | % | | | (6.56 | %) | | | 22.22 | % | | | 13.34 | % | | | 1.50 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 195,963 | | | $ | 218,082 | | | $ | 190,644 | | | $ | 251,795 | | | $ | 223,705 | | | $ | 218,880 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.06 | % | | | 1.65 | % | | | 1.89 | % | | | 1.48 | % | | | 1.31 | % | | | 0.83 | % |
Total expensesd | | | 1.22 | % | | | 1.27 | % | | | 1.26 | % | | | 1.12 | % | | | 0.93 | % | | | 0.96 | % |
Net expensese,f,g | | | 0.90 | % | | | 0.95 | % | | | 0.97 | % | | | 0.91 | % | | | 0.93 | % | | | 0.96 | % |
Portfolio turnover rate | | | 44 | % | | | 41 | % | | | 45 | % | | | 44 | % | | | 43 | % | | | 66 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 presented would be: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 |
| | 0.88% | 0.89% | 0.91% | 0.90% | 0.93% | 0.96% |
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 presented was as follows: |
| | 06/30/20 | 12/31/19 | 12/31/18 | 12/31/17 |
| | — | — | 0.02% | — |
16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE | June 30, 2020 |
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) |
Bank of America Corp. | 3.3% |
Verizon Communications, Inc. | 3.1% |
Chevron Corp. | 2.9% |
Pfizer, Inc. | 2.3% |
Citigroup, Inc. | 2.3% |
Johnson & Johnson | 2.3% |
JPMorgan Chase & Co. | 2.2% |
Micron Technology, Inc. | 2.1% |
Berkshire Hathaway, Inc. — Class B | 2.0% |
Comcast Corp. — Class A | 1.8% |
Top Ten Total | 24.3% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series B (Large Cap Value Series) | (17.81%) | (10.70%) | 3.93% | 9.18% |
Russell 1000 Value Index | (16.26%) | (8.84%) | 4.64% | 10.41% |
* | 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 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 | 17 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES B (LARGE CAP VALUE SERIES) | |
| | Shares | | | Value | |
COMMON STOCKS† - 97.8% |
| | | | | | | | | |
Financial - 25.2% |
Bank of America Corp. | | | 247,492 | | | $ | 5,877,935 | |
Citigroup, Inc. | | | 78,919 | | | | 4,032,761 | |
JPMorgan Chase & Co. | | | 40,704 | | | | 3,828,618 | |
Berkshire Hathaway, Inc. — Class B* | | | 20,208 | | | | 3,607,330 | |
Allstate Corp. | | | 23,741 | | | | 2,302,640 | |
Truist Financial Corp. | | | 53,865 | | | | 2,022,631 | |
Wells Fargo & Co. | | | 78,884 | | | | 2,019,430 | |
Voya Financial, Inc. | | | 38,150 | | | | 1,779,697 | |
Morgan Stanley | | | 34,665 | | | | 1,674,320 | |
MetLife, Inc. | | | 45,139 | | | | 1,648,476 | |
Equity Commonwealth REIT | | | 49,905 | | | | 1,606,941 | |
Principal Financial Group, Inc. | | | 37,840 | | | | 1,571,874 | |
Prudential Financial, Inc. | | | 25,393 | | | | 1,546,434 | |
Hartford Financial Services Group, Inc. | | | 34,287 | | | | 1,321,764 | |
Loews Corp. | | | 36,285 | | | | 1,244,213 | |
Zions Bancorp North America | | | 36,234 | | | | 1,231,956 | |
Medical Properties Trust, Inc. REIT | | | 65,452 | | | | 1,230,497 | |
Mastercard, Inc. — Class A | | | 3,197 | | | | 945,353 | |
Charles Schwab Corp. | | | 27,103 | | | | 914,455 | |
KeyCorp | | | 64,668 | | | | 787,656 | |
Regions Financial Corp. | | | 70,117 | | | | 779,701 | |
American International Group, Inc. | | | 18,813 | | | | 586,589 | |
BOK Financial Corp. | | | 9,366 | | | | 528,617 | |
Jones Lang LaSalle, Inc. | | | 4,866 | | | | 503,436 | |
Howard Hughes Corp.* | | | 9,645 | | | | 501,058 | |
Gaming and Leisure Properties, Inc. REIT | | | 12,250 | | | | 423,850 | |
Park Hotels & Resorts, Inc. REIT | | | 30,801 | | | | 304,622 | |
Total Financial | | | | | | | 44,822,854 | |
| | | | | | | | | |
Consumer, Non-cyclical - 20.1% |
Pfizer, Inc. | | | 127,456 | | | | 4,167,811 | |
Johnson & Johnson | | | 28,659 | | | | 4,030,315 | |
Humana, Inc. | | | 6,970 | | | | 2,702,617 | |
McKesson Corp. | | | 16,663 | | | | 2,556,438 | |
Quest Diagnostics, Inc. | | | 22,092 | | | | 2,517,604 | |
Alexion Pharmaceuticals, Inc.* | | | 18,567 | | | | 2,083,960 | |
Tyson Foods, Inc. — Class A | | | 34,884 | | | | 2,082,924 | |
Archer-Daniels-Midland Co. | | | 52,046 | | | | 2,076,635 | |
Medtronic plc | | | 21,543 | | | | 1,975,493 | |
HCA Healthcare, Inc. | | | 18,846 | | | | 1,829,193 | |
Zimmer Biomet Holdings, Inc. | | | 13,693 | | | | 1,634,397 | |
Amgen, Inc. | | | 6,861 | | | | 1,618,235 | |
Merck & Company, Inc. | | | 20,657 | | | | 1,597,406 | |
Encompass Health Corp. | | | 25,501 | | | | 1,579,277 | |
Procter & Gamble Co. | | | 9,301 | | | | 1,112,121 | |
Ingredion, Inc. | | | 13,001 | | | | 1,079,083 | |
Bunge Ltd. | | | 25,800 | | | | 1,061,154 | |
Total Consumer, Non-cyclical | | | | | | | 35,704,663 | |
| | | | | | | | | |
Communications - 9.1% |
Verizon Communications, Inc. | | | 99,873 | | | | 5,505,999 | |
Comcast Corp. — Class A | | | 82,304 | | | | 3,208,210 | |
Cisco Systems, Inc. | | | 46,985 | | | | 2,191,380 | |
F5 Networks, Inc.* | | | 12,607 | | | | 1,758,424 | |
Juniper Networks, Inc. | | | 43,590 | | | | 996,467 | |
Walt Disney Co. | | | 8,284 | | | | 923,749 | |
T-Mobile US, Inc.* | | | 8,470 | | | | 882,151 | |
AT&T, Inc. | | | 24,582 | | | | 743,114 | |
Total Communications | | | | | | | 16,209,494 | |
| | | | | | | | | |
Consumer, Cyclical - 8.8% |
Walmart, Inc. | | | 26,728 | | | | 3,201,480 | |
Home Depot, Inc. | | | 9,875 | | | | 2,473,786 | |
DR Horton, Inc. | | | 41,818 | | | | 2,318,808 | |
Southwest Airlines Co. | | | 47,188 | | | | 1,612,886 | |
PACCAR, Inc. | | | 20,253 | | | | 1,515,937 | |
Lear Corp. | | | 12,115 | | | | 1,320,777 | |
LKQ Corp.* | | | 49,954 | | | | 1,308,795 | |
Penske Automotive Group, Inc. | | | 24,754 | | | | 958,228 | |
PVH Corp. | | | 14,248 | | | | 684,616 | |
Macy’s, Inc. | | | 44,265 | | | | 304,543 | |
Total Consumer, Cyclical | | | | | | | 15,699,856 | |
| | | | | | | | | |
Technology - 8.1% |
Micron Technology, Inc.* | | | 72,631 | | | | 3,741,949 | |
Apple, Inc. | | | 6,977 | | | | 2,545,209 | |
Skyworks Solutions, Inc. | | | 19,813 | | | | 2,533,290 | |
Intel Corp. | | | 36,021 | | | | 2,155,137 | |
Qorvo, Inc.* | | | 13,783 | | | | 1,523,435 | |
Amdocs Ltd. | | | 15,609 | | | | 950,276 | |
International Business Machines Corp. | | | 7,456 | | | | 900,461 | |
Total Technology | | | | | | | 14,349,757 | |
| | | | | | | | | |
Energy - 8.0% |
Chevron Corp. | | | 57,407 | | | | 5,122,427 | |
ConocoPhillips | | | 55,659 | | | | 2,338,791 | |
Marathon Petroleum Corp. | | | 49,685 | | | | 1,857,225 | |
Cabot Oil & Gas Corp. — Class A | | | 91,049 | | | | 1,564,222 | |
Exxon Mobil Corp. | | | 26,250 | | | | 1,173,900 | |
Marathon Oil Corp. | | | 158,094 | | | | 967,535 | |
Parsley Energy, Inc. — Class A | | | 56,789 | | | | 606,506 | |
Range Resources Corp. | | | 107,163 | | | | 603,328 | |
Total Energy | | | | | | | 14,233,934 | |
| | | | | | | | | |
Utilities - 7.2% |
Exelon Corp. | | | 84,432 | | | | 3,064,037 | |
Public Service Enterprise Group, Inc. | | | 56,473 | | | | 2,776,213 | |
Duke Energy Corp. | | | 21,954 | | | | 1,753,905 | |
Pinnacle West Capital Corp. | | | 23,291 | | | | 1,706,997 | |
Edison International | | | 27,657 | | | | 1,502,052 | |
NiSource, Inc. | | | 51,045 | | | | 1,160,764 | |
PPL Corp. | | | 33,862 | | | | 874,994 | |
Total Utilities | | | | | | | 12,838,962 | |
18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
SERIES B (LARGE CAP VALUE SERIES) | |
| | Shares | | | Value | |
Basic Materials - 6.7% |
Freeport-McMoRan, Inc. | | | 247,394 | | | $ | 2,862,349 | |
Huntsman Corp. | | | 148,651 | | | | 2,671,258 | |
Nucor Corp. | | | 38,756 | | | | 1,604,886 | |
Westlake Chemical Corp. | | | 25,119 | | | | 1,347,634 | |
Olin Corp. | | | 90,597 | | | | 1,040,960 | |
Reliance Steel & Aluminum Co. | | | 10,519 | | | | 998,569 | |
DuPont de Nemours, Inc. | | | 18,012 | | | | 956,978 | |
Dow, Inc. | | | 9,877 | | | | 402,586 | |
Total Basic Materials | | | | | | | 11,885,220 | |
| | | | | | | | | |
Industrial - 4.6% |
Knight-Swift Transportation Holdings, Inc. | | | 46,371 | | | | 1,934,134 | |
FedEx Corp. | | | 10,635 | | | | 1,491,240 | |
Owens Corning | | | 26,430 | | | | 1,473,737 | |
Lockheed Martin Corp. | | | 2,610 | | | | 952,441 | |
Valmont Industries, Inc. | | | 7,628 | | | | 866,693 | |
Johnson Controls International plc | | | 24,247 | | | | 827,793 | |
General Electric Co. | | | 97,873 | | | | 668,473 | |
Total Industrial | | | | | | | 8,214,511 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $171,430,487) | | | | | | | 173,959,251 | |
| | | | | | | | | |
RIGHTS† - 0.0% |
Communications - 0.0% |
T-Mobile US, Inc. | | | | | | | | |
Expires 07/27/20* | | | 8,470 | | | | 1,423 | |
Total Rights | | | | |
(Cost $—) | | | | | | | 1,423 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 1.0% |
iShares Russell 1000 Value ETF | | | 16,114 | | | | 1,814,758 | |
Total Exchange-Traded Funds | | | | |
(Cost $2,092,871) | | | | | | | 1,814,758 | |
| | | | | | | | | |
MONEY MARKET FUND† - 1.3% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.08%1 | | | 2,284,157 | | | | 2,284,157 | |
Total Money Market Fund | | | | |
(Cost $2,284,157) | | | | | | | 2,284,157 | |
| | | | | | | | | |
Total Investments - 100.1% | | | | |
(Cost $175,807,515) | | $ | 178,059,589 | |
Other Assets & Liabilities, net - (0.1)% | | | (112,907 | ) |
Total Net Assets - 100.0% | | $ | 177,946,682 | |
* | 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, 2020. |
| | 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, 2020 (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 | | $ | 173,959,251 | | | $ | — | | | $ | — | | | $ | 173,959,251 | |
Rights | | | 1,423 | | | | — | | | | — | | | | 1,423 | |
Exchange-Traded Funds | | | 1,814,758 | | | | — | | | | — | | | | 1,814,758 | |
Money Market Fund | | | 2,284,157 | | | | — | | | | — | | | | 2,284,157 | |
Total Assets | | $ | 178,059,589 | | | $ | — | | | $ | — | | | $ | 178,059,589 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19 |
SERIES B (LARGE CAP VALUE SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: |
Investments, at value (cost $175,807,515) | | $ | 178,059,589 | |
Prepaid expenses | | | 695 | |
Receivables: |
Dividends | | | 178,727 | |
Interest | | | 98 | |
Fund shares sold | | | 55 | |
Total assets | | | 178,239,164 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 128,308 | |
Management fees | | | 52,229 | |
Distribution and service fees | | | 37,522 | |
Printing fees | | | 31,524 | |
Fund accounting/administration fees | | | 10,980 | |
Trustees’ fees* | | | 5,574 | |
Transfer agent/maintenance fees | | | 2,359 | |
Miscellaneous | | | 23,986 | |
Total liabilities | | | 292,482 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 177,946,682 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 157,117,787 | |
Total distributable earnings (loss) | | | 20,828,895 | |
Net assets | | $ | 177,946,682 | |
Capital shares outstanding | | | 5,338,974 | |
Net asset value per share | | $ | 33.33 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Dividends | | $ | 3,810,807 | |
Interest | | | 13,518 | |
Total investment income | | | 3,824,325 | |
| | | | | |
Expenses: |
Management fees | | | 615,680 | |
Distribution and service fees | | | 236,800 | |
Transfer agent/maintenance fees | | | 12,578 | |
Fund accounting/administration fees | | | 70,100 | |
Professional fees | | | 30,089 | |
Trustees’ fees* | | | 11,051 | |
Custodian fees | | | 2,669 | |
Line of credit fees | | | 2,466 | |
Miscellaneous | | | 51,761 | |
Total expenses | | | 1,033,194 | |
Less: |
Expenses waived by Adviser | | | (278,632 | ) |
Net expenses | | | 754,562 | |
Net investment income | | | 3,069,763 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (1,774,650 | ) |
Net realized loss | | | (1,774,650 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (42,144,321 | ) |
Net change in unrealized appreciation (depreciation) | | | (42,144,321 | ) |
Net realized and unrealized loss | | | (43,918,971 | ) |
Net decrease in net assets resulting from operations | | $ | (40,849,208 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES B (LARGE CAP VALUE SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 3,069,763 | | | $ | 4,036,022 | |
Net realized gain (loss) on investments | | | (1,774,650 | ) | | | 15,885,112 | |
Net change in unrealized appreciation (depreciation) on investments | | | (42,144,321 | ) | | | 23,033,020 | |
Net increase (decrease) in net assets resulting from operations | | | (40,849,208 | ) | | | 42,954,154 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (17,179,352 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 9,574,390 | | | | 10,450,047 | |
Distributions reinvested | | | — | | | | 17,179,352 | |
Cost of shares redeemed | | | (17,746,311 | ) | | | (33,603,539 | ) |
Net decrease from capital share transactions | | | (8,171,921 | ) | | | (5,974,140 | ) |
Net increase (decrease) in net assets | | | (49,021,129 | ) | | | 19,800,662 | |
| | | | | | �� | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 226,967,811 | | | | 207,167,149 | |
End of period | | $ | 177,946,682 | | | $ | 226,967,811 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 261,447 | | | | 272,332 | |
Shares issued from reinvestment of distributions | | | — | | | | 454,721 | |
Shares redeemed | | | (519,163 | ) | | | (863,141 | ) |
Net decrease in shares | | | (257,716 | ) | | | (136,088 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 40.55 | | | $ | 36.14 | | | $ | 43.36 | | | $ | 39.08 | | | $ | 33.20 | | | $ | 41.40 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .56 | | | | .72 | | | | .65 | | | | .48 | | | | .50 | | | | .61 | |
Net gain (loss) on investments (realized and unrealized) | | | (7.78 | ) | | | 6.93 | | | | (4.42 | ) | | | 5.52 | | | | 6.48 | | | | (2.29 | ) |
Total from investment operations | | | (7.22 | ) | | | 7.65 | | | | (3.77 | ) | | | 6.00 | | | | 6.98 | | | | (1.68 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.72 | ) | | | (.58 | ) | | | (.53 | ) | | | (.61 | ) | | | (.47 | ) |
Net realized gains | | | — | | | | (2.52 | ) | | | (2.87 | ) | | | (1.19 | ) | | | (.49 | ) | | | (6.05 | ) |
Total distributions | | | — | | | | (3.24 | ) | | | (3.45 | ) | | | (1.72 | ) | | | (1.10 | ) | | | (6.52 | ) |
Net asset value, end of period | | $ | 33.33 | | | $ | 40.55 | | | $ | 36.14 | | | $ | 43.36 | | | $ | 39.08 | | | $ | 33.20 | |
|
Total Returnc | | | (17.81 | %) | | | 21.82 | % | | | (9.53 | %) | | | 15.81 | % | | | 21.41 | % | | | (5.08 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 177,947 | | | $ | 226,968 | | | $ | 207,167 | | | $ | 269,258 | | | $ | 260,692 | | | $ | 233,098 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.24 | % | | | 1.86 | % | | | 1.54 | % | | | 1.17 | % | | | 1.44 | % | | | 1.63 | % |
Total expensesd | | | 1.09 | % | | | 1.07 | % | | | 1.07 | % | | | 1.02 | % | | | 0.82 | % | | | 0.84 | % |
Net expensese,f | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.81 | % | | | 0.82 | % | | | 0.84 | % |
Portfolio turnover rate | | | 11 | % | | | 32 | % | | | 21 | % | | | 27 | % | | | 44 | % | | | 38 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 presented would be: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 |
| | 0.80% | 0.80% | 0.80% | 0.79% | 0.82% | 0.84% |
22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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, 2020, the investment diversification of the Fund by Country was as follows:
Country | % of Long-Term
Investments |
United States | 61.4% |
Australia | 5.5% |
Japan | 5.3% |
United Kingdom | 4.0% |
Denmark | 3.7% |
Switzerland | 3.6% |
Canada | 3.3% |
Other | 13.2% |
Total Long-Term Investments | 100.0% |
Inception Date: April 19, 1984 |
Ten Largest Holdings (% of Total Net Assets) |
Microsoft Corp. | 3.4% |
Apple, Inc. | 3.2% |
Amazon.com, Inc. | 2.7% |
Alphabet, Inc. — Class C | 1.5% |
Roche Holding AG | 1.4% |
Mastercard, Inc. — Class A | 1.3% |
Home Depot, Inc. | 1.2% |
Broadcom, Inc. | 1.2% |
AbbVie, Inc. | 1.2% |
Merck & Company, Inc. | 1.2% |
Top Ten Total | 18.3% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series D (World Equity Income Series) | (10.38%) | (3.29%) | 4.67% | 6.94% |
MSCI World Index | (5.77%) | 2.84% | 6.90% | 9.95% |
* | 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 | 23 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES D (WORLD EQUITY INCOME SERIES) | |
| | Shares | | | Value | |
COMMON STOCKS† - 98.8% |
| | | | | | | | | |
Consumer, Non-cyclical - 25.8% |
Roche Holding AG†† | | | 4,500 | | | $ | 1,559,253 | |
AbbVie, Inc. | | | 13,800 | | | | 1,354,884 | |
Merck & Company, Inc. | | | 16,900 | | | | 1,306,877 | |
PepsiCo, Inc. | | | 9,500 | | | | 1,256,470 | |
S&P Global, Inc. | | | 3,500 | | | | 1,153,180 | |
Procter & Gamble Co. | | | 9,400 | | | | 1,123,958 | |
Vertex Pharmaceuticals, Inc.* | | | 3,700 | | | | 1,074,147 | |
Zoetis, Inc. | | | 7,800 | | | | 1,068,912 | |
Novo Nordisk A/S — Class B†† | | | 16,000 | | | | 1,042,315 | |
ResMed, Inc. | | | 5,100 | | | | 979,200 | |
Clorox Co. | | | 4,300 | | | | 943,291 | |
Genmab A/S*,†† | | | 2,700 | | | | 910,379 | |
Medtronic plc | | | 9,700 | | | | 889,490 | |
Coloplast A/S — Class B†† | | | 5,400 | | | | 841,648 | |
Kimberly-Clark Corp. | | | 5,900 | | | | 833,965 | |
MarketAxess Holdings, Inc. | | | 1,600 | | | | 801,472 | |
Intuitive Surgical, Inc.* | | | 1,300 | | | | 740,779 | |
Hormel Foods Corp. | | | 15,300 | | | | 738,531 | |
Straumann Holding AG†† | | | 800 | | | | 691,691 | |
WH Group Ltd.††,1 | | | 787,100 | | | | 680,241 | |
Stryker Corp. | | | 3,600 | | | | 648,684 | |
Sonic Healthcare Ltd.†† | | | 28,900 | | | | 610,388 | |
Johnson & Johnson | | | 4,300 | | | | 604,709 | |
Philip Morris International, Inc. | | | 8,300 | | | | 581,498 | |
Colgate-Palmolive Co. | | | 7,600 | | | | 556,776 | |
Novartis AG†† | | | 6,200 | | | | 540,231 | |
Orion Oyj — Class B†† | | | 10,600 | | | | 514,258 | |
Carl Zeiss Meditec AG†† | | | 4,800 | | | | 467,584 | |
DexCom, Inc.* | | | 1,100 | | | | 445,940 | |
Cochlear Ltd.†† | | | 3,200 | | | | 420,202 | |
CSL Ltd.†† | | | 2,100 | | | | 417,743 | |
Recordati SpA†† | | | 8,300 | | | | 415,496 | |
Kellogg Co. | | | 5,800 | | | | 383,148 | |
Hershey Co. | | | 2,900 | | | | 375,898 | |
Diageo plc†† | | | 10,800 | | | | 358,900 | |
CoStar Group, Inc.* | | | 500 | | | | 355,335 | |
Sartorius Stedim Biotech†† | | | 1,300 | | | | 329,738 | |
Gilead Sciences, Inc. | | | 3,500 | | | | 269,290 | |
Nestle S.A.†† | | | 1,900 | | | | 210,685 | |
STERIS plc | | | 1,300 | | | | 199,472 | |
McCormick & Company, Inc. | | | 1,100 | | | | 197,351 | |
Amgen, Inc. | | | 800 | | | | 188,688 | |
Total Consumer, Non-cyclical | | | | | | | 29,082,697 | |
| | | | | | | | | |
Financial - 21.0% |
Mastercard, Inc. — Class A | | | 4,800 | | | | 1,419,360 | |
Simon Property Group, Inc. REIT | | | 14,500 | | | | 991,510 | |
Intercontinental Exchange, Inc. | | | 10,700 | | | | 980,120 | |
Australia & New Zealand Banking Group Ltd.†† | | | 72,200 | | | | 936,977 | |
T. Rowe Price Group, Inc. | | | 7,300 | | | | 901,550 | |
Commonwealth Bank of Australia†† | | | 18,500 | | | | 893,609 | |
Marsh & McLennan Companies, Inc. | | | 8,000 | | | | 858,960 | |
Cincinnati Financial Corp. | | | 12,900 | | | | 825,987 | |
Arthur J Gallagher & Co. | | | 8,300 | | | | 809,167 | |
Westpac Banking Corp.†† | | | 64,100 | | | | 803,538 | |
Invesco Ltd. | | | 70,600 | | | | 759,656 | |
Extra Space Storage, Inc. REIT | | | 8,200 | | | | 757,434 | |
Medical Properties Trust, Inc. REIT | | | 39,700 | | | | 746,360 | |
Zurich Insurance Group AG†† | | | 2,100 | | | | 744,204 | |
Public Storage REIT | | | 3,800 | | | | 729,182 | |
Sun Hung Kai Properties Ltd.†† | | | 54,700 | | | | 698,840 | |
Annaly Capital Management, Inc. REIT | | | 101,000 | | | | 662,560 | |
Cboe Global Markets, Inc. | | | 7,100 | | | | 662,288 | |
Covivio REIT†† | | | 8,800 | | | | 638,565 | |
VEREIT, Inc. | | | 95,500 | | | | 614,065 | |
AGNC Investment Corp. REIT | | | 45,500 | | | | 586,950 | |
SmartCentres Real Estate Investment Trust | | | 35,100 | | | | 540,784 | |
Aozora Bank Ltd.†† | | | 29,500 | | | | 514,396 | |
Legal & General Group plc†† | | | 187,300 | | | | 510,399 | |
H&R Real Estate Investment Trust | | | 70,900 | | | | 509,869 | |
Visa, Inc. — Class A | | | 2,400 | | | | 463,608 | |
RioCan Real Estate Investment Trust | | | 39,700 | | | | 449,308 | |
Mizuho Financial Group, Inc.†† | | | 342,300 | | | | 421,044 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen†† | | | 1,600 | | | | 416,808 | |
Tryg A/S†† | | | 14,000 | | | | 406,742 | |
Orix JREIT, Inc.†† | | | 300 | | | | 395,440 | |
Japan Post Bank Company Ltd.†† | | | 46,800 | | | | 348,062 | |
Everest Re Group Ltd. | | | 1,600 | | | | 329,920 | |
Nasdaq, Inc. | | | 2,400 | | | | 286,728 | |
Progressive Corp. | | | 3,500 | | | | 280,385 | |
Blackstone Group, Inc. — Class A | | | 4,800 | | | | 271,968 | |
Mitsubishi UFJ Lease & Finance Company Ltd.†† | | | 48,500 | | | | 231,435 | |
Admiral Group plc†† | | | 8,000 | | | | 226,775 | |
Total Financial | | | | | | | 23,624,553 | |
| | | | | | | | | |
Technology - 16.2% |
Microsoft Corp. | | | 18,700 | | | | 3,805,637 | |
Apple, Inc. | | | 9,900 | | | | 3,611,520 | |
Broadcom, Inc. | | | 4,400 | | | | 1,388,684 | |
Texas Instruments, Inc. | | | 9,400 | | | | 1,193,518 | |
RingCentral, Inc. — Class A* | | | 3,200 | | | | 912,032 | |
MSCI, Inc. — Class A | | | 2,700 | | | | 901,314 | |
Seagate Technology plc | | | 15,600 | | | | 755,196 | |
Canon, Inc.†† | | | 37,000 | | | | 738,077 | |
Itochu Techno-Solutions Corp.†† | | | 16,100 | | | | 605,470 | |
salesforce.com, Inc.* | | | 3,200 | | | | 599,456 | |
Maxim Integrated Products, Inc. | | | 9,700 | | | | 587,917 | |
Constellation Software, Inc. | | | 500 | | | | 564,733 | |
Intuit, Inc. | | | 1,900 | | | | 562,761 | |
Advanced Micro Devices, Inc.* | | | 10,200 | | | | 536,622 | |
Jack Henry & Associates, Inc. | | | 2,400 | | | | 441,672 | |
Adobe, Inc.* | | | 800 | | | | 348,248 | |
ASM Pacific Technology Ltd.†† | | | 32,400 | | | | 342,420 | |
NVIDIA Corp. | | | 500 | | | | 189,955 | |
ASML Holding N.V.†† | | | 500 | | | | 182,984 | |
Total Technology | | | | | | | 18,268,216 | |
24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES D (WORLD EQUITY INCOME SERIES) | |
| | Shares | | | Value | |
Communications - 9.9% |
Amazon.com, Inc.* | | | 1,100 | | | $ | 3,034,702 | |
Alphabet, Inc. — Class C* | | | 1,181 | | | | 1,669,473 | |
FactSet Research Systems, Inc. | | | 2,900 | | | | 952,563 | |
Nippon Telegraph & Telephone Corp.†† | | | 40,100 | | | | 934,308 | |
NTT DOCOMO, Inc.†† | | | 27,200 | | | | 722,106 | |
Facebook, Inc. — Class A* | | | 3,035 | | | | 689,158 | |
AT&T, Inc. | | | 22,253 | | | | 672,708 | |
Verizon Communications, Inc. | | | 11,800 | | | | 650,534 | |
Elisa Oyj†† | | | 9,700 | | | | 590,510 | |
HKT Trust & HKT Ltd.†† | | | 336,700 | | | | 494,121 | |
Singapore Press Holdings Ltd.†† | | | 519,000 | | | | 475,693 | |
Swisscom AG†† | | | 500 | | | | 262,239 | |
Total Communications | | | | | | | 11,148,115 | |
| | | | | | | | | |
Industrial - 6.6% |
Boeing Co. | | | 7,000 | | | | 1,283,100 | |
3M Co. | | | 7,100 | | | | 1,107,529 | |
Kone Oyj — Class B†† | | | 14,500 | | | | 1,000,479 | |
Waste Management, Inc. | | | 7,500 | | | | 794,325 | |
Illinois Tool Works, Inc. | | | 4,300 | | | | 751,855 | |
Packaging Corporation of America | | | 6,100 | | | | 608,780 | |
United Parcel Service, Inc. — Class B | | | 5,000 | | | | 555,900 | |
Lennox International, Inc. | | | 2,000 | | | | 465,980 | |
Republic Services, Inc. — Class A | | | 3,900 | | | | 319,995 | |
Techtronic Industries Company Ltd.†† | | | 29,700 | | | | 293,883 | |
Honeywell International, Inc. | | | 1,500 | | | | 216,885 | |
Total Industrial | | | | | | | 7,398,711 | |
| | | | | | | | | |
Utilities - 6.0% |
Orsted A/S1 | | | 8,300 | | | | 957,787 | |
National Grid plc†† | | | 68,400 | | | | 834,346 | |
NextEra Energy, Inc. | | | 3,200 | | | | 768,544 | |
Terna Rete Elettrica Nazionale SpA†† | | | 95,500 | | | | 658,995 | |
Snam SpA†† | | | 129,700 | | | | 632,574 | |
Algonquin Power & Utilities Corp. | | | 44,100 | | | | 570,267 | |
Canadian Utilities Ltd. — Class A | | | 17,200 | | | | 428,359 | |
Fortis, Inc. | | | 11,200 | | | | 426,072 | |
AGL Energy Ltd.†† | | | 30,100 | | | | 356,153 | |
Centrica plc | | | 701,600 | | | | 334,965 | |
FirstEnergy Corp. | | | 7,400 | | | | 286,972 | |
Hydro One Ltd.1 | | | 13,400 | | | | 252,068 | |
Severn Trent plc†† | | | 8,100 | | | | 247,793 | |
Total Utilities | | | | | | | 6,754,895 | |
| | | | | | | | | |
Consumer, Cyclical - 5.5% |
Home Depot, Inc. | | | 5,600 | | | | 1,402,856 | |
Persimmon plc†† | | | 27,800 | | | | 786,446 | |
Vail Resorts, Inc. | | | 3,800 | | | | 692,170 | |
Harvey Norman Holdings Ltd.†† | | | 232,800 | | | | 572,393 | |
Costco Wholesale Corp. | | | 1,600 | | | | 485,136 | |
Yue Yuen Industrial Holdings Ltd.†† | | | 302,500 | | | | 461,114 | |
McDonald’s Corp. | | | 2,400 | | | | 442,728 | |
Hoshizaki Corp.†† | | | 4,800 | | | | 411,411 | |
Bandai Namco Holdings, Inc.†† | | | 7,200 | | | | 378,994 | |
Sands China Ltd.†† | | | 71,600 | | | | 282,063 | |
ABC-Mart, Inc.†† | | | 4,500 | | | | 263,986 | |
Total Consumer, Cyclical | | | | | | | 6,179,297 | |
| | | | | | | | | |
Energy - 4.0% |
Chevron Corp. | | | 14,000 | | | | 1,249,220 | |
Exxon Mobil Corp. | | | 26,300 | | | | 1,176,136 | |
Schlumberger Ltd. | | | 50,900 | | | | 936,051 | |
Targa Resources Corp. | | | 42,800 | | | | 858,996 | |
Marathon Petroleum Corp. | | | 8,000 | | | | 299,040 | |
Total Energy | | | | | | | 4,519,443 | |
| | | | | | | | | |
Basic Materials - 2.7% |
Rio Tinto plc†† | | | 20,900 | | | | 1,176,062 | |
Fortescue Metals Group Ltd.†† | | | 110,900 | | | | 1,078,331 | |
International Paper Co. | | | 16,500 | | | | 580,965 | |
Air Products & Chemicals, Inc. | | | 1,100 | | | | 265,606 | |
Total Basic Materials | | | | | | | 3,100,964 | |
| | | | | | | | | |
Diversified - 1.1% |
CK Hutchison Holdings Ltd.†† | | | 100,300 | | | | 649,533 | |
Jardine Matheson Holdings Ltd.†† | | | 14,700 | | | | 613,578 | |
Total Diversified | | | | | | | 1,263,111 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $100,825,760) | | | | | | | 111,340,002 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 0.4% |
SPDR S&P 500 ETF Trust | | | 659 | | | | 203,209 | |
iShares MSCI EAFE ETF | | | 3,269 | | | | 198,984 | |
Total Exchange-Traded Funds | | | | |
(Cost $371,261) | | | | | | | 402,193 | |
| | | | | | | | | |
MONEY MARKET FUND† - 0.6% |
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.06%2 | | | 673,972 | | | | 673,972 | |
Total Money Market Fund | | | | |
(Cost $673,972) | | | | | | | 673,972 | |
| | | | | | | | | |
Total Investments - 99.8% | | | | |
(Cost $101,870,993) | | $ | 112,416,167 | |
Other Assets & Liabilities, net - 0.2% | | | 259,163 | |
Total Net Assets - 100.0% | | $ | 112,675,330 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
SERIES D (WORLD EQUITY INCOME SERIES) | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $1,890,096 (cost $1,810,898), or 1.7% of total net assets. |
2 | Rate indicated is the 7-day yield as of June 30, 2020. |
| | 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, 2020 (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 | | $ | 77,096,354 | | | $ | 34,243,648 | | | $ | — | | | $ | 111,340,002 | |
Exchange-Traded Funds | | | 402,193 | | | | — | | | | — | | | | 402,193 | |
Money Market Fund | | | 673,972 | | | | — | | | | — | | | | 673,972 | |
Total Assets | | $ | 78,172,519 | | | $ | 34,243,648 | | | $ | — | | | $ | 112,416,167 | |
26 | 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, 2020 |
Assets: |
Investments, at value (cost $101,870,993) | | $ | 112,416,167 | |
Foreign currency, at value (cost $11,716) | | | 11,769 | |
Prepaid expenses | | | 444 | |
Receivables: |
Foreign tax reclaims | | | 279,462 | |
Dividends | | | 167,800 | |
Securities sold | | | 44,917 | |
Fund shares sold | | | 198 | |
Interest | | | 29 | |
Total assets | | | 112,920,786 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 106,956 | |
Management fees | | | 36,655 | |
Printing fees | | | 30,032 | |
Distribution and service fees | | | 23,128 | |
Professional fees | | | 16,134 | |
Fund accounting/administration fees | | | 6,767 | |
Trustees’ fees* | | | 3,847 | |
Transfer agent/maintenance fees | | | 2,503 | |
Miscellaneous | | | 19,434 | |
Total liabilities | | | 245,456 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 112,675,330 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 108,952,133 | |
Total distributable earnings (loss) | | | 3,723,197 | |
Net assets | | $ | 112,675,330 | |
Capital shares outstanding | | | 8,697,826 | |
Net asset value per share | | $ | 12.95 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Dividends (net of foreign withholding tax of $119,955) | | $ | 1,664,819 | |
Interest | | | 2,823 | |
Total investment income | | | 1,667,642 | |
| | | | | |
Expenses: |
Management fees | | | 402,432 | |
Distribution and service fees | | | 143,726 | |
Transfer agent/maintenance fees | | | 12,642 | |
Fund accounting/administration fees | | | 42,550 | |
Professional fees | | | 27,550 | |
Trustees’ fees* | | | 10,008 | |
Custodian fees | | | 8,321 | |
Line of credit fees | | | 1,511 | |
Miscellaneous | | | 41,317 | |
Total expenses | | | 690,057 | |
Less: |
Expenses waived by Adviser | | | (174,566 | ) |
Net expenses | | | 515,491 | |
Net investment income | | | 1,152,151 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (12,732,781 | ) |
Futures contracts | | | 355,124 | |
Foreign currency transactions | | | 11,058 | |
Net realized loss | | | (12,366,599 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (2,733,454 | ) |
Futures contracts | | | 452 | |
Foreign currency translations | | | 3,768 | |
Net change in unrealized appreciation (depreciation) | | | (2,729,234 | ) |
Net realized and unrealized loss | | | (15,095,833 | ) |
Net decrease in net assets resulting from operations | | $ | (13,943,682 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27 |
SERIES D (WORLD EQUITY INCOME SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,152,151 | | | $ | 3,090,907 | |
Net realized gain (loss) on investments | | | (12,366,599 | ) | | | 1,990,953 | |
Net change in unrealized appreciation (depreciation) on investments | | | (2,729,234 | ) | | | 20,186,786 | |
Net increase (decrease) in net assets resulting from operations | | | (13,943,682 | ) | | | 25,268,646 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (10,799,071 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 891,231 | | | | 1,377,569 | |
Distributions reinvested | | | — | | | | 10,799,071 | |
Cost of shares redeemed | | | (8,030,341 | ) | | | (18,200,016 | ) |
Net decrease from capital share transactions | | | (7,139,110 | ) | | | (6,023,376 | ) |
Net increase (decrease) in net assets | | | (21,082,792 | ) | | | 8,446,199 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 133,758,122 | | | | 125,311,923 | |
End of period | | $ | 112,675,330 | | | $ | 133,758,122 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 70,158 | | | | 99,244 | |
Shares issued from reinvestment of distributions | | | — | | | | 796,979 | |
Shares redeemed | | | (627,601 | ) | | | (1,309,109 | ) |
Net decrease in shares | | | (557,443 | ) | | | (412,886 | ) |
28 | 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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 14.45 | | | $ | 12.96 | | | $ | 14.52 | | | $ | 12.98 | | | $ | 12.12 | | | $ | 12.60 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .13 | | | | .33 | | | | .33 | | | | .33 | | | | .37 | | | | .36 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.63 | ) | | | 2.36 | | | | (1.47 | ) | | | 1.60 | | | | .88 | | | | (.43 | ) |
Total from investment operations | | | (1.50 | ) | | | 2.69 | | | | (1.14 | ) | | | 1.93 | | | | 1.25 | | | | (.07 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.40 | ) | | | (.42 | ) | | | (.39 | ) | | | (.39 | ) | | | (.41 | ) |
Net realized gains | | | — | | | | (.80 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (1.20 | ) | | | (.42 | ) | | | (.39 | ) | | | (.39 | ) | | | (.41 | ) |
Net asset value, end of period | | $ | 12.95 | | | $ | 14.45 | | | $ | 12.96 | | | $ | 14.52 | | | $ | 12.98 | | | $ | 12.12 | |
|
Total Returnc | | | (10.38 | %) | | | 21.40 | % | | | (8.17 | %) | | | 15.06 | % | | | 10.37 | % | | | (0.67 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 112,675 | | | $ | 133,758 | | | $ | 125,312 | | | $ | 161,111 | | | $ | 159,978 | | | $ | 158,063 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.00 | % | | | 2.37 | % | | | 2.29 | % | | | 2.38 | % | | | 2.92 | % | | | 2.88 | % |
Total expensesd | | | 1.20 | % | | | 1.19 | % | | | 1.17 | % | | | 1.12 | % | | | 0.91 | % | | | 0.96 | % |
Net expensese,f | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.91 | % | | | 0.96 | % |
Portfolio turnover rate | | | 98 | % | | | 139 | % | | | 134 | % | | | 112 | % | | | 43 | % | | | 110 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 presented would be: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 |
| | 0.90% | 0.90% | 0.90% | 0.88% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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) |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 5.2% |
Guggenheim Total Return Bond Fund — R6-Class | 4.4% |
U.S. Treasury Notes, 0.63% | 2.7% |
U.S. Treasury Notes, 2.38% | 2.7% |
U.S. Treasury Bonds, due 02/15/50 | 2.1% |
Uniform MBS 30 Year, 2.50% | 1.6% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 1.4% |
U.S. Treasury Notes, 0.50% | 1.3% |
U.S. Treasury Notes, 2.50% | 1.2% |
iShares iBoxx High Yield Corporate Bond ETF | 1.1% |
Top Ten Total | 23.7% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2020 |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series E (Total Return Bond Series) | 8.18% | 9.25% | 5.42% | 5.06% |
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14% | 8.74% | 4.30% | 3.82% |
Portfolio Composition by Quality Rating1 |
Rating | % of Total
Investments |
Fixed Income Instruments | |
AAA | 33.3% |
AA | 7.9% |
A | 11.9% |
BBB | 20.2% |
BB | 3.2% |
B | 2.9% |
CCC | 0.4% |
CC | 0.7% |
C | 0.3% |
NR2 | 2.2% |
Other Instruments | 17.0% |
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 (not rated) securities do not necessarily indicate low credit quality. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | | Shares | | | Value | |
| PREFERRED STOCKS†† - 0.3% |
| | | | | | | | | |
| Financial - 0.3% |
| Public Storage, 4.63%* | | | 14,400 | | | $ | 366,048 | |
| Total Preferred Stocks | | | | | | | | |
| (Cost $360,000) | | | | | | | 366,048 | |
| | | | | | | | | |
| EXCHANGE-TRADED FUNDS† - 6.3% |
| iShares iBoxx $ Investment Grade Corporate Bond ETF | | | 56,990 | | | | 7,665,155 | |
| iShares iBoxx High Yield Corporate Bond ETF | | | 20,120 | | | | 1,642,194 | |
| Total Exchange-Traded Funds | | | | | | | | |
| (Cost $8,643,040) | | | | | | | 9,307,349 | |
| | | | | | | | | |
| MUTUAL FUNDS† - 5.8% |
Guggenheim Total Return Bond Fund — R6-Class2 | | | 225,941 | | | | 6,595,220 | |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 207,594 | | | | 2,059,328 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $8,033,743) | | | | | | | 8,654,548 | |
| | | | | | | | | |
| MONEY MARKET FUND† - 5.3% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.08%3 | | | 7,908,769 | | | | 7,908,769 | |
| Total Money Market Fund | | | | | | | | |
| (Cost $7,908,769) | | | | | | | 7,908,769 | |
| | | Face
Amount~ | | | | |
| CORPORATE BONDS†† - 33.8% |
| Financial - 12.6% | | | | | | | | |
| American International Group, Inc. | | | | | | | | |
| 3.40% due 06/30/30 | | | 660,000 | | | | 713,567 | |
| 4.38% due 06/30/50 | | | 550,000 | | | | 636,041 | |
| Wells Fargo & Co. | | | | | | | | |
3.07% due 04/30/414 | | | 1,100,000 | | | | 1,147,394 | |
2.57% due 02/11/314 | | | 150,000 | | | | 156,952 | |
| Citizens Financial Group, Inc. | | | | | | | | |
| 3.25% due 04/30/30 | | | 1,110,000 | | | | 1,199,629 | |
| Nationwide Mutual Insurance Co. | | | | | | | | |
4.35% due 04/30/505 | | | 950,000 | | | | 1,013,195 | |
| Bank of America Corp. | | | | | | | | |
2.59% due 04/29/314 | | | 890,000 | | | | 941,750 | |
| Reliance Standard Life Global Funding II | | | | | | | | |
2.75% due 05/07/255 | | | 800,000 | | | | 816,909 | |
| Reinsurance Group of America, Inc. | | | | | | | | |
| 3.15% due 06/15/30 | | | 710,000 | | | | 736,611 | |
| Arch Capital Group Ltd. | | | | | | | | |
| 3.64% due 06/30/50 | | | 700,000 | | | | 733,762 | |
| JPMorgan Chase & Co. | | | | | | | | |
2.96% due 05/13/314 | | | 230,000 | | | | 243,934 | |
4.49% due 03/24/314 | | | 200,000 | | | | 243,814 | |
3.11% due 04/22/414 | | | 200,000 | | | | 216,018 | |
Markel Corp. | | | | | | | | |
6.00%1,4 | | | 660,000 | | | | 671,550 | |
Citigroup, Inc. | | | | | | | | |
2.57% due 06/03/314 | | | 590,000 | | | | 610,214 | |
Lincoln National Corp. | | | | | | | | |
3.40% due 01/15/31 | | | 370,000 | | | | 401,600 | |
4.38% due 06/15/50 | | | 150,000 | | | | 167,241 | |
BlackRock, Inc. | | | | | | | | |
1.90% due 01/28/31 | | | 550,000 | | | | 561,585 | |
Deloitte LLP | | | | | | | | |
3.56% due 05/07/30††† | | | 500,000 | | | | 497,870 | |
KKR Group Finance Company VI LLC | | | | | | | | |
3.75% due 07/01/295 | | | 390,000 | | | | 447,726 | |
Charles Schwab Corp. | | | | | | | | |
5.38%1,4 | | | 400,000 | | | | 427,328 | |
First American Financial Corp. | | | | | | | | |
4.00% due 05/15/30 | | | 360,000 | | | | 394,736 | |
Alleghany Corp. | | | | | | | | |
3.63% due 05/15/30 | | | 370,000 | | | | 392,619 | |
Iron Mountain, Inc. | | | | | | | | |
5.25% due 07/15/305 | | | 250,000 | | | | 246,250 | |
5.63% due 07/15/325 | | | 125,000 | | | | 124,738 | |
Goldman Sachs Group, Inc. | | | | | | | | |
3.50% due 04/01/25 | | | 300,000 | | | | 328,952 | |
Prudential plc | | | | | | | | |
3.13% due 04/14/30 | | | 300,000 | | | | 322,590 | |
Fidelity National Financial, Inc. | | | | | | | | |
3.40% due 06/15/30 | | | 300,000 | | | | 312,313 | |
Ares Finance Company II LLC | | | | | | | | |
3.25% due 06/15/305 | | | 300,000 | | | | 304,950 | |
Macquarie Bank Ltd. | | | | | | | | |
3.62% due 06/03/305 | | | 290,000 | | | | 304,069 | |
Liberty Mutual Group, Inc. | | | | | | | | |
3.95% due 05/15/605 | | | 280,000 | | | | 294,515 | |
Credit Suisse Group AG | | | | | | | | |
4.19% due 04/01/314,5 | | | 250,000 | | | | 284,964 | |
Standard Chartered plc | | | | | | | | |
4.64% due 04/01/314,5 | | | 250,000 | | | | 282,544 | |
Cushman & Wakefield US Borrower LLC | | | | | | | | |
6.75% due 05/15/285 | | | 250,000 | | | | 260,625 | |
Fifth Third Bancorp | | | | | | | | |
2.55% due 05/05/27 | | | 230,000 | | | | 246,394 | |
HSBC Holdings plc | | | | | | | | |
4.95% due 03/31/30 | | | 200,000 | | | | 240,313 | |
Crown Castle International Corp. | | | | | | | | |
3.30% due 07/01/30 | | | 201,000 | | | | 221,070 | |
NFP Corp. | | | | | | | | |
7.00% due 05/15/255 | | | 200,000 | | | | 210,000 | |
Loews Corp. | | | | | | | | |
3.20% due 05/15/30 | | | 190,000 | | | | 205,327 | |
Alexandria Real Estate Equities, Inc. | | | | | | | | |
4.90% due 12/15/30 | | | 150,000 | | | | 186,827 | |
GLP Capital Limited Partnership / GLP Financing II, Inc. | | | | | | | | |
4.00% due 01/15/31 | | | 180,000 | | | | 178,695 | |
Bank of New York Mellon Corp. | | | | | | | | |
4.70%1,4 | | | 140,000 | | | | 145,600 | |
32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | Face
Amount~ | | | Value | |
Nasdaq, Inc. | | | | | | | | |
3.25% due 04/28/50 | | | 110,000 | | | $ | 115,139 | |
Ameriprise Financial, Inc. | | | | | | | | |
3.00% due 04/02/25 | | | 90,000 | | | | 97,686 | |
CIT Group, Inc. | | | | | | | | |
3.93% due 06/19/244 | | | 100,000 | | | | 97,010 | |
Aflac, Inc. | | | | | | | | |
3.60% due 04/01/30 | | | 70,000 | | | | 81,462 | |
American Equity Investment Life Holding Co. | | | | | | | | |
5.00% due 06/15/27 | | | 69,000 | | | | 74,915 | |
Assurant, Inc. | | | | | | | | |
1.53% (3 Month USD LIBOR + 1.25%) due 03/26/216 | | | 62,000 | | | | 62,000 | |
SBA Communications Corp. | | | | | | | | |
3.88% due 02/15/275 | | | 50,000 | | | | 49,812 | |
Weyerhaeuser Co. | | | | | | | | |
4.00% due 04/15/30 | | | 43,000 | | | | 48,663 | |
Total Financial | | | | | | | 18,699,468 | |
| | | | | | | | | |
Consumer, Non-cyclical - 5.0% | | | | | | | | |
Sysco Corp. | | | | | | | | |
5.95% due 04/01/30 | | | 920,000 | | | | 1,155,618 | |
CoStar Group, Inc. | | | | | | | | |
2.80% due 07/15/305 | | | 740,000 | | | | 757,291 | |
Biogen, Inc. | | | | | | | | |
2.25% due 05/01/30 | | | 700,000 | | | | 705,713 | |
Constellation Brands, Inc. | | | | | | | | |
2.88% due 05/01/30 | | | 500,000 | | | | 529,768 | |
