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: (301) 296-5100
Date of fiscal year end: December 31
Date of reporting period: January 1, 2023 - December 31, 2023
| Item 1. | Reports to Stockholders. |
The registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows
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12.31.2023
Guggenheim Variable Funds Trust 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) | |
Series X | (StylePlus—Small Growth Series) | |
Series Y | (StylePlus—Large Growth Series) | |
Series Z | (Alpha Opportunity Series) | |
GuggenheimInvestments.com | GVFT-ANN-1223x1224 |
TABLE OF CONTENTS |
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) | 18 |
SERIES D (WORLD EQUITY INCOME SERIES) | 27 |
SERIES E (TOTAL RETURN BOND SERIES) | 36 |
SERIES F (FLOATING RATE STRATEGIES SERIES) | 58 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) | 73 |
SERIES N (MANAGED ASSET ALLOCATION SERIES) | 83 |
SERIES O (ALL CAP VALUE SERIES) | 92 |
SERIES P (HIGH YIELD SERIES) | 102 |
SERIES Q (SMALL CAP VALUE SERIES) | 117 |
SERIES V (SMID CAP VALUE SERIES) | 127 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) | 137 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) | 147 |
SERIES Z (ALPHA OPPORTUNITY SERIES) | 156 |
NOTES TO FINANCIAL STATEMENTS | 174 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 198 |
OTHER INFORMATION | 199 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 201 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 207 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| December 31, 2023 |
Dear Shareholder:
Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“SI”, “GPIM”, or the “Investment Advisers”) are pleased to present the 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 annual period ended December 31, 2023 (the “Reporting Period”).
The Investment Advisers are part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Advisers.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
Guggenheim Partners Investment Management, LLC
January 31, 2024
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
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| December 31, 2023 |
in other investment vehicles subject the Funds to those risks and expenses affecting the investment vehicle. ● The Funds may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● The Funds may invest in fixed income securities whose market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Funds’ exposure to high yield securities may subject the Funds to greater volatility. ● The Funds may invest in bank loans and asset-backed securities, including mortgage backed, which involve special types of risks. ● The Funds may invest in restricted securities which may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Funds are not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
The Series Value Funds may not be suitable for all investors. ● An investment in the Funds will fluctuate and is subject to investment risks, which means investors could lose money. The intrinsic value of the underlying stocks may never be realized or the stocks may decline in value. Investments in small- and/or mid-sized company securities may present additional risks such as less predictable earnings, higher volatility and less liquidity than larger, more established companies. ● Please read the prospectus for more detailed information regarding these and other risks.
The Series D (World Equity Income Series) may not be suitable for all investors. ● Investments in securities in general are subject to market risks that may cause their prices to fluctuate over time. ●The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets are generally subject to an even greater level of risks). Additionally, the Fund’s exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. Dollar. ● The Fund’s investments in derivatives may pose risks in addition to those associated with investing directly in securities or other investments, including illiquidity of the derivatives, imperfect correlations with underlying investments or the Fund’s other portfolio holdings, lack of availability and counterparty risk. ●The Fund’s use of leverage, through instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ●The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ●The Fund may have significant exposure to securities in a particular capitalization range e.g., large-, mid- or small-cap securities. As a result, the Fund may be subject to the risk that the pre-denominate capitalization range may underperform other segments of the equity market or the equity market as a whole. ● Please read the prospectus for more detailed information regarding these and other risks.
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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
| December 31, 2023 |
transactional costs. The Investment Manager may not be able to cause certain of the underlying funds’ performance to match or correlate to that of the underlying funds’ respective underlying index or benchmark, either on a daily or aggregate basis. Factors such as underlying fund expenses, imperfect correlation between an underlying fund’s investments and those of its underlying index or underlying benchmark, rounding of share prices, changes to the composition of the underlying index or underlying benchmark, regulatory policies, high portfolio turnover rate, and the use of leverage all contribute to tracking error. Tracking error may cause an underlying fund’s and, thus the Fund’s, performance to be less than you expect. ● Please read the prospectus for more detailed information regarding these and other risks.
The Series P (High Yield Series) may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ●The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● The Fund may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
The Series Z (Alpha Opportunity Series) may not be suitable for all investors. ● Investments in securities and derivatives, in general, are subject to market risks that may cause their prices to fluctuate over time. An investment in the Fund may lose money. There can be no guarantee the Fund will achieve it investment objective. ●The Fund’s use of derivatives such as futures, options and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● Certain of the derivative instruments, such as swaps and structured notes, are also subject to the risks of counterparty default and adverse tax treatment. ●The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risk and costs, including paying more for a security than it received from its sale and the risk of unlimited losses. ●In certain circumstances the Fund may be subject to liquidity risk and it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. ●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 ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | December 31, 2023 |
The U.S. economy has proved resilient to tight monetary policy by the Federal Reserve (the “Fed”), helped by falling inflation boosting real incomes and consumer sentiment, an expansion in the fiscal deficit over the past year, and a supply-side boost as labor force participation improves. We believe these tailwinds are likely to fade going forward which would pressure growth. Consumer spending also faces headwinds from dwindling excess savings buffers.
The Fed-induced easing of financial conditions, with interest rates falling and stock prices rising, has taken pressure off the economy and helped bring down recession risk. While it appears recession risk has come down, it is still materially higher than very optimistic market expectations would suggest. The 2024 election could add to volatility and uncertainty. We expect Treasury yields to decline more than the market currently anticipates in 2024, though they are unlikely to return to the lows of the last cycle.
We expect default rates to stay elevated as U.S. companies cope with rising borrowing costs and limited credit availability, but the stress will become increasingly bifurcated between large and small companies. High-quality corporate debt and structured credit yields should provide an income cushion that could reduce the impact if spreads should widen from here.
The two-year Treasury yield declined to 4.23% from 5.03% in the fourth quarter, while the 10-year Treasury yield dropped to 3.88% from 4.59%, a 9 basis point flattening in the 2s/10s yield curve. One basis point equals 0.01%. Investment-grade corporate bond issuance has been robust, predominantly split between financials and industrials. Investment-grade spreads, which peaked at 163 basis points in April, tightened to 103 basis points by the end of the year. Meanwhile, high-yield bond credit spreads narrowed to just 363 basis points by year-end, the tightest since April 2022, and marking a significant reduction from 491 basis points at the beginning of the year. Leveraged loan discount margins tightened from 652 basis points to 528 basis points, but 44% of the loan index is trading at spreads below 400 basis points and the median loan ended the year at 464 basis points. Structured credit spreads rallied into year-end, capping a strong year of outperformance for structured credit. In CLOs, we continue to expect range bound primary spreads and an increase in refinancings and resets in early 2024.
For the Reporting Period, the S&P 500® Index* returned 26.29%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 18.24%. The return of the MSCI Emerging Markets Index* was 9.83%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 5.53% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 13.45%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 5.05% for the Reporting Period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market.
ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
MSCI World (Net) 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.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | December 31, 2023 |
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.
Russell 3000® Value Index measures the performance of the broad value segment of the U.S. equity value universe. It includes those Russell 3000 companies with lower price-to-book ratios and lower forecasted growth values.
Russell 2500® Value Index measures the performance of the small- to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500 companies with lower price-to-book ratios and lower forecasted growth values.
Russell 2000® Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.
Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.
Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth value.
Russell 1000® Value Index measures of the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values.
Russell Midcap® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap Index companies with higher price-to-book ratios and higher forecasted growth values.