3.75% due 05/01/50 | | | 120,000 | | | | 131,024 | |
Children’s Hospital Corp. | | | | | | | | |
2.59% due 02/01/50 | | | 500,000 | | | | 504,895 | |
Kraft Heinz Foods Co. | | | | | | | | |
4.38% due 06/01/46 | | | 180,000 | | | | 176,956 | |
4.25% due 03/01/315 | | | 75,000 | | | | 79,522 | |
5.50% due 06/01/505 | | | 50,000 | | | | 53,298 | |
5.00% due 06/04/42 | | | 50,000 | | | | 52,680 | |
4.88% due 10/01/495 | | | 50,000 | | | | 50,916 | |
Altria Group, Inc. | | | | | | | | |
3.40% due 05/06/30 | | | 170,000 | | | | 182,912 | |
2.35% due 05/06/25 | | | 150,000 | | | | 157,622 | |
4.45% due 05/06/50 | | | 50,000 | | | | 54,692 | |
DaVita, Inc. | | | | | | | | |
4.63% due 06/01/305 | | | 380,000 | | | | 378,176 | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | | | | |
3.50% due 06/01/30 | | | 295,000 | | | | 331,707 | |
McCormick & Company, Inc. | | | | | | | | |
2.50% due 04/15/30 | | | 300,000 | | | | 312,950 | |
Zimmer Biomet Holdings, Inc. | | | | | | | | |
3.55% due 03/20/30 | | | 283,000 | | | | 305,887 | |
Global Payments, Inc. | | | | | | | | |
2.90% due 05/15/30 | | | 210,000 | | | | 220,365 | |
BAT Capital Corp. | | | | | | | | |
4.70% due 04/02/27 | | | 190,000 | | | | 217,158 | |
US Foods, Inc. | | | | | | | | |
6.25% due 04/15/255 | | | 200,000 | | | | 203,500 | |
Kimberly-Clark de Mexico SAB de CV | | | | | | | | |
2.43% due 07/01/315 | | | 200,000 | | | | 201,496 | |
Keurig Dr Pepper, Inc. | | | | | | | | |
3.20% due 05/01/30 | | | 179,000 | | | | 199,134 | |
Thermo Fisher Scientific, Inc. | | | | | | | | |
4.50% due 03/25/30 | | | 150,000 | | | | 185,915 | |
Coca-Cola Co. | | | | | | | | |
2.75% due 06/01/60 | | | 170,000 | | | | 171,804 | |
Tenet Healthcare Corp. | | | | | | | | |
4.63% due 06/15/285 | | | 75,000 | | | | 73,065 | |
Jaguar Holding Company II / PPD Development, LP | | | | | | | | |
4.63% due 06/15/255 | | | 50,000 | | | | 50,885 | |
ERAC USA Finance LLC | | | | | | | | |
5.25% due 10/01/205 | | | 50,000 | | | | 50,440 | |
Total Consumer, Non-cyclical | | | | | | | 7,495,389 | |
| | | | | | | | | |
Industrial - 4.3% | | | | | | | | |
Boeing Co. | | | | | | | | |
5.15% due 05/01/30 | | | 970,000 | | | | 1,081,579 | |
5.81% due 05/01/50 | | | 490,000 | | | | 578,683 | |
5.71% due 05/01/40 | | | 490,000 | | | | 557,823 | |
FedEx Corp. | | | | | | | | |
4.25% due 05/15/30 | | | 602,000 | | | | 687,561 | |
WRKCo, Inc. | | | | | | | | |
3.00% due 06/15/33 | | | 660,000 | | | | 687,443 | |
BAE Systems plc | | | | | | | | |
3.40% due 04/15/305 | | | 400,000 | | | | 435,667 | |
CNH Industrial Capital LLC | | | | | | | | |
1.95% due 07/02/23 | | | 350,000 | | | | 352,297 | |
Penske Truck Leasing Company Lp / PTL Finance Corp. | | | | | | | | |
3.65% due 07/29/215 | | | 300,000 | | | | 307,060 | |
Owens Corning | | | | | | | | |
3.88% due 06/01/30 | | | 270,000 | | | | 288,289 | |
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. | | | | | | | | |
4.13% due 08/15/265 | | | 250,000 | | | | 245,963 | |
Vulcan Materials Co. | | | | | | | | |
3.50% due 06/01/30 | | | 190,000 | | | | 206,972 | |
Rolls-Royce plc | | | | | | | | |
2.38% due 10/14/205 | | | 200,000 | | | | 199,586 | |
GATX Corp. | | | | | | | | |
4.00% due 06/30/30 | | | 120,000 | | | | 128,453 | |
3.50% due 03/15/28 | | | 50,000 | | | | 51,127 | |
Ryder System, Inc. | | | | | | | | |
3.35% due 09/01/25 | | | 160,000 | | | | 170,472 | |
Xylem, Inc. | | | | | | | | |
2.25% due 01/30/31 | | | 150,000 | | | | 150,943 | |
Standard Industries, Inc. | | | | | | | | |
4.38% due 07/15/305 | | | 125,000 | | | | 124,688 | |
Howmet Aerospace, Inc. | | | | | | | | |
6.88% due 05/01/25 | | | 100,000 | | | | 108,486 | |
Oshkosh Corp. | | | | | | | | |
3.10% due 03/01/30 | | | 50,000 | | | | 50,353 | |
Total Industrial | | | | | | | 6,413,445 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | Face
Amount~ | | | Value | |
Consumer, Cyclical - 3.8% | | | | | | | | |
Delta Air Lines, Inc. | | | | | | | | |
7.00% due 05/01/255 | | | 1,150,000 | | | $ | 1,187,108 | |
Marriott International, Inc. | | | | | | | | |
4.63% due 06/15/30 | | | 340,000 | | | | 352,789 | |
0.95% (3 Month USD LIBOR + 0.60%) due 12/01/206 | | | 300,000 | | | | 298,650 | |
5.75% due 05/01/25 | | | 250,000 | | | | 271,589 | |
Walgreens Boots Alliance, Inc. | | | | | | | | |
4.10% due 04/15/50 | | | 477,000 | | | | 481,035 | |
3.20% due 04/15/30 | | | 173,000 | | | | 178,727 | |
Starbucks Corp. | | | | | | | | |
2.55% due 11/15/30 | | | 600,000 | | | | 629,369 | |
Hyatt Hotels Corp. | | | | | | | | |
5.38% due 04/23/25 | | | 220,000 | | | | 233,125 | |
5.75% due 04/23/30 | | | 190,000 | | | | 208,909 | |
VF Corp. | | | | | | | | |
2.95% due 04/23/30 | | | 380,000 | | | | 406,309 | |
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | | | | | | | | |
6.50% due 06/20/275 | | | 350,000 | | | | 350,875 | |
Lowe’s Companies, Inc. | | | | | | | | |
4.50% due 04/15/30 | | | 250,000 | | | | 306,698 | |
Aramark Services, Inc. | | | | | | | | |
6.38% due 05/01/255 | | | 200,000 | | | | 206,526 | |
5.00% due 02/01/285 | | | 10,000 | | | | 9,500 | |
McDonald’s Corp. | | | | | | | | |
3.50% due 07/15/20 | | | 200,000 | | | | 200,218 | |
Dollar General Corp. | | | | | | | | |
3.50% due 04/03/30 | | | 100,000 | | | | 112,324 | |
1011778 BC ULC / New Red Finance, Inc. | | | | | | | | |
3.88% due 01/15/285 | | | 75,000 | | | | 72,763 | |
Hanesbrands, Inc. | | | | | | | | |
5.38% due 05/15/255 | | | 55,000 | | | | 55,619 | |
Performance Food Group, Inc. | | | | | | | | |
6.88% due 05/01/255 | | | 50,000 | | | | 51,625 | |
WMG Acquisition Corp. | | | | | | | | |
3.88% due 07/15/305 | | | 50,000 | | | | 50,503 | |
Total Consumer, Cyclical | | | | | | | 5,664,261 | |
| | | | | | | | | |
Communications - 3.4% | | | | | | | | |
ViacomCBS, Inc. | | | | | | | | |
4.95% due 01/15/31 | | | 617,000 | | | | 728,596 | |
4.95% due 05/19/50 | | | 320,000 | | | | 356,425 | |
4.75% due 05/15/25 | | | 310,000 | | | | 354,447 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | | | | | | | | |
2.80% due 04/01/31 | | | 650,000 | | | | 658,464 | |
Level 3 Financing, Inc. | | | | | | | | |
4.25% due 07/01/285 | | | 350,000 | | | | 349,597 | |
5.13% due 05/01/23 | | | 150,000 | | | | 150,000 | |
AT&T, Inc. | | | | | | | | |
2.75% due 06/01/31 | | | 410,000 | | | | 426,888 | |
Booking Holdings, Inc. | | | | | | | | |
4.63% due 04/13/30 | | | 350,000 | | | | 413,112 | |
T-Mobile USA, Inc. | | | | | | | | |
3.88% due 04/15/305 | | | 335,000 | | | | 372,842 | |
Virgin Media Secured Finance plc | | | | | | | | |
4.50% due 08/15/305 | | | 300,000 | | | | 300,375 | |
CSC Holdings LLC | | | | | | | | |
4.13% due 12/01/305 | | | 200,000 | | | | 198,250 | |
Dolya Holdco 18 DAC | | | | | | | | |
5.00% due 07/15/285 | | | 200,000 | | | | 197,440 | |
Sirius XM Radio, Inc. | | | | | | | | |
4.13% due 07/01/305 | | | 180,000 | | | | 178,013 | |
Verizon Communications, Inc. | | | | | | | | |
3.15% due 03/22/30 | | | 150,000 | | | | 168,258 | |
Fox Corp. | | | | | | | | |
3.05% due 04/07/25 | | | 60,000 | | | | 64,933 | |
3.50% due 04/08/30 | | | 50,000 | | | | 55,835 | |
Altice France S.A. | | | | | | | | |
7.38% due 05/01/265 | | | 100,000 | | | | 104,280 | |
Total Communications | | | | | | | 5,077,755 | |
| | | | | | | | | |
Energy - 2.3% | | | | | | | | |
Exxon Mobil Corp. | | | | | | | | |
2.61% due 10/15/30 | | | 1,250,000 | | | | 1,338,176 | |
BP Capital Markets plc | | | | | | | | |
4.88%1,4 | | | 880,000 | | | | 908,600 | |
Sabine Pass Liquefaction LLC | | | | | | | | |
4.50% due 05/15/305 | | | 400,000 | | | | 444,082 | |
BP Capital Markets America, Inc. | | | | | | | | |
3.63% due 04/06/30 | | | 250,000 | | | | 283,679 | |
Magellan Midstream Partners, LP | | | | | | | | |
3.25% due 06/01/30 | | | 190,000 | | | | 201,186 | |
Equinor ASA | | | | | | | | |
2.38% due 05/22/30 | | | 160,000 | | | | 166,228 | |
Baker Hughes a GE Company LLC / Baker Hughes Co-Obligor, Inc. | | | | | | | | |
4.49% due 05/01/30 | | | 50,000 | | | | 57,720 | |
Marathon Petroleum Corp. | | | | | | | | |
3.40% due 12/15/20 | | | 50,000 | | | | 50,476 | |
Total Energy | | | | | | | 3,450,147 | |
| | | | | | | | | |
Technology - 1.7% | | | | | | | | |
NetApp, Inc. | | | | | | | | |
2.70% due 06/22/30 | | | 950,000 | | | | 949,783 | |
Broadcom, Inc. | | | | | | | | |
4.15% due 11/15/305 | | | 510,000 | | | | 554,208 | |
Microchip Technology, Inc. | | | | | | | | |
2.67% due 09/01/235 | | | 330,000 | | | | 339,663 | |
MSCI, Inc. | | | | | | | | |
3.88% due 02/15/315 | | | 250,000 | | | | 255,000 | |
Qorvo, Inc. | | | | | | | | |
4.38% due 10/15/295 | | | 170,000 | | | | 174,093 | |
Boxer Parent Company, Inc. | | | | | | | | |
7.13% due 10/02/255 | | | 100,000 | | | | 104,850 | |
Total Technology | | | | | | | 2,377,597 | |
34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | Face
Amount~ | | | Value | |
Basic Materials - 0.6% | | | | | | | | |
Newcrest Finance Pty Ltd. | | | | | | | | |
3.25% due 05/13/305 | | | 460,000 | | | $ | 494,089 | |
4.20% due 05/13/505 | | | 220,000 | | | | 243,514 | |
Minerals Technologies, Inc. | | | | | | | | |
5.00% due 07/01/285 | | | 150,000 | | | | 152,250 | |
Steel Dynamics, Inc. | | | | | | | | |
3.25% due 01/15/31 | | | 60,000 | | | | 61,197 | |
Total Basic Materials | | | | | | | 951,050 | |
| | | | | | | | | |
Utilities - 0.1% | | | | | | | | |
AES Corp. | | | | | | | | |
3.95% due 07/15/305 | | | 150,000 | | | | 153,197 | |
Total Corporate Bonds | | | | |
(Cost $47,420,637) | | | 50,282,309 | |
| | | | | | | | | |
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 19.2% |
Residential Mortgage Backed Securities - 8.7% |
New Residential Advance Receivables Trust Advance Receivables Backed | | | | | | | | |
2019-T4, 2.33% due 10/15/515 | | | 1,000,000 | | | | 987,123 | |
2019-T3, 2.51% due 09/15/525 | | | 750,000 | | | | 733,841 | |
FKRT | | | | | | | | |
5.47% due 07/03/238 | | | 1,294,035 | | | | 1,291,318 | |
Starwood Mortgage Residential Trust | | | | | | | | |
2020-1, 2.41% (WAC) due 02/25/505,6 | | | 924,890 | | | | 928,657 | |
2019-1, 2.94% (WAC) due 06/25/495,6 | | | 237,644 | | | | 238,521 | |
JP Morgan Mortgage Acquisition Trust | | | | | | | | |
2006-WMC4, 0.31% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/366 | | | 1,523,200 | | | | 857,608 | |
Soundview Home Loan Trust | | | | | | | | |
2006-OPT5, 0.33% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/366 | | | 850,873 | | | | 811,367 | |
Home Equity Loan Trust | | | | | | | | |
2007-FRE1, 0.38% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/376 | | | 883,147 | | | | 803,263 | |
CSMC Trust | | | | | | | | |
2018-RPL9, 3.85% (WAC) due 09/25/575,6 | | | 720,861 | | | | 764,065 | |
Homeward Opportunities Fund I Trust | | | | | | | | |
2019-2, 2.70% (WAC) due 09/25/595,6 | | | 713,362 | | | | 722,090 | |
NovaStar Mortgage Funding Trust Series | | | | | | | | |
2007-2, 0.39% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/376 | | | 739,799 | | | | 692,092 | |
Deephaven Residential Mortgage Trust | | | | | | | | |
2019-3A, 2.96% (WAC) due 07/25/595,6 | | | 662,130 | | | | 672,152 | |
CIM Trust | | | | | | | | |
2018-R2, 3.69% (WAC) due 08/25/575,6 | | | 540,900 | | | | 531,891 | |
BRAVO Residential Funding Trust | | | | | | | | |
2019-NQM1, 2.67% (WAC) due 07/25/595,6 | | | 505,707 | | | | 514,812 | |
Wachovia Asset Securitization Issuance II LLC Trust | | | | | | | | |
2007-HE2A, 0.62% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 07/25/375,6 | | | 571,230 | | | | 485,315 | |
HarborView Mortgage Loan Trust | | | | | | | | |
2006-14, 0.34% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/476 | | | 522,045 | | | | 451,686 | |
CSMC Series | | | | | | | | |
2015-12R, 0.99% (WAC) due 11/30/375,6 | | | 457,896 | | | | 446,133 | |
American Home Mortgage Investment Trust | | | | | | | | |
2007-1, 2.08% due 05/25/479 | | | 2,376,776 | | | | 404,980 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | | | | | | | | |
2006-AR9, 2.34% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/466 | | | 315,717 | | | | 270,067 | |
CIT Mortgage Loan Trust | | | | | | | | |
2007-1, 1.54% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/375,6 | | | 150,561 | | | | 150,092 | |
UCFC Manufactured Housing Contract | | | | | | | | |
1997-2, 7.38% due 10/15/28 | | | 93,807 | | | | 98,542 | |
Morgan Stanley Re-REMIC Trust | | | | | | | | |
2010-R5, 2.95% due 06/26/365 | | | 66,372 | | | | 57,106 | |
Total Residential Mortgage Backed Securities | | | | | | | 12,912,721 | |
| | | | | | | | | |
Government Agency - 8.0% | | | | | | | | |
Fannie Mae | | | | | | | | |
3.83% due 05/01/49 | | | 1,000,000 | | | | 1,158,987 | |
3.33% due 04/01/30 | | | 965,898 | | | | 1,111,710 | |
2.99% due 09/01/29 | | | 500,000 | | | | 553,798 | |
2.96% due 11/01/29 | | | 500,000 | | | | 552,513 | |
2.90% due 11/01/29 | | | 500,000 | | | | 550,229 | |
3.11% due 10/01/29 | | | 500,000 | | | | 543,724 | |
Freddie Mac Multifamily Structured Pass Through Certificates | | | | | | | | |
2017-KW03, 3.02% due 06/25/27 | | | 1,050,000 | | | | 1,170,231 | |
2018-K074, 3.60% due 02/25/28 | | | 1,000,000 | | | | 1,168,115 | |
2019-1513, 2.80% due 08/25/34 | | | 650,000 | | | | 742,178 | |
Uniform MBS 30 Year | | | | | | | | |
2.50% due 09/14/21 | | | 2,300,000 | | | | 2,388,320 | |
Fannie Mae-Aces | | | | | | | | |
2017-M11, 2.98% due 08/25/29 | | | 900,000 | | | | 1,011,520 | |
2020-M23, 1.61% (WAC) due 03/25/356,9 | | | 3,799,484 | | | | 516,493 | |
2020-M23, 1.74% due 03/25/35 | | | 395,000 | | | | 407,696 | |
Total Government Agency | | | | | | | 11,875,514 | |
| | | | | | | | | |
Military Housing - 1.4% | | | | | | | | |
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | | | | | | | | |
2015-R1, 1.93% (WAC) due 11/25/555,6 | | | 949,262 | | | | 1,106,591 | |
GMAC Commercial Mortgage Asset Corp. | | | | | | | | |
2007-HCKM, 6.11% due 08/10/525 | | | 948,527 | | | | 1,041,992 | |
Total Military Housing | | | | | | | 2,148,583 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | Face
Amount~ | | | Value | |
Commercial Mortgage Backed Securities - 1.1% |
GS Mortgage Securities Trust | | | | | | | | |
2020-GC45, 0.68% (WAC) due 02/13/536,9 | | | 9,995,111 | | | $ | 509,409 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | |
2016-NXS5, 1.65% (WAC) due 01/15/596,9 | | | 4,191,316 | | | | 242,574 | |
2015-NXS1, 2.63% due 05/15/48 | | | 79,875 | | | | 79,838 | |
Citigroup Commercial Mortgage Trust | | | | | | | | |
2016-GC37, 1.91% (WAC) due 04/10/496,9 | | | 3,677,661 | | | | 278,444 | |
CFCRE Commercial Mortgage Trust | | | | | | | | |
2016-C3, 1.17% (WAC) due 01/10/486,9 | | | 5,721,530 | | | | 262,602 | |
COMM Mortgage Trust | | | | | | | | |
2015-CR26, 1.08% (WAC) due 10/10/486,9 | | | 6,321,646 | | | | 247,248 | |
Total Commercial Mortgage Backed Securities | | | | | | | 1,620,115 | |
| | | | | | | | | |
Total Collateralized Mortgage Obligations | | | | |
(Cost $27,814,096) | | | 28,556,933 | |
| | | | | | | | | |
ASSET-BACKED SECURITIES†† - 14.7% |
Collateralized Loan Obligations - 8.8% |
Marathon CLO VII Ltd. | | | | | | | | |
2017-7A, 2.54% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/28/255,6 | | | 1,000,000 | | | | 986,213 | |
GoldenTree Loan Management US CLO 1 Ltd. | | | | | | | | |
2020-1A, 2.09% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 04/20/295,6 | | | 1,000,000 | | | | 980,814 | |
FDF II Ltd. | | | | | | | | |
2016-2A, 4.29% due 05/12/315 | | | 1,000,000 | | | | 978,066 | |
NXT Capital CLO LLC | | | | | | | | |
2017-1A, 2.84% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 04/20/295,6 | | | 1,000,000 | | | | 976,766 | |
BXMT Ltd. | | | | | | | | |
2020-FL2, 1.34% (1 Month USD LIBOR + 1.15%, Rate Floor: 1.15%) due 02/16/375,6 | | | 1,000,000 | | | | 967,260 | |
Midocean Credit CLO VII | | | | | | | | |
2020-7A, 2.67% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 07/15/295,6 | | | 1,000,000 | | | | 960,499 | |
MP CLO VIII Ltd. | | | | | | | | |
2018-2A, 1.80% (3 Month USD LIBOR + 0.91%, Rate Floor: 0.00%) due 10/28/275,6 | | | 939,662 | | | | 920,828 | |
LoanCore Issuer Ltd. | | | | | | | | |
2018-CRE1, 1.69% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/285,6 | | | 500,000 | | | | 490,152 | |
2019-CRE2, 1.69% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/365,6 | | | 400,000 | | | | 387,433 | |
Golub Capital Partners CLO Ltd. | | | | | | | | |
2018-36A, 1.84% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/315,6 | | | 850,000 | | | | 797,545 | |
Dryden 37 Senior Loan Fund | | | | | | | | |
2015-37A, due 01/15/315,10 | | | 1,000,000 | | | | 764,253 | |
Fortress Credit Opportunities XI CLO Ltd. | | | | | | | | |
2018-11A, 2.52% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/315,6 | | | 750,000 | | | | 703,064 | |
Halcyon Loan Advisors Funding Ltd. | | | | | | | | |
2017-3A, 2.04% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/275,6 | | | 712,069 | | | | 698,322 | |
NewStar Clarendon Fund CLO LLC | | | | | | | | |
2019-1A, 2.29% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 01/25/275,6 | | | 497,126 | | | | 491,327 | |
Wellfleet CLO Ltd. | | | | | | | | |
2020-2A, 2.20% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/295,6 | | | 500,000 | | | | 488,386 | |
STWD Ltd. | | | | | | | | |
2019-FL1, 1.79% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 07/15/385,6 | | | 500,000 | | | | 477,458 | |
Treman Park CLO Ltd. | | | | | | | | |
2015-1A, due 10/20/285,10 | | | 500,000 | | | | 332,512 | |
Golub Capital Partners CLO 17 Ltd. | | | | | | | | |
2017-17A, 2.64% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/305,6 | | | 250,000 | | | | 238,289 | |
THL Credit Wind River CLO Ltd. | | | | | | | | |
2019-1A, 2.10% (3 Month USD LIBOR + 0.88%, Rate Floor: 0.00%) due 01/15/265,6 | | | 237,955 | | | | 235,909 | |
Fortress Credit Opportunities IX CLO Ltd. | | | | | | | | |
2017-9A, 1.94% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/295,6 | | | 109,000 | | | | 107,219 | |
Copper River CLO Ltd. | | | | | | | | |
2007-1A, due 01/20/218,10 | | | 600,000 | | | | 63,613 | |
Total Collateralized Loan Obligations | | | | | | | 13,045,928 | |
36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | Face
Amount~ | | | Value | |
Transport-Aircraft - 1.9% | | | | | | | | |
Castlelake Aircraft Securitization Trust | | | | | | | | |
2017-1, 3.97% due 07/15/42 | | | 634,372 | | | $ | 549,225 | |
Raspro Trust | | | | | | | | |
2005-1A, 2.89% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/245,6 | | | 493,339 | | | | 462,170 | |
WAVE LLC | | | | | | | | |
2019-1, 3.60% due 09/15/445 | | | 477,882 | | | | 436,143 | |
Sapphire Aviation Finance II Ltd. | | | | | | | | |
2020-1A, 3.23% due 03/15/405 | | | 494,167 | | | | 419,786 | |
Turbine Engines Securitization Ltd. | | | | | | | | |
2013-1A, 5.13% due 12/13/488 | | | 422,684 | | | | 359,548 | |
AIM Aviation Finance Ltd. | | | | | | | | |
2015-1A, 4.21% due 02/15/405 | | | 450,362 | | | | 325,162 | |
Falcon Aerospace Ltd. | | | | | | | | |
2017-1, 4.58% due 02/15/425 | | | 231,485 | | | | 203,730 | |
Total Transport-Aircraft | | | | | | | 2,755,764 | |
| | | | | | | | | |
Net Lease - 0.9% | | | | | | | | |
Store Master Funding I-VII | | | | | | | | |
2016-1A, 3.96% due 10/20/465 | | | 1,164,801 | | | | 1,158,334 | |
Capital Automotive REIT | | | | | | | | |
2020-1A, 3.81% due 02/15/505 | | | 250,000 | | | | 254,423 | |
Total Net Lease | | | | | | | 1,412,757 | |
| | | | | | | | | |
Financial - 0.9% | | | | | | | | |
Oxford Finance Funding | | | | | | | | |
2020-1A, 3.10% due 02/15/285 | | | 500,000 | | | | 507,603 | |
Station Place Securitization Trust | | | | | | | | |
2019-9, 0.89% (1 Month USD LIBOR + 0.70%, Rate Floor: 0.00%) due 10/24/20†††,5,6 | | | 350,000 | | | | 350,000 | |
Madison Avenue Secured Funding Trust | | | | | | | | |
2019-1, 1.69% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 11/11/20†††,5,6 | | | 250,000 | | | | 250,000 | |
Nassau LLC | | | | | | | | |
2019-1, 3.98% due 08/15/345 | | | 235,959 | | | | 223,421 | |
Total Financial | | | | | | | 1,331,024 | |
| | | | | | | | | |
Transport-Container - 0.8% | | | | | | | | |
Textainer Marine Containers Ltd. | | | | | | | | |
2017-2A, 3.52% due 06/20/425 | | | 831,274 | | | | 821,171 | |
Global SC Finance II SRL | | | | | | | | |
2014-1A, 3.19% due 07/17/295 | | | 408,333 | | | | 406,650 | |
Total Transport-Container | | | | | | | 1,227,821 | |
| | | | | | | | | |
Collateralized Debt Obligations - 0.7% | | | | | | | | |
Anchorage Credit Funding Ltd. | | | | | | | | |
2016-4A, 3.50% due 02/15/355 | | | 1,000,000 | | | | 964,340 | |
Putnam Structured Product Funding Ltd. | | | | | | | | |
2003-1A, 1.18% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 10/15/385,6 | | | 133,901 | | | | 132,540 | |
Total Collateralized Debt Obligations | | | | | | | 1,096,880 | |
| | | | | | | | | |
Whole Business - 0.4% | | | | | | | | |
Domino’s Pizza Master Issuer LLC | | | | | | | | |
2017-1A, 2.24% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/25/475,6 | | | 487,500 | | | | 483,215 | |
Wendy’s Funding LLC | | | | | | | | |
2015-1A, 4.50% due 06/15/455 | | | 95,250 | | | | 96,580 | |
Total Whole Business | | | | | | | 579,795 | |
| | | | | | | | | |
Insurance - 0.3% | | | | | | | | |
Chesterfield Financial Holdings LLC | | | | | | | | |
2014-1A, 4.50% due 12/15/345 | | | 385,500 | | | | 394,620 | |
Total Asset-Backed Securities | | | | |
(Cost $22,764,078) | | | 21,844,589 | |
| | | | | | | | | |
U.S. GOVERNMENT SECURITIES†† - 10.0% |
U.S. Treasury Notes |
0.63% due 05/15/30 | | | 4,000,000 | | | | 3,988,906 | |
2.38% due 02/29/24 | | | 3,680,000 | | | | 3,971,094 | |
0.50% due 05/31/27 | | | 2,000,000 | | | | 2,002,031 | |
2.50% due 02/28/26 | | | 1,617,000 | | | | 1,810,345 | |
U.S. Treasury Bonds |
due 02/15/5011 | | | 4,820,000 | | | | 3,130,434 | |
Total U.S. Government Securities | | | | |
(Cost $14,279,232) | | | | | | | 14,902,810 | |
| | | | | | | | | |
FEDERAL AGENCY BONDS†† - 4.4% |
Fannie Mae Principal Strips |
due 07/15/3711,12,13 | | | 2,500,000 | | | | 1,837,242 | |
Freddie Mac Principal Strips |
due 07/15/3211,12,13 | | | 1,950,000 | | | | 1,636,547 | |
Residual Funding Corporation Principal Strips |
due 01/15/3011,13 | | | 1,590,000 | | | | 1,405,923 | |
due 04/15/3011,13 | | | 105,000 | | | | 92,545 | |
Tennessee Valley Authority |
5.38% due 04/01/56 | | | 750,000 | | | | 1,286,739 | |
Tennessee Valley Authority Principal Strips |
due 01/15/4811,13 | | | 500,000 | | | | 252,852 | |
Total Federal Agency Bonds | | | | |
(Cost $5,270,472) | | | | | | | 6,511,848 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | Face
Amount~ | | | Value | |
SENIOR FLOATING RATE INTERESTS††,6 - 2.9% |
Consumer, Cyclical - 0.7% | | | | | | | | |
Bojangles, Inc. | | | | | | | | |
due 01/28/26 | | | 448,867 | | | $ | 430,912 | |
Samsonite IP Holdings SARL | | | | | | | | |
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 04/25/25 | | | 300,000 | | | | 290,625 | |
BGIS (BIFM CA Buyer, Inc.) | | | | | | | | |
4.11% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/01/26††† | | | 249,370 | | | | 239,395 | |
CHG Healthcare Services, Inc. | | | | | | | | |
4.07% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/07/23 | | | 99,743 | | | | 95,932 | |
Total Consumer, Cyclical | | | | | | | 1,056,864 | |
| | | | | | | | | |
Consumer, Non-cyclical - 0.6% | | | | | | | | |
Bombardier Recreational Products, Inc. | | | | | | | | |
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 05/24/27 | | | 450,000 | | | | 452,623 | |
US Foods, Inc. | | | | | | | | |
4.25% (6 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 04/24/25††† | | | 450,000 | | | | 432,000 | |
Elanco Animal Health, Inc. | | | | | | | | |
due 02/04/27 | | | 100,000 | | | | 95,167 | |
Total Consumer, Non-cyclical | | | | | | | 979,790 | |
| | | | | | | | | |
Industrial - 0.5% | | | | | | | | |
Capstone Logistics | | | | | | | | |
5.57% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/07/21 | | | 282,971 | | | | 272,538 | |
Mileage Plus Holdings LLC | | | | | | | | |
due 07/02/27 | | | 250,000 | | | | 248,020 | |
Vertical (TK Elevator) | | | | | | | | |
due 07/01/27 | | | 200,000 | | | | 196,000 | |
Total Industrial | | | | | | | 716,558 | |
| | | | | | | | | |
Communications - 0.4% | | | | | | | | |
T-Mobile USA, Inc. | | | | | | | | |
3.18% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/01/27 | | | 500,000 | | | | 498,920 | |
Xplornet Communications Inc. | | | | | | | | |
4.93% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/10/27 | | | 150,000 | | | | 142,875 | |
Total Communications | | | | | | | 641,795 | |
| | | | | | | | | |
Basic Materials - 0.3% | | | | | | | | |
Illuminate Buyer LLC | | | | | | | | |
due 06/15/27 | | | 250,000 | | | | 245,875 | |
GrafTech Finance, Inc. | | | | | | | | |
due 02/12/25 | | | 150,000 | | | | 145,751 | |
PQ Corp. | | | | | | | | |
due 02/08/27 | | | 100,000 | | | | 96,375 | |
Total Basic Materials | | | | | | | 488,001 | |
| | | | | | | | | |
Technology - 0.2% | | | | | | | | |
Tech Data Corp. | | | | | | | | |
due 06/30/25 | | | 250,000 | | | | 247,395 | |
| | | | | | | | | |
Financial - 0.2% | | | | | | | | |
USI, Inc. | | | | | | | | |
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 12/02/26 | | | 150,000 | | | | 145,375 | |
RPI (Royalty Pharma) 2019 Intermediate Finance Trust | | | | | | | | |
1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 02/11/27 | | | 99,500 | | | | 96,764 | |
Total Financial | | | | | | | 242,139 | |
| | | | | | | | | |
Total Senior Floating Rate Interests | | | | |
(Cost $4,358,754) | | | 4,372,542 | |
| | | | | | | | | |
MUNICIPAL BONDS†† - 1.7% |
California - 1.0% | | | | | | | | |
Cypress School District General Obligation Unlimited | | | | | | | | |
due 08/01/4811 | | | 1,000,000 | | | | 391,760 | |
State of California General Obligation Unlimited | | | | | | | | |
7.55% due 04/01/39 | | | 100,000 | | | | 178,069 | |
7.35% due 11/01/39 | | | 100,000 | | | | 168,217 | |
Newport Mesa Unified School District General Obligation Unlimited | | | | | | | | |
due 08/01/4611 | | | 700,000 | | | | 277,452 | |
San Dieguito Union High School District General Obligation Unlimited | | | | | | | | |
2.68% due 08/01/36 | | | 250,000 | | | | 263,380 | |
California Institute of Technology | | | | | | | | |
3.65% due 09/01/19 | | | 225,000 | | | | 248,528 | |
Total California | | | | | | | 1,527,406 | |
| | | | | | | | | |
Maryland - 0.4% | | | | | | | | |
Johns Hopkins University | | | | | | | | |
2.81% due 01/01/60 | | | 500,000 | | | | 526,117 | |
| | | | | | | | | |
Illinois - 0.3% | | | | | | | | |
State of Illinois General Obligation Unlimited | | | | | | | | |
5.65% due 12/01/38 | | | 400,000 | | | | 469,944 | |
Total Municipal Bonds | | | | |
(Cost $2,284,316) | | | 2,523,467 | |
| | | | | | | | | |
FOREIGN GOVERNMENT DEBT†† - 0.9% |
Government of Japan |
(0.20)% due 07/13/207 | | | JPY 145,000,000 | | | | 1,342,957 | |
Total Foreign Government Debt | | | | |
(Cost $1,351,020) | | | | | | | 1,342,957 | |
38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES E (TOTAL RETURN BOND SERIES) | |
| | | Notional
Value | | | Value | |
| OTC OPTIONS PURCHASED†† - 0.3% |
| Put options on: | | | | | | | | |
| BofA Merrill Lynch 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | | | 50,900,000 | | | $ | 158,299 | |
| Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | | | 41,800,000 | | | | 129,998 | |
| Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | | | 29,500,000 | | | | 60,475 | |
| Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | | | 9,300,000 | | | | 28,923 | |
| BofA Merrill Lynch 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | | | 4,500,000 | | | | 9,225 | |
| Total OTC Options Purchased | | | | | | | | |
| (Cost $288,851) | | | | | | | 386,920 | |
| | | | | | | | | |
| Total Investments - 105.6% | | | | | | | | |
| (Cost $150,777,008) | | | | | | $ | 156,961,089 | |
| Other Assets & Liabilities, net - (5.6)% | | | | | | | (8,308,579 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 148,652,510 | |
Centrally Cleared Credit Default Swap Agreements Protection Sold†† |
Counterparty | Exchange | Index | | Protection
Premium
Rate | | Payment
Frequency | Maturity
Date | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation)** | |
BofA Securities, Inc. | ICE | CDX.NA.IG.34 | | | 1.00 | % | Quarterly | 06/20/25 | | $ | 7,790,000 | | | $ | 89,101 | | | $ | (146,125 | ) | | $ | 235,226 | |
BofA Securities, Inc. | ICE | CDX.NA.HY.34.V6 | | | 5.00 | % | Quarterly | 06/20/25 | | | 931,000 | | | | (5,585 | ) | | | 7,657 | | | | (13,242 | ) |
| | | | | | | | | | | | | | | $ | 83,516 | | | $ | (138,468 | ) | | $ | 221,984 | |
Centrally Cleared Interest Rate Swap Agreements†† |
Counterparty | Exchange | Floating
Rate Type | Floating
Rate Index | | Fixed
Rate | | Payment
Frequency | Maturity
Date | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid | | | Unrealized
Appreciation** | |
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | | | 0.14 | % | Annually | 05/28/25 | | $ | 5,000,000 | | | $ | 13,871 | | | $ | 316 | | | $ | 13,555 | |
Total Return Swap Agreements |
Counterparty | Reference
Obligation | Financing
Rate Pay | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Credit Index Swap Agreements†† |
Bank of America, N.A. | iShares iBoxx $ Investment Grade Corporate Bond ETF | 0.55% (1 Month USD LIBOR + 0.36%) | At Maturity | | | 12/21/20 | | | | 3,500 | | | $ | 470,750 | | | $ | 3,185 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES E (TOTAL RETURN BOND SERIES) | |
Forward Foreign Currency Exchange Contracts†† |
Counterparty | | Contracts
to Sell | | | Currency | | | Settlement Date | | Settlement
Value | | | Value at
June 30, 2020 | | | Unrealized
Appreciation
(Depreciation) | |
Citibank N.A., New York | | | 4,780,000 | | | | BRL | | | 07/01/21 | | $ | 1,134,050 | | | $ | 877,762 | | | $ | 256,288 | |
Goldman Sachs International | | | 1,350,000 | | | | BRL | | | 07/01/20 | | | 350,558 | | | | 248,481 | | | | 102,077 | |
Bank of America, N.A. | | | 176,088,000 | | | | JPY | | | 08/02/21 | | | 1,737,682 | | | | 1,642,996 | | | | 94,686 | |
Citibank N.A., New York | | | 1,140,000 | | | | BRL | | | 07/01/20 | | | 293,633 | | | | 209,829 | | | | 83,804 | |
Goldman Sachs International | | | 1,300,000 | | | | BRL | | | 07/01/21 | | | 304,557 | | | | 238,722 | | | | 65,835 | |
JPMorgan Chase Bank, N.A. | | | 900,000 | | | | BRL | | | 07/01/21 | | | 213,802 | | | | 165,269 | | | | 48,533 | |
Morgan Stanley Capital Services LLC | | | 88,044,000 | | | | JPY | | | 08/02/21 | | | 864,108 | | | | 821,498 | | | | 42,610 | |
Citibank N.A., New York | | | 88,044,000 | | | | JPY | | | 05/06/21 | | | 858,631 | | | | 820,089 | | | | 38,542 | |
Goldman Sachs International | | | 1,148,550 | | | | EUR | | | 07/30/21 | | | 1,334,185 | | | | 1,303,136 | | | | 31,049 | |
Goldman Sachs International | | | 45,222,600 | | | | JPY | | | 12/20/21 | | | 446,820 | | | | 423,279 | | | | 23,541 | |
Barclays Bank plc | | | 35,017,500 | | | | JPY | | | 06/01/21 | | | 342,771 | | | | 326,320 | | | | 16,451 | |
Goldman Sachs International | | | 145,000,000 | | | | JPY | | | 07/13/20 | | | 1,352,105 | | | | 1,343,103 | | | | 9,002 | |
Goldman Sachs International | | | 4,191,500 | | | | ILS | | | 04/30/21 | | | 1,227,341 | | | | 1,225,080 | | | | 2,261 | |
Goldman Sachs International | | | 1,107,750 | | | | ILS | | | 01/31/22 | | | 327,439 | | | | 325,549 | | | | 1,890 | |
Bank of America, N.A. | | | 643,550 | | | | ILS | | | 01/31/22 | | | 190,795 | | | | 189,129 | | | | 1,666 | |
Goldman Sachs International | | | 1,103,122 | | | | ILS | | | 02/01/21 | | | 321,288 | | | | 321,174 | | | | 114 | |
Goldman Sachs International | | | 8,550 | | | | EUR | | | 07/30/20 | | | 9,719 | | | | 9,616 | | | | 103 | |
Bank of America, N.A. | | | 88,000 | | | | JPY | | | 02/01/21 | | | 859 | | | | 818 | | | | 41 | |
Bank of America, N.A. | | | 33,550 | | | | ILS | | | 02/01/21 | | | 9,803 | | | | 9,768 | | | | 35 | |
Bank of America, N.A. | | | 88,000 | | | | JPY | | | 08/03/20 | | | 850 | | | | 815 | | | | 35 | |
Morgan Stanley Capital Services LLC | | | 44,000 | | | | JPY | | | 02/01/21 | | | 427 | | | | 409 | | | | 18 | |
Citibank N.A., New York | | | 44,000 | | | | JPY | | | 11/02/20 | | | 424 | | | | 408 | | | | 16 | |
Morgan Stanley Capital Services LLC | | | 44,000 | | | | JPY | | | 08/03/20 | | | 423 | | | | 408 | | | | 15 | |
Goldman Sachs International | | | 22,600 | | | | JPY | | | 06/21/21 | | | 221 | | | | 211 | | | | 10 | |
Goldman Sachs International | | | 22,600 | | | | JPY | | | 12/21/20 | | | 219 | | | | 210 | | | | 9 | |
Barclays Bank plc | | | 17,500 | | | | JPY | | | 12/01/20 | | | 169 | | | | 162 | | | | 7 | |
Citibank N.A., New York | | | 92 | | | | ILS | | | 02/01/21 | | | 26 | | | | 27 | | | | (1 | ) |
Citibank N.A., New York | | | 676,700 | | | | ILS | | | 04/30/21 | | | 197,663 | | | | 197,784 | | | | (121 | ) |
Bank of America, N.A. | | | 353,500 | | | | ILS | | | 04/30/21 | | | 102,806 | | | | 103,320 | | | | (514 | ) |
| | | | | | | | | | | | | | | | | | | | | $ | 818,002 | |
| Counterparty | | Contracts
to Buy | | | Currency | | | Settlement Date | | Settlement
Value | | | Value at
June 30, 2020 | | | Unrealized
Appreciation
(Depreciation) | |
| Goldman Sachs International | | | 1,751,300 | | | | ILS | | | 01/31/22 | | $ | 477,073 | | | $ | 514,678 | | | $ | 37,605 | |
| Goldman Sachs International | | | 2,610,850 | | | | ILS | | | 04/30/21 | | | 728,189 | | | | 763,092 | | | | 34,903 | |
| JPMorgan Chase Bank, N.A. | | | 2,610,850 | | | | ILS | | | 04/30/21 | | | 735,658 | | | | 763,092 | | | | 27,434 | |
| Goldman Sachs International | | | 1,136,764 | | | | ILS | | | 02/01/21 | | | 317,854 | | | | 330,968 | | | | 13,114 | |
| JPMorgan Chase Bank, N.A. | | | 17,500 | | | | JPY | | | 12/01/20 | | | 164 | | | | 163 | | | | (1 | ) |
| Goldman Sachs International | | | 44,000 | | | | JPY | | | 11/02/20 | | | 410 | | | | 408 | | | | (2 | ) |
| Barclays Bank plc | | | 22,600 | | | | JPY | | | 12/21/20 | | | 213 | | | | 210 | | | | (3 | ) |
| Barclays Bank plc | | | 22,600 | | | | JPY | | | 06/21/21 | | | 214 | | | | 211 | | | | (3 | ) |
| JPMorgan Chase Bank, N.A. | | | 132,000 | | | | JPY | | | 08/03/20 | | | 1,237 | | | | 1,223 | | | | (14 | ) |
| JPMorgan Chase Bank, N.A. | | | 132,000 | | | | JPY | | | 02/01/21 | | | 1,244 | | | | 1,228 | | | | (16 | ) |
| Goldman Sachs International | | | 8,550 | | | | EUR | | | 07/30/20 | | | 9,699 | | | | 9,616 | | | | (83 | ) |
| JPMorgan Chase Bank, N.A. | | | 35,017,500 | | | | JPY | | | 06/01/21 | | | 328,649 | | | | 326,320 | | | | (2,329 | ) |
| Goldman Sachs International | | | 88,044,000 | | | | JPY | | | 05/06/21 | | | 825,309 | | | | 820,089 | | | | (5,220 | ) |
| Barclays Bank plc | | | 45,222,600 | | | | JPY | | | 12/20/21 | | | 431,061 | | | | 423,279 | | | | (7,782 | ) |
| Goldman Sachs International | | | 1,148,550 | | | | EUR | | | 07/30/21 | | | 1,317,962 | | | | 1,303,136 | | | | (14,826 | ) |
| JPMorgan Chase Bank, N.A. | | | 2,339,000 | | | | BRL | | | 07/01/21 | | | 453,294 | | | | 429,515 | | | | (23,779 | ) |
| Goldman Sachs International | | | 2,490,000 | | | | BRL | | | 07/01/20 | | | 489,910 | | | | 458,310 | | | | (31,600 | ) |
| JPMorgan Chase Bank, N.A. | | | 264,132,000 | | | | JPY | | | 08/02/21 | | | 2,500,539 | | | | 2,464,494 | | | | (36,045 | ) |
| Citibank N.A., New York | | | 4,641,000 | | | | BRL | | | 07/01/21 | | | 890,026 | | | | 852,237 | | | | (37,789 | ) |
| | | | | | | | | | | | | | | | | | | | | $ | (46,436 | ) |
40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES E (TOTAL RETURN BOND SERIES) | |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — 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 | Perpetual maturity. |
2 | Affiliated issuer. |
3 | Rate indicated is the 7-day yield as of June 30, 2020. |
4 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
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 $44,704,696 (cost $44,894,003), or 30.1% of total net assets. |
6 | Variable rate security. Rate indicated is the rate effective at June 30, 2020. 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 | Rate indicated is the effective yield at the time of purchase. |
8 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $1,714,479 (cost $1,777,159), or 1.2% of total net assets — See Note 9. |
9 | Security is an interest-only strip. |
10 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
11 | Zero coupon rate security. |
12 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At June 30, 2020, the total market value of segregated or earmarked securities was $3,473,789 — See Note 12. |
13 | Security is a principal-only strip. |
| | BofA — Bank of America |
| | BRL — Brazilian Real |
| | CDX.NA.HY.34.V6 — Credit Default Swap North American High Yield Series 34 Index Version 6 |
| | CDX.NA.IG.34 — Credit Default Swap North American Investment Grade Series 34 Index |
| | CME — Chicago Mercantile Exchange |
| | CMS — Constant Maturity Swap |
| | CMT — Constant Maturity Treasury |
| | EUR — Euro |
| | ICE — Intercontinental Exchange |
| | ILS — Israeli New Shekel |
| | JPY — Japanese Yen |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | REMIC — Real Estate Mortgage Investment Conduit |
| | SARL — Société à Responsabilité Limitée |
| | WAC — Weighted Average Coupon |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES E (TOTAL RETURN BOND SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (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 | |
Preferred Stocks | | $ | — | | | $ | 366,048 | | | $ | — | | | $ | 366,048 | |
Exchange-Traded Funds | | | 9,307,349 | | | | — | | | | — | | | | 9,307,349 | |
Mutual Funds | | | 8,654,548 | | | | — | | | | — | | | | 8,654,548 | |
Money Market Fund | | | 7,908,769 | | | | — | | | | — | | | | 7,908,769 | |
Corporate Bonds | | | — | | | | 49,784,439 | | | | 497,870 | | | | 50,282,309 | |
Collateralized Mortgage Obligations | | | — | | | | 28,556,933 | | | | — | | | | 28,556,933 | |
Asset-Backed Securities | | | — | | | | 21,244,589 | | | | 600,000 | | | | 21,844,589 | |
U.S. Government Securities | | | — | | | | 14,902,810 | | | | — | | | | 14,902,810 | |
Federal Agency Bonds | | | — | | | | 6,511,848 | | | | — | | | | 6,511,848 | |
Senior Floating Rate Interests | | | — | | | | 3,701,147 | | | | 671,395 | | | | 4,372,542 | |
Municipal Bonds | | | — | | | | 2,523,467 | | | | — | | | | 2,523,467 | |
Foreign Government Debt | | | — | | | | 1,342,957 | | | | — | | | | 1,342,957 | |
Options Purchased | | | — | | | | 386,920 | | | | — | | | | 386,920 | |
Credit Default Swap Agreements** | | | — | | | | 235,226 | | | | — | | | | 235,226 | |
Interest Rate Swap Agreements** | | | — | | | | 13,555 | | | | — | | | | 13,555 | |
Total Return Swap Agreements** | | | — | | | | 3,185 | | | | — | | | | 3,185 | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | 931,694 | | | | — | | | | 931,694 | |
Total Assets | | $ | 25,870,666 | | | $ | 130,504,818 | | | $ | 1,769,265 | | | $ | 158,144,749 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Credit Default Swap Agreements** | | $ | — | | | $ | 13,242 | | | $ | — | | | $ | 13,242 | |
Forward Foreign Currency Exchange Contracts** | | | — | | | | 160,128 | | | | — | | | | 160,128 | |
Total Liabilities | | $ | — | | | $ | 173,370 | | | $ | — | | | $ | 173,370 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $1,660,870 are categorized as Level 2 within the disclosure hierarchy — See Note 12.
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | | Ending Balance at
June 30, 2020 | | Valuation Technique | Unobservable Inputs | | Input Range | | | Weighted Average | |
Assets: | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | 600,000 | | Option Adjusted Spread off the prior month end broker quote | Broker Quote | | | — | | | | — | |
Corporate Bonds | | | 497,870 | | Option Adjusted Spread off the prior month end broker quote | Broker Quote | | | — | | | | — | |
Senior Floating Rate Interests | | | 671,395 | | Third Party Pricing | Broker Quote | | | — | | | | — | |
Total Assets | | $ | 1,769,265 | | | | | | | | | | | |
Significant changes in a quote would generally result in significant changes in the fair value of the security.
42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
SERIES E (TOTAL RETURN BOND SERIES) | |
The Fund’s fair valuation leveling guidelines were revised to classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3 rather than Level 2, if such a quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended June 30, 2020, the Fund had assets with a total value of $250,000 transfer into Level 3 from Level 2 due to the lack of observable inputs.
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2020:
| | | Assets | | | | | |
| | Asset-Backed
Securities | | | Corporate
Bonds | | | Senior
Floating Rate
Interests | | | Total Assets | |
Beginning Balance | | $ | 1,050,000 | | | $ | — | | | $ | — | | | $ | 1,050,000 | |
Purchases/(Receipts) | | | — | | | | 500,000 | | | | 657,875 | | | | 1,157,875 | |
(Sales, maturities and paydowns)/Fundings | | | (700,000 | ) | | | — | | | | (630 | ) | | | (700,630 | ) |
Amortization of premiums/discounts | | | — | | | | — | | | | 1,144 | | | | 1,144 | |
Total realized gains (losses) included in earnings | | | — | | | | — | | | | 6 | | | | 6 | |
Total change in unrealized appreciation (depreciation) included in earnings | | | — | | | | (2,130 | ) | | | 13,000 | | | | 10,870 | |
Transfers into Level 3 | | | 250,000 | | | | — | | | | — | | | | 250,000 | |
Ending Balance | | $ | 600,000 | | | $ | 497,870 | | | $ | 671,395 | | | $ | 1,769,265 | |
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2020 | | $ | — | | | $ | (2,130 | ) | | $ | 13,000 | | | $ | 10,870 | |
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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/19 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/20 | | | Shares
06/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Limited Duration Fund — R6-Class | | $ | 3,032,782 | | | $ | 20,807 | | | $ | (3,064,730 | ) | | $ | (9,448 | ) | | $ | 20,589 | | | $ | — | | | | — | | | $ | 20,941 | |
Guggenheim Total Return Bond Fund — R6-Class | | | 6,055,444 | | | | 79,999 | | | | — | | | | — | | | | 459,777 | | | | 6,595,220 | | | | 225,941 | | | | 80,338 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 2,048,198 | | | | 17,252 | | | | — | | | | — | | | | (6,122 | ) | | | 2,059,328 | | | | 207,594 | | | | 17,347 | |
| | | $ | 11,136,424 | | | $ | 118,058 | | | $ | (3,064,730 | ) | | $ | (9,448 | ) | | $ | 474,244 | | | $ | 8,654,548 | | | | | | | $ | 118,626 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43 |
SERIES E (TOTAL RETURN BOND SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $142,743,265) | | $ | 148,306,541 | |
Investments in affiliated issuers, at value (cost $8,033,743) | | | 8,654,548 | |
Segregated cash with broker | | | 1,062,349 | |
Unamortized upfront premiums paid on credit default swap agreements | | | 7,657 | |
Unamortized upfront premiums paid on interest rate swap agreements | | | 316 | |
Unrealized appreciation on OTC swap agreements | | | 3,185 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 931,694 | |
Prepaid expenses | | | 1,236 | |
Receivables: |
Securities sold | | | 1,290,120 | |
Interest | | | 517,380 | |
Fund shares sold | | | 67,723 | |
Variation margin on credit default swap agreements | | | 22,576 | |
Dividends | | | 17,463 | |
Protection fees on credit default swap agreements | | | 3,803 | |
Foreign tax reclaims | | | 1,618 | |
Total assets | | | 160,888,209 | |
| | | | | |
Liabilities: |
Reverse repurchase agreements (Note 12) | | | 1,660,870 | |
Overdraft due to custodian bank | | | 2,474 | |
Segregated cash due to broker | | | 796,199 | |
Unamortized upfront premiums received on credit default swap agreements | | | 146,125 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 160,128 | |
Payable for: |
Securities purchased | | | 9,222,615 | |
Fund shares redeemed | | | 83,231 | |
Management fees | | | 32,896 | |
Distribution and service fees | | | 28,200 | |
Fund accounting/administration fees | | | 8,250 | |
Variation margin on interest rate swap agreements | | | 2,944 | |
Transfer agent/maintenance fees | | | 2,332 | |
Trustees’ fees* | | | 2,057 | |
Swap settlement | | | 86 | |
Miscellaneous | | | 87,292 | |
Total liabilities | | | 12,235,699 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 148,652,510 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 135,353,057 | |
Total distributable earnings (loss) | | | 13,299,453 | |
Net assets | | $ | 148,652,510 | |
Capital shares outstanding | | | 8,516,820 | |
Net asset value per share | | $ | 17.45 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 75,529 | |
Dividends from securities of affiliated issuers | | | 118,626 | |
Interest from securities of unaffiliated issuers (net of foreign withholding tax of $322) | | | 1,707,806 | |
Total investment income | | | 1,901,961 | |
| | | | | |
Expenses: |
Management fees | | | 250,607 | |
Distribution and service fees | | | 160,646 | |
Transfer agent/maintenance fees | | | 12,590 | |
Fund accounting/administration fees | | | 47,582 | |
Professional fees | | | 45,941 | |
Custodian fees | | | 11,045 | |
Trustees’ fees* | | | 9,882 | |
Line of credit fees | | | 5,826 | |
Miscellaneous | | | 39,835 | |
Total expenses | | | 583,954 | |
Less: |
Expenses reimbursed by Adviser | | | (5,240 | ) |
Expenses waived by Adviser | | | (76,990 | ) |
Earnings credits applied | | | (699 | ) |
Total waived/reimbursed expenses | | | (82,929 | ) |
Net expenses | | | 501,025 | |
Net investment income | | | 1,400,936 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 2,096,362 | |
Investments in affiliated issuers | | | (9,448 | ) |
Swap agreements | | | 1,422,782 | |
Futures contracts | | | 72,641 | |
Forward foreign currency exchange contracts | | | 99,434 | |
Foreign currency transactions | | | 20,982 | |
Net realized gain | | | 3,702,753 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 3,058,776 | |
Investments in affiliated issuers | | | 474,244 | |
Swap agreements | | | 819,470 | |
Options purchased | | | 170,680 | |
Forward foreign currency exchange contracts | | | 644,174 | |
Foreign currency translations | | | (2,613 | ) |
Net change in unrealized appreciation (depreciation) | | | 5,164,731 | |
Net realized and unrealized gain | | | 8,867,484 | |
Net increase in net assets resulting from operations | | $ | 10,268,420 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES E (TOTAL RETURN BOND SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,400,936 | | | $ | 3,083,801 | |
Net realized gain (loss) on investments | | | 3,702,753 | | | | (711,371 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 5,164,731 | | | | 3,523,292 | |
Net increase in net assets resulting from operations | | | 10,268,420 | | | | 5,895,722 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (3,605,920 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 36,814,344 | | | | 33,497,118 | |
Distributions reinvested | | | — | | | | 3,605,920 | |
Cost of shares redeemed | | | (26,639,197 | ) | | | (34,034,071 | ) |
Net increase from capital share transactions | | | 10,175,147 | | | | 3,068,967 | |
Net increase in net assets | | | 20,443,567 | | | | 5,358,769 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 128,208,943 | | | | 122,850,174 | |
End of period | | $ | 148,652,510 | | | $ | 128,208,943 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 2,169,816 | | | | 2,083,694 | |
Shares issued from reinvestment of distributions | | | — | | | | 225,935 | |
Shares redeemed | | | (1,603,383 | ) | | | (2,107,651 | ) |
Net increase in shares | | | 566,433 | | | | 201,978 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45 |
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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 16.13 | | | $ | 15.85 | | | $ | 16.40 | | | $ | 16.05 | | | $ | 15.68 | | | $ | 15.89 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .18 | | | | .38 | | | | .46 | | | | .61 | | | | .66 | | | | .67 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.14 | | | | .34 | | | | (.29 | ) | | | .45 | | | | .41 | | | | (.50 | ) |
Total from investment operations | | | 1.32 | | | | .72 | | | | .17 | | | | 1.06 | | | | 1.07 | | | | .17 | |
Less distributions from: |
Net investment income | | | — | | | | (.44 | ) | | | (.72 | ) | | | (.71 | ) | | | (.70 | ) | | | (.38 | ) |
Total distributions | | | — | | | | (.44 | ) | | | (.72 | ) | | | (.71 | ) | | | (.70 | ) | | | (.38 | ) |
Net asset value, end of period | | $ | 17.45 | | | $ | 16.13 | | | $ | 15.85 | | | $ | 16.40 | | | $ | 16.05 | | | $ | 15.68 | |
|
Total Returnc | | | 8.18 | % | | | 4.49 | % | | | 1.14 | % | | | 6.72 | % | | | 6.83 | % | | | 1.15 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 148,653 | | | $ | 128,209 | | | $ | 122,850 | | | $ | 130,499 | | | $ | 114,043 | | | $ | 111,974 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.18 | % | | | 2.33 | % | | | 2.85 | % | | | 3.76 | % | | | 4.13 | % | | | 4.19 | % |
Total expensesd | | | 0.91 | % | | | 0.94 | % | | | 0.92 | % | | | 0.99 | % | | | 1.02 | % | | | 1.05 | % |
Net expensese,f,g | | | 0.78 | % | | | 0.78 | % | | | 0.78 | % | | | 0.81 | % | | | 0.83 | % | | | 0.83 | % |
Portfolio turnover rate | | | 66 | % | | | 54 | % | | | 30 | % | | | 76 | % | | | 88 | % | | | 85 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 presented would be: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 |
| | 0.77% | 0.77% | 0.77% | 0.77% | 0.78% | 0.78% |
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 presented was as follows: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | — | 0.00%* | — | — |
46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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) |
LTI Holdings, Inc., 3.68% | 1.6% |
IQVIA Holdings, Inc., 2.06% | 1.6% |
Illuminate Buyer LLC | 1.6% |
Telenet Financing USD LLC, 2.18% | 1.6% |
Navistar Inc., 3.70% | 1.5% |
Hillman Group, Inc., 5.07% | 1.5% |
WP CPP Holdings LLC, 4.50% | 1.5% |
Power Solutions (Panther), 3.68% | 1.5% |
Altra Industrial Motion Corp., 2.18% | 1.5% |
NFP Corp., 3.43% | 1.4% |
Top Ten Total | 15.3% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2020 |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | Since
Inception
(04/24/13) |
Series F (Floating Rate Strategies Series) | (5.47%) | (2.89%) | 2.11% | 2.54% |
Credit Suisse Leveraged Loan Index | (4.76%) | (2.27%) | 2.94% | 3.17% |
Portfolio Composition by Quality Rating1 |
Rating | % of Total
Investments |
Fixed Income Instruments | |
BBB | 9.0% |
BB | 32.3% |
B | 42.4% |
CCC | 4.2% |
Other Instruments | 12.1% |
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 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. |
48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
| | | Shares | | | Value | |
| COMMON STOCKS††† - 0.0% |
| | | | | | | | | |
| Industrial - 0.0% |
API Heat Transfer Parent LLC*,1 | | | 170,114 | | | $ | 10,669 | |
BP Holdco LLC*,1,2 | | | 11,609 | | | | 3,386 | |
Vector Phoenix Holdings, LP*,1 | | | 11,609 | | | | 971 | |
| Total Industrial | | | | | | | 15,026 | |
| | | | | | | | | |
| Consumer, Non-cyclical - 0.0% |
Chef Holdings, Inc.*,1 | | | 20 | | | | 1,699 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $90,943) | | | | | | | 16,725 | |
| | | | | | | | | |
| PREFERRED STOCKS††† - 0.1% |
| Industrial - 0.1% |
API Heat Transfer Intermediate*,1 | | | 36 | | | | 18,245 | |
| Total Preferred Stocks | | | | | | | | |
| (Cost $28,949) | | | | | | | 18,245 | |
| | | | | | | | | |
| MONEY MARKET FUND† - 12.4% |
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.07%3 | | | 4,518,834 | | | | 4,518,834 | |
| Total Money Market Fund | | | | | | | | |
| (Cost $4,518,834) | | | | | | | 4,518,834 | |
| | | Face
Amount | | | | |
| SENIOR FLOATING RATE INTERESTS††,4 - 89.6% |
| Industrial - 19.1% | | | | | | | | |
| Charter Nex US, Inc. | | | | | | | | |
| 3.75% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 05/16/24 | | $ | 505,442 | | | | 482,627 | |
| 3.43% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/16/24 | | | 97,837 | | | | 93,386 | |
| Hillman Group, Inc. | | | | | | | | |
| 5.07% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/30/25 | | | 588,000 | | | | 549,780 | |
| WP CPP Holdings LLC | | | | | | | | |
| 4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 04/30/25 | | | 630,198 | | | | 542,361 | |
| Altra Industrial Motion Corp. | | | | | | | | |
| 2.18% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/01/25 | | | 562,687 | | | | 534,552 | |
| Reece Ltd. | | | | | | | | |
2.31% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 01/04/27††† | | | 498,223 | | | | 478,294 | |
| Gardner Denver, Inc. | | | | | | | | |
| 1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27 | | | 498,750 | | | | 473,503 | |
| USIC Holding, Inc. | | | | | | | | |
| 4.25% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 12/08/23 | | | 487,768 | | | | 463,989 | |
| TransDigm, Inc. | | | | | | | | |
| 2.43% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | | | 496,237 | | | | 444,445 | |
American Builders & Contractors Supply Co., Inc. | | | | | | | | |
2.18% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 01/15/27 | | | 446,625 | | | | 425,187 | |
Berry Global, Inc. | | | | | | | | |
2.18% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/01/26 | | | 419,394 | | | | 399,996 | |
American Bath Group LLC | | | | | | | | |
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 09/29/23 | | | 263,466 | | | | 255,891 | |
VC GB Holdings, Inc. | | | | | | | | |
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/28/24††† | | | 266,387 | | | | 251,736 | |
Mileage Plus Holdings LLC | | | | | | | | |
due 07/02/27 | | | 250,000 | | | | 248,020 | |
BWAY Holding Co. | | | | | | | | |
4.56% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | | | 257,423 | | | | 230,502 | |
CPG International LLC | | | | | | | | |
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 05/06/24 | | | 199,652 | | | | 197,344 | |
Titan Acquisition Ltd. (Husky) | | | | | | | | |
3.36% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | | | 194,776 | | | | 177,661 | |
Filtration Group Corp. | | | | | | | | |
3.18% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 | | | 186,504 | | | | 177,179 | |
API Heat Transfer | | | | | | | | |
12.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) (in-kind rate was 12.00%) due 01/01/24†††,1,5 | | | 163,019 | | | | 145,495 | |
12.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) (in-kind rate was 12.00%) due 10/02/23†††,1,5 | | | 28,946 | | | | 26,341 | |
Berlin Packaging LLC | | | | | | | | |
3.18% (1 Month USD LIBOR + 3.00% and 3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 11/07/25 | | | 149,618 | | | | 141,389 | |
Hayward Industries, Inc. | | | | | | | | |
3.68% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/05/24 | | | 105,634 | | | | 101,409 | |
Vertical (TK Elevator) | | | | | | | | |
due 07/01/27 | | | 100,000 | | | | 98,000 | |
Total Industrial | | | | | | | 6,939,087 | |
| | | | | | | | | |
Consumer, Non-cyclical - 15.8% | | | | | | | | |
IQVIA Holdings, Inc. | | | | | | | | |
2.06% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/11/25 | | | 592,443 | | | | 573,313 | |
Hearthside Group Holdings LLC | | | | | | | | |
3.87% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 05/23/25 | | | 539,000 | | | | 511,376 | |
Endo Luxembourg Finance Co. | | | | | | | | |
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 04/29/24 | | | 536,307 | | | | 505,470 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
| | Face
Amount | | | Value | |
DaVita, Inc. | | | | | | | | |
1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/12/26 | | $ | 498,747 | | | $ | 481,725 | |
Froneri US, Inc. | | | | | | | | |
2.43% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27 | | | 500,000 | | | | 469,065 | |
Bombardier Recreational Products, Inc. | | | | | | | | |
2.18% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | | | 489,284 | | | | 463,293 | |
JBS USA Lux SA | | | | | | | | |
3.07% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/01/26 | | | 470,963 | | | | 448,790 | |
US Foods, Inc. | | | | | | | | |
3.07% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/14/26 | | | 447,750 | | | | 415,942 | |
Syneos Health, Inc. | | | | | | | | |
1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/01/24 | | | 380,133 | | | | 364,928 | |
Valeant Pharmaceuticals International, Inc. | | | | | | | | |
2.94% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 11/27/25 | | | 300,000 | | | | 289,542 | |
Diamond (BC) BV | | | | | | | | |
3.76% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 09/06/24 | | | 292,500 | | | | 268,126 | |
Grifols Worldwide Operations USA, Inc. | | | | | | | | |
2.11% (1 Week USD LIBOR + 2.00%, Rate Floor: 2.00%) due 11/15/27 | | | 249,375 | | | | 239,682 | |
Sigma Holding BV (Flora Food) | | | | | | | | |
4.45% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/02/25 | | | 245,000 | | | | 234,149 | |
Springs Window Fashions | | | | | | | | |
5.32% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/15/25 | | | 108,224 | | | | 100,648 | |
9.57% (3 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26 | | | 100,000 | | | | 83,500 | |
BCPE Eagle Buyer LLC | | | | | | | | |
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/18/24 | | | 194,472 | | | | 171,460 | |
Immucor, Inc. | | | | | | | | |
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 06/15/21 | | | 145,500 | | | | 139,655 | |
CTI Foods Holding Co. LLC | | | | | | | | |
8.77% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) (in-kind rate was 3.00%) due 05/03/24†††,1,5 | | | 11,140 | | | | 10,583 | |
Total Consumer, Non-cyclical | | | | | | | 5,771,247 | |
| | | | | | | | | |
Consumer, Cyclical - 14.9% | | | | | | | | |
Navistar Inc. | | | | | | | | |
3.70% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/06/24 | | | 588,356 | | | | 555,749 | |
Power Solutions (Panther) | | | | | | | | |
3.68% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 04/30/26 | | | 570,688 | | | | 542,153 | |
Samsonite IP Holdings SARL | | | | | | | | |
1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/25/25 | | | 502,387 | | | | 465,964 | |
Mavis Tire Express Services Corp. | | | | | | | | |
3.56% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/20/25 | | | 440,742 | | | | 395,293 | |
AMC Entertainment, Inc. | | | | | | | | |
4.08% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/22/26 | | | 543,744 | | | | 393,197 | |
Playtika Holding Corp. | | | | | | | | |
7.07% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 12/09/24 | | | 393,703 | | | | 392,718 | |
American Tire Distributors, Inc. | | | | | | | | |
8.50% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24 | | | 515,166 | | | | 335,224 | |
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23 | | | 57,427 | | | | 52,163 | |
Whatabrands, LLC | | | | | | | | |
2.93% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/26 | | | 398,997 | | | | 381,294 | |
CHG Healthcare Services, Inc. | | | | | | | | |
4.07% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/07/23 | | | 393,985 | | | | 378,931 | |
1011778 BC Unlimited Liability Co. | | | | | | | | |
1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/19/26 | | | 348,250 | | | | 329,445 | |
IBC Capital Ltd. | | | | | | | | |
4.06% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23 | | | 341,148 | | | | 324,944 | |
Crown Finance US, Inc. | | | | | | | | |
3.32% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 02/28/25 | | | 317,144 | | | | 237,411 | |
Equinox Holdings, Inc. | | | | | | | | |
4.07% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 03/08/24 | | | 233,801 | | | | 179,316 | |
Prime Security Services Borrower LLC (ADT) | | | | | | | | |
4.25% (1 Month USD LIBOR + 3.25% and 3 Month USD LIBOR + 3.25% and 6 Month USD LIBOR + 3.25% and 12 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 09/23/26 | | | 148,875 | | | | 142,828 | |
Wyndham Hotels & Resorts, Inc. | | | | | | | | |
1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 05/30/25 | | | 147,375 | | | | 138,827 | |
1-800 Contacts | | | | | | | | |
4.08% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 01/22/23 | | | 92,068 | | | | 89,392 | |
EG Finco Ltd. | | | | | | | | |
5.07% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25 | | | 38,159 | | | | 35,743 | |
CPI Acquisition, Inc. | | | | | | | | |
6.38% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 08/17/22 | | | 41,839 | | | | 33,733 | |
Belk, Inc. | | | | | | | | |
7.75% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 07/31/25 | | | 73,613 | | | | 25,930 | |
Total Consumer, Cyclical | | | | | | | 5,430,255 | |
50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
| | Face
Amount | | | Value | |
Communications - 13.8% | | | | | | | | |
Telenet Financing USD LLC | | | | | | | | |
2.18% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28 | | $ | 600,000 | | | $ | 564,750 | |
CSC Holdings, LLC | | | | | | | | |
2.43% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/17/25 | | | 512,281 | | | | 483,465 | |
GTT Communications, Inc. | | | | | | | | |
2.93% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/31/25 | | | 637,000 | | | | 466,870 | |
SFR Group S.A. | | | | | | | | |
3.87% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 01/31/26 | | | 483,844 | | | | 462,898 | |
Ziggo Financing Partnership | | | | | | | | |
2.68% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28 | | | 450,000 | | | | 423,657 | |
McGraw-Hill Global Education Holdings LLC | | | | | | | | |
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 05/04/22 | | | 465,147 | | | | 391,189 | |
Cengage Learning Acquisitions, Inc. | | | | | | | | |
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23 | | | 435,169 | | | | 349,005 | |
ProQuest, LLC | | | | | | | | |
3.68% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 10/23/26 | | | 298,500 | | | | 287,772 | |
Zayo Group Holdings, Inc. | | | | | | | | |
3.18% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | | | 299,250 | | | | 283,366 | |
Internet Brands, Inc. | | | | | | | | |
4.57% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24 | | | 248,609 | | | | 238,754 | |
Xplornet Communications Inc. | | | | | | | | |
4.93% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/10/27 | | | 250,000 | | | | 238,125 | |
Virgin Media Bristol LLC | | | | | | | | |
2.68% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28 | | | 215,406 | | | | 205,228 | |
Altice US Finance I Corp. | | | | | | | | |
2.43% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/26 | | | 197,500 | | | | 186,462 | |
Market Track LLC | | | | | | | | |
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/05/24††† | | | 194,500 | | | | 165,325 | |
Authentic Brands | | | | | | | | |
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 09/27/24 | | | 168,827 | | | | 157,304 | |
Liberty Cablevision of Puerto Rico LLC | | | | | | | | |
5.18% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 10/15/26 | | | 100,000 | | | | 99,000 | |
Charter Communications Operating, LLC | | | | | | | | |
1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 02/01/27 | | | 26,859 | | | | 25,789 | |
Total Communications | | | | | | | 5,028,959 | |
| | | | | | | | | |
Basic Materials - 9.5% | | | | | | | | |
LTI Holdings, Inc. | | | | | | | | |
3.68% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/06/25 | | | 687,750 | | | | 582,620 | |
Illuminate Buyer LLC | | | | | | | | |
due 06/15/27 | | | 580,000 | | | | 570,430 | |
HB Fuller Co. | | | | | | | | |
2.19% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/21/24 | | | 528,101 | | | | 508,810 | |
PQ Corp. | | | | | | | | |
2.43% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 02/08/27 | | | 491,144 | | | | 472,319 | |
Messer Industries USA, Inc. | | | | | | | | |
2.81% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/02/26 | | | 493,131 | | | | 469,091 | |
GrafTech Finance, Inc. | | | | | | | | |
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 02/12/25 | | | 459,439 | | | | 445,617 | |
Vectra Co. | | | | | | | | |
3.43% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/08/25 | | | 441,000 | | | | 411,343 | |
Total Basic Materials | | | | | | | 3,460,230 | |
| | | | | | | | | |
Financial - 8.2% | | | | | | | | |
NFP Corp. | | | | | | | | |
3.43% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27 | | | 567,465 | | | | 527,742 | |
Trans Union LLC | | | | | | | | |
1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/16/26 | | | 498,710 | | | | 476,113 | |
HUB International Ltd. | | | | | | | | |
4.02% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/25/25 | | | 494,949 | | | | 469,791 | |
Delos Finance SARL (International Lease Finance) | | | | | | | | |
2.06% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/06/23 | | | 490,000 | | | | 466,877 | |
Citadel Securities LP | | | | | | | | |
2.93% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 02/27/26 | | | 398,997 | | | | 387,359 | |
LPL Holdings, Inc. | | | | | | | | |
1.93% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/12/26 | | | 354,886 | | | | 338,916 | |
Aretec Group, Inc. | | | | | | | | |
4.43% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25 | | | 246,250 | | | | 225,319 | |
Jane Street Group LLC | | | | | | | | |
3.18% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/25 | | | 80,797 | | | | 78,449 | |
Total Financial | | | | | | | 2,970,566 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
| | Face
Amount | | | Value | |
Technology - 7.8% | | | | | | | | |
Neustar, Inc. | | | | | | | | |
4.57% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 08/08/24 | | $ | 537,563 | | | $ | 490,639 | |
Blackhawk Network | | | | | | | | |
3.18% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/16/25 | | | 488,020 | | | | 448,164 | |
Informatica LLC | | | | | | | | |
3.43% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/25/27 | | | 359,100 | | | | 342,940 | |
Tech Data Corp. | | | | | | | | |
due 06/30/25 | | | 200,000 | | | | 197,916 | |
Aspect Software, Inc. | | | | | | | | |
6.00% (2 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 01/15/24 | | | 212,863 | | | | 186,255 | |
Boxer Parent Co., Inc. | | | | | | | | |
4.43% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/02/25 | | | 193,509 | | | | 182,624 | |
Solera LLC | | | | | | | | |
2.93% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/03/23 | | | 173,559 | | | | 167,189 | |
Micron Technology, Inc. | | | | | | | | |
2.18% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/29/25 | | | 170,666 | | | | 164,319 | |
Cvent, Inc. | | | | | | | | |
3.93% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/29/24 | | | 176,042 | | | | 150,442 | |
EIG Investors Corp. | | | | | | | | |
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/09/23 | | | 150,334 | | | | 144,821 | |
Emerald TopCo, Inc. (Press Ganey) | | | | | | | | |
4.26% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | | | 148,875 | | | | 144,037 | |
TIBCO Software, Inc. | | | | | | | | |
3.93% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26 | | | 138,000 | | | | 130,065 | |
Brave Parent Holdings, Inc. | | | | | | | | |
4.18% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25 | | | 98,246 | | | | 94,561 | |
Total Technology | | | | | | | 2,843,972 | |
| | | | | | | | | |
Utilities - 0.5% | | | | | | | | |
Hamilton Projects Acquiror LLC | | | | | | | | |
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27 | | | 180,000 | | | | 175,874 | |
Total Senior Floating Rate Interests | | | | |
(Cost $35,060,210) | | | 32,620,190 | |
| | | | | | | | | |
CORPORATE BONDS†† - 1.4% |
Consumer, Non-cyclical - 1.4% | | | | | | | | |
ADT Security Corp. | | | | | | | | |
6.25% due 10/15/21 | | | 500,000 | | | | 512,500 | |
Total Corporate Bonds | | | | |
(Cost $509,054) | | | 512,500 | |
| | | | | | | | | |
Total Investments - 103.5% | | | | |
(Cost $40,207,990) | | $ | 37,686,494 | |
Other Assets & Liabilities, net - (3.5)% | | | (1,285,954 | ) |
Total Net Assets - 100.0% | | $ | 36,400,540 | |
* | 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, 2020. The total market value of fair valued securities amounts to $217,389, (cost $322,720) or 0.6% of total net assets. |
2 | Affiliated issuer. |
3 | Rate indicated is the 7-day yield as of June 30, 2020. |
4 | Variable rate security. Rate indicated is the rate effective at June 30, 2020. 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 | Payment in-kind security. |
| | LIBOR — London Interbank Offered Rate |
| | SARL — Société à Responsabilité Limitée |
| | |
| | See Sector Classification in Other Information section. |
52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (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 | | $ | — | | | $ | — | | | $ | 16,725 | | | $ | 16,725 | |
Preferred Stocks | | | — | | | | — | | | | 18,245 | | | | 18,245 | |
Money Market Fund | | | 4,518,834 | | | | — | | | | — | | | | 4,518,834 | |
Senior Floating Rate Interests | | | — | | | | 31,542,416 | | | | 1,077,774 | | | | 32,620,190 | |
Corporate Bonds | | | — | | | | 512,500 | | | | — | | | | 512,500 | |
Total Assets | | $ | 4,518,834 | | | $ | 32,054,916 | | | $ | 1,112,744 | | | $ | 37,686,494 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Unfunded Loan Commitments (Note 8) | | $ | — | | | $ | — | | | $ | 9,574 | | | $ | 9,574 | |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | | Ending Balance at
June 30, 2020 | | Valuation Technique | Unobservable Inputs | | Input Range | | | Weighted Average* | |
Assets: | | | | | | | | | | | | | | |
Common Stocks | | $ | 16,725 | | Enterprise Value | Valuation Multiple | | | 2.0x-9.8x | | | | 8.1x | |
Preferred Stocks | | | 18,245 | | Yield Analysis | Yield | | | 19.2 | % | | | — | |
Senior Floating Rate Interests | | | 895,355 | | Third Party Pricing | Broker Quote | | | — | | | | — | |
Senior Floating Rate Interests | | | 182,419 | | Enterprise Value | Valuation Multiple | | | 8.6x-9.8x | | | | 8.8x | |
Total Assets | | $ | 1,112,744 | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | |
Unfunded Loan Commitments | | $ | 9,574 | | Model Price | Purchase Price | | | — | | | | — | |
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote, yield or valuation multiple would generally result in significant changes in the fair value of the security.
The Fund’s fair valuation leveling guidelines were revised to classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3 rather than Level 2, if such a quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended June 30, 2020, the Fund had securities with a total value of $280,650 transfer into Level 3 from Level 2 due to lack of observable inputs.
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2020:
| | | Assets | | | | | | | | | | | Liabilities | |
| | Senior Floating
Rate Interests | | | Common
Stocks | | | Preferred
Stocks | | | Total
Assets | | | Unfunded Loan
Commitments | |
Beginning Balance | | $ | 442,260 | | | $ | 7,408 | | | $ | — | | | $ | 449,668 | | | $ | (1,634 | ) |
Purchases/(Receipts) | | | 402,034 | | | | — | | | | — | | | | 402,034 | | | | (2,110 | ) |
(Sales, maturities and paydowns)/Fundings | | | (2,584 | ) | | | — | | | | — | | | | (2,584 | ) | | | 481 | |
Amortization of discount/premiums | | | 170 | | | | — | | | | — | | | | 170 | | | | — | |
Total realized gains or losses included in earnings | | | — | | | | — | | | | — | | | | — | | | | — | |
Total change in unrealized appreciation (depreciation) included in earnings | | | (15,842 | ) | | | (1,352 | ) | | | — | | | | (17,194 | ) | | | (6,311 | ) |
Transfers into Level 3 | | | 251,736 | | | | 10,669 | | | | 18,245 | | | | 280,650 | | | | — | |
Ending Balance | | $ | 1,077,774 | | | $ | 16,725 | | | $ | 18,245 | | | $ | 1,112,744 | | | $ | (9,574 | ) |
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2020 | | $ | (15,842 | ) | | $ | (1,352 | ) | | $ | — | | | $ | (17,194 | ) | | $ | (7,217 | ) |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the period ended June 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/19 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/20 | | | Shares
06/30/20 | |
Common Stock | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BP Holdco LLC *,1 | | $ | 4,099 | | | $ | — | | | $ | — | | | $ | — | | | $ | (713 | ) | | $ | 3,386 | | | | 11,609 | |
* | Non-income producing security. |
1 | Security was fair valued by the Valuation Committee at June 30, 2020. The total market value of fair valued and affiliated securities amounts to $3,386, (cost $4,099) or less than 0.1% of total net assets. |
54 | 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, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $40,203,891) | | $ | 37,683,108 | |
Investments in affiliated issuers, at value (cost $4,099) | | | 3,386 | |
Cash | | | 127,658 | |
Prepaid expenses | | | 2,337 | |
Receivables: |
Securities sold | | | 452,796 | |
Interest | | | 66,823 | |
Fund shares sold | | | 36,908 | |
Total assets | | | 38,373,016 | |
| | | | | |
Liabilities: |
Unfunded loan commitments, at value (Note 8) (commitment fees received $2,492) | | | 9,574 | |
Payable for: |
Securities purchased | | | 1,892,750 | |
Management fees | | | 11,660 | |
Fund shares redeemed | | | 7,604 | |
Distribution and service fees | | | 7,537 | |
Transfer agent/maintenance fees | | | 2,259 | |
Fund accounting/administration fees | | | 2,205 | |
Trustees’ fees* | | | 1,607 | |
Miscellaneous | | | 37,280 | |
Total liabilities | | | 1,972,476 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 36,400,540 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 39,329,267 | |
Total distributable earnings (loss) | | | (2,928,727 | ) |
Net assets | | $ | 36,400,540 | |
Capital shares outstanding | | | 1,483,545 | |
Net asset value per share | | $ | 24.54 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Interest from securities of unaffiliated issuers | | $ | 903,065 | |
Total investment income | | | 903,065 | |
| | | | | |
Expenses: |
Management fees | | | 127,402 | |
Distribution and service fees | | | 49,001 | |
Transfer agent/maintenance fees | | | 12,571 | |
Professional fees | | | 32,144 | |
Fund accounting/administration fees | | | 14,520 | |
Line of credit fees | | | 13,278 | |
Trustees’ fees* | | | 9,240 | |
Custodian fees | | | 5,512 | |
Miscellaneous | | | 20,234 | |
Total expenses | | | 283,902 | |
Less: |
Expenses waived by Adviser | | | (43,935 | ) |
Earnings credits applied | | | (783 | ) |
Total waived expenses | | | (44,718 | ) |
Net expenses | | | 239,184 | |
Net investment income | | | 663,881 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (1,765,600 | ) |
Net realized loss | | | (1,765,600 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (1,745,659 | ) |
Investments in affiliated issuers | | | (713 | ) |
Net change in unrealized appreciation (depreciation) | | | (1,746,372 | ) |
Net realized and unrealized loss | | | (3,511,972 | ) |
Net decrease in net assets resulting from operations | | $ | (2,848,091 | ) |
* | 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 | 55 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 663,881 | | | $ | 2,229,067 | |
Net realized loss on investments | | | (1,765,600 | ) | | | (671,944 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (1,746,372 | ) | | | 2,378,952 | |
Net increase (decrease) in net assets resulting from operations | | | (2,848,091 | ) | | | 3,936,075 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (2,678,923 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 10,789,873 | | | | 16,078,068 | |
Distributions reinvested | | | — | | | | 2,678,923 | |
Cost of shares redeemed | | | (17,588,487 | ) | | | (32,764,760 | ) |
Net decrease from capital share transactions | | | (6,798,614 | ) | | | (14,007,769 | ) |
Net decrease in net assets | | | (9,646,705 | ) | | | (12,750,617 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 46,047,245 | | | | 58,797,862 | |
End of period | | $ | 36,400,540 | | | $ | 46,047,245 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 443,293 | | | | 615,568 | |
Shares issued from reinvestment of distributions | | | — | | | | 105,511 | |
Shares redeemed | | | (733,359 | ) | | | (1,271,092 | ) |
Net decrease in shares | | | (290,066 | ) | | | (550,013 | ) |
56 | 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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.96 | | | $ | 25.30 | | | $ | 26.26 | | | $ | 26.22 | | | $ | 25.72 | | | $ | 26.24 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .42 | | | | 1.06 | | | | 1.01 | | | | .91 | | | | 1.05 | | | | .97 | |
Net gain (loss) on investments (realized and unrealized) | | | (1.84 | ) | | | .85 | | | | (1.21 | ) | | | (.02 | ) | | | 1.09 | | | | (.77 | ) |
Total from investment operations | | | (1.42 | ) | | | 1.91 | | | | (.20 | ) | | | .89 | | | | 2.14 | | | | .20 | |
Less distributions from: |
Net investment income | | | — | | | | (1.25 | ) | | | (.76 | ) | | | (.85 | ) | | | (1.56 | ) | | | (.67 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.08 | ) | | | (.05 | ) |
Total distributions | | | — | | | | (1.25 | ) | | | (.76 | ) | | | (.85 | ) | | | (1.64 | ) | | | (.72 | ) |
Net asset value, end of period | | $ | 24.54 | | | $ | 25.96 | | | $ | 25.30 | | | $ | 26.26 | | | $ | 26.22 | | | $ | 25.72 | |
|
Total Returnc | | | (5.47 | %) | | | 7.60 | % | | | (0.84 | %) | | | 3.46 | % | | | 8.56 | % | | | 0.73 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 36,401 | | | $ | 46,047 | | | $ | 58,798 | | | $ | 51,038 | | | $ | 53,245 | | | $ | 48,598 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.39 | % | | | 4.10 | % | | | 3.85 | % | | | 3.44 | % | | | 4.06 | % | | | 3.66 | % |
Total expenses | | | 1.45 | % | | | 1.38 | % | | | 1.26 | % | | | 1.28 | % | | | 1.22 | % | | | 1.27 | % |
Net expensesd,e,f | | | 1.22 | % | | | 1.21 | % | | | 1.16 | % | | | 1.18 | % | | | 1.18 | % | | | 1.17 | % |
Portfolio turnover rate | | | 26 | % | | | 28 | % | | | 80 | % | | | 57 | % | | | 71 | % | | | 73 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 presented would be: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 |
| | 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 presented was as follows: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | — | 0.00%* | 0.01% | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 57 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 Ultra Short Duration Fund — Institutional Class | 27.2% |
Guggenheim Strategy Fund III | 26.2% |
Guggenheim Variable Insurance Strategy Fund III | 26.2% |
Guggenheim Strategy Fund II | 1.6% |
Teradyne, Inc. | 0.3% |
Gentex Corp. | 0.2% |
Hubbell, Inc. | 0.2% |
Etsy, Inc. | 0.2% |
Pool Corp. | 0.2% |
Trimble, Inc. | 0.2% |
Top Ten Total | 82.5% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series J (StylePlus—Mid Growth Series) | 0.51% | 7.51% | 9.96% | 13.61% |
Russell Midcap Growth Index | 4.16% | 11.91% | 11.60% | 15.09% |
* | 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. |
58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | |
| | Shares | | | Value | |
COMMON STOCKS† - 14.5% |
| | | | | | | | | |
Industrial - 4.4% |
Gentex Corp. | | | 13,234 | | | $ | 341,040 | |
Hubbell, Inc. | | | 2,630 | | | | 329,697 | |
Trimble, Inc.* | | | 6,703 | | | | 289,502 | |
Carlisle Companies, Inc. | | | 2,150 | | | | 257,290 | |
Timken Co. | | | 4,955 | | | | 225,403 | |
Owens Corning | | | 3,882 | | | | 216,460 | |
Agilent Technologies, Inc. | | | 2,448 | | | | 216,330 | |
Jabil, Inc. | | | 6,735 | | | | 216,059 | |
Waters Corp.* | | | 1,127 | | | | 203,311 | |
Lincoln Electric Holdings, Inc. | | | 2,399 | | | | 202,092 | |
Oshkosh Corp. | | | 2,740 | | | | 196,239 | |
ITT, Inc. | | | 3,314 | | | | 194,664 | |
Norfolk Southern Corp. | | | 1,103 | | | | 193,654 | |
Cognex Corp. | | | 3,154 | | | | 188,357 | |
AGCO Corp. | | | 3,205 | | | | 177,749 | |
Knight-Swift Transportation Holdings, Inc. | | | 4,217 | | | | 175,891 | |
Woodward, Inc. | | | 2,145 | | | | 166,345 | |
Garmin Ltd. | | | 1,704 | | | | 166,140 | |
Landstar System, Inc. | | | 1,455 | | | | 163,411 | |
TE Connectivity Ltd. | | | 1,958 | | | | 159,675 | |
Expeditors International of Washington, Inc. | | | 2,099 | | | | 159,608 | |
J.B. Hunt Transport Services, Inc. | | | 1,292 | | | | 155,479 | |
MasTec, Inc.* | | | 3,420 | | | | 153,455 | |
Curtiss-Wright Corp. | | | 1,689 | | | | 150,794 | |
Werner Enterprises, Inc. | | | 3,223 | | | | 140,297 | |
Axon Enterprise, Inc.* | | | 1,374 | | | | 134,831 | |
Nordson Corp. | | | 710 | | | | 134,694 | |
Trex Company, Inc.* | | | 963 | | | | 125,258 | |
Hexcel Corp.* | | | 2,555 | | | | 115,537 | |
Littelfuse, Inc. | | | 666 | | | | 113,640 | |
Universal Display Corp. | | | 755 | | | | 112,963 | |
Energizer Holdings, Inc. | | | 2,258 | | | | 107,232 | |
National Instruments Corp. | | | 2,719 | | | | 105,252 | |
PerkinElmer, Inc. | | | 1,032 | | | | 101,229 | |
EMCOR Group, Inc. | | | 1,460 | | | | 96,564 | |
Clean Harbors, Inc.* | | | 1,559 | | | | 93,509 | |
KBR, Inc. | | | 3,950 | | | | 89,073 | |
Kirby Corp.* | | | 1,585 | | | | 84,893 | |
Valmont Industries, Inc. | | | 704 | | | | 79,988 | |
Emerson Electric Co. | | | 1,183 | | | | 73,382 | |
Middleby Corp.* | | | 841 | | | | 66,389 | |
Total Industrial | | | | | | | 6,673,376 | |
| | | | | | | | | |
Consumer, Non-cyclical - 3.7% |
Exelixis, Inc.* | | | 10,918 | | | | 259,193 | |
Charles River Laboratories International, Inc.* | | | 1,479 | | | | 257,863 | |
Catalent, Inc.* | | | 3,439 | | | | 252,079 | |
Masimo Corp.* | | | 1,067 | | | | 243,265 | |
Bio-Techne Corp. | | | 871 | | | | 230,005 | |
Post Holdings, Inc.* | | | 2,444 | | | | 214,143 | |
Dentsply Sirona, Inc. | | | 4,587 | | | | 202,103 | |
Integra LifeSciences Holdings Corp.* | | | 4,134 | | | | 194,257 | |
Hill-Rom Holdings, Inc. | | | 1,756 | | | | 192,774 | |
Quidel Corp.* | | | 854 | | | | 191,074 | |
PRA Health Sciences, Inc.* | | | 1,952 | | | | 189,910 | |
Hologic, Inc.* | | | 3,084 | | | | 175,788 | |
WEX, Inc.* | | | 1,024 | | | | 168,970 | |
Chemed Corp. | | | 344 | | | | 155,168 | |
Encompass Health Corp. | | | 2,472 | | | | 153,091 | |
Amedisys, Inc.* | | | 756 | | | | 150,096 | |
Cooper Companies, Inc. | | | 509 | | | | 144,373 | |
Alexion Pharmaceuticals, Inc.* | | | 1,229 | | | | 137,943 | |
Syneos Health, Inc.* | | | 2,319 | | | | 135,082 | |
Globus Medical, Inc. — Class A* | | | 2,510 | | | | 119,752 | |
United Rentals, Inc.* | | | 760 | | | | 113,271 | |
Quanta Services, Inc. | | | 2,765 | | | | 108,471 | |
Baxter International, Inc. | | | 1,235 | | | | 106,333 | |
Incyte Corp.* | | | 1,021 | | | | 106,154 | |
LivaNova plc* | | | 2,185 | | | | 105,164 | |
Service Corporation International | | | 2,692 | | | | 104,692 | |
Campbell Soup Co. | | | 2,043 | | | | 101,394 | |
NuVasive, Inc.* | | | 1,799 | | | | 100,132 | |
Aaron’s, Inc. | | | 2,205 | | | | 100,107 | |
FTI Consulting, Inc.* | | | 828 | | | | 94,847 | |
ASGN, Inc.* | | | 1,421 | | | | 94,752 | |
Arrowhead Pharmaceuticals, Inc.* | | | 2,119 | | | | 91,520 | |
Deluxe Corp. | | | 3,751 | | | | 88,299 | |
ICU Medical, Inc.* | | | 473 | | | | 87,179 | |
Haemonetics Corp.* | | | 960 | | | | 85,977 | |
Kimberly-Clark Corp. | | | 604 | | | | 85,375 | |
Varian Medical Systems, Inc.* | | | 630 | | | | 77,188 | |
Pilgrim’s Pride Corp.* | | | 4,229 | | | | 71,428 | |
Tyson Foods, Inc. — Class A | | | 1,029 | | | | 61,442 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 115 | | | | 51,921 | |
Total Consumer, Non-cyclical | | | | | | | 5,602,575 | |
| | | | | | | | | |
Consumer, Cyclical - 2.1% |
Pool Corp. | | | 1,070 | | | | 290,901 | |
Polaris, Inc. | | | 2,314 | | | | 214,161 | |
Cummins, Inc. | | | 1,148 | | | | 198,902 | |
Brunswick Corp. | | | 2,786 | | | | 178,332 | |
Deckers Outdoor Corp.* | | | 890 | | | | 174,787 | |
PACCAR, Inc. | | | 2,242 | | | | 167,814 | |
Williams-Sonoma, Inc. | | | 1,642 | | | | 134,660 | |
Wyndham Hotels & Resorts, Inc. | | | 3,009 | | | | 128,244 | |
Skechers USA, Inc. — Class A* | | | 3,898 | | | | 122,319 | |
Dunkin’ Brands Group, Inc. | | | 1,859 | | | | 121,263 | |
Five Below, Inc.* | | | 1,115 | | | | 119,205 | |
Casey’s General Stores, Inc. | | | 792 | | | | 118,420 | |
PulteGroup, Inc. | | | 3,362 | | | | 114,409 | |
RH* | | | 453 | | | | 112,752 | |
Visteon Corp.* | | | 1,634 | | | | 111,929 | |
Tempur Sealy International, Inc.* | | | 1,475 | | | | 106,126 | |
DR Horton, Inc. | | | 1,790 | | | | 99,255 | |
Marriott Vacations Worldwide Corp. | | | 1,161 | | | | 95,446 | |
Leggett & Platt, Inc. | | | 2,559 | | | | 89,949 | |
Herman Miller, Inc. | | | 3,535 | | | | 83,462 | |
AutoZone, Inc.* | | | 70 | | | | 78,968 | |
KB Home | | | 2,323 | | | | 71,270 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | |
| | Shares | | | Value | |
Toll Brothers, Inc. | | | 2,092 | | | $ | 68,178 | |
LKQ Corp.* | | | 2,577 | | | | 67,517 | |
Eldorado Resorts, Inc.* | | | 1,640 | | | | 65,698 | |
Wyndham Destinations, Inc. | | | 2,318 | | | | 65,321 | |
Caesars Entertainment Corp.* | | | 3,788 | | | | 45,948 | |
Total Consumer, Cyclical | | | | | | | 3,245,236 | |
| | | | | | | | | |
Technology - 1.9% |
Teradyne, Inc. | | | 4,674 | | | | 395,000 | |
Fair Isaac Corp.* | | | 585 | | | | 244,553 | |
Cerner Corp. | | | 3,178 | | | | 217,852 | |
Lumentum Holdings, Inc.* | | | 2,511 | | | | 204,471 | |
CDK Global, Inc. | | | 4,081 | | | | 169,035 | |
Cirrus Logic, Inc.* | | | 2,686 | | | | 165,941 | |
Seagate Technology plc | | | 3,375 | | | | 163,384 | |
MKS Instruments, Inc. | | | 1,438 | | | | 162,839 | |
Monolithic Power Systems, Inc. | | | 636 | | | | 150,732 | |
Perspecta, Inc. | | | 6,254 | | | | 145,280 | |
J2 Global, Inc.* | | | 2,214 | | | | 139,947 | |
Silicon Laboratories, Inc.* | | | 1,021 | | | | 102,376 | |
NetApp, Inc. | | | 2,140 | | | | 94,952 | |
Applied Materials, Inc. | | | 1,493 | | | | 90,252 | |
Synaptics, Inc.* | | | 1,410 | | | | 84,769 | |
Teradata Corp.* | | | 4,061 | | | | 84,469 | |
Electronic Arts, Inc.* | | | 589 | | | | 77,778 | |
Qualys, Inc.* | | | 633 | | | | 65,844 | |
NCR Corp.* | | | 3,388 | | | | 58,680 | |
Manhattan Associates, Inc.* | | | 327 | | | | 30,803 | |
CACI International, Inc. — Class A* | | | 134 | | | | 29,062 | |
Total Technology | | | | | | | 2,878,019 | |
| | | | | | | | | |
Financial - 1.1% |
RenaissanceRe Holdings Ltd. | | | 1,339 | | | | 229,009 | |
Primerica, Inc. | | | 1,315 | | | | 153,329 | |
Western Union Co. | | | 4,960 | | | | 107,235 | |
Evercore, Inc. — Class A | | | 1,708 | | | | 100,635 | |
Essent Group Ltd. | | | 2,595 | | | | 94,121 | |
Ameriprise Financial, Inc. | | | 612 | | | | 91,825 | |
Stifel Financial Corp. | | | 1,803 | | | | 85,516 | |
Boston Properties, Inc. REIT | | | 889 | | | | 80,348 | |
Brown & Brown, Inc. | | | 1,636 | | | | 66,683 | |
American Campus Communities, Inc. REIT | | | 1,754 | | | | 61,320 | |
Omega Healthcare Investors, Inc. REIT | | | 2,039 | | | | 60,619 | |
Cousins Properties, Inc. REIT | | | 1,950 | | | | 58,169 | |
CoreSite Realty Corp. REIT | | | 391 | | | | 47,334 | |
CyrusOne, Inc. REIT | | | 629 | | | | 45,760 | |
First Industrial Realty Trust, Inc. REIT | | | 1,146 | | | | 44,052 | |
Camden Property Trust REIT | | | 462 | | | | 42,144 | |
STORE Capital Corp. REIT | | | 1,766 | | | | 42,048 | |
Douglas Emmett, Inc. REIT | | | 1,343 | | | | 41,176 | |
National Retail Properties, Inc. REIT | | | 1,160 | | | | 41,157 | |
Lamar Advertising Co. — Class A REIT | | | 613 | | | | 40,924 | |
Kilroy Realty Corp. REIT | | | 681 | | | | 39,975 | |
Jones Lang LaSalle, Inc. | | | 373 | | | | 38,591 | |
Total Financial | | | | | | | 1,611,970 | |
| | | | | | | | | |
Communications - 0.7% |
Etsy, Inc.* | | | 3,053 | | | | 324,320 | |
Ciena Corp.* | | | 3,653 | | | | 197,847 | |
FactSet Research Systems, Inc. | | | 477 | | | | 156,680 | |
Cable One, Inc. | | | 86 | | | | 152,637 | |
Cogent Communications Holdings, Inc. | | | 1,446 | | | | 111,863 | |
eBay, Inc. | | | 1,730 | | | | 90,738 | |
Yelp, Inc. — Class A* | | | 3,775 | | | | 87,316 | |
Total Communications | | | | | | | 1,121,401 | |
| | | | | | | | | |
Utilities - 0.3% |
ONE Gas, Inc. | | | 2,300 | | | | 177,215 | |
Essential Utilities, Inc. | | | 2,969 | | | | 125,410 | |
NRG Energy, Inc. | | | 3,494 | | | | 113,765 | |
Total Utilities | | | | | | | 416,390 | |
| | | | | | | | | |
Energy - 0.2% |
SolarEdge Technologies, Inc.* | | | 1,171 | | | | 162,511 | |
Murphy USA, Inc.* | | | 1,061 | | | | 119,458 | |
WPX Energy, Inc.* | | | 8,607 | | | | 54,913 | |
Total Energy | | | | | | | 336,882 | |
| | | | | | | | | |
Basic Materials - 0.1% |
Royal Gold, Inc. | | | 1,238 | | | | 153,908 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $21,846,150) | | | | | | | 22,039,757 | |
| | | | | | | | | |
MUTUAL FUNDS† - 81.2% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 4,144,210 | | | | 41,110,558 | |
Guggenheim Strategy Fund III1 | | | 1,599,535 | | | | 39,668,462 | |
Guggenheim Variable Insurance Strategy Fund III1 | | | 1,600,918 | | | | 39,606,704 | |
Guggenheim Strategy Fund II1 | | | 99,154 | | | | 2,452,088 | |
Total Mutual Funds | | | | |
(Cost $122,938,744) | | | | | | | 122,837,812 | |
| | | | | | | | | |
MONEY MARKET FUND† - 2.6% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.08%2 | | | 3,883,017 | | | | 3,883,017 | |
Total Money Market Fund | | | | |
(Cost $3,883,017) | | | | | | | 3,883,017 | |
| | | | | | | | | |
Total Investments - 98.3% | | | | |
(Cost $148,667,911) | | $ | 148,760,586 | |
Other Assets & Liabilities, net - 1.7% | | | 2,525,225 | |
Total Net Assets - 100.0% | | $ | 151,285,811 | |
60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Equity Futures Contracts Purchased† |
NASDAQ-100 Index Mini Futures Contracts | | | 8 | | | | Sep 2020 | | | $ | 1,621,400 | | | $ | 55,077 | |
S&P 500 Index Mini Futures Contracts | | | 10 | | | | Sep 2020 | | | | 1,542,125 | | | | 11,016 | |
S&P MidCap 400 Index Mini Futures Contracts | | | 30 | | | | Sep 2020 | | | | 5,334,000 | | | | (7,901 | ) |
| | | | | | | | | | | $ | 8,497,525 | | | $ | 58,192 | |
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 MidCap Growth Index | 0.48% (3 Month USD LIBOR - 0.89%) | At Maturity | | | 07/02/20 | | | | 31,720 | | | $ | 120,783,416 | | | $ | 31,290,955 | |
* | 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, 2020. |
| | LIBOR — London Interbank Offered Rate |
| | 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 | 61 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (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 | | $ | 22,039,757 | | | $ | — | | | $ | — | | | $ | 22,039,757 | |
Mutual Funds | | | 122,837,812 | | | | — | | | | — | | | | 122,837,812 | |
Money Market Fund | | | 3,883,017 | | | | — | | | | — | | | | 3,883,017 | |
Futures Contracts** | | | 66,093 | | | | — | | | | — | | | | 66,093 | |
Total Return Swap Agreements** | | | — | | | | 31,290,955 | | | | — | | | | 31,290,955 | |
Total Assets | | $ | 148,826,679 | | | $ | 31,290,955 | | | $ | — | | | $ | 180,117,634 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Futures Contracts** | | $ | 7,901 | | | $ | — | | | $ | — | | | $ | 7,901 | |
** | 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/19 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/20 | | | Shares
06/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 10,442,989 | | | $ | 57,404 | | | $ | (8,041,964 | ) | | $ | (73,734 | ) | | $ | 67,393 | | | $ | 2,452,088 | | | | 99,154 | | | $ | 57,996 | |
Guggenheim Strategy Fund III | | | 40,848,416 | | | | 400,266 | | | | (1,655,987 | ) | | | (65,898 | ) | | | 141,665 | | | | 39,668,462 | | | | 1,599,535 | | | | 402,283 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 15,131,682 | | | | 43,436,662 | | | | (18,000,984 | ) | | | 33,522 | | | | 509,676 | | | | 41,110,558 | | | | 4,144,210 | | | | 161,494 | |
Guggenheim Variable Insurance Strategy Fund III | | | 50,233,799 | | | | 436,253 | | | | (10,963,293 | ) | | | (168,723 | ) | | | 68,668 | | | | 39,606,704 | | | | 1,600,918 | | | | 439,093 | |
| | | $ | 116,656,886 | | | $ | 44,330,585 | | | $ | (38,662,228 | ) | | $ | (274,833 | ) | | $ | 787,402 | | | $ | 122,837,812 | | | | | | | $ | 1,060,866 | |
62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $25,729,167) | | $ | 25,922,774 | |
Investments in affiliated issuers, at value (cost $122,938,744) | | | 122,837,812 | |
Cash | | | 1,508 | |
Segregated cash with broker | | | 690,000 | |
Unrealized appreciation on OTC swap agreements | | | 31,290,955 | |
Prepaid expenses | | | 507 | |
Receivables: |
Dividends | | | 186,308 | |
Variation margin on futures contracts | | | 110,175 | |
Interest | | | 425 | |
Fund shares sold | | | 110 | |
Total assets | | | 181,040,574 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 29,040,000 | |
Payable for: |
Fund shares redeemed | | | 274,027 | |
Securities purchased | | | 173,097 | |
Swap settlement | | | 103,259 | |
Management fees | | | 49,464 | |
Distribution and service fees | | | 30,956 | |
Fund accounting/administration fees | | | 9,058 | |
Trustees’ fees* | | | 2,339 | |
Transfer agent/maintenance fees | | | 2,229 | |
Miscellaneous | | | 70,334 | |
Total liabilities | | | 29,754,763 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 151,285,811 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 127,395,697 | |
Total distributable earnings (loss) | | | 23,890,114 | |
Net assets | | $ | 151,285,811 | |
Capital shares outstanding | | | 2,573,342 | |
Net asset value per share | | $ | 58.79 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 154,668 | |
Dividends from securities of affiliated issuers | | | 1,060,866 | |
Interest | | | 7,967 | |
Total investment income | | | 1,223,501 | |
| | | | | |
Expenses: |
Management fees | | | 534,825 | |
Distribution and service fees | | | 178,275 | |
Transfer agent/maintenance fees | | | 12,587 | |
Fund accounting/administration fees | | | 52,769 | |
Professional fees | | | 28,731 | |
Trustees’ fees* | | | 10,237 | |
Custodian fees | | | 6,247 | |
Line of credit fees | | | 1,764 | |
Miscellaneous | | | 48,448 | |
Total expenses | | | 873,883 | |
Less: |
Expenses waived by Adviser | | | (229,040 | ) |
Earnings credits applied | | | (1,361 | ) |
Total waived expenses | | | (230,401 | ) |
Net expenses | | | 643,482 | |
Net investment income | | | 580,019 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (3,093,795 | ) |
Investments in affiliated issuers | | | (274,833 | ) |
Swap agreements | | | (15,260,222 | ) |
Futures contracts | | | 724,539 | |
Net realized loss | | | (17,904,311 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (2,435,790 | ) |
Investments in affiliated issuers | | | 787,402 | |
Swap agreements | | | 19,288,371 | |
Futures contracts | | | 38,079 | |
Net change in unrealized appreciation (depreciation) | | | 17,678,062 | |
Net realized and unrealized loss | | | (226,249 | ) |
Net increase in net assets resulting from operations | | $ | 353,770 | |
* | 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 | 63 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 580,019 | | | $ | 2,136,044 | |
Net realized gain (loss) on investments | | | (17,904,311 | ) | | | 10,018,654 | |
Net change in unrealized appreciation (depreciation) on investments | | | 17,678,062 | | | | 30,693,392 | |
Net increase in net assets resulting from operations | | | 353,770 | | | | 42,848,090 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (15,157,609 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 1,475,136 | | | | 2,722,984 | |
Distributions reinvested | | | — | | | | 15,157,609 | |
Cost of shares redeemed | | | (8,217,821 | ) | | | (25,012,530 | ) |
Net decrease from capital share transactions | | | (6,742,685 | ) | | | (7,131,937 | ) |
Net increase (decrease) in net assets | | | (6,388,915 | ) | | | 20,558,544 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 157,674,726 | | | | 137,116,182 | |
End of period | | $ | 151,285,811 | | | $ | 157,674,726 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 28,579 | | | | 48,009 | |
Shares issued from reinvestment of distributions | | | — | | | | 270,623 | |
Shares redeemed | | | (151,113 | ) | | | (435,155 | ) |
Net decrease in shares | | | (122,534 | ) | | | (116,523 | ) |
64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 58.49 | | | $ | 48.75 | | | $ | 59.82 | | | $ | 48.43 | | | $ | 45.15 | | | $ | 49.12 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .22 | | | | .79 | | | | .97 | | | | .67 | | | | .52 | | | | .31 | |
Net gain (loss) on investments (realized and unrealized) | | | .08 | g | | | 14.90 | | | | (4.08 | ) | | | 11.22 | | | | 3.37 | | | | (.10 | ) |
Total from investment operations | | | .30 | | | | 15.69 | | | | (3.11 | ) | | | 11.89 | | | | 3.89 | | | | .21 | |
Less distributions from: |
Net investment income | | | — | | | | (.49 | ) | | | (.83 | ) | | | (.50 | ) | | | (.33 | ) | | | (.56 | ) |
Net realized gains | | | — | | | | (5.46 | ) | | | (7.13 | ) | | | — | | | | (.28 | ) | | | (3.62 | ) |
Total distributions | | | — | | | | (5.95 | ) | | | (7.96 | ) | | | (.50 | ) | | | (.61 | ) | | | (4.18 | ) |
Net asset value, end of period | | $ | 58.79 | | | $ | 58.49 | | | $ | 48.75 | | | $ | 59.82 | | | $ | 48.43 | | | $ | 45.15 | |
|
Total Returnc | | | 0.51 | % | | | 32.70 | % | | | (7.10 | %) | | | 24.67 | % | | | 8.65 | % | | | (0.08 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 151,286 | | | $ | 157,675 | | | $ | 137,116 | | | $ | 187,897 | | | $ | 166,814 | | | $ | 148,009 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.81 | % | | | 1.39 | % | | | 1.64 | % | | | 1.25 | % | | | 1.14 | % | | | 0.63 | % |
Total expensesd | | | 1.23 | % | | | 1.30 | % | | | 1.28 | % | | | 1.14 | % | | | 0.95 | % | | | 0.97 | % |
Net expensese,f | | | 0.90 | % | | | 1.00 | % | | | 1.01 | % | | | 0.94 | % | | | 0.95 | % | | | 0.97 | % |
Portfolio turnover rate | | | 58 | % | | | 57 | % | | | 66 | % | | | 49 | % | | | 57 | % | | | 70 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 presented would be: |
| | 06/30/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 |
| | 0.90% | 0.92% | 0.94% | 0.92% | 0.95% | 0.97% |
g | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the period because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 | 16.4% |
iShares Core U.S. Aggregate Bond ETF | 15.8% |
SPDR S&P 500 ETF Trust | 15.4% |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 8.0% |
Guggenheim Variable Insurance Strategy Fund III | 5.4% |
Guggenheim Strategy Fund III | 5.2% |
iShares Core S&P Mid-Cap ETF | 5.2% |
iShares 7-10 Year Treasury Bond ETF | 4.8% |
iShares 1-3 Year Treasury Bond ETF | 4.4% |
iShares MSCI EAFE ETF | 4.4% |
Top Ten Total | 85.0% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series N (Managed Asset Allocation Series) | (2.18%) | 3.95% | 6.10% | 8.18% |
Blended Index** | 0.98% | 8.58% | 8.41% | 10.07% |
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14% | 8.74% | 4.30% | 3.82% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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 the 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. |
66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES N (MANAGED ASSET ALLOCATION SERIES) | |
| | Shares | | | Value | |