S&P 500® Index is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
|
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning June 30, 2023 and ending December 31, 2023.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
Series A (StylePlus—Large Core Series) | 0.97% | 8.53% | $ 1,000.00 | $ 1,085.30 | $ 5.10 |
Series B (Large Cap Value Series) | 0.77% | 4.67% | 1,000.00 | 1,046.70 | 3.97 |
Series D (World Equity Income Series) | 0.87% | 6.51% | 1,000.00 | 1,065.10 | 4.53 |
Series E (Total Return Bond Series) | 1.08% | 3.83% | 1,000.00 | 1,038.30 | 5.55 |
Series F (Floating Rate Strategies Series) | 1.16% | 5.20% | 1,000.00 | 1,052.00 | 6.00 |
Series J (StylePlus—Mid Growth Series) | 1.03% | 8.69% | 1,000.00 | 1,086.90 | 5.42 |
Series N (Managed Asset Allocation Series) | 0.97% | 5.39% | 1,000.00 | 1,053.90 | 5.02 |
Series O (All Cap Value Series) | 0.85% | 4.53% | 1,000.00 | 1,045.30 | 4.38 |
Series P (High Yield Series) | 1.08% | 7.18% | 1,000.00 | 1,071.80 | 5.64 |
Series Q (Small Cap Value Series) | 1.11% | 8.69% | 1,000.00 | 1,086.90 | 5.84 |
Series V (SMid Cap Value Series) | 0.88% | 5.76% | 1,000.00 | 1,057.60 | 4.56 |
Series X (StylePlus—Small Growth Series) | 1.11% | 6.17% | 1,000.00 | 1,061.70 | 5.77 |
Series Y (StylePlus—Large Growth Series) | 1.04% | 10.20% | 1,000.00 | 1,102.00 | 5.51 |
Series Z (Alpha Opportunity Series) | 1.98% | 3.43% | 1,000.00 | 1,034.30 | 10.15 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Series A (StylePlus—Large Core Series) | 0.97% | 5.00% | $ 1,000.00 | $ 1,020.32 | $ 4.94 |
Series B (Large Cap Value Series) | 0.77% | 5.00% | 1,000.00 | 1,021.32 | 3.92 |
Series D (World Equity Income Series) | 0.87% | 5.00% | 1,000.00 | 1,020.82 | 4.43 |
Series E (Total Return Bond Series) | 1.08% | 5.00% | 1,000.00 | 1,019.76 | 5.50 |
Series F (Floating Rate Strategies Series) | 1.16% | 5.00% | 1,000.00 | 1,019.36 | 5.90 |
Series J (StylePlus—Mid Growth Series) | 1.03% | 5.00% | 1,000.00 | 1,020.01 | 5.24 |
Series N (Managed Asset Allocation Series) | 0.97% | 5.00% | 1,000.00 | 1,020.32 | 4.94 |
Series O (All Cap Value Series) | 0.85% | 5.00% | 1,000.00 | 1,020.92 | 4.33 |
Series P (High Yield Series) | 1.08% | 5.00% | 1,000.00 | 1,019.76 | 5.50 |
Series Q (Small Cap Value Series) | 1.11% | 5.00% | 1,000.00 | 1,019.61 | 5.65 |
Series V (SMid Cap Value Series) | 0.88% | 5.00% | 1,000.00 | 1,020.77 | 4.48 |
Series X (StylePlus—Small Growth Series) | 1.11% | 5.00% | 1,000.00 | 1,019.61 | 5.65 |
Series Y (StylePlus—Large Growth Series) | 1.04% | 5.00% | 1,000.00 | 1,019.96 | 5.30 |
Series Z (Alpha Opportunity Series) | 1.98% | 5.00% | 1,000.00 | 1,015.22 | 10.06 |
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 | 12/31/23 |
Series A (StylePlus—Large Core Series) | 0.84% |
Series B (Large Cap Value Series) | 0.77% |
Series D (World Equity Income Series) | 0.87% |
Series E (Total Return Bond Series) | 0.76% |
Series F (Floating Rate Strategies Series) | 1.13% |
Series J (StylePlus—Mid Growth Series) | 0.91% |
Series O (All Cap Value Series) | 0.85% |
Series P (High Yield Series) | 1.05% |
Series Q (Small Cap Value Series) | 1.11% |
Series V (SMid Cap Value Series) | 0.88% |
Series X (StylePlus—Small Growth Series) | 1.03% |
Series Y (StylePlus—Large Growth Series) | 0.88% |
Series Z (Alpha Opportunity Series) | 1.97% |
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 184/365 (to reflect the one-half year period). Expenses shown do not include fees charged by insurance companies. |
3 | Actual cumulative return at net asset value for the period June 30, 2023 to December 31, 2023. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series A (StylePlusTM—Large Core Series, or the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer - Equities and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 26.90%, outperforming the S&P 500 Index (“Index”), the Fund’s benchmark, which returned 26.29%.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
Over the Reporting Period, 15%-25% of the total equity position was allocated to actively managed equity and 75%-85% to passive equity. Remaining Fund assets were invested in the Guggenheim Strategy Funds, short-term fixed-income investment companies advised by Guggenheim Investments, and the Guggenheim Ultra Short Duration Fund, whose objective is to seek a high level of income consistent with the preservation of capital.
The Fund outperformed the S&P 500 Index for the Reporting Period by 0.61% net of fees. The Fund performed better than the benchmark due to contribution from the active fixed income sleeve, offset by a negative contribution from the equity sleeve, as well as the cost of derivatives and Fund fees and expenses.
How did the Fund use derivatives during the Reporting Period?
The passive equity component, which accounted for 75%-85% of the Fund’s exposure to the broad equity market, consisted of equity index swaps and equity index futures. On average, the equity index futures accounted for 0%-5% of the overall exposure, with the remainder from equity index swaps. Both the swaps and futures benefited performance.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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 | 24.3% |
Guggenheim Variable Insurance Strategy Fund III | 23.0% |
Guggenheim Strategy Fund II | 14.5% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 12.3% |
Microsoft Corp. | 1.6% |
Apple, Inc. | 1.6% |
Alphabet, Inc. — Class C | 0.7% |
Amazon.com, Inc. | 0.7% |
NVIDIA Corp. | 0.5% |
Meta Platforms, Inc. — Class A | 0.4% |
Top Ten Total | 79.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series A (StylePlus—Large Core Series) | 26.90% | 14.83% | 11.72% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) |
| Shares | Value | ||||||
COMMON STOCKS† - 21.4% | ||||||||
Technology - 7.1% | ||||||||
Microsoft Corp. | 9,938 | $ | 3,737,086 | |||||
Apple, Inc. | 19,163 | 3,689,452 | ||||||
NVIDIA Corp. | 2,238 | 1,108,302 | ||||||
QUALCOMM, Inc. | 4,946 | 715,340 | ||||||
International Business Machines Corp. | 3,964 | 648,312 | ||||||
Broadcom, Inc. | 532 | 593,845 | ||||||
NXP Semiconductor N.V. | 2,567 | 589,589 | ||||||
Applied Materials, Inc. | 3,559 | 576,807 | ||||||
Microchip Technology, Inc. | 6,206 | 559,657 | ||||||
Skyworks Solutions, Inc. | 4,914 | 552,432 | ||||||
KLA Corp. | 864 | 502,243 | ||||||
NetApp, Inc. | 5,415 | 477,386 | ||||||
Texas Instruments, Inc. | 2,493 | 424,957 | ||||||
Fair Isaac Corp.* | 318 | 370,155 | ||||||
Lam Research Corp. | 452 | 354,034 | ||||||
Hewlett Packard Enterprise Co. | 18,285 | 310,479 | ||||||
HP, Inc. | 8,516 | 256,247 | ||||||
Fortinet, Inc.* | 3,421 | 200,231 | ||||||
Intuit, Inc. | 247 | 154,382 | ||||||
Cognizant Technology Solutions Corp. — Class A | 1,952 | 147,435 | ||||||
Salesforce, Inc.* | 553 | 145,517 | ||||||
Adobe, Inc.* | 232 | 138,411 | ||||||
Total Technology | 16,252,299 | |||||||
Consumer, Non-cyclical - 3.4% | ||||||||
Merck & Company, Inc. | 7,386 | 805,222 | ||||||
Amgen, Inc. | 2,336 | 672,815 | ||||||
Gilead Sciences, Inc. | 7,437 | 602,471 | ||||||
Vertex Pharmaceuticals, Inc.* | 1,480 | 602,197 | ||||||
Bristol-Myers Squibb Co. | 11,592 | 594,785 | ||||||
Incyte Corp.* | 8,579 | 538,676 | ||||||
United Rentals, Inc. | 928 | 532,134 | ||||||
Molina Healthcare, Inc.* | 1,347 | 486,685 | ||||||
Philip Morris International, Inc. | 4,897 | 460,709 | ||||||
HCA Healthcare, Inc. | 1,691 | 457,720 | ||||||
Altria Group, Inc. | 9,667 | 389,967 | ||||||
Regeneron Pharmaceuticals, Inc.* | 410 | 360,099 | ||||||
Pfizer, Inc. | 7,826 | 225,311 | ||||||
UnitedHealth Group, Inc. | 411 | 216,379 | ||||||
Humana, Inc. | 472 | 216,086 | ||||||
Eli Lilly & Co. | 318 | 185,369 | ||||||
AbbVie, Inc. | 1,097 | 170,002 | ||||||
Johnson & Johnson | 871 | 136,520 | ||||||
Procter & Gamble Co. | 910 | 133,351 | ||||||
Total Consumer, Non-cyclical | 7,786,498 | |||||||
Communications - 3.3% | ||||||||
Alphabet, Inc. — Class C* | 11,833 | 1,667,624 | ||||||
Amazon.com, Inc.* | 10,519 | 1,598,257 | ||||||
Meta Platforms, Inc. — Class A* | 2,753 | 974,452 | ||||||
Cisco Systems, Inc. | 14,643 | 739,764 | ||||||
Booking Holdings, Inc.* | 190 | 673,972 | ||||||
F5, Inc.* | 2,755 | 493,090 | ||||||
Juniper Networks, Inc. | 16,524 | 487,128 | ||||||
VeriSign, Inc.* | 2,234 | 460,114 | ||||||
eBay, Inc. | 9,532 | 415,786 | ||||||
Total Communications | 7,510,187 | |||||||
Industrial - 2.7% | ||||||||
Caterpillar, Inc. | 2,253 | 666,144 | ||||||
Lockheed Martin Corp. | 1,303 | 590,572 | ||||||
Deere & Co. | 1,459 | 583,410 | ||||||
Keysight Technologies, Inc.* | 3,583 | 570,019 | ||||||
Illinois Tool Works, Inc. | 2,024 | 530,166 | ||||||
IDEX Corp. | 2,376 | 515,853 | ||||||
Snap-on, Inc. | 1,721 | 497,094 | ||||||
Textron, Inc. | 5,659 | 455,097 | ||||||
Otis Worldwide Corp. | 4,769 | 426,683 | ||||||
Masco Corp. | 6,193 | 414,807 | ||||||
Garmin Ltd. | 3,166 | 406,958 | ||||||
A O Smith Corp. | 4,390 | 361,912 | ||||||
Total Industrial | 6,018,715 | |||||||
Consumer, Cyclical - 2.1% | ||||||||
PACCAR, Inc. | 5,656 | 552,308 | ||||||
DR Horton, Inc. | 3,208 | 487,552 | ||||||
Cummins, Inc. | 2,010 | 481,536 | ||||||
WW Grainger, Inc. | 574 | 475,668 | ||||||
Lennar Corp. — Class A | 3,127 | 466,048 | ||||||
PulteGroup, Inc. | 4,368 | 450,865 | ||||||
NVR, Inc.* | 62 | 434,028 | ||||||
Tesla, Inc.* | 1,453 | 361,041 | ||||||
BorgWarner, Inc. | 8,790 | 315,122 | ||||||
Lowe’s Companies, Inc. | 1,144 | 254,597 | ||||||
Home Depot, Inc. | 715 | 247,783 | ||||||
General Motors Co. | 4,215 | 151,403 | ||||||
Total Consumer, Cyclical | 4,677,951 | |||||||
Financial - 1.4% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 1,585 | 565,306 | ||||||
Hartford Financial Services Group, Inc. | 6,274 | 504,304 | ||||||
Capital One Financial Corp. | 3,667 | 480,817 | ||||||
Everest Group Ltd. | 1,202 | 425,003 | ||||||
Synchrony Financial | 10,261 | 391,868 | ||||||
JPMorgan Chase & Co. | 2,007 | 341,391 | ||||||
Loews Corp. | 3,904 | 271,680 | ||||||
Visa, Inc. — Class A | 907 | 236,137 | ||||||
Total Financial | 3,216,506 | |||||||
Energy - 0.9% | ||||||||
EOG Resources, Inc. | 4,472 | 540,888 | ||||||
Valero Energy Corp. | 4,108 | 534,040 | ||||||
Marathon Petroleum Corp. | 3,565 | 528,903 | ||||||
Exxon Mobil Corp. | 3,021 | 302,040 | ||||||
APA Corp. | 3,886 | 139,430 | ||||||
Total Energy | 2,045,301 | |||||||
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) |