EXCHANGE-TRADED FUNDS† - 74.4% |
Vanguard S&P 500 ETF | | | 24,464 | | | $ | 6,933,832 | |
iShares Core U.S. Aggregate Bond ETF | | | 56,314 | | | | 6,656,878 | |
SPDR S&P 500 ETF Trust | | | 21,124 | | | | 6,513,797 | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | | | 25,042 | | | | 3,368,149 | |
iShares Core S&P Mid-Cap ETF | | | 12,226 | | | | 2,174,027 | |
iShares 7-10 Year Treasury Bond ETF | | | 16,534 | | | | 2,014,998 | |
iShares 1-3 Year Treasury Bond ETF | | | 21,644 | | | | 1,874,587 | |
iShares MSCI EAFE ETF | | | 30,723 | | | | 1,870,109 | |
iShares Core S&P 500 ETF | | | 2 | | | | 619 | |
Total Exchange-Traded Funds | | | | |
(Cost $22,235,052) | | | | | | | 31,406,996 | |
| | | | | | | | | |
MUTUAL FUNDS† - 17.4% |
Guggenheim Variable Insurance Strategy Fund III1 | | | 92,189 | | | | 2,280,756 | |
Guggenheim Strategy Fund III1 | | | 89,097 | | | | 2,209,599 | |
Guggenheim Strategy Fund II1 | | | 74,266 | | | | 1,836,605 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 103,633 | | | | 1,028,036 | |
Total Mutual Funds | | | | |
(Cost $7,411,572) | | | | | | | 7,354,996 | |
| | | | | | | | | |
MONEY MARKET FUND† - 5.8% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.08%2 | | | 2,427,856 | | | | 2,427,856 | |
Total Money Market Fund | | | | |
(Cost $2,427,856) | | | | | | | 2,427,856 | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 2.4% |
U.S. Treasury Bills |
0.15% due 07/23/203,4 | | $ | 997,000 | | | | 996,925 | |
Total U.S. Treasury Bills | | | | |
(Cost $996,905) | | | | | | | 996,925 | |
| | | | | | | | | |
Total Investments - 100.0% | | | | |
(Cost $33,071,385) | | $ | 42,186,773 | |
Other Assets & Liabilities, net - 0.0% | | | 2,935 | |
Total Net Assets - 100.0% | | $ | 42,189,708 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Equity Futures Contracts Purchased† |
Russell 2000 Index Mini Futures Contracts | | | 24 | | | | Sep 2020 | | | $ | 1,723,680 | | | $ | 90,899 | |
S&P 500 Index Mini Futures Contracts | | | 15 | | | | Sep 2020 | | | | 2,313,187 | | | | 52,217 | |
MSCI EAFE Index Futures Contracts | | | 53 | | | | Sep 2020 | | | | 4,713,025 | | | | 23,913 | |
S&P MidCap 400 Index Mini Futures Contracts | | | 3 | | | | Sep 2020 | | | | 533,400 | | | | 19,271 | |
CAC 40 10 Euro Index Futures Contracts | | | 5 | | | | Jul 2020 | | | | 277,341 | | | | 4,517 | |
NASDAQ-100 Index Mini Futures Contracts | | | 1 | | | | Sep 2020 | | | | 202,675 | | | | (131 | ) |
Hang Seng Index Futures Contracts†† | | | 1 | | | | Jul 2020 | | | | 155,772 | | | | (4,365 | ) |
| | | | | | | | | | | $ | 9,919,080 | | | $ | 186,321 | |
Interest Rate Futures Contracts Purchased† |
U.S. Treasury 10 Year Note Futures Contracts | | | 24 | | | | Sep 2020 | | | | 3,339,750 | | | | 11,385 | |
U.S. Treasury 2 Year Note Futures Contracts | | | 6 | | | | Sep 2020 | | | | 1,324,922 | | | | 128 | |
| | | | | | | | | | | $ | 4,664,672 | | | $ | 11,513 | |
Equity Futures Contracts Sold Short† |
Nikkei 225 (CME) Index Futures Contracts | | | 2 | | | | Sep 2020 | | | | 223,350 | | | | 9,143 | |
SPI 200 Index Futures Contracts | | | 1 | | | | Sep 2020 | | | | 101,463 | | | | 257 | |
FTSE 100 Index Futures Contracts | | | 1 | | | | Sep 2020 | | | | 76,125 | | | | (258 | ) |
DAX Index Futures Contracts | | | 1 | | | | Sep 2020 | | | | 346,774 | | | | (8,035 | ) |
| | | | | | | | | | | $ | 747,712 | | | $ | 1,107 | |
Currency Futures Contracts Sold Short† |
Japanese Yen Futures Contracts | | | 2 | | | | Sep 2020 | | | $ | 231,750 | | | $ | (243 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
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, 2020. |
3 | All or a portion of this security is pledged as futures collateral at June 30, 2020. |
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, 2020 (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 | | $ | 31,406,996 | | | $ | — | | | $ | — | | | $ | 31,406,996 | |
Mutual Funds | | | 7,354,996 | | | | — | | | | — | | | | 7,354,996 | |
Money Market Fund | | | 2,427,856 | | | | — | | | | — | | | | 2,427,856 | |
U.S. Treasury Bills | | | — | | | | 996,925 | | | | — | | | | 996,925 | |
Equity Futures Contracts** | | | 200,217 | | | | — | | | | — | | | | 200,217 | |
Interest Rate Futures Contracts** | | | 11,513 | | | | — | | | | — | | | | 11,513 | |
Total Assets | | $ | 41,401,578 | | | $ | 996,925 | | | $ | — | | | $ | 42,398,503 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Futures Contracts** | | $ | 8,424 | | | $ | 4,365 | | | $ | — | | | $ | 12,789 | |
Currency Futures Contracts** | | | 243 | | | | — | | | | — | | | | 243 | |
Total Liabilities | | $ | 8,667 | | | $ | 4,365 | | | $ | — | | | $ | 13,032 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/19 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/20 | | | Shares
06/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,819,612 | | | $ | 17,589 | | | $ | — | | | $ | — | | | $ | (596 | ) | | $ | 1,836,605 | | | | 74,266 | | | $ | 17,691 | |
Guggenheim Strategy Fund III | | | 3,384,297 | | | | 25,873 | | | | (1,200,000 | ) | | | (11,759 | ) | | | 11,188 | | | | 2,209,599 | | | | 89,097 | | | | 26,040 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,022,480 | | | | 8,612 | | | | — | | | | — | | | | (3,056 | ) | | | 1,028,036 | | | | 103,633 | | | | 8,660 | |
Guggenheim Variable Insurance Strategy Fund III | | | 2,964,889 | | | | 25,483 | | | | (700,000 | ) | | | (14,276 | ) | | | 4,660 | | | | 2,280,756 | | | | 92,189 | | | | 25,651 | |
| | | $ | 9,191,278 | | | $ | 77,557 | | | $ | (1,900,000 | ) | | $ | (26,035 | ) | | $ | 12,196 | | | $ | 7,354,996 | | | | | | | $ | 78,042 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 69 |
SERIES N (MANAGED ASSET ALLOCATION SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $25,659,813) | | $ | 34,831,777 | |
Investments in affiliated issuers, at value (cost $7,411,572) | | | 7,354,996 | |
Foreign currency, at value (cost $76) | | | 86 | |
Cash | | | 1,932 | |
Prepaid expenses | | | 183 | |
Receivables: |
Dividends | | | 75,320 | |
Variation margin on futures contracts | | | 35,162 | |
Interest | | | 160 | |
Total assets | | | 42,299,616 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 27,661 | |
Professional fees | | | 23,104 | |
Printing fees | | | 14,919 | |
Management fees | | | 13,688 | |
Securities purchased | | | 10,713 | |
Distribution and service fees | | | 8,687 | |
Fund accounting/administration fees | | | 2,542 | |
Transfer agent/maintenance fees | | | 2,301 | |
Trustees’ fees* | | | 1,519 | |
Miscellaneous | | | 4,774 | |
Total liabilities | | | 109,908 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 42,189,708 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 29,126,520 | |
Total distributable earnings (loss) | | | 13,063,188 | |
Net assets | | $ | 42,189,708 | |
Capital shares outstanding | | | 1,345,631 | |
Net asset value per share | | $ | 31.35 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 309,457 | |
Dividends from securities of affiliated issuers | | | 78,042 | |
Interest | | | 3,707 | |
Total investment income | | | 391,206 | |
| | | | | |
Expenses: |
Management fees | | | 83,942 | |
Distribution and service fees | | | 52,464 | |
Transfer agent/maintenance fees | | | 12,601 | |
Professional fees | | | 22,030 | |
Fund accounting/administration fees | | | 15,535 | |
Trustees’ fees* | | | 9,011 | |
Custodian fees | | | 806 | |
Line of credit fees | | | 538 | |
Miscellaneous | | | 18,026 | |
Total expenses | | | 214,953 | |
Less: |
Expenses waived by Adviser | | | (1,269 | ) |
Net expenses | | | 213,684 | |
Net investment income | | | 177,522 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 1,148,111 | |
Investments in affiliated issuers | | | (26,035 | ) |
Futures contracts | | | (674,872 | ) |
Foreign currency transactions | | | (2,393 | ) |
Net realized gain | | | 444,811 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (1,895,584 | ) |
Investments in affiliated issuers | | | 12,196 | |
Futures contracts | | | 157,825 | |
Foreign currency translations | | | 7 | |
Net change in unrealized appreciation (depreciation) | | | (1,725,556 | ) |
Net realized and unrealized loss | | | (1,280,745 | ) |
Net decrease in net assets resulting from operations | | $ | (1,103,223 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
70 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES N (MANAGED ASSET ALLOCATION SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 177,522 | | | $ | 658,539 | |
Net realized gain on investments | | | 444,811 | | | | 2,663,361 | |
Net change in unrealized appreciation (depreciation) on investments | | | (1,725,556 | ) | | | 4,897,820 | |
Net increase (decrease) in net assets resulting from operations | | | (1,103,223 | ) | | | 8,219,720 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (1,105,138 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 731,523 | | | | 1,782,394 | |
Distributions reinvested | | | — | | | | 1,105,138 | |
Cost of shares redeemed | | | (3,657,131 | ) | | | (6,419,274 | ) |
Net decrease from capital share transactions | | | (2,925,608 | ) | | | (3,531,742 | ) |
Net increase (decrease) in net assets | | | (4,028,831 | ) | | | 3,582,840 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 46,218,539 | | | | 42,635,699 | |
End of period | | $ | 42,189,708 | | | $ | 46,218,539 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 23,470 | | | | 59,756 | |
Shares issued from reinvestment of distributions | | | — | | | | 36,365 | |
Shares redeemed | | | (120,053 | ) | | | (213,259 | ) |
Net decrease in shares | | | (96,583 | ) | | | (117,138 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 71 |
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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 32.05 | | | $ | 27.34 | | | $ | 31.68 | | | $ | 28.74 | | | $ | 27.43 | | | $ | 27.67 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .13 | | | | .44 | | | | .47 | | | | .39 | | | | .40 | | | | .32 | |
Net gain (loss) on investments (realized and unrealized) | | | (.83 | ) | | | 5.02 | | | | (2.08 | ) | | | 3.68 | | | | 1.78 | | | | (.28 | ) |
Total from investment operations | | | (.70 | ) | | | 5.46 | | | | (1.61 | ) | | | 4.07 | | | | 2.18 | | | | .04 | |
Less distributions from: |
Net investment income | | | — | | | | (.51 | ) | | | (.44 | ) | | | (.46 | ) | | | (.33 | ) | | | (.28 | ) |
Net realized gains | | | — | | | | (.24 | ) | | | (2.29 | ) | | | (.67 | ) | | | (.54 | ) | | | — | |
Total distributions | | | — | | | | (.75 | ) | | | (2.73 | ) | | | (1.13 | ) | | | (.87 | ) | | | (.28 | ) |
Net asset value, end of period | | $ | 31.35 | | | $ | 32.05 | | | $ | 27.34 | | | $ | 31.68 | | | $ | 28.74 | | | $ | 27.43 | |
|
Total Returnc | | | (2.18 | %) | | | 20.11 | % | | | (5.73 | %) | | | 14.39 | % | | | 8.01 | % | | | 0.11 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 42,190 | | | $ | 46,219 | | | $ | 42,636 | | | $ | 51,080 | | | $ | 52,840 | | | $ | 52,629 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.85 | % | | | 1.45 | % | | | 1.53 | % | | | 1.29 | % | | | 1.42 | % | | | 1.14 | % |
Total expensesd | | | 1.02 | % | | | 1.01 | % | | | 0.99 | % | | | 0.98 | % | | | 0.92 | % | | | 0.94 | % |
Net expensese | | | 1.02 | % | | | 1.00 | % | | | 0.99 | % | | | 0.98 | % | | | 0.92 | % | | | 0.94 | % |
Portfolio turnover rate | | | 2 | % | | | 14 | % | | | 4 | % | | | 1 | % | | | 6 | % | | | 3 | % |
a | Unaudited figures for the period ended June 30, 2020. 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. |
72 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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) |
Chevron Corp. | 2.7% |
Bank of America Corp. | 2.4% |
Verizon Communications, Inc. | 1.9% |
JPMorgan Chase & Co. | 1.7% |
Citigroup, Inc. | 1.7% |
Pfizer, Inc. | 1.6% |
Freeport-McMoRan, Inc. | 1.6% |
Huntsman Corp. | 1.5% |
Berkshire Hathaway, Inc. — Class B | 1.5% |
Johnson & Johnson | 1.5% |
Top Ten Total | 18.1% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series O (All Cap Value Series) | (18.73%) | (11.00%) | 3.79% | 8.92% |
Russell 3000 Value Index | (16.74%) | (9.42%) | 4.41% | 10.23% |
* | 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. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES O (ALL CAP VALUE SERIES) | |
| | Shares | | | Value | |
COMMON STOCKS† - 97.6% |
| | | | | | | | | |
Financial - 27.4% |
Bank of America Corp. | | | 83,325 | | | $ | 1,978,969 | |
JPMorgan Chase & Co. | | | 15,166 | | | | 1,426,514 | |
Citigroup, Inc. | | | 27,506 | | | | 1,405,557 | |
Berkshire Hathaway, Inc. — Class B* | | | 6,868 | | | | 1,226,006 | |
Voya Financial, Inc. | | | 24,286 | | | | 1,132,942 | |
Equity Commonwealth REIT | | | 30,468 | | | | 981,070 | |
Allstate Corp. | | | 8,262 | | | | 801,331 | |
Truist Financial Corp. | | | 20,656 | | | | 775,633 | |
Zions Bancorp North America | | | 21,169 | | | | 719,746 | |
Wells Fargo & Co. | | | 28,096 | | | | 719,258 | |
Morgan Stanley | | | 13,028 | | | | 629,252 | |
KeyCorp | | | 49,889 | | | | 607,648 | |
Axis Capital Holdings Ltd. | | | 14,954 | | | | 606,534 | |
Alleghany Corp. | | | 1,206 | | | | 589,903 | |
Medical Properties Trust, Inc. REIT | | | 30,988 | | | | 582,574 | |
Alexandria Real Estate Equities, Inc. REIT | | | 3,552 | | | | 576,312 | |
MetLife, Inc. | | | 15,334 | | | | 559,997 | |
Principal Financial Group, Inc. | | | 12,855 | | | | 533,997 | |
Prudential Financial, Inc. | | | 8,626 | | | | 525,323 | |
Physicians Realty Trust REIT | | | 29,711 | | | | 520,537 | |
Hartford Financial Services Group, Inc. | | | 11,654 | | | | 449,262 | |
Gaming and Leisure Properties, Inc. REIT | | | 11,280 | | | | 390,288 | |
Radian Group, Inc. | | | 24,321 | | | | 377,219 | |
Pinnacle Financial Partners, Inc. | | | 8,768 | | | | 368,168 | |
Loews Corp. | | | 10,075 | | | | 345,472 | |
Charles Schwab Corp. | | | 9,212 | | | | 310,813 | |
Heritage Insurance Holdings, Inc. | | | 23,153 | | | | 303,073 | |
Regions Financial Corp. | | | 25,276 | | | | 281,069 | |
Sun Communities, Inc. REIT | | | 2,052 | | | | 278,415 | |
VICI Properties, Inc. REIT | | | 13,634 | | | | 275,271 | |
First Horizon National Corp. | | | 26,668 | | | | 265,613 | |
WSFS Financial Corp. | | | 8,459 | | | | 242,773 | |
Howard Hughes Corp.* | | | 4,586 | | | | 238,243 | |
Mastercard, Inc. — Class A | | | 715 | | | | 211,426 | |
Cousins Properties, Inc. REIT | | | 6,834 | | | | 203,858 | |
American International Group, Inc. | | | 6,394 | | | | 199,365 | |
Hilltop Holdings, Inc. | | | 10,087 | | | | 186,105 | |
IBERIABANK Corp. | | | 3,916 | | | | 178,335 | |
Stifel Financial Corp. | | | 3,515 | | | | 166,716 | |
BOK Financial Corp. | | | 2,840 | | | | 160,290 | |
Heartland Financial USA, Inc. | | | 3,967 | | | | 132,656 | |
First Midwest Bancorp, Inc. | | | 4,306 | | | | 57,485 | |
Total Financial | | | | | | | 22,521,018 | |
| | | | | | | | | |
Consumer, Non-cyclical - 15.6% |
Pfizer, Inc. | | | 41,289 | | | | 1,350,150 | |
Johnson & Johnson | | | 8,556 | | | | 1,203,230 | |
Bunge Ltd. | | | 18,787 | | | | 772,709 | |
Ingredion, Inc. | | | 8,757 | | | | 726,831 | |
Alexion Pharmaceuticals, Inc.* | | | 5,760 | | | | 646,502 | |
HCA Healthcare, Inc. | | | 6,649 | | | | 645,352 | |
Archer-Daniels-Midland Co. | | | 16,063 | | | | 640,914 | |
Quest Diagnostics, Inc. | | | 5,569 | | | | 634,643 | |
Tyson Foods, Inc. — Class A | | | 9,842 | | | | 587,666 | |
Medtronic plc | | | 6,276 | | | | 575,509 | |
Zimmer Biomet Holdings, Inc. | | | 4,740 | | | | 565,767 | |
Encompass Health Corp. | | | 8,850 | | | | 548,081 | |
Procter & Gamble Co. | | | 4,471 | | | | 534,597 | |
Central Garden & Pet Co. — Class A* | | | 15,532 | | | | 524,826 | |
Merck & Company, Inc. | | | 6,587 | | | | 509,373 | |
McKesson Corp. | | | 3,206 | | | | 491,865 | |
Humana, Inc. | | | 1,232 | | | | 477,708 | |
Emergent BioSolutions, Inc.* | | | 5,533 | | | | 437,550 | |
Amgen, Inc. | | | 1,636 | | | | 385,867 | |
TreeHouse Foods, Inc.* | | | 5,542 | | | | 242,739 | |
MGP Ingredients, Inc. | | | 6,542 | | | | 240,124 | |
Adtalem Global Education, Inc.* | | | 2,500 | | | | 77,875 | |
Total Consumer, Non-cyclical | | | | | | | 12,819,878 | |
| | | | | | | | | |
Industrial - 9.5% |
Knight-Swift Transportation Holdings, Inc. | | | 21,358 | | | | 890,842 | |
Owens Corning | | | 15,255 | | | | 850,619 | |
MDU Resources Group, Inc. | | | 24,724 | | | | 548,378 | |
FedEx Corp. | | | 3,877 | | | | 543,633 | |
Valmont Industries, Inc. | | | 4,528 | | | | 514,471 | |
Johnson Controls International plc | | | 13,810 | | | | 471,473 | |
PGT Innovations, Inc.* | | | 26,010 | | | | 407,837 | |
Plexus Corp.* | | | 5,474 | | | | 386,246 | |
FLIR Systems, Inc. | | | 8,174 | | | | 331,619 | |
Jacobs Engineering Group, Inc. | | | 3,679 | | | | 311,979 | |
Graphic Packaging Holding Co. | | | 20,768 | | | | 290,544 | |
General Electric Co. | | | 39,208 | | | | 267,791 | |
Rexnord Corp. | | | 8,337 | | | | 243,024 | |
EnerSys | | | 3,666 | | | | 236,017 | |
Kirby Corp.* | | | 3,954 | | | | 211,776 | |
Snap-on, Inc. | | | 1,340 | | | | 185,604 | |
Lockheed Martin Corp. | | | 482 | | | | 175,892 | |
Kennametal, Inc. | | | 5,690 | | | | 163,360 | |
Dycom Industries, Inc.* | | | 3,883 | | | | 158,776 | |
Advanced Energy Industries, Inc.* | | | 2,209 | | | | 149,748 | |
GATX Corp. | | | 2,344 | | | | 142,937 | |
Colfax Corp.* | | | 5,026 | | | | 140,225 | |
Park Aerospace Corp. | | | 11,271 | | | | 125,559 | |
Crane Co. | | | 1,331 | | | | 79,141 | |
Total Industrial | | | | | | | 7,827,491 | |
| | | | | | | | | |
Consumer, Cyclical - 8.5% |
Walmart, Inc. | | | 8,836 | | | | 1,058,376 | |
DR Horton, Inc. | | | 18,839 | | | | 1,044,623 | |
Home Depot, Inc. | | | 2,283 | | | | 571,914 | |
Lear Corp. | | | 5,073 | | | | 553,058 | |
Southwest Airlines Co. | | | 15,677 | | | | 535,840 | |
PACCAR, Inc. | | | 5,968 | | | | 446,705 | |
Penske Automotive Group, Inc. | | | 11,376 | | | | 440,365 | |
PVH Corp. | | | 8,459 | | | | 406,455 | |
LKQ Corp.* | | | 13,820 | | | | 362,084 | |
UniFirst Corp. | | | 1,884 | | | | 337,141 | |
MSC Industrial Direct Company, Inc. — Class A | | | 4,351 | | | | 316,796 | |
BorgWarner, Inc. | | | 5,015 | | | | 177,030 | |
BMC Stock Holdings, Inc.* | | | 6,477 | | | | 162,832 | |
74 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES O (ALL CAP VALUE SERIES) | |
| | Shares | | | Value | |
Skechers USA, Inc. — Class A* | | | 4,730 | | | $ | 148,427 | |
Ralph Lauren Corp. — Class A | | | 1,477 | | | | 107,112 | |
Meritage Homes Corp.* | | | 1,270 | | | | 96,672 | |
Macy’s, Inc. | | | 12,693 | | | | 87,328 | |
Dick’s Sporting Goods, Inc. | | | 1,879 | | | | 77,528 | |
Methode Electronics, Inc. | | | 2,215 | | | | 69,241 | |
Total Consumer, Cyclical | | | | | | | 6,999,527 | |
| | | | | | | | | |
Technology - 8.2% |
Micron Technology, Inc.* | | | 22,842 | | | | 1,176,820 | |
Skyworks Solutions, Inc. | | | 8,767 | | | | 1,120,949 | |
Intel Corp. | | | 13,789 | | | | 824,996 | |
Apple, Inc. | | | 2,251 | | | | 821,165 | |
Qorvo, Inc.* | | | 6,818 | | | | 753,593 | |
Super Micro Computer, Inc.* | | | 19,484 | | | | 553,151 | |
Amdocs Ltd. | | | 6,058 | | | | 368,811 | |
MACOM Technology Solutions Holdings, Inc.* | | | 8,649 | | | | 297,093 | |
International Business Machines Corp. | | | 2,406 | | | | 290,573 | |
Lumentum Holdings, Inc.* | | | 3,315 | | | | 269,940 | |
Evolent Health, Inc. — Class A* | | | 21,167 | | | | 150,709 | |
Science Applications International Corp. | | | 1,652 | | | | 128,327 | |
Total Technology | | | | | | | 6,756,127 | |
| | | | | | | | | |
Energy - 7.4% |
Chevron Corp. | | | 24,806 | | | | 2,213,439 | |
ConocoPhillips | | | 20,031 | | | | 841,703 | |
Marathon Petroleum Corp. | | | 22,314 | | | | 834,097 | |
Parsley Energy, Inc. — Class A | | | 64,634 | | | | 690,291 | |
Cabot Oil & Gas Corp. — Class A | | | 29,092 | | | | 499,801 | |
Range Resources Corp. | | | 70,480 | | | | 396,802 | |
Marathon Oil Corp. | | | 51,739 | | | | 316,643 | |
Exxon Mobil Corp. | | | 6,914 | | | | 309,194 | |
Total Energy | | | | | | | 6,101,970 | |
| | | | | | | | | |
Basic Materials - 7.3% |
Freeport-McMoRan, Inc. | | | 113,142 | | | | 1,309,053 | |
Huntsman Corp. | | | 68,444 | | | | 1,229,939 | |
Nucor Corp. | | | 15,903 | | | | 658,544 | |
Westlake Chemical Corp. | | | 11,730 | | | | 629,315 | |
Reliance Steel & Aluminum Co. | | | 6,554 | | | | 622,171 | |
Olin Corp. | | | 39,150 | | | | 449,833 | |
DuPont de Nemours, Inc. | | | 7,296 | | | | 387,636 | |
Ashland Global Holdings, Inc. | | | 4,903 | | | | 338,797 | |
Commercial Metals Co. | | | 11,660 | | | | 237,864 | |
Dow, Inc. | | | 3,272 | | | | 133,367 | |
Total Basic Materials | | | | | | | 5,996,519 | |
| | | | | | | | | |
Communications - 7.0% |
Verizon Communications, Inc. | | | 27,789 | | | | 1,532,008 | |
Comcast Corp. — Class A | | | 28,906 | | | | 1,126,756 | |
Cisco Systems, Inc. | | | 17,793 | | | | 829,866 | |
F5 Networks, Inc.* | | | 4,041 | | | | 563,639 | |
Infinera Corp.* | | | 77,869 | | | | 460,984 | |
Juniper Networks, Inc. | | | 14,805 | | | | 338,442 | |
Ciena Corp.* | | | 6,045 | | | | 327,397 | |
Viavi Solutions, Inc.* | | | 22,862 | | | | 291,262 | |
T-Mobile US, Inc.* | | | 2,707 | | | | 281,934 | |
Total Communications | | | | | | | 5,752,288 | |
| | | | | | | | | |
Utilities - 6.7% |
Public Service Enterprise Group, Inc. | | | 18,280 | | | | 898,645 | |
Exelon Corp. | | | 23,741 | | | | 861,561 | |
Pinnacle West Capital Corp. | | | 10,663 | | | | 781,491 | |
Duke Energy Corp. | | | 8,207 | | | | 655,657 | |
Edison International | | | 8,820 | | | | 479,014 | |
Portland General Electric Co. | | | 9,436 | | | | 394,519 | |
NiSource, Inc. | | | 16,523 | | | | 375,733 | |
Southwest Gas Holdings, Inc. | | | 3,787 | | | | 261,492 | |
PPL Corp. | | | 9,865 | | | | 254,912 | |
Avista Corp. | | | 6,144 | | | | 223,580 | |
AES Corp. | | | 9,552 | | | | 138,409 | |
Spire, Inc. | | | 2,034 | | | | 133,654 | |
Total Utilities | | | | | | | 5,458,667 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $79,419,442) | | | | | | | 80,233,485 | |
| | | | | | | | | |
RIGHTS† - 0.0% |
Basic Materials - 0.0% |
Pan American Silver Corp.* | | | 40,146 | | | | 27,540 | |
| | | | | | | | | |
Communications - 0.0% |
T-Mobile US, Inc. | | | | | | | | |
Expires 07/27/20* | | | 2,707 | | | | 455 | |
Total Rights | | | | |
(Cost $—) | | | | | | | 27,995 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 1.0% |
iShares Russell 1000 Value ETF | | | 7,310 | | | | 823,252 | |
Total Exchange-Traded Funds | | | | |
(Cost $949,416) | | | | | | | 823,252 | |
| | | | | | | | | |
MONEY MARKET FUND† - 1.5% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.08%1 | | | 1,218,523 | | | | 1,218,523 | |
Total Money Market Fund | | | | |
(Cost $1,218,523) | | | | | | | 1,218,523 | |
| | | | | | | | | |
Total Investments - 100.1% | | | | |
(Cost $81,587,381) | | $ | 82,303,255 | |
Other Assets & Liabilities, net - (0.1)% | | | (44,875 | ) |
Total Net Assets - 100.0% | | $ | 82,258,380 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
SERIES O (ALL CAP VALUE SERIES) | |
* | 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, 2020. |
| | 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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 80,233,485 | | | $ | — | | | $ | — | | | $ | 80,233,485 | |
Rights | | | 27,995 | | | | — | | | | — | | | | 27,995 | |
Exchange-Traded Funds | | | 823,252 | | | | — | | | | — | | | | 823,252 | |
Money Market Fund | | | 1,218,523 | | | | — | | | | — | | | | 1,218,523 | |
Total Assets | | $ | 82,303,255 | | | $ | — | | | $ | — | | | $ | 82,303,255 | |
76 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES O (ALL CAP VALUE SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: |
Investments, at value (cost $81,587,381) | | $ | 82,303,255 | |
Prepaid expenses | | | 361 | |
Receivables: |
Dividends | | | 100,229 | |
Interest | | | 85 | |
Fund shares sold | | | 55 | |
Total assets | | | 82,403,985 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 41,156 | |
Printing fees | | | 31,737 | |
Management fees | | | 24,809 | |
Distribution and service fees | | | 17,271 | |
Professional fees | | | 15,592 | |
Fund accounting/administration fees | | | 5,054 | |
Transfer agent/maintenance fees | | | 2,351 | |
Trustees’ fees* | | | 2,190 | |
Miscellaneous | | | 5,445 | |
Total liabilities | | | 145,605 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 82,258,380 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 75,451,650 | |
Total distributable earnings (loss) | | | 6,806,730 | |
Net assets | | $ | 82,258,380 | |
Capital shares outstanding | | | 3,077,468 | |
Net asset value per share | | $ | 26.73 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Dividends | | $ | 1,519,546 | |
Interest | | | 2,805 | |
Total investment income | | | 1,522,351 | |
| | | | | |
Expenses: |
Management fees | | | 304,210 | |
Distribution and service fees | | | 108,646 | |
Transfer agent/maintenance fees | | | 12,700 | |
Fund accounting/administration fees | | | 32,161 | |
Professional fees | | | 24,317 | |
Trustees’ fees* | | | 9,731 | |
Line of credit fees | | | 1,187 | |
Custodian fees | | | 648 | |
Miscellaneous | | | 32,598 | |
Total expenses | | | 526,198 | |
Less: |
Expenses waived by Adviser | | | (145,167 | ) |
Earnings credits applied | | | (8 | ) |
Total waived expenses | | | (145,175 | ) |
Net expenses | | | 381,023 | |
Net investment income | | | 1,141,328 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (1,354,297 | ) |
Net realized loss | | | (1,354,297 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (19,373,951 | ) |
Net change in unrealized appreciation (depreciation) | | | (19,373,951 | ) |
Net realized and unrealized loss | | | (20,728,248 | ) |
Net decrease in net assets resulting from operations | | $ | (19,586,920 | ) |
* | 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 | 77 |
SERIES O (ALL CAP VALUE SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,141,328 | | | $ | 1,685,159 | |
Net realized gain (loss) on investments | | | (1,354,297 | ) | | | 6,063,349 | |
Net change in unrealized appreciation (depreciation) on investments | | | (19,373,951 | ) | | | 14,405,167 | |
Net increase (decrease) in net assets resulting from operations | | | (19,586,920 | ) | | | 22,153,675 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (9,601,509 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 2,140,636 | | | | 4,011,293 | |
Distributions reinvested | | | — | | | | 9,601,509 | |
Cost of shares redeemed | | | (7,929,313 | ) | | | (19,446,850 | ) |
Net decrease from capital share transactions | | | (5,788,677 | ) | | | (5,834,048 | ) |
Net increase (decrease) in net assets | | | (25,375,597 | ) | | | 6,718,118 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 107,633,977 | | | | 100,915,859 | |
End of period | | $ | 82,258,380 | | | $ | 107,633,977 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 83,874 | | | | 130,063 | |
Shares issued from reinvestment of distributions | | | — | | | | 315,943 | |
Shares redeemed | | | (278,997 | ) | | | (616,888 | ) |
Net decrease in shares | | | (195,123 | ) | | | (170,882 | ) |
78 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 32.89 | | | $ | 29.31 | | | $ | 35.97 | | | $ | 34.05 | | | $ | 29.30 | | | $ | 35.35 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .36 | | | | .51 | | | | .43 | | | | .24 | | | | .45 | | | | .43 | |
Net gain (loss) on investments (realized and unrealized) | | | (6.52 | ) | | | 6.19 | | | | (3.83 | ) | | | 4.51 | | | | 6.01 | | | | (1.80 | ) |
Total from investment operations | | | (6.16 | ) | | | 6.70 | | | | (3.40 | ) | | | 4.75 | | | | 6.46 | | | | (1.37 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.49 | ) | | | (.40 | ) | | | (.38 | ) | | | (.48 | ) | | | (.33 | ) |
Net realized gains | | | — | | | | (2.63 | ) | | | (2.86 | ) | | | (2.45 | ) | | | (1.23 | ) | | | (4.35 | ) |
Total distributions | | | — | | | | (3.12 | ) | | | (3.26 | ) | | | (2.83 | ) | | | (1.71 | ) | | | (4.68 | ) |
Net asset value, end of period | | $ | 26.73 | | | $ | 32.89 | | | $ | 29.31 | | | $ | 35.97 | | | $ | 34.05 | | | $ | 29.30 | |
|
Total Returnc | | | (18.73 | %) | | | 23.74 | % | | | (10.62 | %) | | | 14.77 | % | | | 22.71 | % | | | (4.70 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 82,258 | | | $ | 107,634 | | | $ | 100,916 | | | $ | 132,771 | | | $ | 128,367 | | | $ | 120,113 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.63 | % | | | 1.62 | % | | | 1.23 | % | | | 0.69 | % | | | 1.48 | % | | | 1.33 | % |
Total expensesd | | | 1.21 | % | | | 1.18 | % | | | 1.17 | % | | | 1.11 | % | | | 0.90 | % | | | 0.92 | % |
Net expensese,f,g | | | 0.88 | % | | | 0.88 | % | | | 0.88 | % | | | 0.89 | % | | | 0.90 | % | | | 0.92 | % |
Portfolio turnover rate | | | 11 | % | | | 33 | % | | | 36 | % | | | 33 | % | | | 47 | % | | | 39 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 presented would be: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 |
| | 0.88% | 0.88% | 0.88% | 0.88% | 0.90% | 0.92% |
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 presented was as follows: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | — | — | 0.00%* | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 79 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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) |
LBC Tank Terminals Holding Netherlands BV, 6.88% | 1.8% |
Terraform Global Operating LLC, 6.13% | 1.7% |
EIG Investors Corp., 10.88% | 1.5% |
Kraft Heinz Foods Co., 5.00% | 1.4% |
Altice France S.A., 7.38% | 1.2% |
Hunt Companies, Inc., 6.25% | 1.2% |
Iron Mountain, Inc., 5.63% | 1.1% |
Great Lakes Dredge & Dock Corp., 8.00% | 1.1% |
Level 3 Financing, Inc., 4.25% | 1.1% |
Grinding Media Inc. / MC Grinding Media Canada Inc., 7.38% | 1.0% |
Top Ten Total | 13.1% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
80 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2020 |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series P (High Yield Series) | (5.78%) | (2.70%) | 3.11% | 5.38% |
Bloomberg Barclays U.S. Corporate High Yield Index | (3.80%) | 0.03% | 4.79% | 6.68% |
Portfolio Composition by Quality Rating1 |
Rating | % of Total
Investments |
A | 0.4% |
BBB | 11.4% |
BB | 50.2% |
B | 26.9% |
CCC | 8.5% |
C | 0.0%3 |
NR2 | 1.0% |
Other Instruments | 1.6% |
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 (not rated) securities do not necessarily indicate low credit quality. |
3 | Value of securities is less than 0.1% of total investments. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 81 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES P (HIGH YIELD SERIES) | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 0.8% |
| | | | | | | | | |
| Utilities - 0.6% |
TexGen Power LLC††† | | | 7,929 | | | $ | 253,728 | |
| | | | | | | | | |
| Consumer, Non-cyclical - 0.1% |
ATD New Holdings, Inc.*,††† | | | 3,166 | | | | 47,490 | |
Chef Holdings, Inc.*,†††,1 | | | 75 | | | | 6,371 | |
Cengage Learning Holdings II, Inc.*,†† | | | 2,107 | | | | 5,794 | |
| Spectrum Brands Holdings, Inc. | | | 6 | | | | 275 | |
| Crimson Wine Group Ltd.* | | | 24 | | | | 130 | |
MEDIQ, Inc.*,†††,1 | | | 92 | | | | — | |
| Total Consumer, Non-cyclical | | | | | | | 60,060 | |
| | | | | | | | | |
| Energy - 0.1% |
| SandRidge Energy, Inc.* | | | 14,330 | | | | 18,486 | |
Legacy Reserves, Inc.*,†††,1 | | | 1,969 | | | | 1,969 | |
| Total Energy | | | | | | | 20,455 | |
| | | | | | | | | |
| Financial - 0.0% |
| Jefferies Financial Group, Inc. | | | 247 | | | | 3,841 | |
Adelphia Recovery Trust*,†††,1 | | | 5,270 | | | | — | |
| Total Financial | | | | | | | 3,841 | |
| | | | | | | | | |
| Industrial - 0.0% |
BP Holdco LLC*,†††,1,2 | | | 523 | | | | 152 | |
Vector Phoenix Holdings, LP*,†††,1 | | | 523 | | | | 44 | |
| Total Industrial | | | | | | | 196 | |
| | | | | | | | | |
| Consumer, Cyclical - 0.0% |
| Delta Air Lines, Inc. | | | 1 | | | | 28 | |
| Chorus Aviation, Inc. | | | 3 | | | | 7 | |
| Total Consumer, Cyclical | | | | | | | 35 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $1,183,520) | | | | | | | 338,315 | |
| | | | | | | | | |
| PREFERRED STOCKS†† - 0.3% |
| Financial - 0.3% |
| American Equity Investment Life Holding Co., 5.95% | | | 6,000 | | | | 124,440 | |
| | | | | | | | | |
| Industrial - 0.0% |
U.S. Shipping Corp.*,†††,1 | | | 24,529 | | | | — | |
| Total Preferred Stocks | | | | | | | | |
| (Cost $775,000) | | | | | | | 124,440 | |
| | | | | | | | | |
| MONEY MARKET FUND† - 0.4% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.08%5 | | | 143,663 | | | | 143,663 | |
| Total Money Market Fund | | | | | | | | |
| (Cost $143,663) | | | | | | | 143,663 | |
| | Face
Amount | | | | |
CORPORATE BONDS†† - 85.8% |
Financial - 14.1% | | | | | | | | |
Iron Mountain, Inc. | | | | | | | | |
5.63% due 07/15/326 | | $ | 475,000 | | | | 474,003 | |
4.88% due 09/15/296 | | | 120,000 | | | | 116,700 | |
5.25% due 07/15/306 | | | 75,000 | | | | 73,875 | |
Jefferies Finance LLC / JFIN Company-Issuer Corp. | | | | | | | | |
7.25% due 08/15/246 | | | 350,000 | | | | 308,000 | |
6.25% due 06/03/266 | | | 325,000 | | | | 303,062 | |
Hunt Companies, Inc. | | | | | | | | |
6.25% due 02/15/266 | | | 525,000 | | | | 477,750 | |
Newmark Group, Inc. | | | | | | | | |
6.13% due 11/15/23 | | | 400,000 | | | | 397,138 | |
Fidelity & Guaranty Life Holdings, Inc. | | | | | | | | |
5.50% due 05/01/256,7 | | | 350,000 | | | | 378,000 | |
AmWINS Group, Inc. | | | | | | | | |
7.75% due 07/01/266 | | | 350,000 | | | | 367,500 | |
Kennedy-Wilson, Inc. | | | | | | | | |
5.88% due 04/01/24 | | | 352,000 | | | | 350,240 | |
NFP Corp. | | | | | | | | |
6.88% due 07/15/256 | | | 200,000 | | | | 197,292 | |
8.00% due 07/15/256 | | | 150,000 | | | | 146,625 | |
Springleaf Finance Corp. | | | | | | | | |
7.13% due 03/15/26 | | | 150,000 | | | | 155,249 | |
8.88% due 06/01/25 | | | 50,000 | | | | 53,452 | |
6.63% due 01/15/28 | | | 50,000 | | | | 49,500 | |
American Equity Investment Life Holding Co. | | | | | | | | |
5.00% due 06/15/27 | | | 210,000 | | | | 228,001 | |
Cushman & Wakefield US Borrower LLC | | | | | | | | |
6.75% due 05/15/286 | | | 200,000 | | | | 208,500 | |
Assurant, Inc. | | | | | | | | |
7.00% due 03/27/484 | | | 200,000 | | | | 205,240 | |
Greystar Real Estate Partners LLC | | | | | | | | |
5.75% due 12/01/256 | | | 200,000 | | | | 201,040 | |
USI, Inc. | | | | | | | | |
6.88% due 05/01/256 | | | 175,000 | | | | 176,531 | |
Wilton Re Finance LLC | | | | | | | | |
5.88% due 03/30/334,6 | | | 150,000 | | | | 153,190 | |
CIT Group, Inc. | | | | | | | | |
3.93% due 06/19/244 | | | 125,000 | | | | 121,263 | |
Oxford Finance LLC / Oxford Finance Company-Issuer II, Inc. | | | | | | | | |
6.38% due 12/15/226 | | | 125,000 | | | | 115,000 | |
CNO Financial Group, Inc. | | | | | | | | |
5.25% due 05/30/29 | | | 100,000 | | | | 107,173 | |
Goldman Sachs Group, Inc. | | | | | | | | |
5.30% 3,4 | | | 100,000 | | | | 100,798 | |
HUB International Ltd. | | | | | | | | |
7.00% due 05/01/266 | | | 100,000 | | | | 99,790 | |
82 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES P (HIGH YIELD SERIES) | |
| | Face
Amount | | | Value | |
Quicken Loans, Inc. | | | | | | | | |
5.25% due 01/15/286 | | $ | 75,000 | | | $ | 77,391 | |
LPL Holdings, Inc. | | | | | | | | |
4.63% due 11/15/276 | | | 75,000 | | | | 74,063 | |
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer | | | | | | | | |
6.75% due 10/15/276 | | | 25,000 | | | | 24,915 | |
SBA Communications Corp. | | | | | | | | |
3.88% due 02/15/276 | | | 25,000 | | | | 24,906 | |
Total Financial | | | | | | | 5,766,187 | |
| | | | | | | | | |
Consumer, Cyclical - 14.1% | | | | | | | | |
LBC Tank Terminals Holding Netherlands BV | | | | | | | | |
6.88% due 05/15/236 | | | 725,000 | | | | 731,721 | |
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | | | | | | | | |
5.88% due 03/01/27 | | | 275,000 | | | | 272,250 | |
5.75% due 03/01/25 | | | 200,000 | | | | 200,000 | |
Williams Scotsman International, Inc. | | | | | | | | |
6.88% due 08/15/236 | | | 325,000 | | | | 333,600 | |
7.88% due 12/15/226 | | | 64,000 | | | | 66,520 | |
Sabre GLBL, Inc. | | | | | | | | |
9.25% due 04/15/256 | | | 175,000 | | | | 184,406 | |
5.38% due 04/15/236 | | | 150,000 | | | | 140,031 | |
Delta Air Lines, Inc. | | | | | | | | |
7.00% due 05/01/256,7 | | | 300,000 | | | | 309,680 | |
Boyd Gaming Corp. | | | | | | | | |
8.63% due 06/01/256 | | | 250,000 | | | | 261,250 | |
Boyne USA, Inc. | | | | | | | | |
7.25% due 05/01/256 | | | 247,000 | | | | 258,733 | |
Clarios Global, LP | | | | | | | | |
6.75% due 05/15/256 | | | 225,000 | | | | 234,000 | |
Wabash National Corp. | | | | | | | | |
5.50% due 10/01/256 | | | 255,000 | | | | 233,963 | |
Wolverine World Wide, Inc. | | | | | | | | |
6.38% due 05/15/256 | | | 200,000 | | | | 209,500 | |
Aramark Services, Inc. | | | | | | | | |
6.38% due 05/01/256 | | | 200,000 | | | | 206,526 | |
Hanesbrands, Inc. | | | | | | | | |
5.38% due 05/15/256 | | | 200,000 | | | | 202,250 | |
Superior Plus Limited Partnership / Superior General Partner, Inc. | | | | | | | | |
7.00% due 07/15/266 | | | 175,000 | | | | 183,312 | |
Live Nation Entertainment, Inc. | | | | | | | | |
6.50% due 05/15/276 | | | 175,000 | | | | 180,250 | |
Cedar Fair Limited Partnership / Canada’s Wonderland Company / Magnum Management Corporation / Millennium Op | | | | | | | | |
5.50% due 05/01/256 | | | 175,000 | | | | 175,875 | |
1011778 BC ULC / New Red Finance, Inc. | | | | | | | | |
5.75% due 04/15/256 | | | 100,000 | | | | 105,000 | |
3.88% due 01/15/286 | | | 50,000 | | | | 48,509 | |
Titan International, Inc. | | | | | | | | |
6.50% due 11/30/23 | | | 225,000 | | | | 146,927 | |
Performance Food Group, Inc. | | | | | | | | |
6.88% due 05/01/256 | | | 125,000 | | | | 129,063 | |
Picasso Finance Sub, Inc. | | | | | | | | |
6.13% due 06/15/256 | | | 125,000 | | | | 127,812 | |
Vail Resorts, Inc. | | | | | | | | |
6.25% due 05/15/256 | | | 100,000 | | | | 104,625 | |
Burlington Coat Factory Warehouse Corp. | | | | | | | | |
6.25% due 04/15/256 | | | 100,000 | | | | 104,500 | |
CD&R Smokey Buyer, Inc. | | | | | | | | |
6.75% due 07/15/256 | | | 100,000 | | | | 103,970 | |
Clarios Global Limited Partnership / Clarios US Finance Co. | | | | | | | | |
8.50% due 05/15/276 | | | 100,000 | | | | 100,495 | |
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | | | | | | | | |
6.50% due 06/20/276 | | | 100,000 | | | | 100,250 | |
Six Flags Theme Parks, Inc. | | | | | | | | |
7.00% due 07/01/256 | | | 75,000 | | | | 77,531 | |
Yum! Brands, Inc. | | | | | | | | |
7.75% due 04/01/256 | | | 50,000 | | | | 53,937 | |
Hilton Domestic Operating Company, Inc. | | | | | | | | |
5.75% due 05/01/286 | | | 50,000 | | | | 50,500 | |
Cedar Fair, LP | | | | | | | | |
5.25% due 07/15/296 | | | 50,000 | | | | 45,250 | |
Brookfield Residential Properties Inc. / Brookfield Residential US Corp. | | | | | | | | |
4.88% due 02/15/306 | | | 40,000 | | | | 33,424 | |
Cedar Fair Limited Partnership / Canada’s Wonderland Company / Magnum Management Corp. | | | | | | | | |
5.38% due 06/01/24 | | | 25,000 | | | | 23,672 | |
Total Consumer, Cyclical | | | | | | | 5,739,332 | |
| | | | | | | | | |
Communications - 13.9% | | | | | | | | |
Virgin Media Secured Finance plc | | | | | | | | |
5.50% due 05/15/296 | | | 400,000 | | | | 418,000 | |
4.50% due 08/15/306 | | | 250,000 | | | | 250,313 | |
EIG Investors Corp. | | | | | | | | |
10.88% due 02/01/24 | | | 635,000 | | | | 615,950 | |
Level 3 Financing, Inc. | | | | | | | | |
4.25% due 07/01/286 | | | 425,000 | | | | 424,511 | |
4.63% due 09/15/276 | | | 125,000 | | | | 125,938 | |
Altice France S.A. | | | | | | | | |
7.38% due 05/01/266 | | | 475,000 | | | | 495,330 | |
CSC Holdings LLC | | | | | | | | |
4.13% due 12/01/306 | | | 250,000 | | | | 247,813 | |
6.50% due 02/01/296 | | | 200,000 | | | | 218,750 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | | | | | | | | |
4.50% due 05/01/326 | | | 350,000 | | | | 354,375 | |
4.50% due 08/15/306 | | | 100,000 | | | | 102,000 | |
Sirius XM Radio, Inc. | | | | | | | | |
4.13% due 07/01/306 | | | 200,000 | | | | 197,792 | |
5.50% due 07/01/296 | | | 125,000 | | | | 131,577 | |
Cengage Learning, Inc. | | | | | | | | |
9.50% due 06/15/246 | | | 440,000 | | | | 308,000 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 83 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES P (HIGH YIELD SERIES) | |
| | Face
Amount | | | Value | |
Ziggo BV | | | | | | | | |
5.50% due 01/15/276 | | $ | 300,000 | | | $ | 303,768 | |
Virgin Media Finance plc | | | | | | | | |
5.00% due 07/15/306 | | | 275,000 | | | | 268,870 | |
Dolya Holdco 18 DAC | | | | | | | | |
5.00% due 07/15/286 | | | 225,000 | | | | 222,120 | |
Telenet Finance Luxembourg Note | | | | | | | | |
5.50% due 03/01/28 | | | 200,000 | | | | 208,500 | |
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance | | | | | | | | |
7.88% due 05/15/246 | | | 293,000 | | | | 194,845 | |
Lamar Media Corp. | | | | | | | | |
4.88% due 01/15/296 | | | 100,000 | | | | 100,500 | |
3.75% due 02/15/286 | | | 100,000 | | | | 94,280 | |
Houghton Mifflin Harcourt Publishers, Inc. | | | | | | | | |
9.00% due 02/15/256 | | | 200,000 | | | | 193,000 | |
Match Group, Inc. | | | | | | | | |
4.63% due 06/01/286 | | | 100,000 | | | | 100,875 | |
LCPR Senior Secured Financing DAC | | | | | | | | |
6.75% due 10/15/276 | | | 75,000 | | | | 76,500 | |
Total Communications | | | | | | | 5,653,607 | |
| | | | | | | | | |
Consumer, Non-cyclical - 13.2% | | | | | | | | |
Kraft Heinz Foods Co. | | | | | | | | |
5.00% due 06/04/42 | | | 525,000 | | | | 553,143 | |
4.38% due 06/01/46 | | | 100,000 | | | | 98,309 | |
5.50% due 06/01/506 | | | 75,000 | | | | 79,947 | |
4.63% due 10/01/396 | | | 50,000 | | | | 50,208 | |
Tenet Healthcare Corp. | | | | | | | | |
7.50% due 04/01/256 | | | 200,000 | | | | 212,750 | |
6.25% due 02/01/276 | | | 100,000 | | | | 99,250 | |
5.13% due 11/01/276 | | | 75,000 | | | | 74,002 | |
5.13% due 05/01/25 | | | 75,000 | | | | 72,391 | |
Vector Group Ltd. | | | | | | | | |
6.13% due 02/01/256 | | | 435,000 | | | | 417,600 | |
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | | | | | | | | |
5.63% due 08/15/266 | | | 435,000 | | | | 408,900 | |
Beverages & More, Inc. | | | | | | | | |
11.50% due 06/15/228 | | | 400,000 | | | | 332,000 | |
HCA, Inc. | | | | | | | | |
3.50% due 09/01/30 | | | 300,000 | | | | 288,952 | |
US Foods, Inc. | | | | | | | | |
6.25% due 04/15/256 | | | 275,000 | | | | 279,812 | |
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. | | | | | | | | |
7.88% due 10/01/226 | | | 320,000 | | | | 276,320 | |
KeHE Distributors LLC / KeHE Finance Corp. | | | | | | | | |
8.63% due 10/15/266 | | | 225,000 | | | | 239,625 | |
AMN Healthcare, Inc. | | | | | | | | |
4.63% due 10/01/276 | | | 225,000 | | | | 219,094 | |
Carriage Services, Inc. | | | | | | | | |
6.63% due 06/01/266 | | | 200,000 | | | | 210,250 | |
Nielsen Finance LLC / Nielsen Finance Co. | | | | | | | | |
5.00% due 04/15/226 | | | 200,000 | | | | 199,292 | |
Par Pharmaceutical, Inc. | | | | | | | | |
7.50% due 04/01/276 | | | 175,000 | | | | 179,585 | |
Prime Security Services Borrower LLC / Prime Finance, Inc. | | | | | | | | |
5.25% due 04/15/246 | | | 175,000 | | | | 178,937 | |
Nathan’s Famous, Inc. | | | | | | | | |
6.63% due 11/01/256 | | | 175,000 | | | | 176,313 | |
Avanos Medical, Inc. | | | | | | | | |
6.25% due 10/15/22 | | | 150,000 | | | | 150,000 | |
DaVita, Inc. | | | | | | | | |
4.63% due 06/01/306 | | | 150,000 | | | | 149,280 | |
Centene Corp. | | | | | | | | |
4.25% due 12/15/27 | | | 125,000 | | | | 128,989 | |
Lamb Weston Holdings, Inc. | | | | | | | | |
4.88% due 05/15/286 | | | 75,000 | | | | 79,463 | |
Gartner, Inc. | | | | | | | | |
4.50% due 07/01/286 | | | 75,000 | | | | 75,878 | |
Charles River Laboratories International, Inc. | | | | | | | | |
4.25% due 05/01/286 | | | 70,000 | | | | 69,964 | |
United Rentals North America, Inc. | | | | | | | | |
3.88% due 11/15/27 | | | 50,000 | | | | 49,875 | |
Sotheby’s | | | | | | | | |
7.38% due 10/15/276,7 | | | 50,000 | | | | 47,250 | |
Total Consumer, Non-cyclical | | | | | | | 5,397,379 | |
| | | | | | | | | |
Industrial - 13.2% | | | | | | | | |
Masonite International Corp. | | | | | | | | |
5.38% due 02/01/286 | | | 250,000 | | | | 255,625 | |
5.75% due 09/15/266 | | | 200,000 | | | | 206,000 | |
Great Lakes Dredge & Dock Corp. | | | | | | | | |
8.00% due 05/15/22 | | | 426,000 | | | | 436,650 | |
Grinding Media Inc. / MC Grinding Media Canada Inc. | | | | | | | | |
7.38% due 12/15/236 | | | 425,000 | | | | 422,875 | |
Standard Industries, Inc. | | | | | | | | |
4.75% due 01/15/286 | | | 200,000 | | | | 202,750 | |
4.38% due 07/15/306 | | | 150,000 | | | | 149,625 | |
5.00% due 02/15/276 | | | 50,000 | | | | 50,625 | |
Harsco Corp. | | | | | | | | |
5.75% due 07/31/276 | | | 352,000 | | | | 352,880 | |
Cleaver-Brooks, Inc. | | | | | | | | |
7.88% due 03/01/236 | | | 400,000 | | | | 339,000 | |
Howmet Aerospace, Inc. | | | | | | | | |
6.88% due 05/01/25 | | | 300,000 | | | | 325,458 | |
Signature Aviation US Holdings, Inc. | | | | | | | | |
4.00% due 03/01/286 | | | 300,000 | | | | 271,125 | |
PowerTeam Services LLC | | | | | | | | |
9.03% due 12/04/256 | | | 250,000 | | | | 255,000 | |
TransDigm, Inc. | | | | | | | | |
6.25% due 03/15/266 | | | 250,000 | | | | 249,380 | |
EnerSys | | | | | | | | |
4.38% due 12/15/276 | | | 250,000 | | | | 247,500 | |
New Enterprise Stone & Lime Company, Inc. | | | | | | | | |
6.25% due 03/15/266 | | | 200,000 | | | | 201,000 | |
Trinity Industries, Inc. | | | | | | | | |
4.55% due 10/01/24 | | | 200,000 | | | | 200,598 | |
84 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES P (HIGH YIELD SERIES) | |
| | Face
Amount | | | Value | |
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. | | | | | | | | |
4.13% due 08/15/266 | | $ | 200,000 | | | $ | 196,770 | |
JELD-WEN, Inc. | | | | | | | | |
6.25% due 05/15/256 | | | 175,000 | | | | 181,563 | |
EnPro Industries, Inc. | | | | | | | | |
5.75% due 10/15/26 | | | 170,000 | | | | 170,000 | |
American Woodmark Corp. | | | | | | | | |
4.88% due 03/15/266 | | | 156,000 | | | | 152,490 | |
Berry Global, Inc. | | | | | | | | |
4.88% due 07/15/266 | | | 150,000 | | | | 152,250 | |
Amsted Industries, Inc. | | | | | | | | |
4.63% due 05/15/306 | | | 150,000 | | | | 148,331 | |
Hillenbrand, Inc. | | | | | | | | |
5.75% due 06/15/25 | | | 100,000 | | | | 103,500 | |
Summit Materials LLC / Summit Materials Finance Corp. | | | | | | | | |
6.50% due 03/15/276 | | | 75,000 | | | | 76,687 | |
Sealed Air Corp. | | | | | | | | |
4.00% due 12/01/276 | | | 25,000 | | | | 25,000 | |
Total Industrial | | | | | | | 5,372,682 | |
| | | | | | | | | |
Energy - 6.7% | | | | | | | | |
Indigo Natural Resources LLC | | | | | | | | |
6.88% due 02/15/266 | | | 450,000 | | | | 418,500 | |
American Midstream Partners Limited Partnership / American Midstream Finance Corp. | | | | | | | | |
9.50% due 12/15/216 | | | 430,000 | | | | 391,300 | |
Exterran Energy Solutions Limited Partnership / EES Finance Corp. | | | | | | | | |
8.13% due 05/01/25 | | | 325,000 | | | | 268,937 | |
NuStar Logistics, LP | | | | | | | | |
5.63% due 04/28/27 | | | 200,000 | | | | 193,000 | |
6.00% due 06/01/26 | | | 50,000 | | | | 48,500 | |
PDC Energy, Inc. | | | | | | | | |
6.13% due 09/15/24 | | | 250,000 | | | | 232,500 | |
Global Partners Limited Partnership / GLP Finance Corp. | | | | | | | | |
7.00% due 08/01/27 | | | 200,000 | | | | 185,000 | |
Antero Resources Corp. | | | | | | | | |
5.13% due 12/01/22 | | | 250,000 | | | | 180,625 | |
Range Resources Corp. | | | | | | | | |
5.00% due 03/15/237 | | | 160,000 | | | | 137,600 | |
5.88% due 07/01/22 | | | 38,000 | | | | 34,960 | |
CVR Energy, Inc. | | | | | | | | |
5.75% due 02/15/286 | | | 175,000 | | | | 153,125 | |
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp. | | | | | | | | |
5.63% due 05/01/276 | | | 150,000 | | | | 125,054 | |
Pattern Energy Group, Inc. | | | | | | | | |
5.88% due 02/01/246 | | | 100,000 | | | | 100,500 | |
Unit Corp. | | | | | | | | |
due 05/15/2110 | | | 652,000 | | | | 86,214 | |
Basic Energy Services, Inc. | | | | | | | | |
10.75% due 10/15/238 | | | 175,000 | | | | 70,394 | |
CNX Resources Corp. | | | | | | | | |
5.88% due 04/15/22 | | | 57,000 | | | | 56,250 | |
Bruin E&P Partners LLC | | | | | | | | |
due 08/01/238,10 | | | 139,000 | | | | 2,780 | |
Total Energy | | | | | | | 2,685,239 | |
| | | | | | | | | |
Basic Materials - 4.1% | | | | | | | | |
United States Steel Corp. | | | | | | | | |
12.00% due 06/01/256 | | | 225,000 | | | | 230,625 | |
6.88% due 08/15/257 | | | 100,000 | | | | 68,000 | |
Kaiser Aluminum Corp. | | | | | | | | |
4.63% due 03/01/286 | | | 185,000 | | | | 176,919 | |
6.50% due 05/01/256 | | | 50,000 | | | | 51,688 | |
Arconic Corp. | | | | | | | | |
6.00% due 05/15/256 | | | 200,000 | | | | 206,750 | |
Alcoa Nederland Holding BV | | | | | | | | |
7.00% due 09/30/266 | | | 200,000 | | | | 205,000 | |
Minerals Technologies, Inc. | | | | | | | | |
5.00% due 07/01/286 | | | 175,000 | | | | 177,625 | |
Neon Holdings, Inc. | | | | | | | | |
10.13% due 04/01/266 | | | 158,000 | | | | 156,815 | |
WR Grace & Company-Conn | | | | | | | | |
4.88% due 06/15/276 | | | 125,000 | | | | 126,629 | |
Ingevity Corp. | | | | | | | | |
4.50% due 02/01/266 | | | 100,000 | | | | 97,500 | |
Compass Minerals International, Inc. | | | | | | | | |
6.75% due 12/01/276 | | | 75,000 | | | | 78,750 | |
Novelis Corp. | | | | | | | | |
4.75% due 01/30/306 | | | 75,000 | | | | 71,625 | |
Valvoline, Inc. | | | | | | | | |
4.25% due 02/15/306 | | | 25,000 | | | | 24,625 | |
Mirabela Nickel Ltd. | | | | | | | | |
due 06/24/198,10 | | | 390,085 | | | | 19,504 | |
Total Basic Materials | | | | | | | 1,692,055 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 85 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES P (HIGH YIELD SERIES) | |
| | Face
Amount | | | Value | |
Technology - 3.6% | | | | | | | | |
NCR Corp. | | | | | | | | |
8.13% due 04/15/256 | | $ | 300,000 | | | $ | 318,000 | |
6.13% due 09/01/296 | | | 225,000 | | | | 224,437 | |
Boxer Parent Company, Inc. | | | | | | | | |
7.13% due 10/02/256 | | | 250,000 | | | | 262,125 | |
Qorvo, Inc. | | | | | | | | |
4.38% due 10/15/296 | | | 225,000 | | | | 230,418 | |
Entegris, Inc. | | | | | | | | |
4.38% due 04/15/286 | | | 100,000 | | | | 101,750 | |
PTC, Inc. | | | | | | | | |
4.00% due 02/15/286 | | | 100,000 | | | | 99,012 | |
Open Text Holdings, Inc. | | | | | | | | |
4.13% due 02/15/306 | | | 100,000 | | | | 98,250 | |
MSCI, Inc. | | | | | | | | |
3.88% due 02/15/316 | | | 75,000 | | | | 76,500 | |
CDK Global, Inc. | | | | | | | | |
5.25% due 05/15/296 | | | 50,000 | | | | 51,921 | |
Total Technology | | | | | | | 1,462,413 | |
| | | | | | | | | |
Utilities - 2.9% | | | | | | | | |
Terraform Global Operating LLC | | | | | | | | |
6.13% due 03/01/266 | | | 695,000 | | | | 684,575 | |
AmeriGas Partners, LP / AmeriGas Finance Corp. | | | | | | | | |
5.75% due 05/20/27 | | | 150,000 | | | | 158,625 | |
5.50% due 05/20/25 | | | 100,000 | | | | 103,000 | |
Clearway Energy Operating LLC | | | | | | | | |
5.75% due 10/15/25 | | | 175,000 | | | | 180,688 | |
DPL, Inc. | | | | | | | | |
4.13% due 07/01/256 | | | 75,000 | | | | 75,021 | |
Total Utilities | | | | | | | 1,201,909 | |
| | | | | | | | | |
Total Corporate Bonds | | | | |
(Cost $36,707,876) | | | 34,970,803 | |
| | | | | | | | | |
SENIOR FLOATING RATE INTERESTS††,9 - 7.9% |
Consumer, Non-cyclical - 2.4% | | | | | | | | |
Endo Luxembourg Finance Co. | | | | | | | | |
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 04/29/24 | | | 322,697 | | | | 304,142 | |
Cambrex Corp. | | | | | | | | |
6.00% (1 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 12/04/26††† | | | 199,000 | | | | 195,020 | |
ScribeAmerica Intermediate Holdco LLC (Healthchannels) | | | | | | | | |
4.69% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25 | | | 195,746 | | | | 161,490 | |
Diamond (BC) BV | | | | | | | | |
3.76% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 09/06/24 | | | 147,727 | | | | 135,417 | |
Springs Window Fashions | | | | | | | | |
9.57% (3 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26 | | | 150,000 | | | | 125,250 | |
CTI Foods Holding Co. LLC | | | | | | | | |
8.77% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) (in-kind rate was 3.00%) due 05/03/24†††,1,11 | | | 41,774 | | | | 39,686 | |
Total Consumer, Non-cyclical | | | | | | | 961,005 | |
| | | | | | | | | |
Communications - 2.2% | | | | | | | | |
Cengage Learning Acquisitions, Inc. | | | | | | | | |
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23 | | | 348,912 | | | | 279,827 | |
Resource Label Group LLC | | | | | | | | |
9.95% (3 Month USD LIBOR + 8.50%, Rate Floor: 9.50%) due 11/26/23††† | | | 250,000 | | | | 205,000 | |
McGraw-Hill Global Education Holdings LLC | | | | | | | | |
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 05/04/22 | | | 233,862 | | | | 196,678 | |
GTT Communications, Inc. | | | | | | | | |
2.93% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/31/25 | | | 196,000 | | | | 143,652 | |
Houghton Mifflin Co. | | | | | | | | |
7.25% (1 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 11/22/24 | | | 97,500 | | | | 90,919 | |
Total Communications | | | | | | | 916,076 | |
| | | | | | | | | |
Consumer, Cyclical - 1.4% | | | | | | | | |
BBB Industries, LLC | | | | | | | | |
5.58% (3 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 08/01/25 | | | 157,225 | | | | 134,034 | |
Blue Nile, Inc. | | | | | | | | |
7.50% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23 | | | 194,063 | | | | 112,880 | |
Playtika Holding Corp. | | | | | | | | |
7.07% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 12/09/24 | | | 98,734 | | | | 98,487 | |
PT Intermediate Holdings III LLC | | | | | | | | |
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 10/15/25††† | | | 99,500 | | | | 88,555 | |
Sotheby’s | | | | | | | | |
6.50% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 01/15/27 | | | 52,964 | | | | 49,345 | |
Belk, Inc. | | | | | | | | |
7.75% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 07/31/25 | | | 117,909 | | | | 41,534 | |
American Tire Distributors, Inc. | | | | | | | | |
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23 | | | 29,221 | | | | 26,542 | |
8.50% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24 | | | 19,190 | | | | 12,487 | |
Total Consumer, Cyclical | | | | | | | 563,864 | |
86 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES P (HIGH YIELD SERIES) | |
| | Face
Amount | | | Value | |
Technology - 1.0% | | | | | | | | |
Planview, Inc. | | | | | | | | |
6.25% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 01/27/23†††,1 | | $ | 338,625 | | | $ | 337,177 | |
Cvent, Inc. | | | | | | | | |
3.93% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/29/24 | | | 88,267 | | | | 75,431 | |
Total Technology | | | | | | | 412,608 | |
| | | | | | | | | |
Industrial - 0.9% | | | | | | | | |
Diversitech Holdings, Inc. | | | | | | | | |
8.50% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25 | | | 200,000 | | | | 183,000 | |
JetBlue Airways Corp. | | | | | | | | |
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/17/24 | | | 100,000 | | | | 97,750 | |
YAK MAT (YAK ACCESS LLC) | | | | | | | | |
10.30% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 | | | 125,000 | | | | 87,500 | |
Total Industrial | | | | | | | 368,250 | |
Basic Materials - 0.0% | | | | | | | | |
DCG Acquisition Corp. | | | | | | | | |
4.68% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26 | | | 13,870 | | | | 12,344 | |
| | | | | | | | | |
Energy - 0.0% | | | | | | | | |
Permian Production Partners LLC | | | | | | | | |
due 05/20/24†††,10 | | | 190,000 | | | | 9,500 | |
Total Senior Floating Rate Interests | | | | |
(Cost $3,925,816) | | | 3,243,647 | |
| | | | | | | | | |
Total Investments - 95.2% | | | | |
(Cost $42,735,875) | | $ | 38,820,868 | |
Other Assets & Liabilities, net - 4.8% | | | 1,954,600 | |
Total Net Assets - 100.0% | | $ | 40,775,468 | |
Centrally Cleared Credit Default Swap Agreements Protection Sold†† |
Counterparty | Exchange | Index | | Protection
Premium
Rate | | Payment
Frequency | Maturity
Date | | Notional
Amount | | | Value | | | Upfront
Premiums
Received | | | Unrealized
Appreciation** | |
BofA Securities, Inc. | ICE | CDX.NA.HY.34.V6 | | | 5.00 | % | Quarterly | 06/20/25 | | $ | 2,660,000 | | | $ | (15,960 | ) | | $ | (138,209 | ) | | $ | 122,249 | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Security was fair valued by the Valuation Committee at June 30, 2020. The total market value of fair valued securities amounts to $385,399, (cost $1,068,518) or 0.9% of total net assets. |
2 | Affiliated issuer. |
3 | Perpetual maturity. |
4 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
5 | Rate indicated is the 7-day yield as of June 30, 2020. |
6 | 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 $26,799,007 (cost $27,128,500), or 65.7% of total net assets. |
7 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At June 30, 2020, the total market value of segregated or earmarked security was $940,530 — See Note 12. |
8 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $424,678 (cost $1,027,883), or 1.0% of total net assets — See Note 9. |
9 | Variable rate security. Rate indicated is the rate effective at June 30, 2020. 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. |
10 | Security is in default of interest and/or principal obligations. |
11 | Payment in-kind security |
| | BofA — Bank of America |
| | CDX.NA.HY.34.V6 — Credit Default Swap North American High Yield Series 34 Index Version 6 |
| | ICE — Intercontinental Exchange |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES P (HIGH YIELD SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (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 | | $ | 22,767 | | | $ | 5,794 | | | $ | 309,754 | | | $ | 338,315 | |
Preferred Stocks | | | — | | | | 124,440 | | | | — | * | | | 124,440 | |
Money Market Fund | | | 143,663 | | | | — | | | | — | | | | 143,663 | |
Corporate Bonds | | | — | | | | 34,970,803 | | | | — | | | | 34,970,803 | |
Senior Floating Rate Interests | | | — | | | | 2,368,709 | | | | 874,938 | | | | 3,243,647 | |
Credit Default Swap Agreements** | | | — | | | | 122,249 | | | | — | | | | 122,249 | |
Total Assets | | $ | 166,430 | | | $ | 37,591,995 | | | $ | 1,184,692 | | | $ | 38,943,117 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Unfunded Loan Commitments (Note 8) | | $ | — | | | $ | — | | | $ | 4,578 | | | $ | 4,578 | |
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $698,044 are categorized as Level 2 within the disclosure hierarchy — See Note 12.