| Shares | Value | ||||||
Utilities - 0.4% | ||||||||
Atmos Energy Corp. | 4,217 | $ | 488,750 | |||||
Public Service Enterprise Group, Inc. | 7,823 | 478,377 | ||||||
Total Utilities | 967,127 | |||||||
Basic Materials - 0.1% | ||||||||
CF Industries Holdings, Inc. | 2,461 | 195,650 | ||||||
Total Common Stocks | ||||||||
(Cost $42,095,388) | 48,670,234 | |||||||
MUTUAL FUNDS† - 74.1% | ||||||||
Guggenheim Strategy Fund III1 | 2,254,600 | 55,350,435 | ||||||
Guggenheim Variable Insurance Strategy Fund III1 | 2,133,857 | 52,343,502 | ||||||
Guggenheim Strategy Fund II1 | 1,347,488 | 33,013,461 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 2,836,457 | 27,939,102 | ||||||
Total Mutual Funds | ||||||||
(Cost $170,430,166) | 168,646,500 | |||||||
MONEY MARKET FUND† - 4.8% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.25%2 | 10,958,247 | 10,958,247 | ||||||
Total Money Market Fund | ||||||||
(Cost $10,958,247) | 10,958,247 | |||||||
Total Investments - 100.3% | ||||||||
(Cost $223,483,801) | $ | 228,274,981 | ||||||
Other Assets & Liabilities, net - (0.3)% | (771,130 | ) | ||||||
Total Net Assets - 100.0% | $ | 227,503,851 | ||||||
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
S&P 500 Index Mini Futures Contracts | 20 | Mar 2024 | $ | 4,819,000 | $ | 141,598 | ||||||||||
Total Return Swap Agreements | |||||||||||||||||||||||
Counterparty | Index | Type | Financing | Payment | Maturity | Units | Notional | Value and | |||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||
Wells Fargo Bank, N.A. | S&P 500 Index | Pay | 5.93% (Federal | At Maturity | 03/31/24 | 17,034 | $ | 175,920,168 | $ | 18,411,216 | |||||||||||||
* | 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 December 31, 2023. |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 48,670,234 | $ | — | $ | — | $ | 48,670,234 | ||||||||
Mutual Funds | 168,646,500 | — | — | 168,646,500 | ||||||||||||
Money Market Fund | 10,958,247 | — | — | 10,958,247 | ||||||||||||
Equity Futures Contracts** | 141,598 | — | — | 141,598 | ||||||||||||
Equity Index Swap Agreements** | — | 18,411,216 | — | 18,411,216 | ||||||||||||
Total Assets | $ | 228,416,579 | $ | 18,411,216 | $ | — | $ | 246,827,795 | ||||||||
** | 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 21,079,040 | $ | 24,072,645 | $ | (12,611,900 | ) | $ | 960 | $ | 472,716 | $ | 33,013,461 | 1,347,488 | $ | 1,190,614 | ||||||||||||||||
Guggenheim Strategy Fund III | 54,778,133 | 2,985,401 | (3,519,150 | ) | (107,256 | ) | 1,213,307 | 55,350,435 | 2,254,600 | 2,989,658 | ||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 25,924,450 | 1,435,732 | — | — | 578,920 | 27,939,102 | 2,836,457 | 1,437,360 | ||||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 53,430,927 | 2,866,376 | (4,949,040 | ) | (144,780 | ) | 1,140,019 | 52,343,502 | 2,133,857 | 2,870,741 | ||||||||||||||||||||||
| $ | 155,212,550 | $ | 31,360,154 | $ | (21,080,090 | ) | $ | (251,076 | ) | $ | 3,404,962 | $ | 168,646,500 | $ | 8,488,373 | |||||||||||||||||
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES A (STYLEPLUS—LARGE CORE SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $53,053,635) | $ | 59,628,481 | ||
Investments in affiliated issuers, at value (cost $170,430,166) | 168,646,500 | |||
Cash | 4 | |||
Segregated cash with broker | 246,000 | |||
Unrealized appreciation on OTC swap agreements | 18,411,216 | |||
Prepaid expenses | 14,308 | |||
Receivables: | ||||
Dividends | 813,338 | |||
Interest | 34,569 | |||
Total assets | 247,794,416 | |||
Liabilities: | ||||
Segregated cash due to broker | 16,650,000 | |||
Payable for: | ||||
Swap settlement | 2,335,070 | |||
Securities purchased | 787,644 | |||
Fund shares redeemed | 225,626 | |||
Management fees | 95,485 | |||
Distribution and service fees | 47,511 | |||
Variation margin on futures contracts | 13,250 | |||
Fund accounting/administration fees | 3,428 | |||
Transfer agent/maintenance fees | 2,015 | |||
Trustees’ fees* | 1,995 | |||
Miscellaneous | 128,541 | |||
Total liabilities | 20,290,565 | |||
Net assets | $ | 227,503,851 | ||
Net assets consist of: | ||||
Paid in capital | $ | 207,375,490 | ||
Total distributable earnings (loss) | 20,128,361 | |||
Net assets | $ | 227,503,851 | ||
Capital shares outstanding | 5,582,910 | |||
Net asset value per share | $ | 40.75 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $1,582) | $ | 816,801 | ||
Dividends from securities of affiliated issuers | 8,488,373 | |||
Interest | 365,822 | |||
Total investment income | 9,670,996 | |||
Expenses: | ||||
Management fees | 1,577,542 | |||
Distribution and service fees | 522,799 | |||
Transfer agent/maintenance fees | 25,014 | |||
Interest expense | 367,265 | |||
Fund accounting/administration fees | 94,006 | |||
Professional fees | 92,486 | |||
Custodian fees | 20,202 | |||
Trustees’ fees* | 15,459 | |||
Line of credit fees | 8,040 | |||
Miscellaneous | 23,298 | |||
Total expenses | 2,746,111 | |||
Less: | ||||
Expenses reimbursed by Adviser | (3,544 | ) | ||
Expenses waived by Adviser | (583,537 | ) | ||
Earnings credits applied | (8,257 | ) | ||
Total waived/reimbursed expenses | (595,338 | ) | ||
Net expenses | 2,150,773 | |||
Net investment income | 7,520,223 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 2,209,289 | |||
Investments in affiliated issuers | (251,076 | ) | ||
Swap agreements | 13,558,607 | |||
Futures contracts | 591,006 | |||
Net realized gain | 16,107,826 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 6,906,707 | |||
Investments in affiliated issuers | 3,404,962 | |||
Swap agreements | 16,209,583 | |||
Futures contracts | 234,478 | |||
Net change in unrealized appreciation (depreciation) | 26,755,730 | |||
Net realized and unrealized gain | 42,863,556 | |||
Net increase in net assets resulting from operations | $ | 50,383,779 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
SERIES A (STYLEPLUS—LARGE CORE SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 7,520,223 | $ | 3,382,560 | ||||
Net realized gain (loss) on investments | 16,107,826 | (26,632,209 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 26,755,730 | (31,208,128 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 50,383,779 | (54,457,777 | ) | |||||
Distributions to shareholders | (3,382,567 | ) | (58,728,698 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 4,913,388 | 3,989,714 | ||||||
Distributions reinvested | 3,382,567 | 58,728,698 | ||||||
Cost of shares redeemed | (23,907,800 | ) | (23,388,008 | ) | ||||
Net increase (decrease) from capital share transactions | (15,611,845 | ) | 39,330,404 | |||||
Net increase (decrease) in net assets | 31,389,367 | (73,856,071 | ) | |||||
Net assets: | ||||||||
Beginning of year | 196,114,484 | 269,970,555 | ||||||
End of year | $ | 227,503,851 | $ | 196,114,484 | ||||
Capital share activity: | ||||||||
Shares sold | 134,474 | 85,664 | ||||||
Shares issued from reinvestment of distributions | 88,758 | 1,731,388 | ||||||
Shares redeemed | (654,163 | ) | (556,929 | ) | ||||
Net increase (decrease) in shares | (430,931 | ) | 1,260,123 | |||||
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES A (STYLEPLUS—LARGE CORE SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 32.61 | $ | 56.79 | $ | 49.39 | $ | 44.24 | $ | 36.80 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 1.30 | .64 | .26 | .38 | .68 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 7.43 | (11.88 | ) | 13.22 | 7.46 | 10.06 | ||||||||||||||
Total from investment operations | 8.73 | (11.24 | ) | 13.48 | 7.84 | 10.74 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.59 | ) | (.27 | ) | (.41 | ) | (.74 | ) | (.91 | ) | ||||||||||
Net realized gains | — | (12.67 | ) | (5.67 | ) | (1.95 | ) | (2.39 | ) | |||||||||||
Total distributions | (.59 | ) | (12.94 | ) | (6.08 | ) | (2.69 | ) | (3.30 | ) | ||||||||||
Net asset value, end of period | $ | 40.75 | $ | 32.61 | $ | 56.79 | $ | 49.39 | $ | 44.24 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 26.90 | % | (20.67 | %) | 28.48 | % | 18.78 | % | 29.97 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 227,504 | $ | 196,114 | $ | 269,971 | $ | 230,088 | $ | 218,082 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.58 | % | 1.54 | % | 0.49 | % | 0.88 | % | 1.65 | % | ||||||||||
Total expensesc | 1.31 | % | 1.18 | % | 1.14 | % | 1.22 | % | 1.27 | % | ||||||||||
Net expensesd,e | 1.03 | % | 0.92 | % | 0.85 | % | 0.89 | % | 0.95 | % | ||||||||||
Portfolio turnover rate | 52 | % | 63 | % | 34 | % | 63 | % | 41 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
0.84% | 0.87% | 0.84% | 0.87% | 0.89% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series B (Large Cap Value Series, or the “Fund”) is managed by a team of seasoned professionals, led by David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; James Schier, CFA, Senior Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer - Equities and Portfolio Manager; Gregg Strohkorb, CFA, Managing Director and Portfolio Manager; Burak Hurmeydan, Ph.D., Director and Portfolio Manager; and Chris Phalen, CFA, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 9.27%, underperforming the Russell 1000 Value Index, the Fund’s benchmark (“Benchmark”), which returned 11.46% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The market began the Reporting Period somewhat indecisively. However, a buoyant economy helped build expectations that a highly anticipated recession could be pushed further out and that perhaps the Fed could do the unthinkable and engineer a soft landing. Once the banking crisis hit in March, leadership in equities shifted away from the value area, and growth stocks once again caught the market’s interest. As the year progressed, the continued strong jobs market accompanied by increasing fiscal deficits and Treasury issuance caused a significant rise in interest rates. Then, at the beginning of November, the market sensed a possible Fed pivot. Not only was the trend of steadily rising interest rates believed to be past, but hopes quickly built for numerous interest rate cuts. Consequently, there was a strong rally among mega-cap growth companies and lower quality names. The combination of these two factors—growth leadership early in the year followed up with a strong final quarter along with a low-quality year-end rally—created an extremely difficult backdrop for the relative performance of this strategy.
The Fund’s performance for the Reporting Period was below the benchmark. During the period, the Fund produced a negative contribution from its sector allocation and security selection.
The Fund’s overweight to the Utilities and Energy sectors detracted from performance, as the sectors returned -7.1% and -1.0%, respectively. The largest sector allocation detractor was a 3% overweight in the Utilities sector. Utilities, an interest rate sensitive sector, underperformed because interest rates continually moved higher during the Reporting Period, and investors moved out of this defensive sector as views on the state of the economy improved. However, the Fund was able to offset some of this performance drag with positive stock selection within Utilities as the Fund’s holdings were -3.7% versus -7.1% for the benchmark.
Another detractor from performance was the Fund’s positioning within the Energy sector. The Fund was 4% overweight the sector, which hurt performance versus its benchmark, but stock selection was able to dampen the underperformance by returning 1.0%. Mitigating, but not completely offsetting these detractors, the Fund’s 5% underweight to the pharmaceutical sector provided positive contribution to performance, as this sub-sector recorded a -10.7% return during the year. Government pricing controls embedded in the Inflation Reduction Act, and the interest-rate-sensitive nature of these dividend-paying stocks, caused the sector to underperform.
Overall, the Fund experienced positive contribution from security selection except for the outsized negative influence from Meta Platforms, Inc. The Fund’s largest detractor from performance was not owning Meta. This company, which historically has only been in the Russell Growth Index, was added to the Russell Value Index at the beginning of the Reporting Period after the company’s stock price fell 75%. The Fund did not invest in Meta and the stock performed extremely well and subsequently was removed from the Russell Value Index at mid-year 2023.
The Fund had significant contribution from its exposure to certain companies within the Technology sector. A major contributor, up over 50% for the year, was semiconductor capital equipment company KLA Corp. The company is expected to benefit from an increase in spending on producing AI chips as well as the construction of semiconductor manufacturing facilities in the U.S. resulting from the government’s CHIPS Act. Holdings in Alphabet and Microsoft were significant contributors (both were up over 50% for the year), as these large growth companies recovered from their 2022 sell-off as enthusiasm around Generative AI growth and improving revenues and earnings helped propel them higher.
Holdings in the Materials sector performed well, up 25% versus 11% in the benchmark. Two companies in the steel sector, Reliance Steel & Aluminum Co. and Nucor Corp., and chemical company Westlake performed well for the Fund, as the steel and chemicals sectors remained resilient amid healthy macroeconomic activity. Although revenues and earnings fell, the drop wasn’t as much as investors feared, and these companies continued to produce free cash flow and returned it to shareholders.
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | December 31, 2023 |
Additionally, certain companies within the Industrials sector performed well. Curtis-Wright Corp., an aerospace & defense supplier, was up 34% as the commercial aerospace and military markets were strong. Additionally, building products companies Ferguson PLC and Eagle Materials, Inc. were both up nearly 40% as the industrial and residential construction markets remained resilient in the face of higher financing cost.
While the market was being impacted by stress in the banking sector, the Fund’s significant weight in JP Morgan Chase & Co. aided performance. JP Morgan, with its management team, asset size, and diversified business, provided a relatively sound investment during this tumultuous period.
Finally, there were two stocks that hurt the Fund’s performance the most during the Reporting Period, Tyson Foods, Inc. and Charles Schwab Corp. Tyson Foods produces and distributes beef, chicken, and pork products, and they struggled as their operating margins fell significantly as commodity input costs spiked higher. Schwab, a wealth management and brokerage company, experienced declining profitability as their customers moved their cash deposits to higher yielding alternatives.
How was the Fund positioned at the end of the Reporting Period?
In many ways, the environment is similar to last year. The geopolitical outlook seems to have become less favorable, and the Fed, while wanting to be more accommodative, must still contend with financial markets that are becoming increasingly frothy. The bond market has also started to become increasingly concerned about deficits and the willingness of foreign central banks to continue participating in Treasury auctions at the level now required. We believe all of this provides plenty of opportunity for volatility to increase in the year ahead.
At the end of the Reporting Period, the Fund’s largest sector overweight was in Energy. Favorable OPEC production discipline is controlling supply, and demand is slowly returning in China while demand in India and U.S. has been resilient. Additionally, the Fund continued to hold an overweight in the Utilities sector and a similar-size underweight in the REITs sector. Both sectors are interest-rate sensitive, but we favor Utilities because of their valuations, profitability, and regulatory nature of their businesses. We were also overweight in Materials. This sector should benefit from U.S. onshoring and infrastructure spending, and trades at attractive valuations. Plus, it has ample free cash flow to re-invest in businesses and return capital to shareholders.