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | | Ending Balance at
June 30, 2020 | | Valuation Technique | Unobservable Inputs | | Input Range | | | Weighted Average* | |
Assets: | | | | | | | | | | | | | | |
Common Stocks | | $ | 253,728 | | Third Party Pricing | Broker Quote | | | — | | | | — | |
Common Stocks | | | 47,490 | | Option Adjusted Spread off prior month broker quote | Broker Quote | | | — | | | | — | |
Common Stocks | | | 8,536 | | Enterprise Value | Valuation Multiple | | | 2.0x-9.8x | | | | 8.0x | |
Senior Floating Rate Interests | | | 498,075 | | Third Party Pricing | Broker Quote | | | — | | | | — | |
Senior Floating Rate Interests | | | 337,177 | | Yield Analysis | Yield | | | 6.4 | % | | | | |
Senior Floating Rate Interests | | | 39,686 | | Enterprise Value | Valuation Multiple | | | 9.8x | | | | — | |
Total Assets | | $ | 1,184,692 | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | |
Unfunded Loan Commitments | | $ | 4,578 | | Model Price | Purchase Price | | | — | | | | — | |
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote, yield or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.
The Fund’s fair valuation leveling guidelines were revised to classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3 rather than Level 2, if such a quote or price cannot be supported with other available market information.
88 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
SERIES P (HIGH YIELD SERIES) | |
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended June 30, 2020, the Fund had securities with a total value of $496,238 transfer into Level 3 from Level 2 due to lack of observable inputs and had securities with a total market value of $295,880 transfer out of Level 3 to Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2020:
| | | Assets | | | | | | | Liabilities | |
| | Senior Floating
Rate Interests | | | Common
Stocks | | | Total
Assets | | | Unfunded Loan
Commitments | |
Beginning Balance | | $ | 1,301,383 | | | $ | 8,995 | | | $ | 1,310,378 | | | $ | (6,310 | ) |
Purchases/(Receipts) | | | 10,704 | | | | 9,859 | | | | 20,563 | | | | (924 | ) |
(Sales, maturities and paydowns)/Fundings | | | (260,392 | ) | | | — | | | | (260,392 | ) | | | 1,138 | |
Amortization of discount/premiums | | | 1,456 | | | | — | | | | 1,456 | | | | — | |
Total realized gains or losses included in earnings | | | (5,291 | ) | | | — | | | | (5,291 | ) | | | 74,222 | |
Total change in unrealized appreciation (depreciation) included in earnings | | | (72,062 | ) | | | (10,318 | ) | | | (82,380 | ) | | | (72,704 | ) |
Transfers into Level 3 | | | 195,020 | | | | 301,218 | | | | 496,238 | | | | — | |
Transfers out of Level 3 | | | (295,880 | ) | | | — | | | | (295,880 | ) | | | — | |
Ending Balance | | $ | 874,938 | | | $ | 309,754 | | | $ | 1,184,692 | | | $ | (4,578 | ) |
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2020 | | $ | (93,264 | ) | | $ | (10,318 | ) | | $ | (103,582 | ) | | $ | (3,643 | ) |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the period ended June 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/19 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/20 | | | Shares
06/30/20 | |
Common Stock | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BP Holdco LLC*,1 | | $ | 185 | | | $ | — | | | $ | — | | | $ | — | | | $ | (33 | ) | | $ | 152 | | | | 523 | |
* | Non-income producing security. |
1 | Security was fair valued by the Valuation Committee at June 30, 2020. The total market value of fair valued and affiliated securities amounts to $152, (cost $185) or less than 0.1% of total net assets. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 89 |
SERIES P (HIGH YIELD SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $42,735,690) | | $ | 38,820,716 | |
Investments in affiliated issuers, at value (cost $185) | | | 152 | |
Cash | | | 26,037 | |
Segregated cash with broker | | | 3,131,026 | |
Prepaid expenses | | | 509 | |
Receivables: |
Securities sold | | | 2,345,735 | |
Interest | | | 523,321 | |
Variation margin on credit default swap agreements | | | 27,854 | |
Protection fees on credit default swap agreements | | | 4,064 | |
Dividends | | | 1,065 | |
Fund shares sold | | | 894 | |
Foreign tax reclaims | | | 562 | |
Total assets | | | 44,881,935 | |
| | | | | |
Liabilities: |
Unfunded loan commitments, at value (Note 8) (commitment fees received $942) | | | 4,578 | |
Reverse repurchase agreements (Note 12) | | | 698,044 | |
Unamortized upfront premiums received on credit default swap agreements | | | 138,209 | |
Payable for: |
Securities purchased | | | 3,146,956 | |
Fund shares redeemed | | | 37,191 | |
Management fees | | | 11,482 | |
Distribution and service fees | | | 8,593 | |
Fund accounting/administration fees | | | 2,515 | |
Transfer agent/maintenance fees | | | 2,271 | |
Trustees’ fees* | | | 1,696 | |
Miscellaneous | | | 54,932 | |
Total liabilities | | | 4,106,467 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 40,775,468 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 48,552,611 | |
Total distributable earnings (loss) | | | (7,777,143 | ) |
Net assets | | $ | 40,775,468 | |
Capital shares outstanding | | | 1,524,320 | |
Net asset value per share | | $ | 26.75 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 32,008 | |
Interest from securities of unaffiliated issuers | | | 1,409,660 | |
Total investment income | | | 1,441,668 | |
| | | | | |
Expenses: |
Management fees | | | 130,939 | |
Distribution and service fees | | | 54,558 | |
Transfer agent/maintenance fees | | | 12,657 | |
Professional fees | | | 27,018 | |
Fund accounting/administration fees | | | 16,152 | |
Interest expense | | | 15,712 | |
Trustees’ fees* | | | 9,133 | |
Custodian fees | | | 4,427 | |
Line of credit fees | | | 2,209 | |
Miscellaneous | | | 32,749 | |
Total expenses | | | 305,554 | |
Less: |
Expenses waived by Adviser | | | (54,050 | ) |
Earnings credits applied | | | (340 | ) |
Total waived expenses | | | (54,390 | ) |
Net expenses | | | 251,164 | |
Net investment income | | | 1,190,504 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (2,525,010 | ) |
Swap agreements | | | (90,946 | ) |
Forward foreign currency exchange contracts | | | 7,301 | |
Foreign currency transactions | | | 496 | |
Net realized loss | | | (2,608,159 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (1,488,375 | ) |
Investments in affiliated issuers | | | (33 | ) |
Swap agreements | | | 122,249 | |
Forward foreign currency exchange contracts | | | 2,168 | |
Foreign currency translations | | | (40 | ) |
Net change in unrealized appreciation (depreciation) | | | (1,364,031 | ) |
Net realized and unrealized loss | | | (3,972,190 | ) |
Net decrease in net assets resulting from operations | | $ | (2,781,686 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
90 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES P (HIGH YIELD SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,190,504 | | | $ | 3,156,330 | |
Net realized loss on investments | | | (2,608,159 | ) | | | (2,468,727 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (1,364,031 | ) | | | 5,143,083 | |
Net increase (decrease) in net assets resulting from operations | | | (2,781,686 | ) | | | 5,830,686 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (4,081,160 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 9,077,463 | | | | 15,085,511 | |
Distributions reinvested | | | — | | | | 4,081,160 | |
Cost of shares redeemed | | | (19,808,424 | ) | | | (19,132,137 | ) |
Net increase (decrease) from capital share transactions | | | (10,730,961 | ) | | | 34,534 | |
Net increase (decrease) in net assets | | | (13,512,647 | ) | | | 1,784,060 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 54,288,115 | | | | 52,504,055 | |
End of period | | $ | 40,775,468 | | | $ | 54,288,115 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 350,855 | | | | 529,015 | |
Shares issued from reinvestment of distributions | | | — | | | | 148,244 | |
Shares redeemed | | | (738,701 | ) | | | (673,296 | ) |
Net increase (decrease) in shares | | | (387,846 | ) | | | 3,963 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 91 |
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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.39 | | | $ | 27.51 | | | $ | 31.13 | | | $ | 30.82 | | | $ | 28.63 | | | $ | 33.87 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .73 | | | | 1.68 | | | | 1.79 | | | | 1.81 | | | | 1.91 | | | | 2.17 | |
Net gain (loss) on investments (realized and unrealized) | | | (2.37 | ) | | | 1.45 | | | | (2.99 | ) | | | .09 | | | | 2.93 | | | | (3.23 | ) |
Total from investment operations | | | (1.64 | ) | | | 3.13 | | | | (1.20 | ) | | | 1.90 | | | | 4.84 | | | | (1.06 | ) |
Less distributions from: |
Net investment income | | | — | | | | (2.25 | ) | | | (2.42 | ) | | | (1.59 | ) | | | (2.65 | ) | | | (3.49 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.69 | ) |
Total distributions | | | — | | | | (2.25 | ) | | | (2.42 | ) | | | (1.59 | ) | | | (2.65 | ) | | | (4.18 | ) |
Net asset value, end of period | | $ | 26.75 | | | $ | 28.39 | | | $ | 27.51 | | | $ | 31.13 | | | $ | 30.82 | | | $ | 28.63 | |
|
Total Returnc | | | (5.78 | %) | | | 11.59 | % | | | (4.16 | %) | | | 6.23 | % | | | 17.52 | % | | | (3.95 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 40,775 | | | $ | 54,288 | | | $ | 52,504 | | | $ | 79,272 | | | $ | 95,760 | | | $ | 66,908 | |
Ratios to average net assets: |
Net investment income (loss) | | | 5.46 | % | | | 5.89 | % | | | 5.98 | % | | | 5.79 | % | | | 6.46 | % | | | 6.69 | % |
Total expensesd | | | 1.40 | % | | | 1.31 | % | | | 1.42 | % | | | 1.40 | % | | | 1.17 | % | | | 1.19 | % |
Net expensese,f,g | | | 1.15 | % | | | 1.10 | % | | | 1.26 | % | | | 1.33 | % | | | 1.13 | % | | | 1.15 | % |
Portfolio turnover rate | | | 46 | % | | | 58 | % | | | 51 | % | | | 76 | % | | | 84 | % | | | 101 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, if any. |
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 presented would be: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 |
| | 1.07% | 1.07% | 1.07% | 1.07% | 1.07% | 1.07% |
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 presented was as follows: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | — | 0.00%* | 0.02% | — |
92 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 | 2.5% |
MDU Resources Group, Inc. | 2.1% |
Central Garden & Pet Co. — Class A | 2.1% |
Physicians Realty Trust | 2.1% |
Parsley Energy, Inc. — Class A | 1.9% |
Infinera Corp. | 1.8% |
Portland General Electric Co. | 1.8% |
Equity Commonwealth | 1.7% |
Encompass Health Corp. | 1.7% |
Radian Group, Inc. | 1.6% |
Top Ten Total | 19.3% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series Q (Small Cap Value Series) | (21.55%) | (14.12%) | 0.52% | 7.09% |
Russell 2000 Value Index | (23.50%) | (17.48%) | 1.26% | 7.82% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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 | 93 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES Q (SMALL CAP VALUE SERIES) | |
| | Shares | | | Value | |
COMMON STOCKS† - 93.1% |
| | | | | | | | | |
Financial - 30.1% |
Physicians Realty Trust REIT | | | 62,421 | | | $ | 1,093,616 | |
Equity Commonwealth REIT | | | 28,682 | | | | 923,560 | |
Radian Group, Inc. | | | 55,810 | | | | 865,613 | |
Lexington Realty Trust REIT | | | 81,504 | | | | 859,867 | |
Heritage Insurance Holdings, Inc. | | | 58,346 | | | | 763,749 | |
Pinnacle Financial Partners, Inc. | | | 17,993 | | | | 755,526 | |
Axis Capital Holdings Ltd. | | | 17,543 | | | | 711,544 | |
Zions Bancorp North America | | | 18,784 | | | | 638,656 | |
CNO Financial Group, Inc. | | | 40,859 | | | | 636,175 | |
WSFS Financial Corp. | | | 21,918 | | | | 629,047 | |
Investors Bancorp, Inc. | | | 71,084 | | | | 604,214 | |
Cathay General Bancorp | | | 21,370 | | | | 562,031 | |
First Horizon National Corp. | | | 54,535 | | | | 543,169 | |
Hilltop Holdings, Inc. | | | 26,270 | | | | 484,681 | |
Simmons First National Corp. — Class A | | | 28,200 | | | | 482,502 | |
Cousins Properties, Inc. REIT | | | 13,506 | | | | 402,884 | |
MGIC Investment Corp. | | | 47,910 | | | | 392,383 | |
Piedmont Office Realty Trust, Inc. — Class A REIT | | | 22,755 | | | | 377,961 | |
Flagstar Bancorp, Inc. | | | 12,439 | | | | 366,080 | |
Stifel Financial Corp. | | | 7,323 | | | | 347,330 | |
Hanmi Financial Corp. | | | 35,569 | | | | 345,375 | |
First Midwest Bancorp, Inc. | | | 25,780 | | | | 344,163 | |
IBERIABANK Corp. | | | 7,556 | | | | 344,100 | |
Howard Hughes Corp.* | | | 6,280 | | | | 326,246 | |
Kennedy-Wilson Holdings, Inc. | | | 20,793 | | | | 316,470 | |
Sunstone Hotel Investors, Inc. REIT | | | 35,434 | | | | 288,787 | |
Hancock Whitney Corp. | | | 13,170 | | | | 279,204 | |
Independent Bank Group, Inc. | | | 6,785 | | | | 274,928 | |
Heartland Financial USA, Inc. | | | 7,689 | | | | 257,120 | |
Berkshire Hills Bancorp, Inc. | | | 21,325 | | | | 235,001 | |
American National Insurance Co. | | | 3,134 | | | | 225,867 | |
RMR Group, Inc. — Class A | | | 7,220 | | | | 212,774 | |
BOK Financial Corp. | | | 2,731 | | | | 154,138 | |
Total Financial | | | | | | | 16,044,761 | |
| | | | | | | | | |
Industrial - 18.7% |
MDU Resources Group, Inc. | | | 50,481 | | | | 1,119,669 | |
PGT Innovations, Inc.* | | | 51,673 | | | | 810,233 | |
Knight-Swift Transportation Holdings, Inc. | | | 18,935 | | | | 789,779 | |
Plexus Corp.* | | | 10,407 | | | | 734,318 | |
Graphic Packaging Holding Co. | | | 49,979 | | | | 699,206 | |
GATX Corp. | | | 9,649 | | | | 588,396 | |
Valmont Industries, Inc. | | | 4,900 | | | | 556,738 | |
Sanmina Corp.* | | | 21,718 | | | | 543,819 | |
Rexnord Corp. | | | 17,141 | | | | 499,660 | |
Owens Corning | | | 8,337 | | | | 464,871 | |
EnerSys | | | 6,949 | | | | 447,376 | |
FLIR Systems, Inc. | | | 10,498 | | | | 425,904 | |
Kirby Corp.* | | | 7,657 | | | | 410,109 | |
Kennametal, Inc. | | | 11,020 | | | | 316,384 | |
Dycom Industries, Inc.* | | | 7,577 | | | | 309,824 | |
Advanced Energy Industries, Inc.* | | | 4,123 | | | | 279,498 | |
Colfax Corp.* | | | 9,460 | | | | 263,934 | |
Encore Wire Corp. | | | 5,174 | | | | 252,595 | |
Park Aerospace Corp. | | | 22,473 | | | | 250,349 | |
Crane Co. | | | 2,835 | | | | 168,569 | |
Total Industrial | | | | | | | 9,931,231 | |
| | | | | | | | | |
Consumer, Cyclical - 9.3% |
UniFirst Corp. | | | 3,933 | | | | 703,810 | |
MSC Industrial Direct Company, Inc. — Class A | | | 8,379 | | | | 610,075 | |
MDC Holdings, Inc. | | | 13,612 | | | | 485,948 | |
Meritage Homes Corp.* | | | 5,862 | | | | 446,216 | |
Hawaiian Holdings, Inc. | | | 31,086 | | | | 436,448 | |
MasterCraft Boat Holdings, Inc.* | | | 21,825 | | | | 415,766 | |
Abercrombie & Fitch Co. — Class A | | | 31,931 | | | | 339,746 | |
BMC Stock Holdings, Inc.* | | | 12,512 | | | | 314,552 | |
Penske Automotive Group, Inc. | | | 7,343 | | | | 284,247 | |
Wabash National Corp. | | | 25,239 | | | | 268,038 | |
Methode Electronics, Inc. | | | 6,263 | | | | 195,781 | |
Dick’s Sporting Goods, Inc. | | | 4,560 | | | | 188,146 | |
La-Z-Boy, Inc. | | | 5,593 | | | | 151,346 | |
Tenneco, Inc. — Class A* | | | 17,087 | | | | 129,178 | |
Total Consumer, Cyclical | | | | | | | 4,969,297 | |
| | | | | | | | | |
Consumer, Non-cyclical - 8.9% |
Central Garden & Pet Co. — Class A* | | | 32,559 | | | | 1,100,169 | |
Encompass Health Corp. | | | 14,281 | | | | 884,422 | |
Ingredion, Inc. | | | 8,743 | | | | 725,669 | |
Emergent BioSolutions, Inc.* | | | 7,378 | | | | 583,452 | |
TreeHouse Foods, Inc.* | | | 11,184 | | | | 489,859 | |
MGP Ingredients, Inc. | | | 12,395 | | | | 454,959 | |
Perdoceo Education Corp.* | | | 20,801 | | | | 331,360 | |
Adtalem Global Education, Inc.* | | | 5,101 | | | | 158,896 | |
Total Consumer, Non-cyclical | | | | | | | 4,728,786 | |
| | | | | | | | | |
Utilities - 6.5% |
Portland General Electric Co. | | | 22,549 | | | | 942,774 | |
Black Hills Corp. | | | 12,958 | | | | 734,200 | |
Avista Corp. | | | 16,495 | | | | 600,253 | |
Southwest Gas Holdings, Inc. | | | 8,470 | | | | 584,854 | |
ALLETE, Inc. | | | 6,868 | | | | 375,061 | |
Spire, Inc. | | | 3,682 | | | | 241,944 | |
Total Utilities | | | | | | | 3,479,086 | |
| | | | | | | | | |
Communications - 6.3% |
Infinera Corp.* | | | 161,513 | | | | 956,157 | |
Viavi Solutions, Inc.* | | | 58,785 | | | | 748,921 | |
Ciena Corp.* | | | 12,481 | | | | 675,971 | |
Scholastic Corp. | | | 12,148 | | | | 363,711 | |
Gray Television, Inc.* | | | 25,944 | | | | 361,919 | |
Tribune Publishing Co. | | | 18,952 | | | | 189,330 | |
Entercom Communications Corp. — Class A | | | 57,603 | | | | 79,492 | |
Total Communications | | | | | | | 3,375,501 | |
94 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES Q (SMALL CAP VALUE SERIES) | |
| | Shares | | | Value | |
Basic Materials - 5.4% |
Huntsman Corp. | | | 44,534 | | | $ | 800,276 | |
Ashland Global Holdings, Inc. | | | 10,472 | | | | 723,615 | |
Commercial Metals Co. | | | 21,704 | | | | 442,762 | |
Reliance Steel & Aluminum Co. | | | 3,874 | | | | 367,759 | |
Olin Corp. | | | 25,310 | | | | 290,812 | |
Verso Corp. — Class A | | | 19,294 | | | | 230,756 | |
Total Basic Materials | | | | | | | 2,855,980 | |
| | | | | | | | | |
Energy - 4.1% |
Parsley Energy, Inc. — Class A | | | 93,594 | | | | 999,584 | |
Range Resources Corp. | | | 118,684 | | | | 668,191 | |
CNX Resources Corp.* | | | 40,226 | | | | 347,955 | |
Oil States International, Inc.* | | | 30,739 | | | | 146,010 | |
Total Energy | | | | | | | 2,161,740 | |
| | | | | | | | | |
Technology - 3.8% |
MACOM Technology Solutions Holdings, Inc.* | | | 17,116 | | | | 587,934 | |
Lumentum Holdings, Inc.* | | | 6,435 | | | | 524,002 | |
Axcelis Technologies, Inc.* | | | 11,822 | | | | 329,243 | |
Evolent Health, Inc. — Class A* | | | 43,143 | | | | 307,178 | |
Science Applications International Corp. | | | 3,160 | | | | 245,469 | |
Total Technology | | | | | | | 1,993,826 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $55,402,517) | | | | | | | 49,540,208 | |
| | | | | | | | | |
CONVERTIBLE PREFERRED STOCKS††† - 0.0% |
Industrial - 0.0% |
Thermoenergy Corp.*,1,2 | | | 116,667 | | | | 34 | |
Total Convertible Preferred Stocks | | | | |
(Cost $111,410) | | | | | | | 34 | |
| | | | | | | | | |
RIGHTS† - 0.1% |
Basic Materials - 0.1% |
Pan American Silver Corp.* | | | 81,258 | | | | 55,743 | |
Total Rights | | | | |
(Cost $—) | | | | | | | 55,743 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 2.5% |
iShares Russell 2000 Value ETF | | | 13,768 | | | | 1,341,829 | |
Total Exchange-Traded Funds | | | | |
(Cost $1,550,430) | | | | | | | 1,341,829 | |
| | | | | | | | | |
MONEY MARKET FUND† - 4.4% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.08%3 | | | 2,328,053 | | | | 2,328,053 | |
Total Money Market Fund | | | | |
(Cost $2,328,053) | | | | | | | 2,328,053 | |
| | | | | | | | | |
Total Investments - 100.1% | | | | |
(Cost $59,392,410) | | $ | 53,265,867 | |
Other Assets & Liabilities, net - (0.1)% | | | (46,534 | ) |
Total Net Assets - 100.0% | | $ | 53,219,333 | |
* | 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, 2020. The total market value of fair valued securities amounts to $34, (cost $111,410) or less than 0.01% 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, 2020. |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 95 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
SERIES Q (SMALL CAP VALUE SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (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 | | $ | 49,540,208 | | | $ | — | | | $ | — | | | $ | 49,540,208 | |
Convertible Preferred Stocks | | | — | | | | — | | | | 34 | | | | 34 | |
Rights | | | 55,743 | | | | — | | | | — | | | | 55,743 | |
Exchange-Traded Funds | | | 1,341,829 | | | | — | | | | — | | | | 1,341,829 | |
Money Market Fund | | | 2,328,053 | | | | — | | | | — | | | | 2,328,053 | |
Total Assets | | $ | 53,265,833 | | | $ | — | | | $ | 34 | | | $ | 53,265,867 | |
96 | 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, 2020 |
Assets: |
Investments, at value (cost $59,392,410) | | $ | 53,265,867 | |
Prepaid expenses | | | 260 | |
Receivables: |
Dividends | | | 82,436 | |
Fund shares sold | | | 1,347 | |
Interest | | | 138 | |
Total assets | | | 53,350,048 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 40,296 | |
Printing fees | | | 23,015 | |
Management fees | | | 22,722 | |
Professional fees | | | 19,110 | |
Distribution and service fees | | | 11,120 | |
Fund accounting/administration fees | | | 3,254 | |
Trustees’ fees* | | | 2,539 | |
Transfer agent/maintenance fees | | | 2,175 | |
Miscellaneous | | | 6,484 | |
Total liabilities | | | 130,715 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 53,219,333 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 59,342,612 | |
Total distributable earnings (loss) | | | (6,123,279 | ) |
Net assets | | $ | 53,219,333 | |
Capital shares outstanding | | | 1,639,270 | |
Net asset value per share | | $ | 32.47 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Dividends | | $ | 571,825 | |
Interest | | | 5,672 | |
Total investment income | | | 577,497 | |
| | | | | |
Expenses: |
Management fees | | | 215,552 | |
Distribution and service fees | | | 71,851 | |
Transfer agent/maintenance fees | | | 16,502 | |
Fund accounting/administration fees | | | 21,266 | |
Professional fees | | | 20,688 | |
Trustees’ fees* | | | 9,377 | |
Custodian fees | | | 895 | |
Line of credit fees | | | 798 | |
Miscellaneous | | | 18,748 | |
Total expenses | | | 375,677 | |
Less: |
Expenses reimbursed by Adviser | | | (3,047 | ) |
Expenses waived by Adviser | | | (45,847 | ) |
Earnings credits applied | | | (66 | ) |
Total waived/reimbursed expenses | | | (48,960 | ) |
Net expenses | | | 326,717 | |
Net investment income | | | 250,780 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (5,097,881 | ) |
Net realized loss | | | (5,097,881 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (10,739,010 | ) |
Net change in unrealized appreciation (depreciation) | | | (10,739,010 | ) |
Net realized and unrealized loss | | | (15,836,891 | ) |
Net decrease in net assets resulting from operations | | $ | (15,586,111 | ) |
* | 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 | 97 |
SERIES Q (SMALL CAP VALUE SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 250,780 | | | $ | 579,635 | |
Net realized gain (loss) on investments | | | (5,097,881 | ) | | | 5,213,071 | |
Net change in unrealized appreciation (depreciation) on investments | | | (10,739,010 | ) | | | 8,752,696 | |
Net increase (decrease) in net assets resulting from operations | | | (15,586,111 | ) | | | 14,545,402 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (4,786,908 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 1,583,919 | | | | 3,757,305 | |
Distributions reinvested | | | — | | | | 4,786,908 | |
Cost of shares redeemed | | | (6,793,828 | ) | | | (12,636,580 | ) |
Net decrease from capital share transactions | | | (5,209,909 | ) | | | (4,092,367 | ) |
Net increase (decrease) in net assets | | | (20,796,020 | ) | | | 5,666,127 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 74,015,353 | | | | 68,349,226 | |
End of period | | $ | 53,219,333 | | | $ | 74,015,353 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 49,822 | | | | 93,527 | |
Shares issued from reinvestment of distributions | | | — | | | | 125,410 | |
Shares redeemed | | | (198,612 | ) | | | (319,855 | ) |
Net decrease in shares | | | (148,790 | ) | | | (100,918 | ) |
98 | 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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 41.39 | | | $ | 36.18 | | | $ | 45.89 | | | $ | 46.02 | | | $ | 39.71 | | | $ | 51.73 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .15 | | | | .32 | | | | .30 | | | | .05 | | | | .21 | | | | .12 | |
Net gain (loss) on investments (realized and unrealized) | | | (9.07 | ) | | | 7.62 | | | | (5.28 | ) | | | 1.58 | | | | 9.76 | | | | (2.87 | ) |
Total from investment operations | | | (8.92 | ) | | | 7.94 | | | | (4.98 | ) | | | 1.63 | | | | 9.97 | | | | (2.75 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.33 | ) | | | (.16 | ) | | | (.17 | ) | | | (.05 | ) | | | — | |
Net realized gains | | | — | | | | (2.40 | ) | | | (4.57 | ) | | | (1.59 | ) | | | (3.61 | ) | | | (9.27 | ) |
Total distributions | | | — | | | | (2.73 | ) | | | (4.73 | ) | | | (1.76 | ) | | | (3.66 | ) | | | (9.27 | ) |
Net asset value, end of period | | $ | 32.47 | | | $ | 41.39 | | | $ | 36.18 | | | $ | 45.89 | | | $ | 46.02 | | | $ | 39.71 | |
|
Total Returnc | | | (21.55 | %) | | | 22.58 | % | | | (12.66 | %) | | | 3.70 | % | | | 26.60 | % | | | (6.62 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 53,219 | | | $ | 74,015 | | | $ | 68,349 | | | $ | 98,726 | | | $ | 106,304 | | | $ | 89,757 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.87 | % | | | 0.80 | % | | | 0.68 | % | | | 0.11 | % | | | 0.52 | % | | | 0.26 | % |
Total expensesd | | | 1.31 | % | | | 1.29 | % | | | 1.26 | % | | | 1.23 | % | | | 1.16 | % | | | 1.19 | % |
Net expensese,f,g | | | 1.14 | % | | | 1.14 | % | | | 1.14 | % | | | 1.14 | % | | | 1.16 | % | | | 1.19 | % |
Portfolio turnover rate | | | 13 | % | | | 54 | % | | | 37 | % | | | 32 | % | | | 68 | % | | | 57 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 presented would be: |
| | 06/30/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 |
| | 1.14% | 1.14% | 1.14% | 1.12% | 1.16% | 1.19% |
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 presented was as follows: |
| | 06/30/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | — | — | 0.00%* | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 99 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
SERIES V (SMID 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) |
Alleghany Corp. | 2.3% |
Alexandria Real Estate Equities, Inc. | 2.2% |
Voya Financial, Inc. | 2.2% |
Super Micro Computer, Inc. | 2.2% |
MDU Resources Group, Inc. | 2.1% |
Central Garden & Pet Co. — Class A | 2.0% |
Physicians Realty Trust | 2.0% |
Parsley Energy, Inc. — Class A | 1.8% |
Infinera Corp. | 1.7% |
Equity Commonwealth | 1.7% |
Top Ten Total | 20.2% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series V (SMid Cap Value Series) | (18.04%) | (9.57%) | 4.00% | 7.94% |
Russell 2500 Value Index | (21.18%) | (15.50%) | 1.85% | 8.81% |
* | 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. |
100 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES V (SMID CAP VALUE SERIES) | |
| | Shares | | | Value | |
COMMON STOCKS† - 97.3% |
| | | | | | | | | |
Financial - 28.2% |
Alleghany Corp. | | | 7,036 | | | $ | 3,441,589 | |
Alexandria Real Estate Equities, Inc. REIT | | | 20,037 | | | | 3,251,003 | |
Voya Financial, Inc. | | | 69,329 | | | | 3,234,198 | |
Physicians Realty Trust REIT | | | 169,330 | | | | 2,966,662 | |
Equity Commonwealth REIT | | | 79,559 | | | | 2,561,800 | |
Radian Group, Inc. | | | 141,545 | | | | 2,195,363 | |
Pinnacle Financial Partners, Inc. | | | 48,251 | | | | 2,026,060 | |
KeyCorp | | | 163,290 | | | | 1,988,872 | |
Zions Bancorp North America | | | 58,413 | | | | 1,986,042 | |
Axis Capital Holdings Ltd. | | | 47,582 | | | | 1,929,926 | |
Heritage Insurance Holdings, Inc. | | | 124,542 | | | | 1,630,255 | |
First Horizon National Corp. | | | 151,359 | | | | 1,507,536 | |
VICI Properties, Inc. REIT | | | 73,769 | | | | 1,489,396 | |
Sun Communities, Inc. REIT | | | 10,925 | | | | 1,482,304 | |
WSFS Financial Corp. | | | 47,019 | | | | 1,349,445 | |
Medical Properties Trust, Inc. REIT | | | 55,511 | | | | 1,043,607 | |
IBERIABANK Corp. | | | 22,528 | | | | 1,025,925 | |
Hilltop Holdings, Inc. | | | 50,937 | | | | 939,788 | |
Howard Hughes Corp.* | | | 16,886 | | | | 877,228 | |
Stifel Financial Corp. | | | 18,070 | | | | 857,060 | |
BOK Financial Corp. | | | 14,417 | | | | 813,695 | |
Cousins Properties, Inc. REIT | | | 24,552 | | | | 732,386 | |
Heartland Financial USA, Inc. | | | 21,485 | | | | 718,458 | |
Gaming and Leisure Properties, Inc. REIT | | | 20,112 | | | | 695,875 | |
American National Insurance Co. | | | 8,206 | | | | 591,406 | |
First Midwest Bancorp, Inc. | | | 23,111 | | | | 308,532 | |
Total Financial | | | | | | | 41,644,411 | |
| | | | | | | | | |
Industrial - 19.4% |
MDU Resources Group, Inc. | | | 136,439 | | | | 3,026,217 | |
PGT Innovations, Inc.* | | | 140,553 | | | | 2,203,871 | |
Knight-Swift Transportation Holdings, Inc. | | | 50,395 | | | | 2,101,975 | |
Plexus Corp.* | | | 28,833 | | | | 2,034,456 | |
Owens Corning | | | 34,094 | | | | 1,901,081 | |
FLIR Systems, Inc. | | | 43,645 | | | | 1,770,678 | |
Graphic Packaging Holding Co. | | | 123,176 | | | | 1,723,232 | |
Jacobs Engineering Group, Inc. | | | 20,265 | | | | 1,718,472 | |
Valmont Industries, Inc. | | | 12,390 | | | | 1,407,752 | |
Rexnord Corp. | | | 45,107 | | | | 1,314,869 | |
EnerSys | | | 19,326 | | | | 1,244,208 | |
Johnson Controls International plc | | | 33,962 | | | | 1,159,463 | |
Snap-on, Inc. | | | 7,217 | | | | 999,627 | |
Kirby Corp.* | | | 18,358 | | | | 983,255 | |
Kennametal, Inc. | | | 29,722 | | | | 853,319 | |
Dycom Industries, Inc.* | | | 20,190 | | | | 825,569 | |
Advanced Energy Industries, Inc.* | | | 11,344 | | | | 769,010 | |
GATX Corp. | | | 12,173 | | | | 742,310 | |
Colfax Corp.* | | | 25,796 | | | | 719,708 | |
Park Aerospace Corp. | | | 63,025 | | | | 702,098 | |
Crane Co. | | | 7,842 | | | | 466,285 | |
Total Industrial | | | | | | | 28,667,455 | |
| | | | | | | | | |
Consumer, Non-cyclical - 10.5% |
Central Garden & Pet Co. — Class A* | | | 88,877 | | | | 3,003,154 | |
Emergent BioSolutions, Inc.* | | | 31,784 | | | | 2,513,479 | |
Bunge Ltd. | | | 60,124 | | | | 2,472,900 | |
Encompass Health Corp. | | | 38,936 | | | | 2,411,306 | |
Ingredion, Inc. | | | 23,621 | | | | 1,960,543 | |
TreeHouse Foods, Inc.* | | | 31,181 | | | | 1,365,728 | |
MGP Ingredients, Inc. | | | 34,654 | | | | 1,271,975 | |
Adtalem Global Education, Inc.* | | | 13,706 | | | | 426,942 | |
Total Consumer, Non-cyclical | | | | | | | 15,426,027 | |
| | | | | | | | | |
Consumer, Cyclical - 10.1% |
DR Horton, Inc. | | | 37,250 | | | | 2,065,513 | |
LKQ Corp.* | | | 75,146 | | | | 1,968,825 | |
UniFirst Corp. | | | 10,404 | | | | 1,861,796 | |
MSC Industrial Direct Company, Inc. — Class A | | | 23,281 | | | | 1,695,089 | |
BorgWarner, Inc. | | | 26,067 | | | | 920,165 | |
PVH Corp. | | | 19,068 | | | | 916,217 | |
BMC Stock Holdings, Inc.* | | | 34,676 | | | | 871,755 | |
Lear Corp. | | | 7,697 | | | | 839,127 | |
Penske Automotive Group, Inc. | | | 20,311 | | | | 786,239 | |
Skechers USA, Inc. — Class A* | | | 24,575 | | | | 771,164 | |
Meritage Homes Corp.* | | | 8,595 | | | | 654,251 | |
Ralph Lauren Corp. — Class A | | | 7,884 | | | | 571,748 | |
Dick’s Sporting Goods, Inc. | | | 12,716 | | | | 524,662 | |
Methode Electronics, Inc. | | | 11,635 | | | | 363,710 | |
Total Consumer, Cyclical | | | | | | | 14,810,261 | |
| | | | | | | | | |
Basic Materials - 8.1% |
Freeport-McMoRan, Inc. | | | 200,962 | | | | 2,325,130 | |
Huntsman Corp. | | | 122,024 | | | | 2,192,771 | |
Ashland Global Holdings, Inc. | | | 28,424 | | | | 1,964,098 | |
Reliance Steel & Aluminum Co. | | | 16,380 | | | | 1,554,954 | |
Commercial Metals Co. | | | 61,757 | | | | 1,259,843 | |
Westlake Chemical Corp. | | | 20,607 | | | | 1,105,566 | |
Olin Corp. | | | 69,749 | | | | 801,416 | |
Nucor Corp. | | | 17,518 | | | | 725,420 | |
Total Basic Materials | | | | | | | 11,929,198 | |
| | | | | | | | | |
Technology - 7.0% |
Super Micro Computer, Inc.* | | | 113,230 | | | | 3,214,600 | |
MACOM Technology Solutions Holdings, Inc.* | | | 47,079 | | | | 1,617,164 | |
Lumentum Holdings, Inc.* | | | 17,880 | | | | 1,455,968 | |
Qorvo, Inc.* | | | 12,626 | | | | 1,395,552 | |
Skyworks Solutions, Inc. | | | 8,550 | | | | 1,093,203 | |
Evolent Health, Inc. — Class A* | | | 120,905 | | | | 860,844 | |
Science Applications International Corp. | | | 8,671 | | | | 673,563 | |
Total Technology | | | | | | | 10,310,894 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 101 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES V (SMID CAP VALUE SERIES) | |
| | Shares | | | Value | |
Utilities - 6.4% |
Portland General Electric Co. | | | 59,902 | | | $ | 2,504,503 | |
Southwest Gas Holdings, Inc. | | | 22,265 | | | | 1,537,398 | |
Pinnacle West Capital Corp. | | | 18,823 | | | | 1,379,538 | |
Black Hills Corp. | | | 24,313 | | | | 1,377,574 | |
Avista Corp. | | | 35,237 | | | | 1,282,274 | |
AES Corp. | | | 48,587 | | | | 704,026 | |
Spire, Inc. | | | 10,410 | | | | 684,041 | |
Total Utilities | | | | | | | 9,469,354 | |
| | | | | | | | | |
Communications - 4.1% |
Infinera Corp.* | | | 434,164 | | | | 2,570,251 | |
Ciena Corp.* | | | 33,018 | | | | 1,788,255 | |
Viavi Solutions, Inc.* | | | 126,644 | | | | 1,613,444 | |
Total Communications | | | | | | | 5,971,950 | |
| | | | | | | | | |
Energy - 3.5% |
Parsley Energy, Inc. — Class A | | | 247,044 | | | | 2,638,430 | |
Marathon Petroleum Corp. | | | 40,096 | | | | 1,498,788 | |
Range Resources Corp. | | | 184,618 | | | | 1,039,399 | |
HydroGen Corp.*,†††,1,2 | | | 672,346 | | | | 1 | |
Total Energy | | | | | | | 5,176,618 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $151,047,005) | | | | | | | 143,406,168 | |
| | | | | | | | | |
CONVERTIBLE PREFERRED STOCKS††† - 0.0% |
Industrial - 0.0% |
Thermoenergy Corp.*,1,3 | | | 308,333 | | | | 90 | |
Total Convertible Preferred Stocks | | | | |
(Cost $294,438) | | | | | | | 90 | |
| | | | | | | | | |
RIGHTS† - 0.1% |
Basic Materials - 0.1% |
Pan American Silver Corp.* | | | 220,317 | | | | 151,138 | |
Total Rights | | | | |
(Cost $—) | | | | | | | 151,138 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 1.3% |
iShares Russell Mid-Cap Value ETF | | | 25,712 | | | | 1,967,739 | |
Total Exchange-Traded Funds | | | | |
(Cost $1,747,223) | | | | | | | 1,967,739 | |
| | | | | | | | | |
MONEY MARKET FUND† - 1.3% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.08%4 | | | 1,913,715 | | | | 1,913,715 | |
Total Money Market Fund | | | | |
(Cost $1,913,715) | | | | | | | 1,913,715 | |
| | | | | | | | | |
Total Investments - 100.0% | | | | |
(Cost $155,002,381) | | $ | 147,438,850 | |
Other Assets & Liabilities, net - 0.0% | | | 43,484 | |
Total Net Assets - 100.0% | | $ | 147,482,334 | |
* | 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, 2020. The total market value of fair valued securities amounts to $91, (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, 2020. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
102 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
SERIES V (SMID CAP VALUE SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (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 | | $ | 143,406,167 | | | $ | — | | | $ | 1 | | | $ | 143,406,168 | |
Convertible Preferred Stocks | | | — | | | | — | | | | 90 | | | | 90 | |
Rights | | | 151,138 | | | | — | | | | — | | | | 151,138 | |
Exchange-Traded Funds | | | 1,967,739 | | | | — | | | | — | | | | 1,967,739 | |
Money Market Fund | | | 1,913,715 | | | | — | | | | — | | | | 1,913,715 | |
Total Assets | | $ | 147,438,759 | | | $ | — | | | $ | 91 | | | $ | 147,438,850 | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the period ended June 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/19 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/20 | | | Shares
06/30/20 | |
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, 2020. 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 | 103 |
SERIES V (SMID CAP VALUE SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $152,430,806) | | $ | 147,438,849 | |
Investments in affiliated issuers, at value (cost $2,571,575) | | | 1 | |
Prepaid expenses | | | 623 | |
Receivables: |
Dividends | | | 234,056 | |
Fund shares sold | | | 494 | |
Interest | | | 158 | |
Total assets | | | 147,674,181 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 53,611 | |
Fund shares redeemed | | | 33,222 | |
Distribution and service fees | | | 30,785 | |
Printing fees | | | 29,668 | |
Professional fees | | | 18,568 | |
Fund accounting/administration fees | | | 9,008 | |
Transfer agent/maintenance fees | | | 3,288 | |
Trustees’ fees* | | | 2,974 | |
Miscellaneous (Note 11) | | | 10,723 | |
Total liabilities | | | 191,847 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 147,482,334 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 153,673,787 | |
Total distributable earnings (loss) | | | (6,191,453 | ) |
Net assets | | $ | 147,482,334 | |
Capital shares outstanding | | | 2,601,212 | |
Net asset value per share | | $ | 56.70 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $149) | | $ | 3,044,816 | |
Interest | | | 19,447 | |
Total investment income | | | 3,064,263 | |
| | | | | |
Expenses: |
Management fees | | | 590,497 | |
Distribution and service fees | | | 196,832 | |
Transfer agent/maintenance fees | | | 12,591 | |
Fund accounting/administration fees | | | 58,262 | |
Professional fees | | | 29,933 | |
Trustees’ fees* | | | 10,738 | |
Custodian fees | | | 3,793 | |
Line of credit fees | | | 2,149 | |
Miscellaneous | | | 49,289 | |
Total expenses | | | 954,084 | |
Less: |
Expenses waived by Adviser | | | (240,172 | ) |
Earnings credits applied | | | (5 | ) |
Total waived expenses | | | (240,177 | ) |
Net expenses | | | 713,907 | |
Net investment income | | | 2,350,356 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (8,952,891 | ) |
Net realized loss | | | (8,952,891 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (28,796,181 | ) |
Net change in unrealized appreciation (depreciation) | | | (28,796,181 | ) |
Net realized and unrealized loss | | | (37,749,072 | ) |
Net decrease in net assets resulting from operations | | $ | (35,398,716 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
104 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES V (SMID CAP VALUE SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 2,350,356 | | | $ | 1,903,230 | |
Net realized gain (loss) on investments | | | (8,952,891 | ) | | | 8,101,780 | |
Net change in unrealized appreciation (depreciation) on investments | | | (28,796,181 | ) | | | 34,429,097 | |
Net increase (decrease) in net assets resulting from operations | | | (35,398,716 | ) | | | 44,434,107 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (21,621,842 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 1,319,647 | | | | 5,292,322 | |
Distributions reinvested | | | — | | | | 21,621,842 | |
Cost of shares redeemed | | | (13,645,837 | ) | | | (30,631,827 | ) |
Net decrease from capital share transactions | | | (12,326,190 | ) | | | (3,717,663 | ) |
Net increase (decrease) in net assets | | | (47,724,906 | ) | | | 19,094,602 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 195,207,240 | | | | 176,112,638 | |
End of period | | $ | 147,482,334 | | | $ | 195,207,240 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 24,628 | | | | 81,079 | |
Shares issued from reinvestment of distributions | | | — | | | | 342,497 | |
Shares redeemed | | | (244,955 | ) | | | (456,487 | ) |
Net decrease in shares | | | (220,327 | ) | | | (32,911 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 105 |
SERIES V (SMID 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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 69.18 | | | $ | 61.70 | | | $ | 82.36 | | | $ | 74.35 | | | $ | 65.74 | | | $ | 84.22 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .86 | | | | .68 | | | | .53 | | | | (.16 | ) | | | .99 | | | | .71 | |
Net gain (loss) on investments (realized and unrealized) | | | (13.34 | ) | | | 15.01 | | | | (9.07 | ) | | | 10.16 | | | | 15.50 | | | | (5.42 | ) |
Total from investment operations | | | (12.48 | ) | | | 15.69 | | | | (8.54 | ) | | | 10.00 | | | | 16.49 | | | | (4.71 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.64 | ) | | | (.49 | ) | | | (.52 | ) | | | (.68 | ) | | | (.51 | ) |
Net realized gains | | | — | | | | (7.57 | ) | | | (11.63 | ) | | | (1.47 | ) | | | (7.20 | ) | | | (13.26 | ) |
Total distributions | | | — | | | | (8.21 | ) | | | (12.12 | ) | | | (1.99 | ) | | | (7.88 | ) | | | (13.77 | ) |
Net asset value, end of period | | $ | 56.70 | | | $ | 69.18 | | | $ | 61.70 | | | $ | 82.36 | | | $ | 74.35 | | | $ | 65.74 | |
|
Total Returnc | | | (18.04 | %) | | | 26.70 | % | | | (12.97 | %) | | | 13.71 | % | | | 26.75 | % | | | (6.79 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 147,482 | | | $ | 195,207 | | | $ | 176,113 | | | $ | 242,217 | | | $ | 248,062 | | | $ | 207,393 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.99 | % | | | 1.01 | % | | | 0.68 | % | | | (0.21 | %) | | | 1.46 | % | | | 0.94 | % |
Total expensesd | | | 1.21 | % | | | 1.19 | % | | | 1.19 | % | | | 1.10 | % | | | 0.93 | % | | | 0.95 | % |
Net expensese,f | | | 0.91 | % | | | 0.91 | % | | | 0.91 | % | | | 0.91 | % | | | 0.93 | % | | | 0.95 | % |
Portfolio turnover rate | | | 20 | % | | | 41 | % | | | 65 | % | | | 54 | % | | | 60 | % | | | 50 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 presented would be: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 |
| | 0.91% | 0.91% | 0.91% | 0.89% | 0.93% | 0.95% |
106 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 Strategy Fund III | 26.7% |
Guggenheim Variable Insurance Strategy Fund III | 26.7% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 23.9% |
Guggenheim Strategy Fund II | 2.3% |
Viavi Solutions, Inc. | 0.2% |
Cogent Communications Holdings, Inc. | 0.2% |
TopBuild Corp. | 0.2% |
Forward Air Corp. | 0.2% |
Wingstop, Inc. | 0.2% |
Lithia Motors, Inc. — Class A | 0.2% |
Top Ten Total | 80.8% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series X (StylePlus—Small Growth Series) | (5.62%) | (0.22%) | 5.99% | 12.52% |
Russell 2000 Growth Index | (3.06%) | 3.48% | 6.86% | 12.92% |
* | 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 | 107 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | |
| | Shares | | | Value | |
COMMON STOCKS† - 14.3% |
| | | | | | | | | |
Industrial - 4.2% |
TopBuild Corp.* | | | 473 | | | $ | 53,813 | |
Forward Air Corp. | | | 1,048 | | | | 52,211 | |
Brady Corp. — Class A | | | 1,007 | | | | 47,148 | |
Exponent, Inc. | | | 557 | | | | 45,078 | |
Watts Water Technologies, Inc. — Class A | | | 552 | | | | 44,712 | |
Simpson Manufacturing Company, Inc. | | | 506 | | | | 42,686 | |
UFP Industries, Inc. | | | 852 | | | | 42,183 | |
Aerojet Rocketdyne Holdings, Inc.* | | | 1,044 | | | | 41,384 | |
Plexus Corp.* | | | 567 | | | | 40,008 | |
Saia, Inc.* | | | 335 | | | | 37,245 | |
John Bean Technologies Corp. | | | 407 | | | | 35,010 | |
Itron, Inc.* | | | 521 | | | | 34,516 | |
Advanced Energy Industries, Inc.* | | | 508 | | | | 34,437 | |
OSI Systems, Inc.* | | | 453 | | | | 33,812 | |
Curtiss-Wright Corp. | | | 375 | | | | 33,480 | |
Applied Industrial Technologies, Inc. | | | 516 | | | | 32,193 | |
Fabrinet* | | | 496 | | | | 30,960 | |
Mueller Industries, Inc. | | | 1,067 | | | | 28,361 | |
Franklin Electric Company, Inc. | | | 539 | | | | 28,308 | |
Albany International Corp. — Class A | | | 482 | | | | 28,298 | |
Timken Co. | | | 621 | | | | 28,249 | |
Owens Corning | | | 496 | | | | 27,657 | |
Barnes Group, Inc. | | | 670 | | | | 26,505 | |
Jabil, Inc. | | | 821 | | | | 26,338 | |
AZZ, Inc. | | | 719 | | | | 24,676 | |
Knowles Corp.* | | | 1,588 | | | | 24,233 | |
AGCO Corp. | | | 436 | | | | 24,181 | |
Gibraltar Industries, Inc.* | | | 503 | | | | 24,149 | |
Oshkosh Corp. | | | 320 | | | | 22,918 | |
Werner Enterprises, Inc. | | | 518 | | | | 22,549 | |
ITT, Inc. | | | 362 | | | | 21,264 | |
Comfort Systems USA, Inc. | | | 513 | | | | 20,905 | |
Moog, Inc. — Class A | | | 383 | | | | 20,292 | |
Lincoln Electric Holdings, Inc. | | | 237 | | | | 19,965 | |
Heartland Express, Inc. | | | 948 | | | | 19,738 | |
Marten Transport Ltd. | | | 761 | | | | 19,147 | |
SPX FLOW, Inc.* | | | 487 | | | | 18,233 | |
MasTec, Inc.* | | | 331 | | | | 14,852 | |
Patrick Industries, Inc. | | | 240 | | | | 14,700 | |
Landstar System, Inc. | | | 120 | | | | 13,477 | |
Alarm.com Holdings, Inc.* | | | 192 | | | | 12,443 | |
Valmont Industries, Inc. | | | 105 | | | | 11,930 | |
Total Industrial | | | | | | | 1,224,244 | |
| | | | | | | | | |
Consumer, Non-cyclical - 3.4% |
Emergent BioSolutions, Inc.* | | | 509 | | | | 40,252 | |
NeoGenomics, Inc.* | | | 1,271 | | | | 39,376 | |
Medpace Holdings, Inc.* | | | 413 | | | | 38,417 | |
Innoviva, Inc.* | | | 2,501 | | | | 34,964 | |
Amphastar Pharmaceuticals, Inc.* | | | 1,544 | | | | 34,678 | |
Neogen Corp.* | | | 445 | | | | 34,532 | |
Corcept Therapeutics, Inc.* | | | 2,005 | | | | 33,724 | |
Pacira BioSciences, Inc.* | | | 632 | | | | 33,161 | |
EVERTEC, Inc. | | | 1,166 | | | | 32,765 | |
Post Holdings, Inc.* | | | 370 | | | | 32,419 | |
CONMED Corp. | | | 443 | | | | 31,892 | |
Rent-A-Center, Inc. | | | 1,100 | | | | 30,602 | |
Integra LifeSciences Holdings Corp.* | | | 609 | | | | 28,617 | |
BioTelemetry, Inc.* | | | 624 | | | | 28,199 | |
Momenta Pharmaceuticals, Inc.* | | | 822 | | | | 27,348 | |
Natus Medical, Inc.* | | | 1,119 | | | | 24,417 | |
HMS Holdings Corp.* | | | 722 | | | | 23,385 | |
Enanta Pharmaceuticals, Inc.* | | | 461 | | | | 23,147 | |
Coca-Cola Consolidated, Inc. | | | 99 | | | | 22,690 | |
Medifast, Inc. | | | 162 | | | | 22,481 | |
John B Sanfilippo & Son, Inc. | | | 257 | | | | 21,930 | |
Eagle Pharmaceuticals, Inc.* | | | 408 | | | | 19,576 | |
Ensign Group, Inc. | | | 458 | | | | 19,167 | |
Orthofix Medical, Inc.* | | | 594 | | | | 19,008 | |
Deluxe Corp. | | | 797 | | | | 18,761 | |
Select Medical Holdings Corp.* | | | 1,269 | | | | 18,693 | |
CorVel Corp.* | | | 260 | | | | 18,431 | |
Surmodics, Inc.* | | | 410 | | | | 17,728 | |
AMN Healthcare Services, Inc.* | | | 387 | | | | 17,508 | |
Supernus Pharmaceuticals, Inc.* | | | 737 | | | | 17,504 | |
US Physical Therapy, Inc. | | | 213 | | | | 17,257 | |
Xencor, Inc.* | | | 511 | | | | 16,551 | |
Coherus Biosciences, Inc.* | | | 923 | | | | 16,485 | |
LivaNova plc* | | | 323 | | | | 15,546 | |
Vector Group Ltd. | | | 1,435 | | | | 14,436 | |
Varex Imaging Corp.* | | | 936 | | | | 14,180 | |
Anika Therapeutics, Inc.* | | | 365 | | | | 13,771 | |
Vanda Pharmaceuticals, Inc.* | | | 1,122 | | | | 12,836 | |
ANI Pharmaceuticals, Inc.* | | | 374 | | | | 12,095 | |
Aaron’s, Inc. | | | 265 | | | | 12,031 | |
NuVasive, Inc.* | | | 196 | | | | 10,909 | |
Pilgrim’s Pride Corp.* | | | 640 | | | | 10,810 | |
Total Consumer, Non-cyclical | | | | | | | 972,279 | |
| | | | | | | | | |
Consumer, Cyclical - 2.7% |
Wingstop, Inc. | | | 370 | | | | 51,419 | |
Lithia Motors, Inc. — Class A | | | 331 | | | | 50,090 | |
UniFirst Corp. | | | 253 | | | | 45,274 | |
LCI Industries | | | 359 | | | | 41,278 | |
Gentherm, Inc.* | | | 961 | | | | 37,383 | |
Fox Factory Holding Corp.* | | | 434 | | | | 35,853 | |
YETI Holdings, Inc.* | | | 742 | | | | 31,706 | |
Steven Madden Ltd. | | | 1,284 | | | | 31,702 | |
MDC Holdings, Inc. | | | 888 | | | | 31,701 | |
Meritage Homes Corp.* | | | 403 | | | | 30,676 | |
Crocs, Inc.* | | | 790 | | | | 29,088 | |