The Fund holds an underweight in the Health Care and Consumer Discretionary sectors. Within Health Care, the Fund was primarily underweight pharmaceuticals, a subsector with dividend-paying companies that are more interest-rate sensitive and are continually pressured to make acquisitions to fill their drug pipeline as they fight patent expirations for their existing drugs. As for Consumer Discretionary, given the significant increase in interest costs for the consumer, record high credit card balances, increasing delinquency rates, and potential weakening of the labor markets, we are leery of consumers being able to continue their consumption and spending habits in the future.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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 |
iShares Russell 1000 Value ETF | 3.5% |
ConocoPhillips | 2.6% |
Chevron Corp. | 2.6% |
Verizon Communications, Inc. | 2.5% |
Bank of America Corp. | 2.5% |
Berkshire Hathaway, Inc. — Class B | 2.4% |
Walmart, Inc. | 1.9% |
OGE Energy Corp. | 1.9% |
Ferguson plc | 1.8% |
Johnson & Johnson | 1.8% |
Top Ten Total | 23.5% |
“Ten Largest Holdings” excludes any temporary cash investments. | |
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series B (Large Cap Value Series) | 9.27% | 11.27% | 8.47% |
Russell 1000 Value Index | 11.46% | 10.91% | 8.40% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 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. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES B (LARGE CAP VALUE SERIES) |
| Shares | Value | ||||||
COMMON STOCKS† - 96.1% | ||||||||
Financial - 19.3% | ||||||||
Bank of America Corp. | 147,817 | $ | 4,976,998 | |||||
Berkshire Hathaway, Inc. — Class B* | 13,678 | 4,878,396 | ||||||
JPMorgan Chase & Co. | 19,626 | 3,338,383 | ||||||
Mastercard, Inc. — Class A | 7,053 | 3,008,175 | ||||||
Jefferies Financial Group, Inc. | 66,119 | 2,671,869 | ||||||
American Tower Corp. — Class A REIT | 10,953 | 2,364,534 | ||||||
Charles Schwab Corp. | 34,239 | 2,355,643 | ||||||
First Horizon Corp. | 165,793 | 2,347,629 | ||||||
Ventas, Inc. REIT | 44,132 | 2,199,539 | ||||||
Goldman Sachs Group, Inc. | 5,570 | 2,148,739 | ||||||
Wells Fargo & Co. | 39,933 | 1,965,502 | ||||||
Synovus Financial Corp. | 51,898 | 1,953,960 | ||||||
Unum Group | 39,083 | 1,767,333 | ||||||
STAG Industrial, Inc. REIT | 34,679 | 1,361,497 | ||||||
Markel Group, Inc.* | 780 | 1,107,522 | ||||||
Total Financial | 38,445,719 | |||||||
Consumer, Non-cyclical - 17.9% | ||||||||
Johnson & Johnson | 23,400 | 3,667,716 | ||||||
Ingredion, Inc. | 31,921 | 3,464,386 | ||||||
Humana, Inc. | 7,086 | 3,244,042 | ||||||
Tyson Foods, Inc. — Class A | 60,213 | 3,236,449 | ||||||
Medtronic plc | 34,609 | 2,851,089 | ||||||
Archer-Daniels-Midland Co. | 33,763 | 2,438,364 | ||||||
PayPal Holdings, Inc.* | 39,093 | 2,400,701 | ||||||
Encompass Health Corp. | 31,362 | 2,092,472 | ||||||
Merck & Company, Inc. | 18,090 | 1,972,172 | ||||||
Coca-Cola Co. | 33,195 | 1,956,181 | ||||||
HCA Healthcare, Inc. | 6,743 | 1,825,195 | ||||||
Bunge Global S.A. | 16,341 | 1,649,624 | ||||||
Kenvue, Inc. | 56,877 | 1,224,562 | ||||||
Euronet Worldwide, Inc.* | 12,016 | 1,219,504 | ||||||
Henry Schein, Inc.* | 12,789 | 968,255 | ||||||
Moderna, Inc.* | 8,817 | 876,851 | ||||||
Pfizer, Inc. | 26,058 | 750,210 | ||||||
Total Consumer, Non-cyclical | 35,837,773 | |||||||
Energy - 12.2% | ||||||||
ConocoPhillips | 44,111 | 5,119,964 | ||||||
Chevron Corp. | 34,320 | 5,119,171 | ||||||
Diamondback Energy, Inc. | 22,484 | 3,486,819 | ||||||
Coterra Energy, Inc. — Class A | 91,049 | 2,323,570 | ||||||
Pioneer Natural Resources Co. | 9,045 | 2,034,040 | ||||||
Equities Corp. | 50,365 | 1,947,111 | ||||||
Kinder Morgan, Inc. | 95,042 | 1,676,541 | ||||||
Marathon Oil Corp. | 69,368 | 1,675,931 | ||||||
Range Resources Corp. | 29,996 | 913,078 | ||||||
Total Energy | 24,296,225 | |||||||
Industrial - 9.8% | ||||||||
Eagle Materials, Inc. | 17,836 | 3,617,854 | ||||||
Curtiss-Wright Corp. | 15,802 | 3,520,528 | ||||||
Knight-Swift Transportation Holdings, Inc. | 52,061 | 3,001,317 | ||||||
Johnson Controls International plc | 48,216 | 2,779,170 | ||||||
Advanced Energy Industries, Inc. | 23,086 | 2,514,527 | ||||||
L3Harris Technologies, Inc. | 11,920 | 2,510,590 | ||||||
Teledyne Technologies, Inc.* | 3,621 | 1,616,016 | ||||||
Total Industrial | 19,560,002 | |||||||
Technology - 9.7% | ||||||||
Microsoft Corp. | 7,429 | 2,793,601 | ||||||
Leidos Holdings, Inc. | 23,089 | 2,499,153 | ||||||
Teradyne, Inc. | 22,246 | 2,414,136 | ||||||
Fiserv, Inc.* | 17,379 | 2,308,626 | ||||||
NXP Semiconductor N.V. | 9,963 | 2,288,302 | ||||||
KLA Corp. | 3,709 | 2,156,042 | ||||||
Intel Corp. | 32,622 | 1,639,255 | ||||||
Amdocs Ltd. | 15,609 | 1,371,875 | ||||||
Applied Materials, Inc. | 6,409 | 1,038,707 | ||||||
Fortinet, Inc.* | 13,462 | 787,931 | ||||||
Total Technology | 19,297,628 | |||||||
Consumer, Cyclical - 8.5% | ||||||||
Walmart, Inc. | 23,914 | 3,770,042 | ||||||
Ferguson plc* | 19,086 | 3,684,934 | ||||||
Delta Air Lines, Inc. | 62,440 | 2,511,961 | ||||||
Lear Corp. | 15,549 | 2,195,674 | ||||||
Levi Strauss & Co. — Class A | 91,070 | 1,506,298 | ||||||
Whirlpool Corp. | 11,825 | 1,439,930 | ||||||
Southwest Airlines Co. | 47,188 | 1,362,790 | ||||||
Advance Auto Parts, Inc. | 8,100 | 494,343 | ||||||
Total Consumer, Cyclical | 16,965,972 | |||||||
Utilities - 6.7% | ||||||||
OGE Energy Corp. | 106,476 | 3,719,207 | ||||||
Edison International | 42,789 | 3,058,985 | ||||||
Pinnacle West Capital Corp. | 34,050 | 2,446,152 | ||||||
Exelon Corp. | 61,531 | 2,208,963 | ||||||
Duke Energy Corp. | 19,722 | 1,913,823 | ||||||
Total Utilities | 13,347,130 | |||||||
Communications - 6.4% | ||||||||
Verizon Communications, Inc. | 132,534 | 4,996,532 | ||||||
Alphabet, Inc. — Class A* | 24,718 | 3,452,858 | ||||||
Walt Disney Co. | 22,077 | 1,993,332 | ||||||
T-Mobile US, Inc. | 7,508 | 1,203,758 | ||||||
AT&T, Inc. | 68,121 | 1,143,070 | ||||||
Total Communications | 12,789,550 | |||||||
Basic Materials - 5.6% | ||||||||
Nucor Corp. | 14,162 | 2,464,755 | ||||||
Freeport-McMoRan, Inc. | 52,034 | 2,215,087 | ||||||
Westlake Corp. | 15,443 | 2,161,402 | ||||||
DuPont de Nemours, Inc. | 21,889 | 1,683,921 | ||||||
Reliance Steel & Aluminum Co. | 5,518 | 1,543,274 | ||||||
Huntsman Corp. | 48,718 | 1,224,283 | ||||||
Total Basic Materials | 11,292,722 | |||||||
Total Common Stocks | ||||||||
(Cost $156,171,393) | 191,832,721 | |||||||
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
SERIES B (LARGE CAP VALUE SERIES) |
| Shares | Value | ||||||
EXCHANGE-TRADED FUNDS† - 3.5% | ||||||||
iShares Russell 1000 Value ETF | 42,314 | $ | 6,992,389 | |||||
Total Exchange-Traded Funds | ||||||||
(Cost $6,435,561) | 6,992,389 | |||||||
MONEY MARKET FUND† - 0.4% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.25%1 | 767,381 | 767,381 | ||||||
Total Money Market Fund | ||||||||
(Cost $767,381) | 767,381 | |||||||
Total Investments - 100.0% | ||||||||
(Cost $163,374,335) | $ | 199,592,491 | ||||||
Other Assets & Liabilities, net — (0.0)% | (17,469 | ) | ||||||
Total Net Assets - 100.0% | $ | 199,575,022 | ||||||
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of December 31, 2023. |
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 December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 191,832,721 | $ | — | $ | — | $ | 191,832,721 | ||||||||
Exchange-Traded Funds | 6,992,389 | — | — | 6,992,389 | ||||||||||||
Money Market Fund | 767,381 | — | — | 767,381 | ||||||||||||
Total Assets | $ | 199,592,491 | $ | — | $ | — | $ | 199,592,491 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
SERIES B (LARGE CAP VALUE SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments, at value (cost $163,374,335) | $ | 199,592,491 | ||
Prepaid expenses | 4,108 | |||
Receivables: | ||||
Dividends | 283,526 | |||
Fund shares sold | 9,539 | |||
Interest | 9,529 | |||
Total assets | 199,899,193 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 167,251 | |||
Management fees | 75,538 | |||
Distribution and service fees | 41,786 | |||
Professional fees | 20,050 | |||
Fund accounting/administration fees | 3,223 | |||
Transfer agent/maintenance fees | 2,125 | |||
Trustees’ fees* | 1,543 | |||
Miscellaneous | 12,655 | |||
Total liabilities | 324,171 | |||
Net assets | $ | 199,575,022 | ||
Net assets consist of: | ||||
Paid in capital | $ | 145,453,987 | ||
Total distributable earnings (loss) | 54,121,035 | |||
Net assets | $ | 199,575,022 | ||
Capital shares outstanding | 4,986,337 | |||
Net asset value per share | $ | 40.02 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $1,515) | $ | 4,797,299 | ||
Interest | 239,061 | |||
Total investment income | 5,036,360 | |||
Expenses: | ||||
Management fees | 1,315,259 | |||
Distribution and service fees | 505,868 | |||
Transfer agent/maintenance fees | 25,190 | |||
Fund accounting/administration fees | 90,854 | |||
Professional fees | 78,433 | |||
Trustees’ fees* | 17,829 | |||
Line of credit fees | 7,614 | |||
Custodian fees | 6,201 | |||
Miscellaneous | 20,852 | |||
Total expenses | 2,068,100 | |||
Less: | ||||
Expenses waived by Adviser | (505,986 | ) | ||
Net expenses | 1,562,114 | |||
Net investment income | 3,474,246 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 17,795,975 | |||
Net realized gain | 17,795,975 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (3,543,005 | ) | ||
Net change in unrealized appreciation (depreciation) | (3,543,005 | ) | ||
Net realized and unrealized gain | 14,252,970 | |||
Net increase in net assets resulting from operations | $ | 17,727,216 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES B (LARGE CAP VALUE SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 3,474,246 | $ | 3,395,583 | ||||
Net realized gain on investments | 17,795,975 | 22,517,356 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (3,543,005 | ) | (29,032,822 | ) | ||||
Net increase (decrease) in net assets resulting from operations | 17,727,216 | (3,119,883 | ) | |||||
Distributions to shareholders | (23,233,407 | ) | (22,853,023 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 1,355,855 | 4,727,951 | ||||||
Distributions reinvested | 23,233,407 | 22,853,023 | ||||||
Cost of shares redeemed | (31,845,544 | ) | (26,087,637 | ) | ||||
Net increase (decrease) from capital share transactions | (7,256,282 | ) | 1,493,337 | |||||
Net decrease in net assets | (12,762,473 | ) | (24,479,569 | ) | ||||
Net assets: | ||||||||
Beginning of year | 212,337,495 | 236,817,064 | ||||||
End of year | $ | 199,575,022 | $ | 212,337,495 | ||||
Capital share activity: | ||||||||
Shares sold | 33,854 | 112,131 | ||||||
Shares issued from reinvestment of distributions | 595,576 | 575,788 | ||||||
Shares redeemed | (792,039 | ) | (598,577 | ) | ||||
Net increase (decrease) in shares | (162,609 | ) | 89,342 | |||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
SERIES B (LARGE CAP VALUE SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 41.24 | $ | 46.81 | $ | 37.61 | $ | 40.55 | $ | 36.14 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .69 | .67 | .52 | .82 | .72 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.00 | (1.48 | ) | 9.58 | (.51 | ) | 6.93 | |||||||||||||
Total from investment operations | 3.69 | (.81 | ) | 10.10 | .31 | 7.65 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.71 | ) | (.60 | ) | (.90 | ) | (.74 | ) | (.72 | ) | ||||||||||
Net realized gains | (4.20 | ) | (4.16 | ) | — | b | (2.51 | ) | (2.52 | ) | ||||||||||
Total distributions | (4.91 | ) | (4.76 | ) | (.90 | ) | (3.25 | ) | (3.24 | ) | ||||||||||
Net asset value, end of period | $ | 40.02 | $ | 41.24 | $ | 46.81 | $ | 37.61 | $ | 40.55 | ||||||||||
| ||||||||||||||||||||
Total Returnc | 9.27 | % | (1.32 | %) | 27.03 | % | 2.21 | % | 21.82 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 199,575 | $ | 212,337 | $ | 236,817 | $ | 208,548 | $ | 226,968 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.72 | % | 1.53 | % | 1.20 | % | 2.40 | % | 1.86 | % | ||||||||||
Total expensesd | 1.02 | % | 1.02 | % | 1.03 | % | 1.09 | % | 1.07 | % | ||||||||||
Net expensese,f | 0.77 | % | 0.78 | % | 0.79 | % | 0.79 | % | 0.80 | % | ||||||||||
Portfolio turnover rate | 22 | % | 25 | % | 22 | % | 19 | % | 32 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Distributions from realized gains are less than $0.01 per share. |
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 years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
0.77% | 0.78% | 0.79% | 0.79% | 0.80% |
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series D (World Equity Income Series, or the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer - Equities and Portfolio Manager; Evan Einstein, Managing Director and Portfolio Manager; and Douglas Makin, Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 12.28%, underperforming by 11.51% the MSCI World (Net) Index (“Index”), the Fund’s benchmark, which returned 23.79% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
Global stocks had their best year since before the pandemic, benefiting from strong markets in the U.S., Europe, and Japan. A lower U.S. dollar and cooling inflation readings have driven expectations of rate cuts from the Federal Reserve and other central banks. The Fund’s positioning in lower-risk and higher-yielding stocks, compared with the Benchmark, contributed to its relative underperformance for the Reporting Period. The Fund’s strategy tends to create a bias toward value-oriented investments, which can be a drag on performance in up markets.
The leading detractor from return was security selection, with the Information Technology, Consumer Discretionary, and Communication Services sectors responsible for most of the relative underperformance. The Fund was also most underweight relative to the Benchmark in the Information Technology sector, which exacerbated the underperformance. An underweight in the Health Care sector and good selection in Energy were the largest positive contributors to the Fund’s return.
From a country perspective, the U.S. was the single largest relative detractor from return. Its impact is magnified as it is also the largest country represented in the Fund and the Benchmark. The UK, Israel, and Canada were the other leading detractors from return on a relative basis. Japan, the country with the second-largest weighting in the Fund, provided the largest positive relative contribution to return. This was due in part to the weakened currency, which translates to a boost to companies operating there. Although Europe as a whole was a detractor from return, Spain provided a large positive contribution.
The top individual contributors to the Fund were an underweight in Pfizer, Inc. and an overweight in Phillips 66 and also in tech companies Dell Technologies, Inc., Intel Corp., and Broadcom, Inc. Detractors included underweights in Technology company Nvidia Corp. and communication company Meta Platforms, Inc., and an overweight in SolarEdge Technologies, Inc. and Square, Inc.
How did the Fund use derivatives during the Reporting Period?
The Fund uses currency contract futures to hedge non-U.S. dollar equity positions, which helps to reduce volatility. Their contribution to performance in aggregate was positive, as the currency futures were active for much of the Reporting Period while the dollar bounced around in a range relative to other currencies.
How was the Fund positioned at the end of the Reporting Period?
The pause in interest rate hikes and a historically wide valuation gap between growth and value sectors were among the factors that saw growth stocks solidly outperform value stocks over the Reporting Period. Compared with the Benchmark, the Fund is positioned more cautiously, as we anticipate continuing market volatility that defined much of the Reporting Period. We are also positioned for higher yield than the Benchmark as we aim to generate income.
The Fund was most overweight in the Industrials and Financials sectors at the end of the Reporting Period, and most underweight in the Information Technology, Health Care, and Communication Services sectors. The currency hedge ended the Reporting Period with several active positions including the Japanese Yen and Euro as the U.S. dollar remained relatively strong.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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
Country | % of Long-Term | |||
United States | 65.9 | % | ||
Japan | 7.0 | % | ||
Canada | 6.0 | % | ||
Australia | 4.7 | % | ||
Netherlands | 3.0 | % | ||
Spain | 2.9 | % | ||
United Kingdom | 2.2 | % | ||
Other | 8.3 | % | ||
Total Long-Term Investments | 100.0 | % | ||
Inception Date: April 19, 1984 |
Ten Largest Holdings | % of Total Net Assets |
Microsoft Corp. | 3.0% |
Apple, Inc. | 3.0% |
Alphabet, Inc. — Class C | 1.9% |
Amazon.com, Inc. | 1.6% |
UnitedHealth Group, Inc. | 1.5% |
Berkshire Hathaway, Inc. — Class B | 1.5% |
Home Depot, Inc. | 1.4% |
NVIDIA Corp. | 1.4% |
Broadcom, Inc. | 1.1% |
Amgen, Inc. | 1.1% |
Top Ten Total | 17.5% |
“Ten Largest Holdings” excludes any temporary cash investments. | |
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series D (World Equity Income Series) | 12.28% | 9.97% | 6.94% |
MSCI World (Net) Index | 23.79% | 12.80% | 8.60% |
* | 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 (Net) 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. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES D (WORLD EQUITY INCOME SERIES) |
| Shares | Value | ||||||
COMMON STOCKS† - 98.1% | ||||||||
Technology - 17.7% | ||||||||
Microsoft Corp. | 9,076 | $ | 3,412,939 | |||||
Apple, Inc. | 17,635 | 3,395,267 | ||||||
NVIDIA Corp. | 3,230 | 1,599,561 | ||||||
Broadcom, Inc. | 1,076 | 1,201,085 | ||||||
Constellation Software, Inc. | 478 | 1,185,561 | ||||||
Texas Instruments, Inc. | 6,650 | 1,133,559 | ||||||
Cognizant Technology Solutions Corp. — Class A | 12,400 | 936,572 | ||||||
Dell Technologies, Inc. — Class C | 11,860 | 907,290 | ||||||
CGI, Inc.* | 8,390 | 899,130 | ||||||
Check Point Software Technologies Ltd.* | 5,480 | 837,289 | ||||||
Workday, Inc. — Class A* | 2,630 | 726,038 | ||||||