Winnebago Industries, Inc. | | | 424 | | | | 28,247 | |
LGI Homes, Inc.* | | | 320 | | | | 28,170 | |
Asbury Automotive Group, Inc.* | | | 356 | | | | 27,529 | |
Methode Electronics, Inc. | | | 806 | | | | 25,195 | |
Callaway Golf Co. | | | 1,415 | | | | 24,776 | |
La-Z-Boy, Inc. | | | 878 | | | | 23,759 | |
Allegiant Travel Co. — Class A | | | 210 | | | | 22,934 | |
iRobot Corp.* | | | 249 | | | | 20,891 | |
Meritor, Inc.* | | | 1,041 | | | | 20,612 | |
GMS, Inc.* | | | 827 | | | | 20,336 | |
108 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | |
| | Shares | | | Value | |
Sleep Number Corp.* | | | 484 | | | $ | 20,154 | |
Brunswick Corp. | | | 285 | | | | 18,243 | |
Universal Electronics, Inc.* | | | 321 | | | | 15,029 | |
M/I Homes, Inc.* | | | 390 | | | | 13,432 | |
Interface, Inc. — Class A | | | 1,624 | | | | 13,219 | |
Polaris, Inc. | | | 127 | | | | 11,754 | |
Visteon Corp.* | | | 168 | | | | 11,508 | |
Herman Miller, Inc. | | | 452 | | | | 10,672 | |
Total Consumer, Cyclical | | | | | | | 772,630 | |
| | | | | | | | | |
Technology - 1.8% |
Diodes, Inc.* | | | 824 | | | | 41,777 | |
Brooks Automation, Inc. | | | 909 | | | | 40,214 | |
Power Integrations, Inc. | | | 324 | | | | 38,274 | |
FormFactor, Inc.* | | | 1,244 | | | | 36,486 | |
Progress Software Corp. | | | 860 | | | | 33,325 | |
LivePerson, Inc.* | | | 741 | | | | 30,700 | |
Omnicell, Inc.* | | | 431 | | | | 30,437 | |
SPS Commerce, Inc.* | | | 401 | | | | 30,123 | |
CSG Systems International, Inc. | | | 686 | | | | 28,393 | |
Kulicke & Soffa Industries, Inc. | | | 1,066 | | | | 22,205 | |
MicroStrategy, Inc. — Class A* | | | 180 | | | | 21,292 | |
TTEC Holdings, Inc. | | | 426 | | | | 19,835 | |
CDK Global, Inc. | | | 473 | | | | 19,592 | |
Xperi Holding Corp. | | | 1,288 | | | | 19,011 | |
Ultra Clean Holdings, Inc.* | | | 777 | | | | 17,583 | |
Perspecta, Inc. | | | 670 | | | | 15,564 | |
Teradata Corp.* | | | 707 | | | | 14,706 | |
J2 Global, Inc.* | | | 232 | | | | 14,665 | |
ManTech International Corp. — Class A | | | 184 | | | | 12,602 | |
ExlService Holdings, Inc.* | | | 195 | | | | 12,363 | |
Cirrus Logic, Inc.* | | | 190 | | | | 11,738 | |
Synaptics, Inc.* | | | 188 | | | | 11,303 | |
Total Technology | | | | | | | 522,188 | |
| | | | | | | | | |
Financial - 1.0% |
eHealth, Inc.* | | | 315 | | | | 30,946 | |
United Community Banks, Inc. | | | 1,460 | | | | 29,375 | |
Walker & Dunlop, Inc. | | | 549 | | | | 27,895 | |
Axos Financial, Inc.* | | | 1,182 | | | | 26,099 | |
Agree Realty Corp. REIT | | | 377 | | | | 24,773 | |
Preferred Bank/Los Angeles CA | | | 515 | | | | 22,068 | |
TrustCo Bank Corp. NY | | | 3,168 | | | | 20,053 | |
PennyMac Mortgage Investment Trust REIT | | | 1,053 | | | | 18,459 | |
Stifel Financial Corp. | | | 389 | | | | 18,450 | |
NMI Holdings, Inc. — Class A* | | | 1,068 | | | | 17,173 | |
Evercore, Inc. — Class A | | | 223 | | | | 13,139 | |
Lexington Realty Trust REIT | | | 813 | | | | 8,577 | |
National Storage Affiliates Trust REIT | | | 265 | | | | 7,595 | |
CareTrust REIT, Inc. | | | 417 | | | | 7,156 | |
American Assets Trust, Inc. REIT | | | 249 | | | | 6,932 | |
Total Financial | | | | | | | 278,690 | |
| | | | | | | | | |
Communications - 0.8% |
Viavi Solutions, Inc.* | | | 4,470 | | | | 56,948 | |
Cogent Communications Holdings, Inc. | | | 711 | | | | 55,003 | |
Stamps.com, Inc.* | | | 118 | | | | 21,675 | |
Vonage Holdings Corp.* | | | 2,147 | | | | 21,599 | |
HealthStream, Inc.* | | | 936 | | | | 20,714 | |
Shenandoah Telecommunications Co. | | | 305 | | | | 15,033 | |
Shutterstock, Inc. | | | 406 | | | | 14,198 | |
Iridium Communications, Inc.* | | | 535 | | | | 13,610 | |
Yelp, Inc. — Class A* | | | 476 | | | | 11,010 | |
Total Communications | | | | | | | 229,790 | |
| | | | | | | | | |
Utilities - 0.3% |
American States Water Co. | | | 443 | | | | 34,833 | |
ONE Gas, Inc. | | | 363 | | | | 27,969 | |
IDACORP, Inc. | | | 293 | | | | 25,600 | |
Total Utilities | | | | | | | 88,402 | |
| | | | | | | | | |
Basic Materials - 0.1% |
Rogers Corp.* | | | 249 | | | | 31,025 | |
Cleveland-Cliffs, Inc. | | | 2,236 | | | | 12,343 | |
Total Basic Materials | | | | | | | 43,368 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $4,151,570) | | | | | | | 4,131,591 | |
| | | | | | | | | |
MUTUAL FUNDS† - 79.6% |
Guggenheim Strategy Fund III1 | | | 311,182 | | | | 7,717,314 | |
Guggenheim Variable Insurance Strategy Fund III1 | | | 311,728 | | | | 7,712,153 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 695,850 | | | | 6,902,832 | |
Guggenheim Strategy Fund II1 | | | 27,150 | | | | 671,419 | |
Total Mutual Funds | | | | |
(Cost $23,041,431) | | | | | | | 23,003,718 | |
| | | | | | | | | |
MONEY MARKET FUND† - 2.9% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.08%2 | | | 824,643 | | | | 824,643 | |
Total Money Market Fund | | | | |
(Cost $824,643) | | | | | | | 824,643 | |
| | | | | | | | | |
Total Investments - 96.8% | | | | |
(Cost $28,017,644) | | $ | 27,959,952 | |
Other Assets & Liabilities, net - 3.2% | | | 919,268 | |
Total Net Assets - 100.0% | | $ | 28,879,220 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 109 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Equity Futures Contracts Purchased† |
Russell 2000 Index Mini Futures Contracts | | | 10 | | | | Sep 2020 | | | $ | 718,200 | | | $ | 9,091 | |
S&P MidCap 400 Index Mini Futures Contracts | | | 3 | | | | Sep 2020 | | | | 533,400 | | | | (790 | ) |
| | | | | | | | | | | $ | 1,251,600 | | | $ | 8,301 | |
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†† |
Morgan Stanley Capital Services LLC | Russell 2000 Growth Index | 0.49% (3 Month USD LIBOR - 0.88%) | At Maturity | | | 07/02/20 | | | | 22,627 | | | $ | 23,765,206 | | | $ | 6,565,699 | |
* | 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, 2020. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | 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, 2020 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (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 | | $ | 4,131,591 | | | $ | — | | | $ | — | | | $ | 4,131,591 | |
Mutual Funds | | | 23,003,718 | | | | — | | | | — | | | | 23,003,718 | |
Money Market Fund | | | 824,643 | | | | — | | | | — | | | | 824,643 | |
Futures Contracts** | | | 9,091 | | | | — | | | | — | | | | 9,091 | |
Total Return Swap Agreements** | | | — | | | | 6,565,699 | | | | — | | | | 6,565,699 | |
Total Assets | | $ | 27,969,043 | | | $ | 6,565,699 | | | $ | — | | | $ | 34,534,742 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Futures Contracts** | | $ | 790 | | | $ | — | | | $ | — | | | $ | 790 | |
** | 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/19 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/20 | | | Shares
06/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,459,343 | | | $ | 9,702 | | | $ | (799,996 | ) | | $ | (5,157 | ) | | $ | 7,527 | | | $ | 671,419 | | | | 27,150 | | | $ | 9,784 | |
Guggenheim Strategy Fund III | | | 9,080,856 | | | | 82,551 | | | | (1,466,980 | ) | | | (18,053 | ) | | | 38,940 | | | | 7,717,314 | | | | 311,182 | | | | 83,000 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 3,975,718 | | | | 8,286,470 | | | | (5,460,977 | ) | | | 25,643 | | | | 75,978 | | | | 6,902,832 | | | | 695,850 | | | | 32,746 | |
Guggenheim Variable Insurance Strategy Fund III | | | 10,222,838 | | | | 86,526 | | | | (2,589,259 | ) | | | (25,452 | ) | | | 17,500 | | | | 7,712,153 | | | | 311,728 | | | | 87,103 | |
| | | $ | 24,738,755 | | | $ | 8,465,249 | | | $ | (10,317,212 | ) | | $ | (23,019 | ) | | $ | 139,945 | | | $ | 23,003,718 | | | | | | | $ | 212,633 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 111 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $4,976,213) | | $ | 4,956,234 | |
Investments in affiliated issuers, at value (cost $23,041,431) | | | 23,003,718 | |
Cash | | | 70 | |
Segregated cash with broker | | | 109,000 | |
Unrealized appreciation on OTC swap agreements | | | 6,565,699 | |
Prepaid expenses | | | 138 | |
Receivables: |
Securities sold | | | 458,688 | |
Dividends | | | 35,000 | |
Swap settlement | | | 14,114 | |
Variation margin on futures contracts | | | 13,230 | |
Fund shares sold | | | 137 | |
Interest | | | 85 | |
Investment Adviser | | | 11 | |
Total assets | | | 35,156,124 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 6,171,030 | |
Payable for: |
Securities purchased | | | 33,177 | |
Fund shares redeemed | | | 17,419 | |
Distribution and service fees | | | 5,877 | |
Management fees | | | 5,594 | |
Trustees’ fees* | | | 2,535 | |
Transfer agent/maintenance fees | | | 2,290 | |
Fund accounting/administration fees | | | 2,049 | |
Miscellaneous | | | 36,933 | |
Total liabilities | | | 6,276,904 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 28,879,220 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 29,683,002 | |
Total distributable earnings (loss) | | | (803,782 | ) |
Net assets | | $ | 28,879,220 | |
Capital shares outstanding | | | 886,008 | |
Net asset value per share | | $ | 32.59 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $9) | | $ | 22,914 | |
Dividends from securities of affiliated issuers | | | 212,633 | |
Interest | | | 4,336 | |
Total investment income | | | 239,883 | |
| | | | | |
Expenses: |
Management fees | | | 105,656 | |
Distribution and service fees | | | 35,219 | |
Transfer agent/maintenance fees | | | 12,631 | |
Professional fees | | | 18,871 | |
Fund accounting/administration fees | | | 12,204 | |
Trustees’ fees* | | | 8,870 | |
Custodian fees | | | 4,572 | |
Interest expense | | | 3,846 | |
Line of credit fees | | | 362 | |
Miscellaneous | | | 18,045 | |
Total expenses | | | 220,276 | |
Less: |
Expenses reimbursed by Adviser | | | (1,549 | ) |
Expenses waived by Adviser | | | (69,935 | ) |
Total waived/reimbursed expenses | | | (71,484 | ) |
Net expenses | | | 148,792 | |
Net investment income | | | 91,091 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (1,070,614 | ) |
Investments in affiliated issuers | | | (23,019 | ) |
Swap agreements | | | (4,257,092 | ) |
Futures contracts | | | 168,549 | |
Net realized loss | | | (5,182,176 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (334,023 | ) |
Investments in affiliated issuers | | | 139,945 | |
Swap agreements | | | 3,310,972 | |
Futures contracts | | | 3,193 | |
Net change in unrealized appreciation (depreciation) | | | 3,120,087 | |
Net realized and unrealized loss | | | (2,062,089 | ) |
Net decrease in net assets resulting from operations | | $ | (1,970,998 | ) |
* | 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 X (STYLEPLUS—SMALL GROWTH SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 91,091 | | | $ | 396,214 | |
Net realized loss on investments | | | (5,182,176 | ) | | | (2,600,657 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 3,120,087 | | | | 9,373,826 | |
Net increase (decrease) in net assets resulting from operations | | | (1,970,998 | ) | | | 7,169,383 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (3,561,318 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 611,751 | | | | 1,854,292 | |
Distributions reinvested | | | — | | | | 3,561,318 | |
Cost of shares redeemed | | | (2,797,355 | ) | | | (4,632,150 | ) |
Net increase (decrease) from capital share transactions | | | (2,185,604 | ) | | | 783,460 | |
Net increase (decrease) in net assets | | | (4,156,602 | ) | | | 4,391,525 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 33,035,822 | | | | 28,644,297 | |
End of period | | $ | 28,879,220 | | | $ | 33,035,822 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 20,294 | | | | 55,734 | |
Shares issued from reinvestment of distributions | | | — | | | | 109,109 | |
Shares redeemed | | | (91,151 | ) | | | (135,747 | ) |
Net increase (decrease) in shares | | | (70,857 | ) | | | 29,096 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 113 |
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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 34.53 | | | $ | 30.87 | | | $ | 40.19 | | | $ | 33.08 | | | $ | 31.03 | | | $ | 31.77 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .10 | | | | .42 | | | | .56 | | | | .36 | | | | .25 | | | | .10 | |
Net gain (loss) on investments (realized and unrealized) | | | (2.04 | ) | | | 7.28 | | | | (3.33 | ) | | | 7.02 | | | | 3.74 | | | | (.47 | ) |
Total from investment operations | | | (1.94 | ) | | | 7.70 | | | | (2.77 | ) | | | 7.38 | | | | 3.99 | | | | (.37 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.22 | ) | | | (.43 | ) | | | (.27 | ) | | | (.13 | ) | | | (.27 | ) |
Net realized gains | | | — | | | | (3.82 | ) | | | (6.12 | ) | | | — | | | | (1.81 | ) | | | (.10 | ) |
Total distributions | | | — | | | | (4.04 | ) | | | (6.55 | ) | | | (.27 | ) | | | (1.94 | ) | | | (.37 | ) |
Net asset value, end of period | | $ | 32.59 | | | $ | 34.53 | | | $ | 30.87 | | | $ | 40.19 | | | $ | 33.08 | | | $ | 31.03 | |
|
Total Returnc | | | (5.62 | %) | | | 25.68 | % | | | (10.30 | %) | | | 22.38 | % | | | 13.45 | % | | | (1.29 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 28,879 | | | $ | 33,036 | | | $ | 28,644 | | | $ | 39,560 | | | $ | 34,216 | | | $ | 38,601 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.65 | % | | | 1.24 | % | | | 1.42 | % | | | 0.99 | % | | | 0.83 | % | | | 0.32 | % |
Total expensesd | | | 1.56 | % | | | 1.62 | % | | | 1.47 | % | | | 1.37 | % | | | 1.23 | % | | | 1.21 | % |
Net expensese,f,g | | | 1.06 | % | | | 1.11 | % | | | 1.12 | % | | | 1.10 | % | | | 1.23 | % | | | 1.21 | % |
Portfolio turnover rate | | | 59 | % | | | 59 | % | | | 65 | % | | | 50 | % | | | 76 | % | | | 79 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 presented would be: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 |
| | 1.03% | 1.03% | 1.06% | 1.09% | 1.23% | 1.21% |
g | The portion of the ratios of net expenses to average net assets attributable to recoupment of prior fee reductions or expenses reimbursements for the periods presented was as follows: |
| | 06/30/20a | 12/31/19 | 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, 2020 |
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 | 27.1% |
Guggenheim Strategy Fund III | 24.6% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 24.1% |
Guggenheim Strategy Fund II | 3.0% |
Apple, Inc. | 1.4% |
Microsoft Corp. | 1.4% |
Amazon.com, Inc. | 1.1% |
Alphabet, Inc. — Class C | 0.8% |
Facebook, Inc. — Class A | 0.6% |
Johnson & Johnson | 0.3% |
Top Ten Total | 84.4% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series Y (StylePlus—Large Growth Series) | 8.27% | 20.55% | 14.90% | 15.20% |
Russell 1000 Growth Index | 9.81% | 23.28% | 15.89% | 17.23% |
* | 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. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 115 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | |
| | Shares | | | Value | |
COMMON STOCKS† - 14.8% |
| | | | | | | | | |
Technology - 4.9% |
Apple, Inc. | | | 1,639 | | | $ | 597,907 | |
Microsoft Corp. | | | 2,884 | | | | 586,923 | |
Intel Corp. | | | 1,761 | | | | 105,361 | |
Oracle Corp. | | | 1,701 | | | | 94,014 | |
QUALCOMM, Inc. | | | 889 | | | | 81,086 | |
Broadcom, Inc. | | | 255 | | | | 80,481 | |
Applied Materials, Inc. | | | 1,211 | | | | 73,205 | |
Cerner Corp. | | | 951 | | | | 65,191 | |
Micron Technology, Inc.* | | | 1,181 | | | | 60,845 | |
NVIDIA Corp. | | | 131 | | | | 49,768 | |
NetApp, Inc. | | | 1,088 | | | | 48,274 | |
Seagate Technology plc | | | 980 | | | | 47,442 | |
Adobe, Inc.* | | | 96 | | | | 41,790 | |
Electronic Arts, Inc.* | | | 300 | | | | 39,615 | |
KLA Corp. | | | 190 | | | | 36,951 | |
Lam Research Corp. | | | 107 | | | | 34,610 | |
salesforce.com, Inc.* | | | 145 | | | | 27,163 | |
Total Technology | | | | | | | 2,070,626 | |
| | | | | | | | | |
Consumer, Non-cyclical - 3.3% |
Johnson & Johnson | | | 869 | | | | 122,207 | |
Eli Lilly & Co. | | | 589 | | | | 96,702 | |
Abbott Laboratories | | | 1,044 | | | | 95,453 | |
Amgen, Inc. | | | 403 | | | | 95,052 | |
Kimberly-Clark Corp. | | | 448 | | | | 63,325 | |
Vertex Pharmaceuticals, Inc.* | | | 218 | | | | 63,288 | |
Bristol-Myers Squibb Co. | | | 1,072 | | | | 63,034 | |
Philip Morris International, Inc. | | | 863 | | | | 60,462 | |
Alexion Pharmaceuticals, Inc.* | | | 519 | | | | 58,252 | |
Dentsply Sirona, Inc. | | | 1,301 | | | | 57,322 | |
United Rentals, Inc.* | | | 357 | | | | 53,207 | |
Altria Group, Inc. | | | 1,346 | | | | 52,830 | |
Merck & Company, Inc. | | | 593 | | | | 45,857 | |
Campbell Soup Co. | | | 889 | | | | 44,121 | |
Incyte Corp.* | | | 420 | | | | 43,667 | |
PayPal Holdings, Inc.* | | | 246 | | | | 42,861 | |
Regeneron Pharmaceuticals, Inc.* | | | 66 | | | | 41,161 | |
Quanta Services, Inc. | | | 1,014 | | | | 39,779 | |
AbbVie, Inc. | | | 395 | | | | 38,781 | |
Tyson Foods, Inc. — Class A | | | 619 | | | | 36,961 | |
Thermo Fisher Scientific, Inc. | | | 91 | | | | 32,973 | |
Stryker Corp. | | | 175 | | | | 31,533 | |
McKesson Corp. | | | 194 | | | | 29,763 | |
Hologic, Inc.* | | | 413 | | | | 23,541 | |
Procter & Gamble Co. | | | 161 | | | | 19,251 | |
Baxter International, Inc. | | | 216 | | | | 18,598 | |
Total Consumer, Non-cyclical | | | | | | | 1,369,981 | |
| | | | | | | | | |
Communications - 3.2% |
Amazon.com, Inc.* | | | 161 | | | | 444,170 | |
Alphabet, Inc. — Class C* | | | 243 | | | | 343,507 | |
Facebook, Inc. — Class A* | | | 1,029 | | | | 233,655 | |
Comcast Corp. — Class A | | | 2,536 | | | | 98,853 | |
Booking Holdings, Inc.* | | | 44 | | | | 70,063 | |
eBay, Inc. | | | 1,165 | | | | 61,104 | |
Netflix, Inc.* | | | 68 | | | | 30,943 | |
Motorola Solutions, Inc. | | | 199 | | | | 27,886 | |
Walt Disney Co. | | | 151 | | | | 16,838 | |
Total Communications | | | | | | | 1,327,019 | |
| | | | | | | | | |
Industrial - 1.5% |
Union Pacific Corp. | | | 413 | | | | 69,826 | |
Caterpillar, Inc. | | | 550 | | | | 69,575 | |
J.B. Hunt Transport Services, Inc. | | | 546 | | | | 65,706 | |
CSX Corp. | | | 933 | | | | 65,067 | |
Norfolk Southern Corp. | | | 362 | | | | 63,556 | |
Garmin Ltd. | | | 575 | | | | 56,062 | |
TE Connectivity Ltd. | | | 634 | | | | 51,703 | |
Waters Corp.* | | | 267 | | | | 48,167 | |
Emerson Electric Co. | | | 652 | | | | 40,444 | |
United Parcel Service, Inc. — Class B | | | 309 | | | | 34,355 | |
Lockheed Martin Corp. | | | 61 | | | | 22,260 | |
Expeditors International of Washington, Inc. | | | 282 | | | | 21,443 | |
Raytheon Technologies Corp. | | | 305 | | | | 18,794 | |
Total Industrial | | | | | | | 626,958 | |
| | | | | | | | | |
Consumer, Cyclical - 1.2% |
Home Depot, Inc. | | | 382 | | | | 95,695 | |
PACCAR, Inc. | | | 875 | | | | 65,493 | |
Cummins, Inc. | | | 353 | | | | 61,161 | |
DR Horton, Inc. | | | 1,093 | | | | 60,607 | |
Lowe’s Companies, Inc. | | | 445 | | | | 60,128 | |
PulteGroup, Inc. | | | 1,611 | | | | 54,822 | |
Leggett & Platt, Inc. | | | 913 | | | | 32,092 | |
NVR, Inc.* | | | 8 | | | | 26,070 | |
AutoZone, Inc.* | | | 22 | | | | 24,819 | |
LKQ Corp.* | | | 813 | | | | 21,301 | |
NIKE, Inc. — Class B | | | 184 | | | | 18,041 | |
Total Consumer, Cyclical | | | | | | | 520,229 | |
| | | | | | | | | |
Financial - 0.6% |
Visa, Inc. — Class A | | | 490 | | | | 94,653 | |
Mastercard, Inc. — Class A | | | 205 | | | | 60,619 | |
Western Union Co. | | | 2,240 | | | | 48,429 | |
Ameriprise Financial, Inc. | | | 228 | | | | 34,209 | |
JPMorgan Chase & Co. | | | 169 | | | | 15,896 | |
Total Financial | | | | | | | 253,806 | |
116 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | |
| | Shares | | | Value | |
Utilities - 0.1% |
NRG Energy, Inc. | | | 968 | | | $ | 31,518 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $5,393,869) | | | | | | | 6,200,137 | |
| | | | | | | | | |
MUTUAL FUNDS† - 78.8% |
Guggenheim Variable Insurance Strategy Fund III1 | | | 459,475 | | | | 11,367,423 | |
Guggenheim Strategy Fund III1 | | | 415,875 | | | | 10,313,689 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 1,016,444 | | | | 10,083,123 | |
Guggenheim Strategy Fund II1 | | | 51,391 | | | | 1,270,895 | |
Total Mutual Funds | | | | |
(Cost $33,128,938) | | | | | | | 33,035,130 | |
| | | | | | | | | |
MONEY MARKET FUND† - 4.6% |
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.08%2 | | | 1,915,010 | | | | 1,915,010 | |
Total Money Market Fund | | | | |
(Cost $1,915,010) | | | | | | | 1,915,010 | |
| | | | | | | | | |
Total Investments - 98.2% | | | | |
(Cost $40,437,817) | | $ | 41,150,277 | |
Other Assets & Liabilities, net - 1.8% | | | 759,146 | |
Total Net Assets - 100.0% | | $ | 41,909,423 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
NASDAQ-100 Index Mini Futures Contracts | | | 5 | | | | Sep 2020 | | | $ | 1,013,375 | | | $ | 34,423 | |
S&P 500 Index Mini Futures Contracts | | | 14 | | | | Sep 2020 | | | | 2,158,975 | | | | 15,423 | |
| | | | | | | | | | | $ | 3,172,350 | | | $ | 49,846 | |
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 | 0.46% (3 Month USD LIBOR - 0.91%) | At Maturity | | | 07/02/20 | | | | 16,988 | | | $ | 32,838,636 | | | $ | 7,739,053 | |
* | 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, 2020. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 117 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (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 | | $ | 6,200,137 | | | $ | — | | | $ | — | | | $ | 6,200,137 | |
Mutual Funds | | | 33,035,130 | | | | — | | | | — | | | | 33,035,130 | |
Money Market Fund | | | 1,915,010 | | | | — | | | | — | | | | 1,915,010 | |
Futures Contracts** | | | 49,846 | | | | — | | | | — | | | | 49,846 | |
Total Return Swap Agreements** | | | — | | | | 7,739,053 | | | | — | | | | 7,739,053 | |
Total Assets | | $ | 41,200,123 | | | $ | 7,739,053 | | | $ | — | | | $ | 48,939,176 | |
** | 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/19 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/20 | | | Shares
06/30/20 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 3,464,697 | | | $ | 1,025,179 | | | $ | (3,219,977 | ) | | $ | (18,159 | ) | | $ | 19,155 | | | $ | 1,270,895 | | | | 51,391 | | | $ | 25,377 | |
Guggenheim Strategy Fund III | | | 10,177,783 | | | | 101,965 | | | | — | | | | — | | | | 33,941 | | | | 10,313,689 | | | | 415,875 | | | | 102,469 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 4,788,517 | | | | 10,581,154 | | | | (5,384,988 | ) | | | 9,065 | | | | 89,375 | | | | 10,083,123 | | | | 1,016,444 | | | | 47,498 | |
Guggenheim Variable Insurance Strategy Fund III | | | 11,437,229 | | | | 112,476 | | | | (167,970 | ) | | | (7,664 | ) | | | (6,648 | ) | | | 11,367,423 | | | | 459,475 | | | | 113,120 | |
| | | $ | 29,868,226 | | | $ | 11,820,774 | | | $ | (8,772,935 | ) | | $ | (16,758 | ) | | $ | 135,823 | | | $ | 33,035,130 | | | | | | | $ | 288,464 | |
118 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: |
Investments in unaffiliated issuers, at value (cost $7,308,879) | | $ | 8,115,147 | |
Investments in affiliated issuers, at value (cost $33,128,938) | | | 33,035,130 | |
Cash | | | 351 | |
Segregated cash with broker | | | 243,000 | |
Unrealized appreciation on OTC swap agreements | | | 7,739,053 | |
Prepaid expenses | | | 158 | |
Receivables: |
Dividends | | | 52,280 | |
Swap settlement | | | 51,030 | |
Variation margin on futures contracts | | | 41,585 | |
Interest | | | 147 | |
Fund shares sold | | | 39 | |
Total assets | | | 49,277,920 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 7,090,000 | |
Payable for: |
Fund shares redeemed | | | 164,313 | |
Securities purchased | | | 46,922 | |
Distribution and service fees | | | 8,494 | |
Management fees | | | 7,013 | |
Fund accounting/administration fees | | | 2,485 | |
Transfer agent/maintenance fees | | | 2,349 | |
Trustees’ fees* | | | 1,956 | |
Miscellaneous | | | 44,965 | |
Total liabilities | | | 7,368,497 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 41,909,423 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 31,764,358 | |
Total distributable earnings (loss) | | | 10,145,065 | |
Net assets | | $ | 41,909,423 | |
Capital shares outstanding | | | 1,953,341 | |
Net asset value per share | | $ | 21.46 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 52,427 | |
Dividends from securities of affiliated issuers | | | 288,464 | |
Interest | | | 6,351 | |
Total investment income | | | 347,242 | |
| | | | | |
Expenses: |
Management fees | | | 125,759 | |
Distribution and service fees | | | 48,369 | |
Transfer agent/maintenance fees | | | 12,569 | |
Interest expense | | | 5,809 | |
Professional fees | | | 18,958 | |
Fund accounting/administration fees | | | 14,403 | |
Trustees’ fees* | | | 8,902 | |
Custodian fees | | | 6,034 | |
Line of credit fees | | | 454 | |
Miscellaneous | | | 19,589 | |
Total expenses | | | 260,846 | |
Less: | | | | |
Expenses reimbursed by Adviser | | | (14 | ) |
Expenses waived by Adviser | | | (82,163 | ) |
Earnings credits applied | | | (354 | ) |
Total waived/reimbursed expenses | | | (82,531 | ) |
Net expenses | | | 178,315 | |
Net investment income | | | 168,927 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 49,644 | |
Investments in affiliated issuers | | | (16,758 | ) |
Swap agreements | | | (1,312,301 | ) |
Futures contracts | | | 319,834 | |
Net realized loss | | | (959,581 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (268,289 | ) |
Investments in affiliated issuers | | | 135,823 | |
Swap agreements | | | 4,032,258 | |
Futures contracts | | | 39,410 | |
Net change in unrealized appreciation (depreciation) | | | 3,939,202 | |
Net realized and unrealized gain | | | 2,979,621 | |
Net increase in net assets resulting from operations | | $ | 3,148,548 | |
* | 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 | 119 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 168,927 | | | $ | 559,187 | |
Net realized gain (loss) on investments | | | (959,581 | ) | | | 2,353,082 | |
Net change in unrealized appreciation (depreciation) on investments | | | 3,939,202 | | | | 7,660,875 | |
Net increase in net assets resulting from operations | | | 3,148,548 | | | | 10,573,144 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (3,884,327 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 3,310,683 | | | | 3,347,793 | |
Distributions reinvested | | | — | | | | 3,884,327 | |
Cost of shares redeemed | | | (4,736,860 | ) | | | (5,470,930 | ) |
Net increase (decrease) from capital share transactions | | | (1,426,177 | ) | | | 1,761,190 | |
Net increase in net assets | | | 1,722,371 | | | | 8,450,007 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 40,187,052 | | | | 31,737,045 | |
End of period | | $ | 41,909,423 | | | $ | 40,187,052 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 175,903 | | | | 179,743 | |
Shares issued from reinvestment of distributions | | | — | | | | 212,374 | |
Shares redeemed | | | (249,652 | ) | | | (292,350 | ) |
Net increase (decrease) in shares | | | (73,749 | ) | | | 99,767 | |
120 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 19.82 | | | $ | 16.47 | | | $ | 20.30 | | | $ | 15.75 | | | $ | 15.11 | | | $ | 15.58 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .08 | | | | .28 | | | | .34 | | | | .25 | | | | .17 | | | | .08 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.56 | | | | 5.13 | | | | (.63 | ) | | | 4.48 | | | | 1.13 | | | | .79 | |
Total from investment operations | | | 1.64 | | | | 5.41 | | | | (.29 | ) | | | 4.73 | | | | 1.30 | | | | .87 | |
Less distributions from: |
Net investment income | | | — | | | | (.38 | ) | | | (.34 | ) | | | (.18 | ) | | | (.08 | ) | | | (.17 | ) |
Net realized gains | | | — | | | | (1.68 | ) | | | (3.20 | ) | | | — | | | | (.58 | ) | | | (1.17 | ) |
Total distributions | | | — | | | | (2.06 | ) | | | (3.54 | ) | | | (.18 | ) | | | (.66 | ) | | | (1.34 | ) |
Net asset value, end of period | | $ | 21.46 | | | $ | 19.82 | | | $ | 16.47 | | | $ | 20.30 | | | $ | 15.75 | | | $ | 15.11 | |
|
Total Returnc | | | 8.27 | % | | | 33.92 | % | | | (3.68 | %) | | | 30.11 | % | | | 8.72 | % | | | 5.49 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 41,909 | | | $ | 40,187 | | | $ | 31,737 | | | $ | 48,173 | | | $ | 38,565 | | | $ | 40,178 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.87 | % | | | 1.51 | % | | | 1.70 | % | | | 1.36 | % | | | 1.14 | % | | | 0.52 | % |
Total expensesd | | | 1.35 | % | | | 1.44 | % | | | 1.38 | % | | | 1.20 | % | | | 1.04 | % | | | 1.15 | % |
Net expensese,f,g | | | 0.92 | % | | | 0.97 | % | | | 1.02 | % | | | 0.97 | % | | | 1.04 | % | | | 1.15 | % |
Portfolio turnover rate | | | 51 | % | | | 47 | % | | | 59 | % | | | 43 | % | | | 42 | % | | | 65 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 presented would be: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 |
| | 0.89% | 0.90% | 0.93% | 0.97% | 1.04% | 1.15% |
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 presented was as follows: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | — | 0.00%* | — | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 121 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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) |
Kimberly-Clark Corp. | 1.2% |
Exelon Corp. | 1.1% |
Cummins, Inc. | 1.1% |
Cerner Corp. | 1.1% |
Gentex Corp. | 1.1% |
Caterpillar, Inc. | 1.1% |
Autoliv, Inc. | 1.1% |
MetLife, Inc. | 1.1% |
Procter & Gamble Co. | 1.1% |
Verizon Communications, Inc. | 1.1% |
Top Ten Total | 11.1% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Series Z (Alpha Opportunity Series) | (3.97%) | (2.76%) | (0.23%) | 7.17% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.60% | 1.63% | 1.19% | 0.64% |
Morningstar Long/Short Equity Category Average | (5.96%) | (4.29%) | 1.00% | 4.11% |
* | 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 Merrill 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. |
122 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Value | |
COMMON STOCKS† - 101.0% |
| | | | | | | | | |
Consumer, Non-cyclical - 29.2% |
Kimberly-Clark Corp.1 | | | 438 | | | $ | 61,911 | |
Procter & Gamble Co.1 | | | 469 | | | | 56,078 | |
Ingredion, Inc.1 | | | 651 | | | | 54,033 | |
Johnson & Johnson1 | | | 378 | | | | 53,158 | |
McKesson Corp.1 | | | 345 | | | | 52,930 | |
Medtronic plc | | | 574 | | | | 52,636 | |
Eli Lilly & Co.1 | | | 308 | | | | 50,567 | |
Amgen, Inc.1 | | | 201 | | | | 47,408 | |
Henry Schein, Inc.* | | | 784 | | | | 45,778 | |
Molson Coors Beverage Co. — Class B1 | | | 1,293 | | | | 44,427 | |
Altria Group, Inc. | | | 1,101 | | | | 43,214 | |
Philip Morris International, Inc.1 | | | 613 | | | | 42,947 | |
Campbell Soup Co. | | | 825 | | | | 40,945 | |
Colgate-Palmolive Co. | | | 538 | | | | 39,414 | |
General Mills, Inc. | | | 592 | | | | 36,497 | |
Cardinal Health, Inc.1 | | | 694 | | | | 36,220 | |
Kellogg Co.1 | | | 517 | | | | 34,153 | |
Jazz Pharmaceuticals plc* | | | 292 | | | | 32,219 | |
Pfizer, Inc.1 | | | 984 | | | | 32,177 | |
Molina Healthcare, Inc.* | | | 180 | | | | 32,036 | |
Kraft Heinz Co. | | | 946 | | | | 30,168 | |
Gilead Sciences, Inc.1 | | | 392 | | | | 30,160 | |
Mondelez International, Inc. — Class A | | | 566 | | | | 28,939 | |
JM Smucker Co.1 | | | 273 | | | | 28,886 | |
Archer-Daniels-Midland Co. | | | 711 | | | | 28,369 | |
Herbalife Nutrition Ltd.* | | | 621 | | | | 27,933 | |
John B Sanfilippo & Son, Inc. | | | 308 | | | | 26,282 | |
Cigna Corp. | | | 124 | | | | 23,269 | |
CVS Health Corp.1 | | | 358 | | | | 23,259 | |
Incyte Corp.* | | | 214 | | | | 22,250 | |
HCA Healthcare, Inc. | | | 229 | | | | 22,227 | |
Post Holdings, Inc.* | | | 253 | | | | 22,168 | |
Rent-A-Center, Inc. | | | 776 | | | | 21,589 | |
PepsiCo, Inc.1 | | | 153 | | | | 20,236 | |
Quest Diagnostics, Inc. | | | 177 | | | | 20,171 | |
United Therapeutics Corp.* | | | 165 | | | | 19,965 | |
United Rentals, Inc.* | | | 128 | | | | 19,077 | |
Innoviva, Inc.* | | | 1,343 | | | | 18,775 | |
Biogen, Inc.* | | | 70 | | | | 18,729 | |
Laboratory Corporation of America Holdings* | | | 108 | | | | 17,940 | |
DaVita, Inc.* | | | 222 | | | | 17,569 | |
TreeHouse Foods, Inc.* | | | 399 | | | | 17,476 | |
Tyson Foods, Inc. — Class A | | | 292 | | | | 17,435 | |
Dentsply Sirona, Inc. | | | 353 | | | | 15,553 | |
UnitedHealth Group, Inc. | | | 52 | | | | 15,337 | |
Abbott Laboratories | | | 153 | | | | 13,989 | |
Monster Beverage Corp.* | | | 199 | | | | 13,795 | |
Universal Health Services, Inc. — Class B | | | 146 | | | | 13,562 | |
Alexion Pharmaceuticals, Inc.* | | | 118 | | | | 13,244 | |
Total Consumer, Non-cyclical | | | | | | | 1,497,100 | |
| | | | | | | | | |
Industrial - 16.9% |
Gentex Corp.1 | | | 2,209 | | | | 56,926 | |
Caterpillar, Inc.1 | | | 449 | | | | 56,798 | |
Union Pacific Corp.1 | | | 314 | | | | 53,088 | |
Snap-on, Inc.1 | | | 331 | | | | 45,847 | |
Norfolk Southern Corp.1 | | | 261 | | | | 45,824 | |
Expeditors International of Washington, Inc. | | | 597 | | | | 45,396 | |
Waters Corp.*,1 | | | 247 | | | | 44,559 | |
J.B. Hunt Transport Services, Inc. | | | 315 | | | | 37,907 | |
CSX Corp.1 | | | 535 | | | | 37,311 | |
FedEx Corp.1 | | | 243 | | | | 34,074 | |
Eaton Corporation plc | | | 348 | | | | 30,443 | |
Werner Enterprises, Inc. | | | 642 | | | | 27,946 | |
Garmin Ltd. | | | 278 | | | | 27,105 | |
Landstar System, Inc.1 | | | 240 | | | | 26,954 | |
Honeywell International, Inc. | | | 183 | | | | 26,460 | |
Hubbell, Inc. | | | 189 | | | | 23,693 | |
Schneider National, Inc. — Class B | | | 836 | | | | 20,624 | |
AGCO Corp. | | | 365 | | | | 20,243 | |
Regal Beloit Corp.1 | | | 231 | | | | 20,171 | |
Timken Co. | | | 437 | | | | 19,879 | |
Owens Corning | | | 355 | | | | 19,795 | |
Lincoln Electric Holdings, Inc. | | | 231 | | | | 19,459 | |
Emerson Electric Co. | | | 304 | | | | 18,857 | |
Terex Corp. | | | 984 | | | | 18,470 | |
Arrow Electronics, Inc.* | | | 249 | | | | 17,104 | |
Oshkosh Corp. | | | 205 | | | | 14,682 | |
National Instruments Corp. | | | 358 | | | | 13,858 | |
Illinois Tool Works, Inc. | | | 78 | | | | 13,639 | |
TE Connectivity Ltd. | | | 166 | | | | 13,537 | |
Westrock Co. | | | 439 | | | | 12,406 | |
Total Industrial | | | | | | | 863,055 | |
| | | | | | | | | |
Utilities - 13.4% |
Exelon Corp.1 | | | 1,613 | | | | 58,536 | |
Consolidated Edison, Inc. | | | 743 | | | | 53,444 | |
PPL Corp.1 | | | 1,969 | | | | 50,879 | |
Public Service Enterprise Group, Inc.1 | | | 1,032 | | | | 50,733 | |
Southern Co.1 | | | 953 | | | | 49,413 | |
Pinnacle West Capital Corp.1 | | | 657 | | | | 48,151 | |
Evergy, Inc. | | | 745 | | | | 44,171 | |
ONE Gas, Inc. | | | 500 | | | | 38,525 | |
Portland General Electric Co.1 | | | 899 | | | | 37,587 | |
IDACORP, Inc. | | | 383 | | | | 33,463 | |
FirstEnergy Corp.1 | | | 763 | | | | 29,589 | |
NiSource, Inc. | | | 1,289 | | | | 29,312 | |
National Fuel Gas Co.1 | | | 692 | | | | 29,016 | |
Ameren Corp. | | | 385 | | | | 27,089 | |
NRG Energy, Inc.1 | | | 734 | | | | 23,899 | |
OGE Energy Corp. | | | 720 | | | | 21,859 | |
NorthWestern Corp. | | | 326 | | | �� | 17,773 | |
CenterPoint Energy, Inc. | | | 880 | | | | 16,430 | |
Avista Corp. | | | 364 | | | | 13,246 | |
Southwest Gas Holdings, Inc. | | | 187 | | | | 12,912 | |
Total Utilities | | | | | | | 686,027 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 123 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Value | |
Technology - 12.9% |
Cerner Corp. | | | 834 | | | $ | 57,171 | |
Seagate Technology plc | | | 1,051 | | | | 50,879 | |
Oracle Corp.1 | | | 902 | | | | 49,854 | |
QUALCOMM, Inc. | | | 479 | | | | 43,690 | |
Maxim Integrated Products, Inc.1 | | | 704 | | | | 42,669 | |
Texas Instruments, Inc. | | | 319 | | | | 40,503 | |
Intel Corp. | | | 638 | | | | 38,172 | |
International Business Machines Corp. | | | 300 | | | | 36,231 | |
Apple, Inc. | | | 95 | | | | 34,656 | |
NetApp, Inc. | | | 772 | | | | 34,254 | |
Cognizant Technology Solutions Corp. — Class A | | | 490 | | | | 27,842 | |
CDK Global, Inc. | | | 575 | | | | 23,817 | |
Skyworks Solutions, Inc. | | | 179 | | | | 22,887 | |
KLA Corp. | | | 107 | | | | 20,809 | |
Applied Materials, Inc. | | | 313 | | | | 18,921 | |
Teradata Corp.* | | | 818 | | | | 17,014 | |
Synaptics, Inc.* | | | 262 | | | | 15,751 | |
HP, Inc. | | | 889 | | | | 15,495 | |
Lam Research Corp. | | | 45 | | | | 14,556 | |
Xilinx, Inc. | | | 145 | | | | 14,267 | |
Micron Technology, Inc.* | | | 270 | | | | 13,910 | |
Zebra Technologies Corp. — Class A* | | | 53 | | | | 13,565 | |
Paychex, Inc. | | | 178 | | | | 13,483 | |
Total Technology | | | | | | | 660,396 | |
| | | | | | | | | |
Communications - 9.7% |
Verizon Communications, Inc.1 | | | 1,001 | | | | 55,185 | |
Cisco Systems, Inc.1 | | | 1,173 | | | | 54,709 | |
Comcast Corp. — Class A | | | 1,246 | | | | 48,569 | |
Juniper Networks, Inc.1 | | | 2,042 | | | | 46,680 | |
Omnicom Group, Inc.1 | | | 807 | | | | 44,062 | |
Booking Holdings, Inc.* | | | 24 | | | | 38,216 | |
Alphabet, Inc. — Class C* | | | 27 | | | | 38,167 | |
AT&T, Inc.1 | | | 1,255 | | | | 37,939 | |
eBay, Inc.1 | | | 539 | | | | 28,271 | |
Ciena Corp.* | | | 347 | | | | 18,793 | |
Sirius XM Holdings, Inc. | | | 3,003 | | | | 17,628 | |
Fox Corp. — Class A | | | 627 | | | | 16,816 | |
Viavi Solutions, Inc.* | | | 1,281 | | | | 16,320 | |
Facebook, Inc. — Class A* | | | 58 | | | | 13,170 | |
Yelp, Inc. — Class A* | | | 536 | | | | 12,398 | |
Interpublic Group of Companies, Inc. | | | 708 | | | | 12,149 | |
Total Communications | | | | | | | 499,072 | |
| | | | | | | | | |
Financial - 9.6% |
MetLife, Inc.1 | | | 1,542 | | | | 56,314 | |
Equity Residential REIT | | | 868 | | | | 51,056 | |
Allstate Corp. | | | 525 | | | | 50,920 | |
Piedmont Office Realty Trust, Inc. — Class A REIT1 | | | 2,330 | | | | 38,701 | |
Boston Properties, Inc. REIT | | | 363 | | | | 32,808 | |
Western Union Co. | | | 1,389 | | | | 30,030 | |
Waddell & Reed Financial, Inc. — Class A | | | 1,814 | | | | 28,135 | |
Vornado Realty Trust REIT | | | 721 | | | | 27,550 | |
Kennedy-Wilson Holdings, Inc. | | | 1,726 | | | | 26,270 | |
M&T Bank Corp. | | | 226 | | | | 23,497 | |
Ameriprise Financial, Inc. | | | 142 | | | | 21,306 | |
Highwoods Properties, Inc. REIT | | | 545 | | | | 20,345 | |
Travelers Companies, Inc. | | | 173 | | | | 19,730 | |
Host Hotels & Resorts, Inc. REIT | | | 1,491 | | | | 16,088 | |
Bank of America Corp. | | | 668 | | | | 15,865 | |
Weingarten Realty Investors REIT1 | | | 652 | | | | 12,342 | |
Synchrony Financial | | | 533 | | | | 11,811 | |
Wells Fargo & Co. | | | 437 | | | | 11,187 | |
Total Financial | | | | | | | 493,955 | |
| | | | | | | | | |
Consumer, Cyclical - 8.8% |
Cummins, Inc.1 | | | 332 | | | | 57,523 | |
Autoliv, Inc. | | | 880 | | | | 56,769 | |
Gentherm, Inc.* | | | 926 | | | | 36,021 | |
Allison Transmission Holdings, Inc.1 | | | 860 | | | | 31,631 | |
General Motors Co. | | | 1,031 | | | | 26,084 | |
Lear Corp.1 | | | 238 | | | | 25,947 | |
Lowe’s Companies, Inc. | | | 191 | | | | 25,808 | |
Best Buy Company, Inc. | | | 288 | | | | 25,134 | |
Whirlpool Corp. | | | 194 | | | | 25,129 | |
Brunswick Corp. | | | 348 | | | | 22,276 | |
MSC Industrial Direct Company, Inc. — Class A | | | 287 | | | | 20,896 | |
Southwest Airlines Co.1 | | | 551 | | | | 18,833 | |
DR Horton, Inc. | | | 334 | | | | 18,520 | |
Polaris, Inc. | | | 189 | | | | 17,492 | |
Hanesbrands, Inc. | | | 1,424 | | | | 16,077 | |
PACCAR, Inc. | | | 205 | | | | 15,344 | |
Mohawk Industries, Inc.* | | | 124 | | | | 12,618 | |
Total Consumer, Cyclical | | | | | | | 452,102 | |
| | | | | | | | | |
Energy - 0.5% |
Exxon Mobil Corp.1 | | | 303 | | | | 13,550 | |
Chevron Corp. | | | 136 | | | | 12,135 | |
Total Energy | | | | | | | 25,685 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $5,336,412) | | | | | | | 5,177,392 | |
| | | | | | | | | |
MONEY MARKET FUND† - 3.2% |
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.06%2 | | | 163,985 | | | | 163,985 | |
Total Money Market Fund | | | | |
(Cost $163,985) | | | | | | | 163,985 | |
| | | | | | | | | |
Total Investments - 104.2% | | | | |
(Cost $5,500,397) | | $ | 5,341,377 | |
Other Assets & Liabilities, net - (4.2)% | | | (215,740 | ) |
Total Net Assets - 100.0% | | $ | 5,125,637 | |
124 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
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
Depreciation | |
OTC Custom Basket Swap Agreements†† |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | 0.48% (Federal Funds Rate + 0.40%) | At Maturity | | | 02/01/24 | | | $ | 345,202 | | | $ | (9,059 | ) |
Goldman Sachs International | GS Equity Custom Basket | 0.53% (Federal Funds Rate + 0.45%) | At Maturity | | | 05/06/24 | | | | 345,297 | | | | (9,734 | ) |
| | | | | | | | | | $ | 690,499 | | | $ | (18,793 | ) |
OTC Custom Basket Swap Agreements Sold Short†† |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | (0.22%) (Federal Funds Rate - 0.30%) | At Maturity | | | 02/01/24 | | | $ | 1,816,739 | | | $ | (56,889 | ) |
Goldman Sachs International | GS Equity Custom Basket | (0.12%) (Federal Funds Rate - 0.20%) | At Maturity | | | 05/06/24 | | | | 1,789,760 | | | | (45,449 | ) |
| | | | | | | | | | $ | 3,606,499 | | | $ | (102,338 | ) |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
MS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Communications | | | | | | | | | | | | |
eBay, Inc. | | | 35 | | | | 0.53 | % | | $ | 606 | |
Cisco Systems, Inc. | | | 77 | | | | 1.04 | % | | | 327 | |
Alphabet, Inc. — Class C | | | 1 | | | | 0.41 | % | | | 262 | |
Facebook, Inc. — Class A | | | 3 | | | | 0.20 | % | | | 206 | |
Booking Holdings, Inc. | | | 1 | | | | 0.46 | % | | | 130 | |
Interpublic Group of Companies, Inc. | | | 46 | | | | 0.23 | % | | | 100 | |
Viavi Solutions, Inc. | | | 84 | | | | 0.31 | % | | | 62 | |
Juniper Networks, Inc. | | | 134 | | | | 0.89 | % | | | 42 | |
Ciena Corp. | | | 22 | | | | 0.35 | % | | | (9 | ) |
Sirius XM Holdings, Inc. | | | 198 | | | | 0.34 | % | | | (99 | ) |
Fox Corp. — Class A | | | 41 | | | | 0.32 | % | | | (176 | ) |
Comcast Corp. — Class A | | | 82 | | | | 0.93 | % | | | (249 | ) |
Omnicom Group, Inc. | | | 53 | | | | 0.84 | % | | | (286 | ) |
Verizon Communications, Inc. | | | 96 | | | | 1.53 | % | | | (323 | ) |
Yelp, Inc. — Class A | | | 35 | | | | 0.23 | % | | | (396 | ) |
AT&T, Inc. | | | 104 | | | | 0.91 | % | | | (710 | ) |
Total Communications | | | | | | | | | | | (513 | ) |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
McKesson Corp. | | | 22 | | | | 0.98 | % | | | 828 | |
Eli Lilly & Co. | | | 20 | | | | 0.95 | % | | | 757 | |
Amgen, Inc. | | | 13 | | | | 0.89 | % | | | 524 | |
Rent-A-Center, Inc. | | | 51 | | | | 0.41 | % | | | 506 | |
Cardinal Health, Inc. | | | 148 | | | | 2.24 | % | | | 459 | |
United Rentals, Inc. | | | 8 | | | | 0.35 | % | | | 305 | |
CVS Health Corp. | | | 23 | | | | 0.43 | % | | | 274 | |
Kellogg Co. | | | 34 | | | | 0.65 | % | | | 273 | |
Herbalife Nutrition Ltd. | | | 46 | | | | 0.60 | % | | | 252 | |
Laboratory Corporation of America Holdings | | | 13 | | | | 0.63 | % | | | 241 | |
Johnson & Johnson | | | 24 | | | | 0.98 | % | | | 181 | |
Innoviva, Inc. | | | 88 | | | | 0.36 | % | | | 83 | |
Incyte Corp. | | | 14 | | | | 0.42 | % | | | 72 | |
Alexion Pharmaceuticals, Inc. | | | 7 | | | | 0.23 | % | | | 70 | |
Kimberly-Clark Corp. | | | 28 | | | | 1.15 | % | | | 61 | |
General Mills, Inc. | | | 39 | | | | 0.70 | % | | | 26 | |
PepsiCo, Inc. | | | 10 | | | | 0.38 | % | | | 24 | |
Molina Healthcare, Inc. | | | 11 | | | | 0.57 | % | | | 18 | |
Colgate-Palmolive Co. | | | 35 | | | | 0.74 | % | | | 7 | |
Abbott Laboratories | | | 10 | | | | 0.26 | % | | | 2 | |
Campbell Soup Co. | | | 54 | | | | 0.78 | % | | | 0 | |
Monster Beverage Corp. | | | 13 | | | | 0.26 | % | | | (18 | ) |
Gilead Sciences, Inc. | | | 25 | | | | 0.56 | % | | | (24 | ) |
Quest Diagnostics, Inc. | | | 11 | | | | 0.36 | % | | | (29 | ) |
UnitedHealth Group, Inc. | | | 3 | | | | 0.26 | % | | | (48 | ) |
Mondelez International, Inc. — Class A | | | 37 | | | | 0.55 | % | | | (70 | ) |
Procter & Gamble Co. | | | 30 | | | | 1.04 | % | | | (76 | ) |
Kraft Heinz Co. | | | 62 | | | | 0.57 | % | | | (80 | ) |
DaVita, Inc. | | | 14 | | | | 0.32 | % | | | (90 | ) |
Post Holdings, Inc. | | | 16 | | | | 0.41 | % | | | (94 | ) |
John B Sanfilippo & Son, Inc. | | | 20 | | | | 0.49 | % | | | (105 | ) |
Dentsply Sirona, Inc. | | | 23 | | | | 0.29 | % | | | (113 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 125 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Archer-Daniels-Midland Co. | | | 46 | | | | 0.53 | % | | $ | (118 | ) |
Tyson Foods, Inc. — Class A | | | 19 | | | | 0.33 | % | | | (133 | ) |
Medtronic plc | | | 37 | | | | 0.98 | % | | | (138 | ) |
TreeHouse Foods, Inc. | | | 26 | | | | 0.33 | % | | | (140 | ) |
Universal Health Services, Inc. — Class B | | | 9 | | | | 0.24 | % | | | (147 | ) |
Altria Group, Inc. | | | 72 | | | | 0.82 | % | | | (156 | ) |
JM Smucker Co. | | | 18 | | | | 0.55 | % | | | (195 | ) |
Henry Schein, Inc. | | | 51 | | | | 0.86 | % | | | (218 | ) |
Pfizer, Inc. | | | 64 | | | | 0.61 | % | | | (220 | ) |
Philip Morris International, Inc. | | | 40 | | | | 0.81 | % | | | (229 | ) |
Cigna Corp. | | | 8 | | | | 0.43 | % | | | (234 | ) |
HCA Healthcare, Inc. | | | 15 | | | | 0.42 | % | | | (269 | ) |
Biogen, Inc. | | | 4 | | | | 0.31 | % | | | (278 | ) |
Ingredion, Inc. | | | 43 | | | | 1.03 | % | | | (287 | ) |
Jazz Pharmaceuticals plc | | | 19 | | | | 0.61 | % | | | (354 | ) |
Molson Coors Beverage Co. — Class B | | | 85 | | | | 0.85 | % | | | (1,564 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (464 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Autoliv, Inc. | | | 58 | | | | 1.08 | % | | | 345 | |
Lear Corp. | | | 15 | | | | 0.47 | % | | | 325 | |
Gentherm, Inc. | | | 61 | | | | 0.69 | % | | | 238 | |
Best Buy Company, Inc. | | | 19 | | | | 0.48 | % | | | 236 | |
Hanesbrands, Inc. | | | 94 | | | | 0.31 | % | | | 192 | |
Cummins, Inc. | | | 21 | | | | 1.05 | % | | | 188 | |
Lowe’s Companies, Inc. | | | 12 | | | | 0.47 | % | | | 154 | |
Brunswick Corp. | | | 22 | | | | 0.41 | % | | | 139 | |
Southwest Airlines Co. | | | 36 | | | | 0.36 | % | | | 110 | |
DR Horton, Inc. | | | 22 | | | | 0.35 | % | | | 97 | |
Polaris, Inc. | | | 12 | | | | 0.32 | % | | | 80 | |
MSC Industrial Direct Company, Inc. — Class A | | | 18 | | | | 0.38 | % | | | (4 | ) |
PACCAR, Inc. | | | 13 | | | | 0.28 | % | | | (56 | ) |
Whirlpool Corp. | | | 12 | | | | 0.45 | % | | | (247 | ) |
Mohawk Industries, Inc. | | | 8 | | | | 0.24 | % | | | (253 | ) |
Allison Transmission Holdings, Inc. | | | 56 | | | | 0.60 | % | | | (452 | ) |
General Motors Co. | | | 68 | | | | 0.50 | % | | | (654 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 438 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
QUALCOMM, Inc. | | | 31 | | | | 0.82 | % | | | 392 | |
Skyworks Solutions, Inc. | | | 11 | | | | 0.41 | % | | | 364 | |
Maxim Integrated Products, Inc. | | | 46 | | | | 0.81 | % | | | 348 | |
CDK Global, Inc. | | | 37 | | | | 0.44 | % | | | 231 | |
Texas Instruments, Inc. | | | 21 | | | | 0.77 | % | | | 155 | |
Applied Materials, Inc. | | | 20 | | | | 0.35 | % | | | 153 | |
Apple, Inc. | | | 6 | | | | 0.63 | % | | | 123 | |