HP, Inc. | 19,400 | 583,746 | ||||||
Ricoh Company Ltd. | 67,590 | 519,211 | ||||||
ASM International N.V. | 960 | 498,180 | ||||||
NXP Semiconductor N.V. | 2,150 | 493,812 | ||||||
Crowdstrike Holdings, Inc. — Class A* | 1,910 | 487,661 | ||||||
Skyworks Solutions, Inc. | 3,500 | 393,470 | ||||||
Roper Technologies, Inc. | 470 | 256,230 | ||||||
Oracle Corp. | 2,400 | 253,032 | ||||||
Intel Corp. | 3,864 | 194,166 | ||||||
Total Technology | 19,913,799 | |||||||
Financial - 16.7% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 4,690 | 1,672,736 | ||||||
National Australia Bank Ltd. | 55,210 | 1,155,383 | ||||||
Goldman Sachs Group, Inc. | 2,740 | 1,057,010 | ||||||
Citigroup, Inc. | 20,260 | 1,042,174 | ||||||
Capital One Financial Corp. | 7,600 | 996,512 | ||||||
Banco Bilbao Vizcaya Argentaria S.A. | 107,770 | 978,927 | ||||||
ANZ Group Holdings Ltd. | 55,210 | 975,490 | ||||||
Intesa Sanpaolo SpA | 326,500 | 953,073 | ||||||
ING Groep N.V. | 62,100 | 927,523 | ||||||
Westpac Banking Corp. | 59,330 | 926,146 | ||||||
VICI Properties, Inc. REIT | 28,600 | 911,768 | ||||||
AvalonBay Communities, Inc. REIT | 4,736 | 886,674 | ||||||
Banco Santander S.A. | 206,300 | 860,988 | ||||||
Swiss Life Holding AG | 1,160 | 805,594 | ||||||
Simon Property Group, Inc. REIT | 5,640 | 804,489 | ||||||
Public Storage REIT | 2,550 | 777,750 | ||||||
Swedbank AB — Class A | 38,200 | 770,283 | ||||||
AXA S.A. | 17,000 | 553,589 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 28,840 | 356,838 | ||||||
First Citizens BancShares, Inc. — Class A | 239 | 339,134 | ||||||
Assicurazioni Generali SpA | 14,500 | 305,899 | ||||||
BNP Paribas S.A. | 4,300 | 297,192 | ||||||
Zurich Insurance Group AG | 500 | 261,380 | ||||||
Everest Group Ltd. | 710 | 251,042 | ||||||
Total Financial | 18,867,594 | |||||||
Consumer, Non-cyclical - 15.6% | ||||||||
UnitedHealth Group, Inc. | 3,324 | 1,749,986 | ||||||
Amgen, Inc. | 4,164 | 1,199,315 | ||||||
Japan Tobacco, Inc. | 38,600 | 997,971 | ||||||
PepsiCo, Inc. | 5,823 | 988,978 | ||||||
Unilever plc | 20,210 | 979,054 | ||||||
Johnson & Johnson | 6,187 | 969,751 | ||||||
McKesson Corp. | 2,006 | 928,738 | ||||||
Altria Group, Inc. | 21,500 | 867,310 | ||||||
Colgate-Palmolive Co. | 10,739 | 856,006 | ||||||
Sysco Corp. | 11,650 | 851,965 | ||||||
Bristol-Myers Squibb Co. | 16,500 | 846,615 | ||||||
CK Hutchison Holdings Ltd. | 149,232 | 799,852 | ||||||
Elevance Health, Inc. | 1,430 | 674,331 | ||||||
Cencora, Inc. — Class A | 3,048 | 625,998 | ||||||
Bunge Global S.A. | 6,100 | 615,795 | ||||||
Imperial Brands plc | 26,650 | 613,581 | ||||||
Cintas Corp. | 980 | 590,607 | ||||||
CVS Health Corp. | 7,400 | 584,304 | ||||||
HCA Healthcare, Inc. | 1,880 | 508,878 | ||||||
Gilead Sciences, Inc. | 6,200 | 502,262 | ||||||
Archer-Daniels-Midland Co. | 4,300 | 310,546 | ||||||
Merck & Company, Inc. | 2,600 | 283,452 | ||||||
Tesco plc | 76,500 | 283,312 | ||||||
Total Consumer, Non-cyclical | 17,628,607 | |||||||
Consumer, Cyclical - 12.8% | ||||||||
Home Depot, Inc. | 4,635 | 1,606,259 | ||||||
Walmart, Inc. | 7,360 | 1,160,304 | ||||||
Lowe’s Companies, Inc. | 4,753 | 1,057,780 | ||||||
Sumitomo Corp. | 48,470 | 1,057,530 | ||||||
Ford Motor Co. | 81,000 | 987,390 | ||||||
WW Grainger, Inc. | 1,160 | 961,280 | ||||||
Aristocrat Leisure Ltd. | 31,100 | 865,373 | ||||||
Cummins, Inc. | 3,350 | 802,559 | ||||||
Sekisui House Ltd. | 34,480 | 765,989 | ||||||
General Motors Co. | 19,380 | 696,130 | ||||||
Stellantis N.V. | 28,700 | 670,279 | ||||||
Toromont Industries Ltd. | 7,230 | 633,717 | ||||||
Lear Corp. | 3,873 | 546,906 | ||||||
Isuzu Motors Ltd. | 39,300 | 506,223 | ||||||
McDonald’s Corp. | 1,660 | 492,207 | ||||||
Tesla, Inc.* | 1,650 | 409,992 | ||||||
TJX Companies, Inc. | 3,800 | 356,478 | ||||||
Dollarama, Inc. | 4,700 | 338,829 | ||||||
Yum! Brands, Inc. | 2,400 | 313,584 | ||||||
Fastenal Co. | 4,080 | 264,262 | ||||||
Total Consumer, Cyclical | 14,493,071 | |||||||
Industrial - 10.5% | ||||||||
AP Moller - Maersk A/S — Class B | 550 | 988,979 | ||||||
Illinois Tool Works, Inc. | 3,725 | 975,727 | ||||||
Waste Connections, Inc. | 6,090 | 909,054 | ||||||
Amphenol Corp. — Class A | 8,890 | 881,266 | ||||||
Lockheed Martin Corp. | 1,908 | 864,782 | ||||||
Snap-on, Inc. | 2,746 | 793,155 | ||||||
FedEx Corp. | 3,110 | 786,737 | ||||||
Nippon Yusen K.K. | 23,170 | 718,357 | ||||||
Garmin Ltd. | 5,300 | 681,262 | ||||||
Mitsui OSK Lines Ltd. | 19,900 | 637,582 | ||||||
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES D (WORLD EQUITY INCOME SERIES) |
| Shares | Value | ||||||
Kawasaki Kisen Kaisha Ltd. | 13,600 | $ | 583,616 | |||||
Obayashi Corp. | 63,100 | 546,037 | ||||||
Canadian National Railway Co. | 4,320 | 543,192 | ||||||
ACS Actividades de Construccion y Servicios S.A. | 9,700 | 430,159 | ||||||
Deere & Co. | 960 | 383,875 | ||||||
Parker-Hannifin Corp. | 720 | 331,704 | ||||||
United Parcel Service, Inc. — Class B | 1,930 | 303,454 | ||||||
Poste Italiane SpA1 | 21,130 | 239,742 | ||||||
Stantec, Inc. | 2,400 | 192,751 | ||||||
Total Industrial | 11,791,431 | |||||||
Energy - 8.0% | ||||||||
Phillips 66 | 7,380 | 982,573 | ||||||
Marathon Petroleum Corp. | 5,870 | 870,873 | ||||||
Valero Energy Corp. | 6,430 | 835,900 | ||||||
Suncor Energy, Inc. | 23,900 | 765,950 | ||||||
Woodside Energy Group Ltd. | 36,170 | 765,808 | ||||||
Imperial Oil Ltd. | 11,900 | 678,116 | ||||||
ENEOS Holdings, Inc. | 169,800 | 674,946 | ||||||
Ampol Ltd. | 25,270 | 622,707 | ||||||
Galp Energia SGPS S.A. — Class B | 38,800 | 571,546 | ||||||
Cheniere Energy, Inc. | 2,700 | 460,917 | ||||||
Chevron Corp. | 2,980 | 444,497 | ||||||
HF Sinclair Corp. | 6,530 | 362,872 | ||||||
Parkland Corp. | 9,600 | 309,546 | ||||||
Exxon Mobil Corp. | 2,700 | 269,946 | ||||||
ARC Resources Ltd. | 16,600 | 246,512 | ||||||
Repsol S.A. | 14,200 | 210,899 | ||||||
Total Energy | 9,073,608 | |||||||
Utilities - 6.4% | ||||||||
Duke Energy Corp. | 10,700 | 1,038,328 | ||||||
DTE Energy Co. | 7,210 | 794,975 | ||||||
Exelon Corp. | 21,550 | 773,645 | ||||||
Southern Co. | 10,240 | 718,029 | ||||||
Public Service Enterprise Group, Inc. | 11,200 | 684,880 | ||||||
Power Assets Holdings Ltd. | 117,500 | 680,940 | ||||||
Consolidated Edison, Inc. | 7,240 | 658,623 | ||||||
Sempra | 8,780 | 656,129 | ||||||
Centrica plc | 335,300 | 601,002 | ||||||
Enagas S.A. | 26,700 | 450,061 | ||||||
Dominion Energy, Inc. | 4,400 | 206,800 | ||||||
Total Utilities | 7,263,412 | |||||||
Communications - 6.4% | ||||||||
Alphabet, Inc. — Class C* | 15,416 | 2,172,577 | ||||||
Amazon.com, Inc.* | 11,828 | 1,797,146 | ||||||
Verizon Communications, Inc. | 24,780 | 934,206 | ||||||
Cisco Systems, Inc. | 15,800 | 798,216 | ||||||
Motorola Solutions, Inc. | 2,256 | 706,331 | ||||||
Meta Platforms, Inc. — Class A* | 1,460 | 516,782 | ||||||
Telefonica S.A. | 72,800 | 284,094 | ||||||
Total Communications | 7,209,352 | |||||||
Basic Materials - 4.0% | ||||||||
Nucor Corp. | 5,100 | 887,604 | ||||||
Dow, Inc. | 15,500 | 850,020 | ||||||
Nippon Steel Corp. | 37,030 | 848,378 | ||||||
Reliance Steel & Aluminum Co. | 2,870 | 802,682 | ||||||
LyondellBasell Industries N.V. — Class A | 8,060 | 766,345 | ||||||
Steel Dynamics, Inc. | 3,300 | 389,730 | ||||||
Total Basic Materials | 4,544,759 | |||||||
Total Common Stocks | ||||||||
(Cost $100,011,859) | 110,785,633 | |||||||
EXCHANGE-TRADED FUNDS† - 1.2% | ||||||||
SPDR S&P 500 ETF Trust | 1,366 | 649,273 | ||||||
iShares MSCI EAFE ETF | 8,608 | 648,613 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $1,267,881) | 1,297,886 | |||||||
MONEY MARKET FUND† - 0.5% | ||||||||
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 5.21%2 | 590,771 | 590,771 | ||||||
Total Money Market Fund | ||||||||
(Cost $590,771) | 590,771 | |||||||
Total Investments - 99.8% | ||||||||
(Cost $101,870,511) | $ | 112,674,290 | ||||||
Other Assets & Liabilities, net - 0.2% | 212,193 | |||||||
Total Net Assets - 100.0% | $ | 112,886,483 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
SERIES D (WORLD EQUITY INCOME SERIES) |
* | Non-income producing security. |
† | Value determined based on Level 1 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 $239,742 (cost $220,602), or 0.2% of total net assets. |
2 | Rate indicated is the 7-day yield as of December 31, 2023. |
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 December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 110,785,633 | $ | — | $ | — | $ | 110,785,633 | ||||||||
Exchange-Traded Funds | 1,297,886 | — | — | 1,297,886 | ||||||||||||
Money Market Fund | 590,771 | — | — | 590,771 | ||||||||||||
Total Assets | $ | 112,674,290 | $ | — | $ | — | $ | 112,674,290 | ||||||||
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES D (WORLD EQUITY INCOME SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments, at value (cost $101,870,511) | $ | 112,674,290 | ||
Foreign currency, at value (cost $60,220) | 60,236 | |||
Cash | 5,811 | |||
Prepaid expenses | 3,001 | |||
Receivables: | ||||
Foreign tax reclaims | 150,340 | |||
Dividends | 130,881 | |||
Interest | 2,709 | |||
Fund shares sold | 26 | |||
Securities sold | 7 | |||
Total assets | 113,027,301 | |||
Liabilities: | ||||
Payable for: | ||||
Management fees | 40,688 | |||
Professional fees | 37,141 | |||
Fund shares redeemed | 24,932 | |||
Distribution and service fees | 23,575 | |||
Fund accounting/administration fees | 2,615 | |||
Transfer agent/maintenance fees | 2,149 | |||
Trustees’ fees* | 1,816 | |||
Miscellaneous | 7,902 | |||
Total liabilities | 140,818 | |||
Net assets | $ | 112,886,483 | ||
Net assets consist of: | ||||
Paid in capital | $ | 100,888,003 | ||
Total distributable earnings (loss) | 11,998,480 | |||
Net assets | $ | 112,886,483 | ||
Capital shares outstanding | 8,340,637 | |||
Net asset value per share | $ | 13.53 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $299,664) | $ | 3,382,898 | ||
Interest | 32,006 | |||
Total investment income | 3,414,904 | |||
Expenses: | ||||
Management fees | 772,066 | |||
Distribution and service fees | 275,737 | |||
Transfer agent/maintenance fees | 25,332 | |||
Professional fees | 79,327 | |||
Fund accounting/administration fees | 53,605 | |||
Custodian fees | 20,329 | |||
Trustees’ fees* | 14,468 | |||
Line of credit fees | 3,829 | |||
Miscellaneous | 17,309 | |||
Total expenses | 1,262,002 | |||
Less: | ||||
Expenses reimbursed by Adviser | (1,825 | ) | ||
Expenses waived by Adviser | (298,934 | ) | ||
Total waived/reimbursed expenses | (300,759 | ) | ||
Net expenses | 961,243 | |||
Net investment income | 2,453,661 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 851,612 | |||
Futures contracts | 416,656 | |||
Foreign currency transactions | (26,142 | ) | ||
Net realized gain | 1,242,126 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 9,061,723 | |||
Foreign currency translations | 12,264 | |||
Net change in unrealized appreciation (depreciation) | 9,073,987 | |||
Net realized and unrealized gain | 10,316,113 | |||
Net increase in net assets resulting from operations | $ | 12,769,774 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
SERIES D (WORLD EQUITY INCOME SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 2,453,661 | $ | 2,727,960 | ||||
Net realized gain (loss) on investments | 1,242,126 | (2,183,291 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 9,073,987 | (12,971,794 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 12,769,774 | (12,427,125 | ) | |||||
Distributions to shareholders | (2,923,384 | ) | (27,160,274 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 1,311,195 | 5,871,691 | ||||||
Distributions reinvested | 2,923,384 | 27,160,274 | ||||||
Cost of shares redeemed | (14,528,906 | ) | (18,303,370 | ) | ||||
Net increase (decrease) from capital share transactions | (10,294,327 | ) | 14,728,595 | |||||
Net decrease in net assets | (447,937 | ) | (24,858,804 | ) | ||||
Net assets: | ||||||||
Beginning of year | 113,334,420 | 138,193,224 | ||||||
End of year | $ | 112,886,483 | $ | 113,334,420 | ||||
Capital share activity: | ||||||||
Shares sold | 102,968 | 430,664 | ||||||
Shares issued from reinvestment of distributions | 226,795 | 2,239,099 | ||||||
Shares redeemed | (1,150,112 | ) | (1,299,295 | ) | ||||
Net increase (decrease) in shares | (820,349 | ) | 1,370,468 | |||||
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES D (WORLD EQUITY INCOME SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 12.37 | $ | 17.74 | $ | 14.79 | $ | 14.45 | $ | 12.96 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .28 | .32 | .34 | .22 | .33 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.22 | (2.01 | ) | 2.86 | .66 | 2.36 | ||||||||||||||
Total from investment operations | 1.50 | (1.69 | ) | 3.20 | .88 | 2.69 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.34 | ) | (.36 | ) | (.25 | ) | (.40 | ) | (.40 | ) | ||||||||||
Net realized gains | — | (3.32 | ) | — | (.14 | ) | (.80 | ) | ||||||||||||
Total distributions | (.34 | ) | (3.68 | ) | (.25 | ) | (.54 | ) | (1.20 | ) | ||||||||||
Net asset value, end of period | $ | 13.53 | $ | 12.37 | $ | 17.74 | $ | 14.79 | $ | 14.45 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 12.28 | % | (9.12 | %) | 21.74 | % | 6.65 | % | 21.40 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 112,886 | $ | 113,334 | $ | 138,193 | $ | 126,007 | $ | 133,758 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.22 | % | 2.25 | % | 2.02 | % | 1.70 | % | 2.37 | % | ||||||||||
Total expensesc | 1.14 | % | 1.10 | % | 1.15 | % | 1.20 | % | 1.19 | % | ||||||||||
Net expensesd,e | 0.87 | % | 0.88 | % | 0.89 | % | 0.89 | % | 0.90 | % | ||||||||||
Portfolio turnover rate | 177 | % | 140 | % | 185 | % | 196 | % | 139 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
0.87% | 0.88% | 0.89% | 0.89% | 0.90% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series E (Total Return Bond Series, or the “Fund”) is managed by a team of seasoned professionals, including Anne B. Walsh, CFA, JD, Managing Partner, Chief Investment Officer and Portfolio Manager; Steven H. Brown, CFA, Chief Investment Officer - Fixed Income, Senior Managing Director and Portfolio Manager; Adam J. Bloch, Managing Director and Portfolio Manager; and Evan L. Serdensky, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 6.95%, outperforming the Bloomberg U.S. Aggregate Bond Index (“Index”), the Fund’s benchmark, which returned 5.53% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
Given the heightened level of risk-free rates and generally wide credit spreads relative to recent history, carry, or earned income, was the largest contributor to absolute and relative performance. Performance from spread tightening was another driver of the Fund’s absolute and relative performance. The Fund benefitted from its overweight credit allocation as spreads tightened across most fixed income sectors. However, the Fund experienced minor spread detraction from its CRE CLO (commercial real estate collateralized loan obligations) and Preferred allocation as investors increasingly scrutinized these sectors following the regional banking crisis. Lastly, duration was a modest contributor to both absolute and relative performance.
How did the Fund use derivatives during the Reporting Period?
During the Reporting Period, the Fund used futures, forwards, and swaps to help manage duration positioning, credit risk, and foreign exchange risk. Interest rate swaps and futures contributed to performance, while performance from curve caps was negative. The Fund employed modestly sized credit hedges to protect the Fund from potential spread widening. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a negligible negative impact on performance over the Reporting Period.
How was the Fund positioned at the end of the Reporting Period?
Over the past several quarters the Fund has prioritized income, diversification, and quality to take advantage of relative value opportunities while limiting potential downside. As interest rate volatility rose to levels not seen since the Global Financial Crisis and the 10-year Treasury approached 5%, spreads in many high-quality assets widened to post-COVID wides, creating a significant opportunity for the Fund in both credit and interest rate markets.
To that end, the Fund has focused on opportunities in high quality structured credit, where a significant yield advantage exists relative to both investment grade corporates and agency MBS. Specific areas of focus within the Fund’s largest aggregate allocation have been data center securitizations, whole business securitizations, non-agency RMBS, and middle market CLOs. Spreads in each of these asset classes well exceed similar credit quality opportunities in most parts of the investment grade corporate market, creating a compelling opportunity for investors capable of underwriting these more complicated structures.
Corporate credit is the second largest aggregate allocation within the Fund. While corporate credit spreads are near fair value levels, there remain many idiosyncratic opportunities for alpha generation. Primary market offerings priced at especially attractive levels as investors pulled back from lending activities this year, presenting a unique opportunity to capture new issue premiums.
Given dramatic intra-quarter shifts in market pricing of the path of monetary policy, the Fund actively adjusted duration positioning increasing duration as rates rose to multi-decade highs then subsequently reducing duration back to neutral to the benchmark as market pricing returned to in-line with Guggenheim’s house views.
The turbulence in fixed income markets over the past couple of years may now provide a very attractive entry point for longer-term investors as the Federal Reserve signaled a pause in its rate hike campaign. Fixed income has historically performed well during pause phases of monetary policy and potential rate cuts should add further tailwinds.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
Inception Date: April 26, 1985 |
Ten Largest Holdings | % of Total Net Assets |
U.S. Treasury Notes, 4.63% due 09/30/28 | 7.8% |
U.S. Treasury Notes, 4.13% due 07/31/28 | 5.1% |
Guggenheim Total Return