NetApp, Inc. | | | 50 | | | | 0.64 | % | | | 120 | |
Cognizant Technology Solutions Corp. — Class A | | | 32 | | | | 0.53 | % | | | 116 | |
HP, Inc. | | | 58 | | | | 0.29 | % | | | 114 | |
Paychex, Inc. | | | 11 | | | | 0.24 | % | | | 103 | |
Oracle Corp. | | | 59 | | | | 0.94 | % | | | 97 | |
Xilinx, Inc. | | | 9 | | | | 0.26 | % | | | 82 | |
Lam Research Corp. | | | 3 | | | | 0.28 | % | | | 57 | |
KLA Corp. | | | 7 | | | | 0.39 | % | | | 20 | |
Synaptics, Inc. | | | 17 | | | | 0.30 | % | | | 9 | |
Intel Corp. | | | 42 | | | | 0.73 | % | | | (13 | ) |
Micron Technology, Inc. | | | 17 | | | | 0.25 | % | | | (27 | ) |
Zebra Technologies Corp. — Class A | | | 3 | | | | 0.22 | % | | | (54 | ) |
Cerner Corp. | | | 55 | | | | 1.09 | % | | | (107 | ) |
Seagate Technology plc | | | 69 | | | | 0.97 | % | | | (207 | ) |
International Business Machines Corp. | | | 19 | | | | 0.66 | % | | | (207 | ) |
Teradata Corp. | | | 54 | | | | 0.33 | % | | | (403 | ) |
Total Technology | | | | | | | | | | | 1,466 | |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Snap-on, Inc. | | | 21 | | | | 0.84 | % | | | 452 | |
Werner Enterprises, Inc. | | | 42 | | | | 0.53 | % | | | 434 | |
Westrock Co. | | | 108 | | | | 0.88 | % | | | 290 | |
Caterpillar, Inc. | | | 29 | | | | 1.06 | % | | | 271 | |
Union Pacific Corp. | | | 20 | | | | 0.98 | % | | | 269 | |
Owens Corning | | | 23 | | | | 0.37 | % | | | 268 | |
Regal Beloit Corp. | | | 15 | | | | 0.38 | % | | | 267 | |
Garmin Ltd. | | | 18 | | | | 0.51 | % | | | 265 | |
Schneider National, Inc. — Class B | | | 55 | | | | 0.39 | % | | | 223 | |
TE Connectivity Ltd. | | | 10 | | | | 0.24 | % | | | 145 | |
Landstar System, Inc. | | | 15 | | | | 0.49 | % | | | 118 | |
J.B. Hunt Transport Services, Inc. | | | 20 | | | | 0.70 | % | | | 80 | |
Expeditors International of Washington, Inc. | | | 39 | | | | 0.86 | % | | | 47 | |
National Instruments Corp. | | | 23 | | | | 0.26 | % | | | 37 | |
Lincoln Electric Holdings, Inc. | | | 15 | | | | 0.37 | % | | | 24 | |
Oshkosh Corp. | | | 13 | | | | 0.27 | % | | | (11 | ) |
Illinois Tool Works, Inc. | | | 5 | | | | 0.25 | % | | | (14 | ) |
Norfolk Southern Corp. | | | 28 | | | | 1.42 | % | | | (41 | ) |
CSX Corp. | | | 35 | | | | 0.71 | % | | | (54 | ) |
Timken Co. | | | 28 | | | | 0.37 | % | | | (82 | ) |
Arrow Electronics, Inc. | | | 16 | | | | 0.32 | % | | | (97 | ) |
Hubbell, Inc. | | | 12 | | | | 0.44 | % | | | (125 | ) |
Gentex Corp. | | | 145 | | | | 1.08 | % | | | (128 | ) |
Eaton Corporation plc | | | 22 | | | | 0.56 | % | | | (167 | ) |
Honeywell International, Inc. | | | 12 | | | | 0.50 | % | | | (190 | ) |
126 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
FedEx Corp. | | | 16 | | | | 0.65 | % | | $ | (210 | ) |
Emerson Electric Co. | | | 20 | | | | 0.36 | % | | | (312 | ) |
AGCO Corp. | | | 24 | | | | 0.39 | % | | | (462 | ) |
Terex Corp. | | | 64 | | | | 0.35 | % | | | (644 | ) |
Waters Corp. | | | 16 | | | | 0.84 | % | | | (750 | ) |
Total Industrial | | | | | | | | | | | (97 | ) |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
FirstEnergy Corp. | | | 50 | | | | 0.56 | % | | | 13 | |
CenterPoint Energy, Inc. | | | 58 | | | | 0.31 | % | | | (4 | ) |
OGE Energy Corp. | | | 47 | | | | 0.41 | % | | | (46 | ) |
Southwest Gas Holdings, Inc. | | | 12 | | | | 0.24 | % | | | (72 | ) |
Ameren Corp. | | | 25 | | | | 0.51 | % | | | (120 | ) |
NorthWestern Corp. | | | 21 | | | | 0.33 | % | | | (158 | ) |
IDACORP, Inc. | | | 25 | | | | 0.63 | % | | | (177 | ) |
Avista Corp. | | | 24 | | | | 0.25 | % | | | (194 | ) |
Evergy, Inc. | | | 49 | | | | 0.84 | % | | | (199 | ) |
NRG Energy, Inc. | | | 48 | | | | 0.45 | % | | | (216 | ) |
ONE Gas, Inc. | | | 33 | | | | 0.74 | % | | | (236 | ) |
NiSource, Inc. | | | 85 | | | | 0.56 | % | | | (242 | ) |
Pinnacle West Capital Corp. | | | 43 | | | | 0.91 | % | | | (253 | ) |
National Fuel Gas Co. | | | 45 | | | | 0.55 | % | | | (269 | ) |
Southern Co. | | | 62 | | | | 0.93 | % | | | (284 | ) |
Portland General Electric Co. | | | 59 | | | | 0.71 | % | | | (361 | ) |
Consolidated Edison, Inc. | | | 49 | | | | 1.02 | % | | | (535 | ) |
Public Service Enterprise Group, Inc. | | | 68 | | | | 0.97 | % | | | (624 | ) |
PPL Corp. | | | 129 | | | | 0.97 | % | | | (678 | ) |
Exelon Corp. | | | 106 | | | | 1.11 | % | | | (875 | ) |
Total Utilities | | | | | | | | | | | (5,530 | ) |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Waddell & Reed Financial, Inc. — Class A | | | 119 | | | | 0.53 | % | | | 333 | |
Western Union Co. | | | 91 | | | | 0.57 | % | | | 150 | |
Gaming and Leisure Properties, Inc. | | | 1 | | | | 0.01 | % | | | (2 | ) |
M&T Bank Corp. | | | 14 | | | | 0.42 | % | | | (35 | ) |
Host Hotels & Resorts, Inc. | | | 98 | | | | 0.31 | % | | | (53 | ) |
Ameriprise Financial, Inc. | | | 9 | | | | 0.39 | % | | | (94 | ) |
Synchrony Financial | | | 35 | | | | 0.22 | % | | | (135 | ) |
Piedmont Office Realty Trust, Inc. — Class A | | | 153 | | | | 0.74 | % | | | (162 | ) |
Vornado Realty Trust | | | 47 | | | | 0.52 | % | | | (163 | ) |
Bank of America Corp. | | | 44 | | | | 0.30 | % | | | (199 | ) |
Wells Fargo & Co. | | | 28 | | | | 0.21 | % | | | (201 | ) |
Travelers Companies, Inc. | | | 11 | | | | 0.36 | % | | | (225 | ) |
Allstate Corp. | | | 34 | | | | 0.96 | % | | | (226 | ) |
Highwoods Properties, Inc. | | | 36 | | | | 0.39 | % | | | (249 | ) |
Boston Properties, Inc. | | | 23 | | | | 0.60 | % | | | (326 | ) |
Equity Residential | | | 57 | | | | 0.97 | % | | | (418 | ) |
Weingarten Realty Investors | | | 43 | | | | 0.24 | % | | | (420 | ) |
MetLife, Inc. | | | 101 | | | | 1.07 | % | | | (523 | ) |
Kennedy-Wilson Holdings, Inc. | | | 113 | | | | 0.50 | % | | | (647 | ) |
Total Financial | | | | | | | | | | | (3,595 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Chevron Corp. | | | 9 | | | | 0.23 | % | | | (291 | ) |
Exxon Mobil Corp. | | | 20 | | | | 0.26 | % | | | (473 | ) |
Total Energy | | | | | | | | | | | (764 | ) |
Total MS Equity Long Custom Basket | | | | | | $ | (9,059 | ) |
| | | | | | | | | |
MS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
Realty Income Corp. | | | 394 | | | | (1.26 | )% | | | 5,529 | |
Ameris Bancorp | | | 434 | | | | (0.56 | )% | | | 4,813 | |
People’s United Financial, Inc. | | | 874 | | | | (0.56 | )% | | | 4,437 | |
UDR, Inc. | | | 462 | | | | (0.95 | )% | | | 4,239 | |
Alleghany Corp. | | | 54 | | | | (1.45 | )% | | | 4,161 | |
Markel Corp. | | | 34 | | | | (1.73 | )% | | | 3,861 | |
Valley National Bancorp | | | 2,757 | | | | (1.19 | )% | | | 3,192 | |
Acadia Realty Trust | | | 950 | | | | (0.68 | )% | | | 2,550 | |
Kilroy Realty Corp. | | | 310 | | | | (1.00 | )% | | | 2,216 | |
JBG SMITH Properties | | | 526 | | | | (0.86 | )% | | | 1,936 | |
First Financial Bankshares, Inc. | | | 468 | | | | (0.74 | )% | | | 1,862 | |
Old National Bancorp | | | 707 | | | | (0.54 | )% | | | 1,843 | |
Glacier Bancorp, Inc. | | | 241 | | | | (0.47 | )% | | | 1,620 | |
First Midwest Bancorp, Inc. | | | 770 | | | | (0.57 | )% | | | 1,559 | |
Fulton Financial Corp. | | | 1,392 | | | | (0.81 | )% | | | 1,367 | |
Loews Corp. | | | 317 | | | | (0.60 | )% | | | 1,315 | |
Americold Realty Trust | | | 944 | | | | (1.89 | )% | | | 1,295 | |
TFS Financial Corp. | | | 661 | | | | (0.52 | )% | | | 1,277 | |
Healthcare Realty Trust, Inc. | | | 710 | | | | (1.14 | )% | | | 1,111 | |
Global Net Lease, Inc. | | | 692 | | | | (0.64 | )% | | | 1,066 | |
Prologis, Inc. | | | 203 | | | | (1.04 | )% | | | 899 | |
Southside Bancshares, Inc. | | | 436 | | | | (0.67 | )% | | | 880 | |
Brookline Bancorp, Inc. | | | 1,642 | | | | (0.91 | )% | | | 755 | |
Medical Properties Trust, Inc. | | | 932 | | | | (0.96 | )% | | | 653 | |
QTS Realty Trust, Inc. — Class A | | | 306 | | | | (1.08 | )% | | | 172 | |
New York Community Bancorp, Inc. | | | 710 | | | | (0.40 | )% | | | 145 | |
RLI Corp. | | | 127 | | | | (0.57 | )% | | | 36 | |
Agree Realty Corp. | | | 476 | | | | (1.72 | )% | | | (212 | ) |
EastGroup Properties, Inc. | | | 120 | | | | (0.78 | )% | | | (272 | ) |
American Assets Trust, Inc. | | | 297 | | | | (0.46 | )% | | | (376 | ) |
CyrusOne, Inc. | | | 106 | | | | (0.42 | )% | | | (498 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 127 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Easterly Government Properties, Inc. | | | 702 | | | | (0.89 | )% | | $ | (519 | ) |
Northfield Bancorp, Inc. | | | 560 | | | | (0.36 | )% | | | (538 | ) |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 391 | | | | (0.61 | )% | | | (677 | ) |
James River Group Holdings Ltd. | | | 264 | | | | (0.65 | )% | | | (877 | ) |
Healthcare Trust of America, Inc. — Class A | | | 588 | | | | (0.86 | )% | | | (1,010 | ) |
STAG Industrial, Inc. | | | 329 | | | | (0.53 | )% | | | (1,049 | ) |
American Tower Corp. — Class A | | | 30 | | | | (0.43 | )% | | | (1,063 | ) |
BOK Financial Corp. | | | 123 | | | | (0.38 | )% | | | (1,135 | ) |
Alexandria Real Estate Equities, Inc. | | | 170 | | | | (1.52 | )% | | | (1,427 | ) |
Crown Castle International Corp. | | | 46 | | | | (0.42 | )% | | | (1,885 | ) |
SBA Communications Corp. | | | 27 | | | | (0.44 | )% | | | (2,476 | ) |
Flagstar Bancorp, Inc. | | | 305 | | | | (0.49 | )% | | | (2,495 | ) |
Sun Communities, Inc. | | | 153 | | | | (1.14 | )% | | | (2,508 | ) |
Equinix, Inc. | | | 12 | | | | (0.46 | )% | | | (2,983 | ) |
Rexford Industrial Realty, Inc. | | | 710 | | | | (1.62 | )% | | | (4,034 | ) |
Terreno Realty Corp. | | | 373 | | | | (1.08 | )% | | | (4,496 | ) |
Total Financial | | | | | | | | | | | 24,259 | |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
L3Harris Technologies, Inc. | | | 61 | | | | (0.57 | )% | | | 1,970 | |
Tetra Tech, Inc. | | | 257 | | | | (1.12 | )% | | | 1,568 | |
Eagle Materials, Inc. | | | 256 | | | | (0.99 | )% | | | 1,109 | |
TransDigm Group, Inc. | | | 41 | | | | (1.00 | )% | | | 747 | |
Sonoco Products Co. | | | 182 | | | | (0.52 | )% | | | 616 | |
Louisiana-Pacific Corp. | | | 727 | | | | (1.03 | )% | | | 426 | |
Silgan Holdings, Inc. | | | 386 | | | | (0.69 | )% | | | 227 | |
Crown Holdings, Inc. | | | 131 | | | | (0.47 | )% | | | (302 | ) |
Vulcan Materials Co. | | | 129 | | | | (0.82 | )% | | | (523 | ) |
AptarGroup, Inc. | | | 117 | | | | (0.72 | )% | | | (614 | ) |
Martin Marietta Materials, Inc. | | | 89 | | | | (1.01 | )% | | | (619 | ) |
Exponent, Inc. | | | 103 | | | | (0.46 | )% | | | (628 | ) |
GATX Corp. | | | 141 | | | | (0.47 | )% | | | (650 | ) |
Ball Corp. | | | 259 | | | | (0.99 | )% | | | (757 | ) |
ESCO Technologies, Inc. | | | 117 | | | | (0.54 | )% | | | (917 | ) |
Amcor plc | | | 1,277 | | | | (0.72 | )% | | | (1,888 | ) |
Casella Waste Systems, Inc. — Class A | | | 314 | | | | (0.90 | )% | | | (2,120 | ) |
Worthington Industries, Inc. | | | 233 | | | | (0.48 | )% | | | (2,953 | ) |
Total Industrial | | | | | | | | | | | (5,308 | ) |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Hormel Foods Corp. | | | 166 | | | | (0.44 | )% | | | 184 | |
McCormick & Company, Inc. | | | 32 | | | | (0.32 | )% | | | (263 | ) |
Avery Dennison Corp. | | | 124 | | | | (0.78 | )% | | | (668 | ) |
Seattle Genetics, Inc. | | | 35 | | | | (0.33 | )% | | | (1,242 | ) |
Equifax, Inc. | | | 61 | | | | (0.58 | )% | | | (1,463 | ) |
Verisk Analytics, Inc. — Class A | | | 121 | | | | (1.13 | )% | | | (1,819 | ) |
Global Payments, Inc. | | | 112 | | | | (1.05 | )% | | | (2,135 | ) |
Paylocity Holding Corp. | | | 59 | | | | (0.47 | )% | | | (3,006 | ) |
PayPal Holdings, Inc. | | | 51 | | | | (0.49 | )% | | | (3,136 | ) |
Avalara, Inc. | | | 79 | | | | (0.58 | )% | | | (4,657 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (18,205 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Phillips 66 | | | 123 | | | | (0.49 | )% | | | 1,715 | |
Kinder Morgan, Inc. | | | 610 | | | | (0.51 | )% | | | 1,362 | |
Delek US Holdings, Inc. | | | 376 | | | | (0.36 | )% | | | 1,142 | |
Williams Companies, Inc. | | | 426 | | | | (0.45 | )% | | | 731 | |
Pioneer Natural Resources Co. | | | 76 | | | | (0.41 | )% | | | 600 | |
ONEOK, Inc. | | | 242 | | | | (0.44 | )% | | | (23 | ) |
Concho Resources, Inc. | | | 160 | | | | (0.45 | )% | | | (190 | ) |
National Oilwell Varco, Inc. | | | 1,189 | | | | (0.80 | )% | | | (976 | ) |
Baker Hughes Co. | | | 433 | | | | (0.37 | )% | | | (1,159 | ) |
Noble Energy, Inc. | | | 659 | | | | (0.33 | )% | | | (1,492 | ) |
Schlumberger Ltd. | | | 469 | | | | (0.47 | )% | | | (1,605 | ) |
Halliburton Co. | | | 513 | | | | (0.37 | )% | | | (2,958 | ) |
Total Energy | | | | | | | | | | | (2,853 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Fiserv, Inc. | | | 326 | | | | (1.75 | )% | | | 763 | |
Parsons Corp. | | | 444 | | | | (0.89 | )% | | | 196 | |
Tyler Technologies, Inc. | | | 15 | | | | (0.29 | )% | | | (79 | ) |
RealPage, Inc. | | | 79 | | | | (0.28 | )% | | | (90 | ) |
Appfolio, Inc. — Class A | | | 33 | | | | (0.30 | )% | | | (531 | ) |
Autodesk, Inc. | | | 23 | | | | (0.30 | )% | | | (1,083 | ) |
Smartsheet, Inc. — Class A | | | 173 | | | | (0.48 | )% | | | (1,383 | ) |
HubSpot, Inc. | | | 26 | | | | (0.32 | )% | | | (1,542 | ) |
salesforce.com, Inc. | | | 61 | | | | (0.63 | )% | | | (1,560 | ) |
Fidelity National Information Services, Inc. | | | 279 | | | | (2.06 | )% | | | (1,654 | ) |
Coupa Software, Inc. | | | 24 | | | | (0.37 | )% | | | (1,687 | ) |
Zscaler, Inc. | | | 51 | | | | (0.31 | )% | | | (1,708 | ) |
Envestnet, Inc. | | | 150 | | | | (0.61 | )% | | | (2,275 | ) |
Veeva Systems, Inc. — Class A | | | 37 | | | | (0.48 | )% | | | (2,293 | ) |
Alteryx, Inc. — Class A | | | 56 | | | | (0.51 | )% | | | (2,790 | ) |
Workiva, Inc. | | | 186 | | | | (0.55 | )% | | | (2,840 | ) |
Twilio, Inc. — Class A | | | 27 | | | | (0.33 | )% | | | (2,891 | ) |
Total Technology | | | | | | | | | | | (23,447 | ) |
128 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Utilities | | | | | | | | | | | | |
American States Water Co. | | | 135 | | | | (0.58 | )% | | $ | 1,615 | |
California Water Service Group | | | 356 | | | | (0.93 | )% | | | 1,285 | |
WEC Energy Group, Inc. | | | 88 | | | | (0.42 | )% | | | 466 | |
American Water Works Company, Inc. | | | 82 | | | | (0.58 | )% | | | 129 | |
NextEra Energy, Inc. | | | 43 | | | | (0.57 | )% | | | (695 | ) |
Total Utilities | | | | | | | | | | | 2,800 | |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
PPG Industries, Inc. | | | 293 | | | | (1.71 | )% | | | 1,737 | |
DuPont de Nemours, Inc. | | | 173 | | | | (0.51 | )% | | | 597 | |
Nucor Corp. | | | 178 | | | | (0.41 | )% | | | 429 | |
Royal Gold, Inc. | | | 65 | | | | (0.44 | )% | | | (119 | ) |
Balchem Corp. | | | 285 | | | | (1.49 | )% | | | (1,249 | ) |
Linde plc | | | 184 | | | | (2.15 | )% | | | (1,452 | ) |
Air Products & Chemicals, Inc. | | | 160 | | | | (2.13 | )% | | | (1,675 | ) |
Ashland Global Holdings, Inc. | | | 478 | | | | (1.82 | )% | | | (1,739 | ) |
Albemarle Corp. | | | 157 | | | | (0.67 | )% | | | (2,532 | ) |
Ecolab, Inc. | | | 127 | | | | (1.39 | )% | | | (2,868 | ) |
Freeport-McMoRan, Inc. | | | 1,172 | | | | (0.75 | )% | | | (3,100 | ) |
RPM International, Inc. | | | 365 | | | | (1.51 | )% | | | (3,612 | ) |
Newmont Corp. | | | 348 | | | | (1.18 | )% | | | (5,524 | ) |
Quaker Chemical Corp. | | | 144 | | | | (1.47 | )% | | | (7,268 | ) |
Total Basic Materials | | | | | | | | | | | (28,375 | ) |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Liberty Broadband Corp. — Class C | | | 177 | | | | (1.21 | )% | | | 1,632 | |
Zendesk, Inc. | | | 63 | | | | (0.31 | )% | | | (1,007 | ) |
FactSet Research Systems, Inc. | | | 27 | | | | (0.49 | )% | | | (1,011 | ) |
Anaplan, Inc. | | | 172 | | | | (0.43 | )% | | | (1,140 | ) |
Okta, Inc. | | | 29 | | | | (0.32 | )% | | | (1,759 | ) |
Q2 Holdings, Inc. | | | 189 | | | | (0.89 | )% | | | (2,451 | ) |
Total Communications | | | | | | | | | | | (5,736 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Copart, Inc. | | | 90 | | | | (0.41 | )% | | | 1,064 | |
Scotts Miracle-Gro Co. — Class A | | | 81 | | | | (0.60 | )% | | | (1,088 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (24 | ) |
Total MS Equity Short Custom Basket | | | | | | $ | (56,889 | ) |
GS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Utilities | | | | | | | | | | | | |
CenterPoint Energy, Inc. | | | 58 | | | | 0.29 | % | | | (3 | ) |
OGE Energy Corp. | | | 47 | | | | 0.41 | % | | | (42 | ) |
Southwest Gas Holdings, Inc. | | | 12 | | | | 0.24 | % | | | (71 | ) |
Ameren Corp. | | | 25 | | | | 0.51 | % | | | (123 | ) |
NorthWestern Corp. | | | 21 | | | | 0.33 | % | | | (158 | ) |
IDACORP, Inc. | | | 25 | | | | 0.63 | % | | | (176 | ) |
Avista Corp. | | | 24 | | | | 0.25 | % | | | (192 | ) |
FirstEnergy Corp. | | | 50 | | | | 0.56 | % | | | (199 | ) |
National Fuel Gas Co. | | | 45 | | | | 0.55 | % | | | (204 | ) |
Evergy, Inc. | | | 49 | | | | 0.84 | % | | | (204 | ) |
NRG Energy, Inc. | | | 48 | | | | 0.45 | % | | | (218 | ) |
ONE Gas, Inc. | | | 33 | | | | 0.74 | % | | | (231 | ) |
NiSource, Inc. | | | 85 | | | | 0.56 | % | | | (241 | ) |
Pinnacle West Capital Corp. | | | 43 | | | | 0.91 | % | | | (256 | ) |
Southern Co. | | | 62 | | | | 0.93 | % | | | (305 | ) |
Consolidated Edison, Inc. | | | 49 | | | | 1.02 | % | | | (533 | ) |
PPL Corp. | | | 129 | | | | 0.97 | % | | | (614 | ) |
Public Service Enterprise Group, Inc. | | | 68 | | | | 0.97 | % | | | (626 | ) |
Portland General Electric Co. | | | 59 | | | | 0.71 | % | | | (668 | ) |
Exelon Corp. | | | 106 | | | | 1.11 | % | | | (870 | ) |
Total Utilities | | | | | | | | | | | (5,934 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
QUALCOMM, Inc. | | | 31 | | | | 0.82 | % | | | 393 | |
Skyworks Solutions, Inc. | | | 11 | | | | 0.41 | % | | | 364 | |
Maxim Integrated Products, Inc. | | | 46 | | | | 0.81 | % | | | 350 | |
CDK Global, Inc. | | | 37 | | | | 0.44 | % | | | 229 | |
Applied Materials, Inc. | | | 20 | | | | 0.35 | % | | | 154 | |
Texas Instruments, Inc. | | | 21 | | | | 0.77 | % | | | 154 | |
NetApp, Inc. | | | 50 | | | | 0.64 | % | | | 122 | |
Apple, Inc. | | | 6 | | | | 0.63 | % | | | 119 | |
Cognizant Technology Solutions Corp. — Class A | | | 32 | | | | 0.53 | % | | | 118 | |
HP, Inc. | | | 58 | | | | 0.29 | % | | | 116 | |
Paychex, Inc. | | | 11 | | | | 0.24 | % | | | 104 | |
Xilinx, Inc. | | | 9 | | | | 0.26 | % | | | 82 | |
Oracle Corp. | | | 59 | | | | 0.94 | % | | | 71 | |
Lam Research Corp. | | | 3 | | | | 0.28 | % | | | 57 | |
KLA Corp. | | | 7 | | | | 0.39 | % | | | 18 | |
Synaptics, Inc. | | | 17 | | | | 0.30 | % | | | 17 | |
Intel Corp. | | | 42 | | | | 0.73 | % | | | (10 | ) |
Micron Technology, Inc. | | | 17 | | | | 0.25 | % | | | (31 | ) |
Zebra Technologies Corp. — Class A | | | 3 | | | | 0.22 | % | | | (52 | ) |
Cerner Corp. | | | 55 | | | | 1.09 | % | | | (109 | ) |
Seagate Technology plc | | | 69 | | | | 0.97 | % | | | (206 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 129 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
International Business Machines Corp. | | | 19 | | | | 0.66 | % | | $ | (216 | ) |
Teradata Corp. | | | 54 | | | | 0.33 | % | | | (387 | ) |
Total Technology | | | | | | | | | | | 1,457 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Autoliv, Inc. | | | 58 | | | | 1.08 | % | | | 351 | |
Lear Corp. | | | 15 | | | | 0.47 | % | | | 326 | |
Gentherm, Inc. | | | 61 | | | | 0.69 | % | | | 240 | |
Best Buy Company, Inc. | | | 19 | | | | 0.48 | % | | | 236 | |
Hanesbrands, Inc. | | | 94 | | | | 0.31 | % | | | 190 | |
Cummins, Inc. | | | 21 | | | | 1.05 | % | | | 177 | |
Lowe’s Companies, Inc. | | | 12 | | | | 0.47 | % | | | 156 | |
Brunswick Corp. | | | 22 | | | | 0.41 | % | | | 137 | |
Southwest Airlines Co. | | | 36 | | | | 0.36 | % | | | 107 | |
DR Horton, Inc. | | | 22 | | | | 0.35 | % | | | 90 | |
Polaris, Inc. | | | 12 | | | | 0.32 | % | | | 81 | |
MSC Industrial Direct Company, Inc. — Class A | | | 18 | | | | 0.38 | % | | | (7 | ) |
PACCAR, Inc. | | | 13 | | | | 0.28 | % | | | (57 | ) |
Whirlpool Corp. | | | 12 | | | | 0.45 | % | | | (250 | ) |
Mohawk Industries, Inc. | | | 8 | | | | 0.24 | % | | | (250 | ) |
Allison Transmission Holdings, Inc. | | | 56 | | | | 0.60 | % | | | (402 | ) |
General Motors Co. | | | 68 | | | | 0.50 | % | | | (662 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 463 | |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Eli Lilly & Co. | | | 20 | | | | 0.95 | % | | | 753 | |
Amgen, Inc. | | | 13 | | | | 0.89 | % | | | 624 | |
Rent-A-Center, Inc. | | | 51 | | | | 0.41 | % | | | 510 | |
Cardinal Health, Inc. | | | 148 | | | | 2.24 | % | | | 473 | |
McKesson Corp. | | | 22 | | | | 0.98 | % | | | 458 | |
United Rentals, Inc. | | | 8 | | | | 0.35 | % | | | 307 | |
Kellogg Co. | | | 34 | | | | 0.65 | % | | | 255 | |
CVS Health Corp. | | | 23 | | | | 0.43 | % | | | 253 | |
Laboratory Corporation of America Holdings | | | 13 | | | | 0.63 | % | | | 248 | |
Johnson & Johnson | | | 24 | | | | 0.98 | % | | | 164 | |
Herbalife Nutrition Ltd. | | | 46 | | | | 0.60 | % | | | 156 | |
Incyte Corp. | | | 14 | | | | 0.42 | % | | | 70 | |
Alexion Pharmaceuticals, Inc. | | | 7 | | | | 0.23 | % | | | 70 | |
Innoviva, Inc. | | | 88 | | | | 0.36 | % | | | 66 | |
Kimberly-Clark Corp. | | | 28 | | | | 1.15 | % | | | 62 | |
General Mills, Inc. | | | 39 | | | | 0.70 | % | | | 25 | |
Molina Healthcare, Inc. | | | 11 | | | | 0.57 | % | | | 17 | |
Abbott Laboratories | | | 10 | | | | 0.26 | % | | | 2 | |
Colgate-Palmolive Co. | | | 35 | | | | 0.74 | % | | | 1 | |
Campbell Soup Co. | | | 54 | | | | 0.78 | % | | | (1 | ) |
PepsiCo, Inc. | | | 10 | | | | 0.38 | % | | | (9 | ) |
Monster Beverage Corp. | | | 13 | | | | 0.26 | % | | | (18 | ) |
Gilead Sciences, Inc. | | | 25 | | | | 0.56 | % | | | (24 | ) |
Quest Diagnostics, Inc. | | | 11 | | | | 0.36 | % | | | (32 | ) |
Ingredion, Inc. | | | 43 | | | | 1.03 | % | | | (40 | ) |
UnitedHealth Group, Inc. | | | 3 | | | | 0.26 | % | | | (47 | ) |
Mondelez International, Inc. — Class A | | | 37 | | | | 0.55 | % | | | (71 | ) |
Procter & Gamble Co. | | | 30 | | | | 1.04 | % | | | (73 | ) |
Kraft Heinz Co. | | | 62 | | | | 0.57 | % | | | (80 | ) |
DaVita, Inc. | | | 14 | | | | 0.32 | % | | | (90 | ) |
Post Holdings, Inc. | | | 16 | | | | 0.41 | % | | | (101 | ) |
John B Sanfilippo & Son, Inc. | | | 20 | | | | 0.49 | % | | | (104 | ) |
Dentsply Sirona, Inc. | | | 23 | | | | 0.29 | % | | | (116 | ) |
Archer-Daniels-Midland Co. | | | 46 | | | | 0.53 | % | | | (120 | ) |
Tyson Foods, Inc. — Class A | | | 19 | | | | 0.33 | % | | | (137 | ) |
TreeHouse Foods, Inc. | | | 26 | | | | 0.33 | % | | | (142 | ) |
Universal Health Services, Inc. — Class B | | | 9 | | | | 0.24 | % | | | (147 | ) |
Altria Group, Inc. | | | 72 | | | | 0.82 | % | | | (159 | ) |
JM Smucker Co. | | | 18 | | | | 0.55 | % | | | (199 | ) |
Henry Schein, Inc. | | | 51 | | | | 0.86 | % | | | (224 | ) |
Cigna Corp. | | | 8 | | | | 0.43 | % | | | (229 | ) |
HCA Healthcare, Inc. | | | 15 | | | | 0.42 | % | | | (268 | ) |
Biogen, Inc. | | | 4 | | | | 0.31 | % | | | (276 | ) |
Philip Morris International, Inc. | | | 40 | | | | 0.81 | % | | | (294 | ) |
Pfizer, Inc. | | | 64 | | | | 0.61 | % | | | (297 | ) |
Medtronic plc | | | 37 | | | | 0.98 | % | | | (330 | ) |
Jazz Pharmaceuticals plc | | | 19 | | | | 0.61 | % | | | (348 | ) |
Molson Coors Beverage Co. — Class B | | | 85 | | | | 0.85 | % | | | (1,564 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (1,026 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Chevron Corp. | | | 9 | | | | 0.23 | % | | | (288 | ) |
Exxon Mobil Corp. | | | 20 | | | | 0.26 | % | | | (474 | ) |
Total Energy | | | | | | | | | | | (762 | ) |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
eBay, Inc. | | | 35 | | | | 0.53 | % | | | 607 | |
Cisco Systems, Inc. | | | 77 | | | | 1.04 | % | | | 327 | |
Alphabet, Inc. — Class C | | | 1 | | | | 0.41 | % | | | 262 | |
Facebook, Inc. — Class A | | | 3 | | | | 0.20 | % | | | 206 | |
Booking Holdings, Inc. | | | 1 | | | | 0.46 | % | | | 121 | |
Interpublic Group of Companies, Inc. | | | 46 | | | | 0.23 | % | | | 100 | |
Viavi Solutions, Inc. | | | 84 | | | | 0.31 | % | | | 64 | |
Juniper Networks, Inc. | | | 134 | | | | 0.89 | % | | | 44 | |
Ciena Corp. | | | 22 | | | | 0.35 | % | | | (13 | ) |
Sirius XM Holdings, Inc. | | | 198 | | | | 0.34 | % | | | (102 | ) |
Verizon Communications, Inc. | | | 96 | | | | 1.53 | % | | | (163 | ) |
Fox Corp. — Class A | | | 41 | | | | 0.32 | % | | | (174 | ) |
Comcast Corp. — Class A | | | 82 | | | | 0.93 | % | | | (253 | ) |
Omnicom Group, Inc. | | | 53 | | | | 0.84 | % | | | (385 | ) |
130 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Yelp, Inc. — Class A | | | 35 | | | | 0.23 | % | | $ | (390 | ) |
AT&T, Inc. | | | 104 | | | | 0.91 | % | | | (718 | ) |
Total Communications | | | | | | | | | | | (467 | ) |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Waddell & Reed Financial, Inc. — Class A | | | 119 | | | | 0.53 | % | | | 338 | |
Western Union Co. | | | 91 | | | | 0.57 | % | | | 148 | |
Gaming and Leisure Properties, Inc. | | | 1 | | | | 0.01 | % | | | (2 | ) |
M&T Bank Corp. | | | 14 | | | | 0.42 | % | | | (27 | ) |
Host Hotels & Resorts, Inc. | | | 98 | | | | 0.31 | % | | | (52 | ) |
Ameriprise Financial, Inc. | | | 9 | | | | 0.39 | % | | | (96 | ) |
Synchrony Financial | | | 35 | | | | 0.22 | % | | | (135 | ) |
Piedmont Office Realty Trust, Inc. — Class A | | | 153 | | | | 0.74 | % | | | (152 | ) |
Vornado Realty Trust | | | 47 | | | | 0.52 | % | | | (160 | ) |
Wells Fargo & Co. | | | 28 | | | | 0.21 | % | | | (199 | ) |
Bank of America Corp. | | | 44 | | | | 0.30 | % | | | (205 | ) |
Allstate Corp. | | | 34 | | | | 0.96 | % | | | (225 | ) |
Travelers Companies, Inc. | | | 11 | | | | 0.36 | % | | | (225 | ) |
Highwoods Properties, Inc. | | | 36 | | | | 0.39 | % | | | (252 | ) |
Boston Properties, Inc. | | | 23 | | | | 0.60 | % | | | (328 | ) |
Weingarten Realty Investors | | | 43 | | | | 0.24 | % | | | (420 | ) |
Equity Residential | | | 57 | | | | 0.97 | % | | | (422 | ) |
MetLife, Inc. | | | 101 | | | | 1.07 | % | | | (520 | ) |
Kennedy-Wilson Holdings, Inc. | | | 113 | | | | 0.50 | % | | | (646 | ) |
Total Financial | | | | | | | | | | | (3,580 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Werner Enterprises, Inc. | | | 42 | | | | 0.53 | % | | | 591 | |
Snap-on, Inc. | | | 21 | | | | 0.84 | % | | | 442 | |
Schneider National, Inc. — Class B | | | 55 | | | | 0.39 | % | | | 369 | |
Westrock Co. | | | 108 | | | | 0.88 | % | | | 295 | |
Caterpillar, Inc. | | | 29 | | | | 1.06 | % | | | 274 | |
Owens Corning | | | 23 | | | | 0.37 | % | | | 270 | |
Regal Beloit Corp. | | | 15 | | | | 0.38 | % | | | 260 | |
Garmin Ltd. | | | 18 | | | | 0.51 | % | | | 259 | |
Union Pacific Corp. | | | 20 | | | | 0.98 | % | | | 252 | |
Landstar System, Inc. | | | 15 | | | | 0.49 | % | | | 160 | |
TE Connectivity Ltd. | | | 10 | | | | 0.24 | % | | | 145 | |
J.B. Hunt Transport Services, Inc. | | | 20 | | | | 0.70 | % | | | 76 | |
Expeditors International of Washington, Inc. | | | 39 | | | | 0.86 | % | | | 46 | |
National Instruments Corp. | | | 23 | | | | 0.26 | % | | | 38 | |
Old Dominion Freight Line, Inc. | | | 1 | | | | 0.02 | % | | | 36 | |
Lincoln Electric Holdings, Inc. | | | 15 | | | | 0.37 | % | | | 18 | |
Illinois Tool Works, Inc. | | | 5 | | | | 0.25 | % | | | (15 | ) |
Oshkosh Corp. | | | 13 | | | | 0.27 | % | | | (72 | ) |
Timken Co. | | | 28 | | | | 0.37 | % | | | (81 | ) |
Arrow Electronics, Inc. | | | 16 | | | | 0.32 | % | | | (104 | ) |
CSX Corp. | | | 35 | | | | 0.71 | % | | | (124 | ) |
Gentex Corp. | | | 145 | | | | 1.08 | % | | | (124 | ) |
Hubbell, Inc. | | | 12 | | | | 0.44 | % | | | (125 | ) |
Eaton Corporation plc | | | 22 | | | | 0.56 | % | | | (167 | ) |
Honeywell International, Inc. | | | 12 | | | | 0.50 | % | | | (200 | ) |
FedEx Corp. | | | 16 | | | | 0.65 | % | | | (210 | ) |
Norfolk Southern Corp. | | | 28 | | | | 1.42 | % | | | (251 | ) |
Emerson Electric Co. | | | 20 | | | | 0.36 | % | | | (314 | ) |
AGCO Corp. | | | 24 | | | | 0.39 | % | | | (462 | ) |
Waters Corp. | | | 16 | | | | 0.84 | % | | | (515 | ) |
Terex Corp. | | | 64 | | | | 0.35 | % | | | (645 | ) |
Total Industrial | | | | | | | | | | | 122 | |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Arconic Corp. | | | 1 | | | | 0.00 | % | | | (7 | ) |
Total GS Equity Long Custom Basket | | | | | | $ | (9,734 | ) |
| | | | | | | | | |
GS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
Realty Income Corp. | | | 394 | | | | (1.29 | )% | | | 5,017 | |
Ameris Bancorp | | | 434 | | | | (0.57 | )% | | | 4,839 | |
UDR, Inc. | | | 462 | | | | (0.96 | )% | | | 4,382 | |
Alleghany Corp. | | | 54 | | | | (1.48 | )% | | | 4,258 | |
People’s United Financial, Inc. | | | 874 | | | | (0.56 | )% | | | 4,129 | |
Markel Corp. | | | 34 | | | | (1.75 | )% | | | 3,986 | |
Valley National Bancorp | | | 2,757 | | | | (1.20 | )% | | | 3,244 | |
First Midwest Bancorp, Inc. | | | 1,316 | | | | (0.98 | )% | | | 2,740 | |
Acadia Realty Trust | | | 950 | | | | (0.69 | )% | | | 2,507 | |
Kilroy Realty Corp. | | | 310 | | | | (1.02 | )% | | | 2,172 | |
Old National Bancorp | | | 707 | | | | (0.54 | )% | | | 1,957 | |
JBG SMITH Properties | | | 526 | | | | (0.87 | )% | | | 1,931 | |
First Financial Bankshares, Inc. | | | 468 | | | | (0.76 | )% | | | 1,864 | |
Loews Corp. | | | 317 | | | | (0.61 | )% | | | 1,320 | |
Fulton Financial Corp. | | | 1,392 | | | | (0.82 | )% | | | 1,295 | |
TFS Financial Corp. | | | 661 | | | | (0.53 | )% | | | 1,268 | |
Glacier Bancorp, Inc. | | | 241 | | | | (0.48 | )% | | | 1,237 | |
Healthcare Realty Trust, Inc. | | | 710 | | | | (1.16 | )% | | | 1,181 | |
Global Net Lease, Inc. | | | 692 | | | | (0.65 | )% | | | 1,065 | |
Prologis, Inc. | | | 203 | | | | (1.06 | )% | | | 938 | |
Southside Bancshares, Inc. | | | 436 | | | | (0.68 | )% | | | 839 | |
Brookline Bancorp, Inc. | | | 1,642 | | | | (0.92 | )% | | | 746 | |
RLI Corp. | | | 127 | | | | (0.58 | )% | | | 714 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 131 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Medical Properties Trust, Inc. | | | 932 | | | | (0.98 | )% | | $ | 651 | |
New York Community Bancorp, Inc. | | | 710 | | | | (0.40 | )% | | | 108 | |
EastGroup Properties, Inc. | | | 120 | | | | (0.80 | )% | | | (60 | ) |
Agree Realty Corp. | | | 476 | | | | (1.75 | )% | | | (158 | ) |
American Assets Trust, Inc. | | | 297 | | | | (0.46 | )% | | | (383 | ) |
CyrusOne, Inc. | | | 106 | | | | (0.43 | )% | | | (509 | ) |
Easterly Government Properties, Inc. | | | 702 | | | | (0.91 | )% | | | (541 | ) |
Northfield Bancorp, Inc. | | | 560 | | | | (0.36 | )% | | | (548 | ) |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 391 | | | | (0.62 | )% | | | (680 | ) |
James River Group Holdings Ltd. | | | 264 | | | | (0.66 | )% | | | (886 | ) |
Healthcare Trust of America, Inc. — Class A | | | 588 | | | | (0.87 | )% | | | (1,029 | ) |
American Tower Corp. — Class A | | | 30 | | | | (0.43 | )% | | | (1,058 | ) |
Sun Communities, Inc. | | | 153 | | | | (1.16 | )% | | | (1,080 | ) |
STAG Industrial, Inc. | | | 329 | | | | (0.54 | )% | | | (1,080 | ) |
BOK Financial Corp. | | | 123 | | | | (0.39 | )% | | | (1,181 | ) |
Rexford Industrial Realty, Inc. | | | 710 | | | | (1.64 | )% | | | (1,273 | ) |
Alexandria Real Estate Equities, Inc. | | | 170 | | | | (1.54 | )% | | | (1,389 | ) |
Crown Castle International Corp. | | | 46 | | | | (0.43 | )% | | | (1,447 | ) |
SBA Communications Corp. | | | 27 | | | | (0.45 | )% | | | (2,016 | ) |
Terreno Realty Corp. | | | 373 | | | | (1.10 | )% | | | (2,078 | ) |
Equinix, Inc. | | | 12 | | | | (0.47 | )% | | | (2,377 | ) |
Flagstar Bancorp, Inc. | | | 305 | | | | (0.50 | )% | | | (2,512 | ) |
QTS Realty Trust, Inc. — Class A | | | 306 | | | | (1.10 | )% | | | (3,507 | ) |
Total Financial | | | | | | | | | | | 28,596 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
American States Water Co. | | | 135 | | | | (0.59 | )% | | | 1,612 | |
California Water Service Group | | | 356 | | | | (0.95 | )% | | | 1,309 | |
WEC Energy Group, Inc. | | | 88 | | | | (0.43 | )% | | | 471 | |
American Water Works Company, Inc. | | | 82 | | | | (0.59 | )% | | | 133 | |
NextEra Energy, Inc. | | | 43 | | | | (0.58 | )% | | | (586 | ) |
Total Utilities | | | | | | | | | | | 2,939 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Fiserv, Inc. | | | 326 | | | | (1.78 | )% | | | 712 | |
Parsons Corp. | | | 444 | | | | (0.90 | )% | | | 111 | |
Tyler Technologies, Inc. | | | 15 | | | | (0.29 | )% | | | (82 | ) |
RealPage, Inc. | | | 79 | | | | (0.29 | )% | | | (87 | ) |
Appfolio, Inc. — Class A | | | 33 | | | | (0.30 | )% | | | (533 | ) |
Autodesk, Inc. | | | 23 | | | | (0.31 | )% | | | (1,084 | ) |
HubSpot, Inc. | | | 26 | | | | (0.33 | )% | | | (1,319 | ) |
Smartsheet, Inc. — Class A | | | 173 | | | | (0.49 | )% | | | (1,375 | ) |
Coupa Software, Inc. | | | 24 | | | | (0.37 | )% | | | (1,679 | ) |
Fidelity National Information Services, Inc. | | | 279 | | | | (2.09 | )% | | | (1,690 | ) |
Zscaler, Inc. | | | 51 | | | | (0.31 | )% | | | (1,706 | ) |
salesforce.com, Inc. | | | 61 | | | | (0.64 | )% | | | (1,961 | ) |
Veeva Systems, Inc. — Class A | | | 37 | | | | (0.48 | )% | | | (2,009 | ) |
Envestnet, Inc. | | | 150 | | | | (0.62 | )% | | | (2,290 | ) |
Alteryx, Inc. — Class A | | | 56 | | | | (0.51 | )% | | | (2,479 | ) |
Workiva, Inc. | | | 186 | | | | (0.56 | )% | | | (2,859 | ) |
Twilio, Inc. — Class A | | | 27 | | | | (0.33 | )% | | | (2,877 | ) |
Total Technology | | | | | | | | | | | (23,207 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
PPG Industries, Inc. | | | 293 | | | | (1.74 | )% | | | 2,080 | |
DuPont de Nemours, Inc. | | | 173 | | | | (0.51 | )% | | | 609 | |
Nucor Corp. | | | 178 | | | | (0.41 | )% | | | 436 | |
Balchem Corp. | | | 285 | | | | (1.51 | )% | | | 405 | |
Royal Gold, Inc. | | | 65 | | | | (0.45 | )% | | | (110 | ) |
Linde plc | | | 184 | | | | (2.18 | )% | | | (1,091 | ) |
Ashland Global Holdings, Inc. | | | 478 | | | | (1.85 | )% | | | (1,568 | ) |
Air Products & Chemicals, Inc. | | | 160 | | | | (2.16 | )% | | | (1,750 | ) |
Albemarle Corp. | | | 157 | | | | (0.68 | )% | | | (2,554 | ) |
Ecolab, Inc. | | | 127 | | | | (1.41 | )% | | | (2,992 | ) |
Freeport-McMoRan, Inc. | | | 1,172 | | | | (0.76 | )% | | | (3,121 | ) |
RPM International, Inc. | | | 365 | | | | (1.53 | )% | | | (3,779 | ) |
Newmont Corp. | | | 348 | | | | (1.20 | )% | | | (5,534 | ) |
Quaker Chemical Corp. | | | 144 | | | | (1.49 | )% | | | (7,349 | ) |
Total Basic Materials | | | | | | | | | | | (26,318 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
ONEOK, Inc. | | | 242 | | | | (0.45 | )% | | | 2,770 | |
Phillips 66 | | | 123 | | | | (0.49 | )% | | | 1,726 | |
Kinder Morgan, Inc. | | | 610 | | | | (0.52 | )% | | | 1,377 | |
Delek US Holdings, Inc. | | | 376 | | | | (0.37 | )% | | | 1,193 | |
Williams Companies, Inc. | | | 426 | | | | (0.45 | )% | | | 744 | |
Pioneer Natural Resources Co. | | | 76 | | | | (0.41 | )% | | | 712 | |
Concho Resources, Inc. | | | 160 | | | | (0.46 | )% | | | (202 | ) |
National Oilwell Varco, Inc. | | | 1,189 | | | | (0.81 | )% | | | (985 | ) |
Baker Hughes Co. | | | 433 | | | | (0.37 | )% | | | (1,161 | ) |
Noble Energy, Inc. | | | 659 | | | | (0.33 | )% | | | (1,498 | ) |
Schlumberger Ltd. | | | 469 | | | | (0.48 | )% | | | (1,607 | ) |
Halliburton Co. | | | 513 | | | | (0.37 | )% | | | (2,950 | ) |
Total Energy | | | | | | | | | | | 119 | |
132 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Industrial | | | | | | | | | | | | |
L3Harris Technologies, Inc. | | | 61 | | | | (0.58 | )% | | $ | 1,966 | |
Tetra Tech, Inc. | | | 257 | | | | (1.14 | )% | | | 1,521 | |
Eagle Materials, Inc. | | | 256 | | | | (1.00 | )% | | | 1,116 | |
TransDigm Group, Inc. | | | 41 | | | | (1.01 | )% | | | 1,029 | |
Sonoco Products Co. | | | 182 | | | | (0.53 | )% | | | 649 | |
Louisiana-Pacific Corp. | | | 727 | | | | (1.04 | )% | | | 551 | |
Silgan Holdings, Inc. | | | 386 | | | | (0.70 | )% | | | 213 | |
Ball Corp. | | | 259 | | | | (1.01 | )% | | | (109 | ) |
Crown Holdings, Inc. | | | 131 | | | | (0.48 | )% | | | (317 | ) |
Vulcan Materials Co. | | | 129 | | | | (0.84 | )% | | | (543 | ) |
AptarGroup, Inc. | | | 117 | | | | (0.73 | )% | | | (614 | ) |
Exponent, Inc. | | | 103 | | | | (0.47 | )% | | | (622 | ) |
Martin Marietta Materials, Inc. | | | 89 | | | | (1.03 | )% | | | (624 | ) |
GATX Corp. | | | 141 | | | | (0.48 | )% | | | (684 | ) |
ESCO Technologies, Inc. | | | 117 | | | | (0.55 | )% | | | (947 | ) |
Amcor plc | | | 1,277 | | | | (0.73 | )% | | | (1,976 | ) |
Casella Waste Systems, Inc. — Class A | | | 314 | | | | (0.91 | )% | | | (2,129 | ) |
Worthington Industries, Inc. | | | 233 | | | | (0.49 | )% | | | (2,964 | ) |
Total Industrial | | | | | | | | | | | (4,484 | ) |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Liberty Broadband Corp. — Class C | | | 177 | | | | (1.23 | )% | | | 1,651 | |
Zendesk, Inc. | | | 63 | | | | (0.31 | )% | | | (1,011 | ) |
FactSet Research Systems, Inc. | | | 27 | | | | (0.50 | )% | | | (1,024 | ) |
Anaplan, Inc. | | | 172 | | | | (0.44 | )% | | | (1,173 | ) |
Okta, Inc. | | | 29 | | | | (0.32 | )% | | | (1,648 | ) |
Q2 Holdings, Inc. | | | 189 | | | | (0.91 | )% | | | (2,107 | ) |
Total Communications | | | | | | | | | | | (5,312 | ) |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Hormel Foods Corp. | | | 166 | | | | (0.45 | )% | | | 177 | |
McCormick & Company, Inc. | | | 32 | | | | (0.32 | )% | | | (255 | ) |
Avery Dennison Corp. | | | 124 | | | | (0.79 | )% | | | (697 | ) |
Seattle Genetics, Inc. | | | 35 | | | | (0.33 | )% | | | (1,254 | ) |
Equifax, Inc. | | | 61 | | | | (0.59 | )% | | | (1,462 | ) |
Verisk Analytics, Inc. — Class A | | | 121 | | | | (1.15 | )% | | | (1,829 | ) |
Global Payments, Inc. | | | 112 | | | | (1.06 | )% | | | (2,170 | ) |
Paylocity Holding Corp. | | | 59 | | | | (0.48 | )% | | | (3,002 | ) |
PayPal Holdings, Inc. | | | 51 | | | | (0.50 | )% | | | (3,074 | ) |
Avalara, Inc. | | | 79 | | | | (0.59 | )% | | | (4,201 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (17,767 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Copart, Inc. | | | 90 | | | | (0.42 | )% | | | 1,069 | |
Scotts Miracle-Gro Co. — Class A | | | 81 | | | | (0.61 | )% | | | (1,084 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (15 | ) |
Total GS Equity Short Custom Basket | | | | | | $ | (45,449 | ) |
* | 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, 2020. |
2 | Rate indicated is the 7-day yield as of June 30, 2020. |
| | GS — Goldman Sachs International |
| | MS — Morgan Stanley Capital Services LLC |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 133 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (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 | | $ | 5,177,392 | | | $ | — | | | $ | — | | | $ | 5,177,392 | |
Money Market Fund | | | 163,985 | | | | — | | | | — | | | | 163,985 | |
Total Assets | | $ | 5,341,377 | | | $ | — | | | $ | — | | | $ | 5,341,377 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Custom Basket Swap Agreements** | | $ | — | | | $ | 121,131 | | | $ | — | | | $ | 121,131 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
134 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: |
Investments, at value (cost $5,500,397) | | $ | 5,341,377 | |
Prepaid expenses | | | 62 | |
Receivables: |
Securities sold | | | 77,893 | |
Dividends | | | 8,928 | |
Investment Adviser | | | 4,387 | |
Interest | | | 12 | |
Total assets | | | 5,432,659 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 782 | |
Unrealized depreciation on OTC swap agreements | | | 121,131 | |
Payable for: |
Swap settlement | | | 151,435 | |
Professional fees | | | 16,729 | |
Transfer agent/maintenance fees | | | 2,239 | |
Fund accounting/administration fees | | | 2,049 | |
Trustees’ fees* | | | 1,273 | |
Distribution and service fees | | | 1,074 | |
Fund shares redeemed | | | 141 | |
Miscellaneous | | | 10,169 | |
Total liabilities | | | 307,022 | |
Commitments and contingent liabilities (Note 13) | | | — | |
Net assets | | $ | 5,125,637 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 6,835,883 | |
Total distributable earnings (loss) | | | (1,710,246 | ) |
Net assets | | $ | 5,125,637 | |
Capital shares outstanding | | | 358,987 | |
Net asset value per share | | $ | 14.28 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: |
Dividends | | $ | 64,325 | |
Interest | | | 1,185 | |
Total investment income | | | 65,510 | |
| | | | | |
Expenses: |
Management fees | | | 24,575 | |
Distribution and service fees | | | 6,826 | |
Transfer agent/maintenance fees | | | 12,512 | |
Professional fees | | | 20,393 | |
Fund accounting/administration fees | | | 12,449 | |
Trustees’ fees* | | | 8,587 | |
Custodian fees | | | 1,110 | |
Line of credit fees | | | 77 | |
Miscellaneous | | | 13,197 | |
Total expenses | | | 99,726 | |
Less: |
Expenses reimbursed by Adviser | | | (20,402 | ) |
Expenses waived by Adviser | | | (24,510 | ) |
Earnings credits applied | | | (31 | ) |
Total waived/reimbursed expenses | | | (44,943 | ) |
Net expenses | | | 54,783 | |
Net investment income | | | 10,727 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (78,346 | ) |
Swap agreements | | | 160,550 | |
Net realized gain | | | 82,204 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (571,062 | ) |
Swap agreements | | | 214,031 | |
Net change in unrealized appreciation (depreciation) | | | (357,031 | ) |
Net realized and unrealized loss | | | (274,827 | ) |
Net decrease in net assets resulting from operations | | $ | (264,100 | ) |
* | 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 | 135 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30,
2020
(Unaudited) | | | Year Ended
December 31,
2019 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 10,727 | | | $ | 31,524 | |
Net realized gain (loss) on investments | | | 82,204 | | | | (936,944 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (357,031 | ) | | | 695,655 | |
Net decrease in net assets resulting from operations | | | (264,100 | ) | | | (209,765 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (11,658 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 71,425 | | | | 182,878 | |
Distributions reinvested | | | — | | | | 11,658 | |
Cost of shares redeemed | | | (910,730 | ) | | | (1,800,412 | ) |
Net decrease from capital share transactions | | | (839,305 | ) | | | (1,605,876 | ) |
Net decrease in net assets | | | (1,103,405 | ) | | | (1,827,299 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 6,229,042 | | | | 8,056,341 | |
End of period | | $ | 5,125,637 | | | $ | 6,229,042 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 5,021 | | | | 12,241 | |
Shares issued from reinvestment of distributions | | | — | | | | 804 | |
Shares redeemed | | | (65,002 | ) | | | (121,599 | ) |
Net decrease in shares | | | (59,981 | ) | | | (108,554 | ) |
136 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months
Ended
June 30,
2020a | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | |
Per Share Data |
Net asset value, beginning of period | | $ | 14.87 | | | $ | 15.27 | | | $ | 20.05 | | | $ | 18.70 | | | $ | 16.59 | | | $ | 27.33 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .03 | | | | .07 | | | | .04 | | | | (.04 | ) | | | (.21 | ) | | | (.43 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (.62 | ) | | | (.45 | ) | | | (2.28 | ) | | | 1.39 | | | | 2.32 | | | | (.69 | ) |
Total from investment operations | | | (.59 | ) | | | (.38 | ) | | | (2.24 | ) | | | 1.35 | | | | 2.11 | | | | (1.12 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.02 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | (2.54 | ) | | | — | | | | — | | | | (9.62 | ) |
Total distributions | | | — | | | | (.02 | ) | | | (2.54 | ) | | | — | | | | — | | | | (9.62 | ) |
Net asset value, end of period | | $ | 14.28 | | | $ | 14.87 | | | $ | 15.27 | | | $ | 20.05 | | | $ | 18.70 | | | $ | 16.59 | |
|
Total Returnc | | | (3.97 | %) | | | (2.45 | %) | | | (11.57 | %) | | | 7.22 | % | | | 12.79 | % | | | (4.69 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,126 | | | $ | 6,229 | | | $ | 8,056 | | | $ | 12,317 | | | $ | 13,192 | | | $ | 12,548 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.39 | % | | | 0.44 | % | | | 0.22 | % | | | (0.23 | %) | | | (1.18 | %) | | | (2.03 | %) |
Total expenses | | | 3.65 | % | | | 3.52 | % | | | 2.47 | % | | | 2.48 | % | | | 2.92 | % | | | 3.54 | % |
Net expensesd,e,f | | | 2.01 | % | | | 2.00 | % | | | 1.99 | % | | | 2.22 | % | | | 2.92 | % | | | 3.46 | % |
Portfolio turnover rate | | | 108 | % | | | 172 | % | | | 219 | % | | | 182 | % | | | 198 | % | | | 446 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 presented would be: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 |
| | 2.00% | 2.00% | 1.99% | 2.13% | 2.35% | 2.35% |
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 presented was as follows: |
| | 06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | — | — | — | 0.15% | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 137 |
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 (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately. At June 30, 2020, the Trust consisted of fourteen funds. The Trust offers shares of the funds to insurance companies for their variable annuity and variable life insurance contracts.
This report covers the following funds (collectively, the “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 (SMid 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”), provides 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 and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are
138 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The 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 and closed-end investment companies are valued at the last quoted sale price.
U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
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.
Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the 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 previous day’s Chicago Mercantile Exchange close price, adjusted for the current day’s spreads.
The values of other 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 or other underlying position that the swaps pertain to at the close of the NYSE.
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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 139 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(c) Senior Floating Rate Interests and Loan Investments
Senior floating rate interests in which the Trust invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Funds’ Schedules of Investments.
The Funds invest in loans and other similar debt obligations (“obligations”). A portion of the Funds’ investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Funds may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Funds may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Funds are subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Funds may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.
(d) Interest on When-Issued Securities
The Funds may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Funds on such interests or securities in connection with such transactions prior to the date the Funds actually take delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Funds will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.
(e) 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).
(f) 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.
(g) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a
140 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(h) Currency Translations
The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(i) Forward Foreign Currency Exchange Contracts
The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
(j) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2020, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(k) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.
Certain Funds may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 141 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
as income when received by the Funds and included in interest income on the Statements of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.
(l) Distributions
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.
(m) 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.
(n) Earnings Credits
Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the period ended June 30, 2020, are disclosed in the Statements of Operations.
(o) Cash
The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.08% at June 30, 2020.
(p) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Note 2 – Derivatives
As part of their investment strategy, the Funds utilize a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
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
142 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
Options Purchased and Written
A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
The following table represents the Fund’s use and volume of call/put options purchased on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Call | | | Put | |
Series E (Total Return Bond Series) | Hedge | | $ | — | | | $ | 136,000,000 | |
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 monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Series A (StylePlus—Large Core Series) | Index exposure | | $ | 7,393,500 | | | $ | — | |
Series D (World Equity Income Series) | Hedge | | | — | | | | 6,507,341 | |
Series E (Total Return Bond Series) | Duration, Hedge, Income | | | — | | | | 324,005 | |
Series J (StylePlus—Mid Growth Series) | Index exposure | | | 6,536,088 | | | | — | |
Series N (Managed Asset Allocation Series) | Index exposure, Speculation | | | 14,406,817 | | | | 1,169,773 | |
Series X (StylePlus—Small Growth Series) | Index exposure | | | 1,150,333 | | | | — | |
Series Y (StylePlus—Large Growth Series) | Index exposure | | | 2,391,030 | | | | — | |
Swap Agreements
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing OTC swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a fund utilizing centrally cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Total return and custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index or custom basket of securities) for a fixed or variable interest rate. Total return and custom basket swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 143 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return or custom basket swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.
The following table represents the Funds’ use and volume of total return and custom basket swaps on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Series A (StylePlus—Large Core Series) | Index exposure | | $ | 149,307,000 | | | $ | — | |
Series E (Total Return Bond Series) | Index exposure, Income | | | 327,563 | | | | 429,087 | |
Series J (StylePlus—Mid Growth Series) | Index exposure | | | 111,074,128 | | | | — | |
Series X (StylePlus—Small Growth Series) | Index exposure | | | 22,197,638 | | | | — | |
Series Y (StylePlus—Large Growth Series) | Index exposure | | | 29,939,213 | | | | — | |
Series Z (Alpha Opportunity Series) | Hedge, Leverage | | | 1,114,549 | | | | 4,377,975 | |
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 monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Pay Floating Rate | | | Receive Floating Rate | |
Series E (Total Return Bond Series) | Duration, Hedge | | $ | 9,882,167 | | | $ | 733,333 | |
Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.
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.
144 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of credit default swaps on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Protection Sold | | | Protection Purchased | |
Series E (Total Return Bond Series) | Hedge, Index exposure | | $ | 10,444,567 | | | $ | 8,010,000 | |
Series P (High Yield Series) | Index exposure | | | 1,367,333 | | | | — | |
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Funds may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
The following table represents the Funds’ use, and volume of forward foreign currency exchange contracts on a monthly basis:
| | | | Average Value | |
Fund | Use | | Purchased | | | Sold | |
Series E (Total Return Bond Series) | Hedge, Income | | $ | 6,413,721 | | | $ | 10,211,483 | |
Series P (High Yield Series) | Hedge | | | 36,322 | | | | 125,983 | |
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, 2020:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity contracts | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
| Variation margin on futures contracts | |
Interest Rate contracts | Unamortized upfront premiums paid on interest rate swap agreements | Variation margin on interest rate swap agreements |
| | Variation margin on futures contracts | |
| Investments in unaffiliated issuers, 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 | |
Credit contracts | Unamortized upfront premiums paid on credit default swap agreements | Unamortized upfront premiums received on credit default swap agreements |
| | Unrealized appreciation on OTC swap agreements | |
| | Variation margin on credit default swap agreements | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 145 |
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, 2020:
Asset Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk* | | | Futures
Interest
Rate Risk* | | | Swaps
Interest
Rate Risk* | |
Series A (StylePlus—Large Core Series) | | $ | 74,911 | | | $ | 29,597,393 | | | $ | — | | | $ | — | | | $ | — | |
Series E (Total Return Bond Series) | | | — | | | | — | | | | — | | | | — | | | | 13,555 | |
Series J (StylePlus—Mid Growth Series) | | | 66,093 | | | | 31,290,955 | | | | — | | | | — | | | | — | |
Series N (Managed Asset Allocation Series) | | | 200,217 | | | | — | | | | — | | | | 11,513 | | | | — | |
Series P (High Yield Series) | | | — | | | | — | | | | — | | | | — | | | | — | |
Series X (StylePlus—Small Growth Series) | | | 9,091 | | | | 6,565,699 | | | | — | | | | — | | | | — | |
Series Y (StylePlus—Large Growth Series) | | | 49,846 | | | | 7,739,053 | | | | — | | | | — | | | | — | |
Asset Derivative Investments Value |
Fund | | Swaps
Credit
Risk* | | | Options
Purchased
Interest
Rate Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Total
Value at
June 30, 2020 | |
Series A (StylePlus—Large Core Series) | | $ | — | | | $ | — | | | $ | — | | | $ | 29,672,304 | |
Series E (Total Return Bond Series) | | | 238,411 | | | | 386,920 | | | | 931,694 | | | | 1,570,580 | |
Series J (StylePlus—Mid Growth Series) | | | — | | | | — | | | | — | | | | 31,357,048 | |
Series N (Managed Asset Allocation Series) | | | — | | | | — | | | | — | | | | 211,730 | |
Series P (High Yield Series) | | | 122,249 | | | | — | | | | — | | | | 122,249 | |
Series X (StylePlus—Small Growth Series) | | | — | | | | — | | | | — | | | | 6,574,790 | |
Series Y (StylePlus—Large Growth Series) | | | — | | | | — | | | | — | | | | 7,788,899 | |
Liability Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk* | | | Futures
Interest
Rate Risk* | | | Swaps
Interest
Rate Risk* | |
Series E (Total Return Bond Series) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Series J (StylePlus—Mid Growth Series) | | | 7,901 | | | | — | | | | — | | | | — | | | | — | |
Series N (Managed Asset Allocation Series) | | | 12,789 | | | | — | | | | 243 | | | | — | | | | — | |
Series X (StylePlus—Small Growth Series) | | | 790 | | | | — | | | | — | | | | — | | | | — | |
Series Z (Alpha Opportunity Series) | | | — | | | | 121,131 | | | | — | | | | — | | | | — | |
Liability Derivative Investments Value |
Fund | | Swaps
Credit
Risk* | | | Options
Purchased
Interest
Rate Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Total
Value at
June 30, 2020 | |
Series E (Total Return Bond Series) | | $ | 13,242 | | | $ | — | | | $ | 160,128 | | | $ | 173,370 | |
Series J (StylePlus—Mid Growth Series) | | | — | | | | — | | | | — | | | | 7,901 | |
Series N (Managed Asset Allocation Series) | | | — | | | | — | | | | — | | | | 13,032 | |
Series X (StylePlus—Small Growth Series) | | | — | | | | — | | | | — | | | | 790 | |
Series Z (Alpha Opportunity Series) | | | — | | | | — | | | | — | | | | 121,131 | |
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives as reported on the Schedules of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statements of Assets and Liabilities. |
146 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended June 30, 2020:
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 change in unrealized appreciation (depreciation) on options purchased |
| Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
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 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, 2020:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk | | | Futures
Interest
Rate Risk | | | Swaps
Interest
Rate Risk | | | Swaps
Credit
Risk | | | Options
Purchased
Interest
Rate Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Total | |
Series A (StylePlus—Large Core Series) | | $ | 1,170,688 | | | $ | (17,480,912 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (16,310,224 | ) |
Series D (World Equity Income Series) | | | — | | | | — | | | | 355,124 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 355,124 | |
Series E (Total Return Bond Series) | | | — | | | | — | | | | — | | | | 72,641 | | | | 530,973 | | | | 891,809 | | | | — | | | | 99,434 | | | | 1,594,857 | |
Series J (StylePlus—Mid Growth Series) | | | 724,539 | | | | (15,260,222 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (14,535,683 | ) |
Series N (Managed Asset Allocation Series) | | | (930,233 | ) | | | — | | | | (26,614 | ) | | | 281,975 | | | | — | | | | — | | | | — | | | | — | | | | (674,872 | ) |
Series P (High Yield Series) | | | — | | | | — | | | | — | | | | — | | | | — | | | | (90,946 | ) | | | — | | | | 7,301 | | | | (83,645 | ) |
Series X (StylePlus—Small Growth Series) | | | 168,549 | | | | (4,257,092 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (4,088,543 | ) |
Series Y (StylePlus—Large Growth Series) | | | 319,834 | | | | (1,312,301 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (992,467 | ) |
Series Z (Alpha Opportunity Series) | | | — | | | | 160,550 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 160,550 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 147 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk | | | Futures
Interest
Rate Risk | | | Swaps
Interest
Rate Risk | | | Swaps
Credit
Risk | | | Options
Purchased
Interest
Rate Risk | | | Forward
Foreign
Currency
Exchange
Risk | | | Total | |
Series A (StylePlus—Large Core Series) | | $ | 59,094 | | | $ | 11,699,705 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 11,758,799 | |
Series D (World Equity Income Series) | | | — | | | | — | | | | 452 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 452 | |
Series E (Total Return Bond Series) | | | — | | | | — | | | | — | | | | — | | | | 171,065 | | | | 648,405 | | | | 170,680 | | | | 644,174 | | | | 1,634,324 | |
Series J (StylePlus—Mid Growth Series) | | | 38,079 | | | | 19,288,371 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 19,326,450 | |
Series N (Managed Asset Allocation Series) | | | 98,774 | | | | — | | | | 134 | | | | 58,917 | | | | — | | | | — | | | | — | | | | — | | | | 157,825 | |
Series P (High Yield Series) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 122,249 | | | | — | | | | 2,168 | | | | 124,417 | |
Series X (StylePlus—Small Growth Series) | | | 3,193 | | | | 3,310,972 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,314,165 | |
Series Y (StylePlus—Large Growth Series) | | | 39,410 | | | | 4,032,258 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,071,668 | |
Series Z (Alpha Opportunity Series) | | | — | | | | 214,031 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 214,031 | |
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 as collateral.
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.
The 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.
148 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
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 | | $ | 29,597,393 | | | $ | — | | | $ | 29,597,393 | | | $ | — | | | $ | — | | | $ | 29,597,393 | |
Series E (Total Return Bond Series) | Credit index swap agreements | | | 3,185 | | | | — | | | | 3,185 | | | | — | | | | (199 | ) | | | 2,986 | |
| | Forward foreign currency exchange contracts | | | 931,694 | | | | — | | | | 931,694 | | | | (160,128 | ) | | | (592,425 | ) | | | 179,141 | |
| | Options purchased contracts | | | 386,920 | | | | — | | | | 386,920 | | | | — | | | | (152,755 | ) | | | 234,165 | |
Series J (StylePlus—Mid Growth Series) | Swap equity contracts | | | 31,290,955 | | | | — | | | | 31,290,955 | | | | — | | | | (29,040,000 | ) | | | 2,250,955 | |
Series X (StylePlus—Small Growth Series) | Swap equity contracts | | | 6,565,699 | | | | — | | | | 6,565,699 | | | | — | | | | (6,171,030 | ) | | | 394,669 | |
Series Y (StylePlus—Large Growth Series) | Swap equity contracts | | | 7,739,053 | | | | — | | | | 7,739,053 | | | | — | | | | (7,090,000 | ) | | | 649,053 | |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 149 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
Series E (Total Return Bond Series) | Forward foreign currency exchange contracts | | $ | 160,128 | | | $ | — | | | $ | 160,128 | | | $ | (160,128 | ) | | $ | — | | | $ | — | |
Series Z (Alpha Opportunity Series) | Custom basket swap agreements | | | 121,131 | | | | — | | | | 121,131 | | | | (121,131 | ) | | | — | | | | — | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of June 30, 2020.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Series A (StylePlus—Large Core Series) | Goldman Sachs International | Total return swap agreements | | $ | — | | | $ | 27,170,000 | |
| Morgan Stanley Capital Services LLC | Futures contracts | | | 816,000 | | | | — | |
Series A (StylePlus—Large Core Series) Total | | | | | 816,000 | | | | 27,170,000 | |
Series E (Total Return Bond Series) | Bank of America, N.A. | Credit default swap agreements | | | 1,062,349 | | | | — | |
| | BofA Securities, Inc. | Interest rate swap agreements | | | — | | | | 199 | |
| | Citibank N.A., New York | Forward foreign currency exchange contracts | | | — | | | | 280,000 | |
| | Goldman Sachs International | Forward foreign currency exchange contracts, Options | | | — | | | | 410,000 | |
| Morgan Stanley Capital Services LLC | Forward foreign currency exchange contracts, Options | | | — | | | | 106,000 | |
Series E (Total Return Bond Series) Total | | | | | 1,062,349 | | | | 796,199 | |
Series J (StylePlus—Mid Growth Series) | Citibank, N.A., New York | Total return swap agreements | | | — | | | | 29,040,000 | |
| Morgan Stanley Capital Services LLC | Futures contracts | | | 690,000 | | | | — | |
Series J (StylePlus—Mid Growth Series) Total | | | | | 690,000 | | | | 29,040,000 | |
Series P (High Yield Series) | BofA Securities, Inc. | Credit default swap agreements | | | 3,131,026 | | | | — | |
Series X (StylePlus—Small Growth Series) | Morgan Stanley Capital Services LLC | Futures contracts | | | 109,000 | | | | — | |
| Morgan Stanley Capital Services LLC | Total return swap agreements | | | — | | | | 6,171,030 | |
Series X (StylePlus—Small Growth Series) Total | | | | | 109,000 | | | | 6,171,030 | |
Series Y (StylePlus—Large Growth Series) | Morgan Stanley Capital Services LLC | Futures contracts | | | 243,000 | | | | — | |
| Wells Fargo Bank, N.A. | Total return swap agreements | | | — | | | | 7,090,000 | |
Series Y (StylePlus—Large Growth Series) Total | | | | | 243,000 | | | | 7,090,000 | |
150 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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. A significant portion of the Funds’ assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Funds’ assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Funds may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 151 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 (SMid 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 pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted a Distribution 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.
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 or interest on securities sold short, expenses of other investment companies in which a Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| | Limit | | | Effective
Date | | | Contract
End Date | |
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 | | | | 05/01/21 | |
Series F (Floating Rate Strategies Series) | | | 1.15 | % | | | 04/22/13 | | | | 05/01/21 | |
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 | | | | 05/01/21 | |
Series Q (Small Cap Value Series) | | | 1.14 | % | | | 05/01/17 | | | | 05/01/22 | |
Series V (SMid 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 | |
152 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At June 30, 2020, 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 | | 2020 | | | 2021 | | | 2022 | | | 2023 | | | Total | |
Series A (StylePlus—Large Core Series) | | $ | 436,916 | | | $ | 660,760 | | | $ | 627,973 | | | $ | 281,046 | | | $ | 2,006,695 | |
Series B (Large Cap Value Series) | | | 555,470 | | | | 657,291 | | | | 596,531 | | | | 278,632 | | | | 2,087,924 | |
Series D (World Equity Income Series) | | | 359,114 | | | | 403,628 | | | | 384,683 | | | | 174,566 | | | | 1,321,991 | |
Series E (Total Return Bond Series) | | | 144,316 | | | | 130,822 | | | | 159,891 | | | | 59,968 | | | | 494,997 | |
Series F (Floating Rate Strategies Series) | | | 51,527 | | | | 64,413 | | | | 92,992 | | | | 43,935 | | | | 252,867 | |
Series J (StylePlus—Mid Growth Series) | | | 342,729 | | | | 471,165 | | | | 429,212 | | | | 202,903 | | | | 1,446,009 | |
Series O (All Cap Value Series) | | | 272,422 | | | | 349,269 | | | | 319,350 | | | | 145,167 | | | | 1,086,208 | |
Series P (High Yield Series) | | | 59,723 | | | | 105,313 | | | | 112,110 | | | | 54,050 | | | | 331,196 | |
Series Q (Small Cap Value Series) | | | 88,099 | | | | 102,746 | | | | 107,646 | | | | 48,894 | | | | 347,385 | |
Series V (SMid Cap Value Series) | | | 448,055 | | | | 612,269 | | | | 531,107 | | | | 240,172 | | | | 1,831,603 | |
Series X (StylePlus—Small Growth Series) | | | 95,707 | | | | 132,343 | | | | 151,315 | | | | 66,330 | | | | 445,695 | |
Series Y (StylePlus—Large Growth Series) | | | 98,297 | | | | 153,784 | | | | 163,763 | | | | 74,703 | | | | 490,547 | |
Series Z (Alpha Opportunity Series) | | | 33,178 | | | | 47,889 | | | | 108,215 | | | | 44,912 | | | | 234,194 | |
For the period ended June 30, 2020, no amounts were recouped by GI.
If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2020, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
Series A (StylePlus—Large Core Series) | | $ | 28,802 | |
Series E (Total Return Bond Series) | | | 22,262 | |
Series J (StylePlus—Mid Growth Series) | | | 26,137 | |
Series N (Managed Asset Allocation Series) | | | 1,269 | |
Series X (StylePlus—Small Growth Series) | | | 5,154 | |
Series Y (StylePlus—Large Growth Series) | | | 7,474 | |
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Funds’ custodian. As custodian, BNY is responsible for the custody of the Funds’ assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Funds’ average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
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.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 153 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
At June 30, 2020, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
Fund | | Tax Cost | | | Tax
Unrealized
Appreciation | | | Tax
Unrealized
Depreciation | | | Net Tax
Unrealized
Appreciation
(Depreciation) | |
Series A (StylePlus—Large Core Series) | | $ | 192,682,590 | | | $ | 32,523,849 | | | $ | (2,599,550 | ) | | $ | 29,924,299 | |
Series B (Large Cap Value Series) | | | 175,813,623 | | | | 23,450,078 | | | | (21,204,112 | ) | | | 2,245,966 | |
Series D (World Equity Income Series) | | | 104,025,689 | | | | 14,318,536 | | | | (5,928,058 | ) | | | 8,390,478 | |
Series E (Total Return Bond Series) | | | 150,777,300 | | | | 8,865,403 | | | | (1,671,324 | ) | | | 7,194,079 | |
Series F (Floating Rate Strategies Series) | | | 40,279,927 | | | | 34,056 | | | | (2,627,489 | ) | | | (2,593,433 | ) |
Series J (StylePlus—Mid Growth Series) | | | 149,351,650 | | | | 33,215,844 | | | | (2,457,761 | ) | | | 30,758,083 | |
Series N (Managed Asset Allocation Series) | | | 33,109,701 | | | | 9,345,613 | | | | (69,843 | ) | | | 9,275,770 | |
Series O (All Cap Value Series) | | | 81,599,924 | | | | 11,206,421 | | | | (10,503,090 | ) | | | 703,331 | |
Series P (High Yield Series) | | | 42,778,952 | | | | 692,528 | | | | (4,528,363 | ) | | | (3,835,835 | ) |
Series Q (Small Cap Value Series) | | | 59,392,410 | | | | 5,191,561 | | | | (11,318,104 | ) | | | (6,126,543 | ) |
Series V (SMid Cap Value Series) | | | 155,138,564 | | | | 16,263,712 | | | | (23,963,426 | ) | | | (7,699,714 | ) |
Series X (StylePlus—Small Growth Series) | | | 28,126,067 | | | | 6,933,088 | | | | (525,203 | ) | | | 6,407,885 | |
Series Y (StylePlus—Large Growth Series) | | | 40,574,127 | | | | 8,692,773 | | | | (327,724 | ) | | | 8,365,049 | |
Series Z (Alpha Opportunity Series) | | | 5,551,633 | | | | 189,612 | | | | (520,999 | ) | | | (331,387 | ) |
Note 7 – Securities Transactions
For the period ended June 30, 2020, 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) | | $ | 82,620,730 | | | $ | 97,001,164 | |
Series B (Large Cap Value Series) | | | 20,221,664 | | | | 26,499,162 | |
Series D (World Equity Income Series) | | | 112,451,309 | | | | 117,745,424 | |
Series E (Total Return Bond Series) | | | 76,109,092 | | | | 52,606,313 | |
Series F (Floating Rate Strategies Series) | | | 9,616,217 | | | | 15,181,875 | |
Series J (StylePlus—Mid Growth Series) | | | 79,934,124 | | | | 81,637,331 | |
Series N (Managed Asset Allocation Series) | | | 676,809 | | | | 6,291,815 | |
Series O (All Cap Value Series) | | | 9,373,536 | | | | 14,534,984 | |
Series P (High Yield Series) | | | 20,040,053 | | | | 31,432,326 | |
Series Q (Small Cap Value Series) | | | 7,392,400 | | | | 12,799,736 | |
Series V (SMid Cap Value Series) | | | 31,253,339 | | | | 36,965,111 | |
Series X (StylePlus—Small Growth Series) | | | 16,400,704 | | | | 19,626,542 | |
Series Y (StylePlus—Large Growth Series) | | | 20,059,222 | | | | 18,847,885 | |
Series Z (Alpha Opportunity Series) | | | 5,831,524 | | | | 6,486,991 | |
For the period ended June 30, 2020, the cost of purchases and proceeds from the sales of government securities were as follows:
Fund | | Purchases | | | Sales | |
Series E (Total Return Bond Series) | | $ | 27,066,142 | | | $ | 26,179,350 | |
154 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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, 2020, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | | Purchases | | | Sales | | | Realized
Gain | |
Series E (Total Return Bond Series) | | $ | 588,938 | | | $ | — | | | $ | — | |
Series P (High Yield Series) | | | 222,316 | | | | 1,359,960 | | | | 18,162 | |
Note 8 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of June 30, 2020. The Funds are obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of June 30, 2020, were as follows:
Fund | Borrower | | Maturity Date | | | Face Amount | | | Value | |
Series F (Floating Rate Strategies Series) | | | | | | | | | | | | |
| | American Express GBT | | | 02/26/27 | | | $ | 91,150 | | | $ | 9,115 | |
| | Aspect Software, Inc. | | | 07/15/23 | | | | 44,625 | | | | 459 | |
| | | | | | | $ | 135,775 | | | $ | 9,574 | |
Series P (High Yield Series) | | | | | | | | | | | | |
| | American Express GBT | | | 02/26/27 | | | $ | 45,575 | | | $ | 4,557 | |
| | Aspect Software, Inc. | | | 07/15/23 | | | | 2,009 | | | | 21 | |
| | | | | | | | $ | 47,584 | | | $ | 4,578 | |
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 | | | $ | 63,613 | | | $ | 63,613 | |
| | FKRT | | | | | | | | | | | | |
| | 5.47% due 07/03/23 | | | 06/12/20 | | | | 1,294,038 | | | | 1,291,318 | |
| | Turbine Engines Securitization Ltd. | | | | | | | | | | | | |
| | 2013-1A, 5.13% due 12/13/48 | | | 11/27/13 | �� | | | 419,508 | | | | 359,548 | |
| | | | | | | | $ | 1,777,159 | | | $ | 1,714,479 | |
Series P (High Yield Series) | | | | | | | | | | | | | |
| | Basic Energy Services, Inc. | | | | | | | | | | | | |
| | 10.75% due 10/15/23 | | | 09/25/18 | | | $ | 173,806 | | | $ | 70,394 | |
| | Beverages & More, Inc. | | | | | | | | | | | | |
| | 11.50% due 06/15/22 | | | 06/16/17 | | | | 365,120 | | | | 332,000 | |
| | Bruin E&P Partners LLC | | | | | | | | | | | | |
| | due 08/01/232 | | | 11/05/18 | | | | 135,048 | | | | 2,780 | |
| | Mirabela Nickel Ltd. | | | | | | | | | | | | |
| | due 06/24/192 | | | 12/31/13 | | | | 353,909 | | | | 19,504 | |
| | | | | | | | $ | 1,027,883 | | | $ | 424,678 | |
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. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 155 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured a 364-day committed, $1,205,000,000 line of credit from Citibank, N.A., which was in place through October 4, 2019 at which time the line of credit was renewed, with an increased commitment amount to $1,230,000,000. 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 allocated 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, 2020.
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, 2020.
Note 11 – Other Liabilities
Series A (StylePlus—Large Core Series) and Series V (SMid 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, 2020.
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 prior to June 30, 2020 was $18,615 for Series A (StylePlus—Large Core Series) and $205,716 for Series V (SMid Cap Value Series) and was included in payable for miscellaneous in the Statements of Assets and Liabilities. On May 15, 2020 before the period end, the Funds each revised the amounts of their liability to $0 after it was determined the Funds have no future obligations related to this matter.
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, 2020, the following Funds entered into reverse repurchase agreements:
Fund | | Number
of Days
Outstanding | | | Balance at
June 30,
2020 | | | Average
Balance
Outstanding | | | Average
Interest
Rate | |
Series E (Total Return Bond Series) | | | 54 | | | $ | 1,660,870 | | | $ | 1,858,673 | | | | (0.09 | %) |
Series P (High Yield Series) | | | 182 | | | | 698,044 | | | | 2,107,360 | | | | 1.50 | % |
156 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statements of Assets of Liabilities in conformity with U.S. GAAP:
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Liabilities | | | 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) | Reverse repurchase agreements | | $ | 1,660,870 | | | $ | — | | | $ | 1,660,870 | | | $ | (1,660,870 | ) | | $ | — | | | $ | — | |
Series P (High Yield Series) | Reverse repurchase agreements | | | 698,044 | | | | — | | | | 698,044 | | | | (698,044 | ) | | | — | | | | — | |
As of June 30, 2020, the Funds had outstanding reverse repurchase agreements with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:
Fund | Counterparty | Interest Rate(s) | | Maturity Date(s) | | | Face Value | |
Series E (Total Return Bond Series) | | | | | | | | | | |
| | Bank Of Montreal | 0.30% | | | 07/13/2020 | | | $ | 833,532 | |
| J.P. Morgan Securities LLC | 0.30% | | | 07/10/2020 | | | | 827,338 | |
| | | | | | | | $ | 1,660,870 | |
Series P (High Yield Series) | | | | | | | | | | |
| | Barclays Capital, Inc. | (1.25%) - 0.50% | | | Open Maturity | | | $ | 595,050 | |
| BofA Securities, Inc. | (1.25%) | | | Open Maturity | | | | 102,994 | |
| | | | | | | | $ | 698,044 | |
The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of period-end, aggregated by asset class of the related collateral pledged by the Funds:
Fund | Asset Type | Up to 30 days | | | Overnight and
Continuous | | | Total | |
Series E (Total Return Bond Series) | Corporate Bonds | $ | 833,532 | | | $ | — | | | $ | 833,532 | |
| Federal Agency Bonds | | 827,338 | | | | — | | | | 827,338 | |
Gross amount of recognized liabilities for reverse repurchase agreements | | $ | 1,660,870 | | | $ | — | | | $ | 1,660,870 | |
| | | | | | | | | | | | |
Series P (High Yield Series) | Corporate Bonds | $ | — | | | $ | 698,044 | | | $ | 698,044 | |
Gross amount of recognized liabilities for reverse repurchase agreements | | $ | — | | | $ | 698,044 | | | $ | 698,044 | |
Note 13 – 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 to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders
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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 December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court.
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 intended 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.
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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. 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. 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. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. On June 22, 2020, the Court scheduled oral argument to occur on August 24, 2020.
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 14 – COVID-19 and Recent Developments
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in the Funds are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
Note 15 – 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.
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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 (SMid 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”) |
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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.2 At meetings held by videoconference and/or telephonically on April 20–21, 2020 (the “April Meeting”) and on May 15 and 18, 2020 (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. 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 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 other Guggenheim funds 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 an “Adviser” and together, the “Advisers.” |
2 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief was originally limited to the period from March 13, 2020 to June 15, 2020 and was subsequently extended through August 15, 2020. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreements at a meeting of the Board held by videoconference on May 18, 2020. |
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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 also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including 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 and other Guggenheim 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, 2019, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2020.
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 for those Funds with circumstances in which recent enhancements had been 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.
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In addition, the Committee made the following observations:
Series B (Large Cap Value Series): The Fund’s returns ranked in the 40th and 78th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was primarily due to the Fund’s overweight exposure to value stocks relative to its peers, driven by the Fund’s disciplined, Delta-Y-based investment process. The Committee considered the Fund’s competitive performance over the five-year time period, noting management’s statement that such performance was due to the implementation of Compass, a stock selection tool, in August 2014. The Committee also took into account management’s statement that the investment team was expanded and given enhanced tools and flexibility in 2019 to construct portfolios that harness Guggenheim’s security selection capabilities with better control of factor risks. The Committee noted that, although as of March 31, 2020 the performance rankings for the Fund had not improved, the implementation of Compass had resulted in improved performance for other funds in the Guggenheim fund complex.
Series D (World Equity Income Series): The Fund’s returns ranked in the 64th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was primarily due to its emphasis on producing a high level of dividend income during a period in which dividend-paying stocks underperformed broader equity indices. The Committee noted management’s statement that the Fund’s peer group, as identified by FUSE, consists of funds that invest in global equities without a particular focus on dividend income, whereas the Fund performed competitively over the three-year time period when compared to management’s internal peer group, which utilizes the Lipper Global Equity Income peer group. The Committee took into account management’s statement that, in early 2020, the investment team revised the investment process for the Fund to allow greater flexibility to employ Guggenheim’s fundamental factor and sector models to generate alpha, which is expected to improve performance. The Committee noted that, as of March 31, 2020, the five-year and three-year performance rankings had improved to the 47th and 56th percentiles, respectively, and that one-year performance ranked in the 58th percentile.
Series J (StylePlus—Mid Growth Series): The Fund’s returns ranked in the 68th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was attributable to the Fund’s defensively-positioned portfolio, in particular its holdings in Guggenheim’s Enhanced Strategy funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views, as well as the Fund’s style tilt to value-oriented, lower-growth companies. The Committee noted that, as of March 31, 2020, the three-year performance ranking had improved to the 78th percentile, while the five-year performance ranking had not improved, ranking in the 71st percentile.
Series O (All Cap Value Series): The Fund’s returns ranked in the 32nd and 80th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was primarily due to the Fund’s overweight exposure to value stocks relative to its peers, driven by the Fund’s disciplined, Delta-Y-based investment process. The Committee considered the Fund’s competitive performance over the five-year time period, noting management’s statement that such performance was due to the implementation of Compass, a stock selection tool, in August 2014. The Committee also took into account management’s statement that the investment team was expanded and given enhanced tools and flexibility in 2019 to construct portfolios that harness Guggenheim’s security selection capabilities with better control of factor risks. The Committee noted that, although as of March 31, 2020 the performance rankings for the Fund had not improved, the implementation of Compass had resulted in improved performance for other funds in the Guggenheim fund complex.
Series P (High Yield Series): The Fund’s returns ranked in the 56th and 93rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was primarily due to the Fund’s defensive positioning that was implemented beginning in 2018, notably an underweight in credit risks and a lower duration and average maturity, reflecting Guggenheim’s market views. The Committee took into account management’s statement that the investment team believes that a defensive approach is warranted, in light of the team’s view that credit fundamentals are deteriorating and markets remain disproportionately tight, and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2020, the three-year performance ranking had improved to the 86th percentile, while the five-year performance ranking had not improved, ranking in the 58th percentile.
Series Q (Small Cap Value Series): The Fund’s returns ranked in the 76th and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s overweight exposure to value stocks relative to its peers, driven
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by the Fund’s disciplined, Delta-Y-based investment process. The Committee considered the Fund’s competitive performance in 2019. The Committee noted that, as of March 31, 2020, the five-year and three-year performance rankings had improved to the 30th and 33rd percentiles, respectively.
Series X (StylePlus—Small Growth Series): The Fund’s returns ranked in the 71st and 82nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was attributable to the Fund’s defensively-positioned portfolio, in particular its holdings in Guggenheim’s Enhanced Strategy funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views, as well as the Fund’s style tilt to value-oriented, lower-growth companies. The Committee noted that, as of March 31, 2020, the three-year performance ranking had improved to the 79th percentile, while the five-year performance ranking had not improved, ranking in the 80th percentile.
Series Z (Alpha Opportunity Series): The Fund’s returns ranked in the 100th percentile of its performance universe for the five-year and three-year periods ended December 31, 2019. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, high positive allocation to value and short on growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee took into account management’s statement that, since October 2016, the Fund’s investment team has implemented enhancements to a number of components of the investment model used for the Fund, including revising expected risk models and security selection models, expanding the number of industry models used and more recently adding a macro overlay to better incorporate Guggenheim’s market views. The Committee noted that, as of March 31, 2020, the five-year and three-year performance rankings had improved to the 73rd and 86th percentiles, respectively, and that one-year performance ranked in the 54th percentile. The Committee also considered Guggenheim’s statement that it continues to conduct ongoing research into potential enhancements to improve the Fund’s performance, but is not currently contemplating any changes to the Fund’s portfolio construction process in the near term.
After reviewing the foregoing and other 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 Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee3 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, including the personnel involved, noting Guggenheim’s statement that, while Fund flows and profitability are evaluated, primary consideration is given to market competitiveness, support requirements and shareholder return and expense expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by 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 that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
164 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(continued) |
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that each Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank in the third quartile or better of such Fund’s peer group.
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 first quartile (1st 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 noted that the Fund’s net effective management fee reflects a waiver in place for the Fund and that there were no management fee waivers in place for any of the peer funds. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception and five-year periods ended December 31, 2019. The Committee also considered that the peer group is limited in size and is comprised of only five 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 (79th 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 (14th and 21st percentiles, respectively) 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 7th percentiles, respectively) of its peer group. The Fund’s total net expense ratio ranks in the fourth quartile (80th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception period ended December 31, 2019. 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 (75th percentile) of its peer group. The Fund’s net effective management fee ranks in the first quartile (1st 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 benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2019, 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, 2018. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented, and concluded that the profits were not unreasonable.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 165 |
OTHER INFORMATION (Unaudited)(concluded) |
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee 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.
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 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. The Committee also received information regarding the amounts that had been shared with shareholders through such expense waivers and limitations. 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, among other things considered, the Committee determined that the advisory fee for each Fund was reasonable.
Overall Conclusions
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 or her well-informed 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.
166 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES | | | |
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee) Since July 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 157 | Current: Purpose Investments Funds (2013-present).
Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present).
Former: Senior Leader, TIAA (1987-2012). | 156 | Current: Hunt Companies, Inc. (2019-present).
Former: Infinity Property & Casualty Corp. (2014-2018). |
Donald A. Chubb, Jr. (1946) | Trustee | Since 1994 | Current: Retired
Former: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-2017). | 156 | Former: Midland Care, Inc. (2011-2016). |
Jerry B. Farley (1946) | Trustee | Since 2005 | Current: President, Washburn University (1997-present). | 156 | Current: CoreFirst Bank & Trust (2000-present).
Former: Westar Energy, Inc. (2004-2018). |
Roman Friedrich III (1946) | Trustee | Since 2014 | Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). | 156 | Former: Zincore Metals, Inc. (2009-2019). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee) Since July 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present).
Former: Harvest Volatility Edge Trust (3) (2017-2019). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - concluded | | |
Ronald A. Nyberg (1953) | Trustee and Chair 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). | 157 | Current: PPM Funds (9) (2018 - present); Edward-Elmhurst Healthcare System (2012-present).
Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee) Since July 2020 (Chair of the Audit Committee) | Current: Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 156 | Current: SPDR Series Trust (78) (2018-present); SPDR Index Shares Funds (31) (2018-present); SSGA Active Trust (12) (2018-present); and SSGA Master Trust (1) (2018-present). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present).
Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
168 | 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
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INTERESTED TRUSTEE | | | | |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President) | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 156 | 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. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 169 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS | | | |
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and 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 and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present).
Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
William Rehder (1967) | Assistant Vice President | Since 2018 | Current: Managing Director, Guggenheim Investments (2002-present). |
170 | 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
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - concluded | | |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
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. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
| | ● | We use information as otherwise permitted by law, as we may notify you. |
| | ● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
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174 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Variable Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from December 1, 2018, through March 31, 2020. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
| | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 175 |
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| Item 2. | Code of Ethics. |
| | |
| | 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. |
| | |
| Item 6. | Investments. |
| | |
| | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form. |
| | |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
| | |
| | Not applicable. |
| | |
| Item 8. | Portfolio Mangers of Closed-end Management Investment Companies |
| | |
| | Not applicable |
| | |
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
| | |
| | Not applicable. |
| | |
| Item 10. | Submission of Matters to a Vote of Security Holders. |
| | |
| | The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board. |
| | |
| | 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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 12. | Disclosure of Securities Lending Activities for Closed End Management Investment Companies. |
| | |
| | Not Applicable |
| | |
| Item 13. | Exhibits. |
(a)(1) 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 8, 2020 | |
| | | |
| 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 8, 2020 | |
| | | |
| By (Signature and Title)* | /s/ John L. Sullivan | |
| | John L. Sullivan, Chief Financial Officer and Treasurer | |
| | | |
| Date | September 8, 2020 | |
| * | Print the name and title of each signing officer under his or her signature. |
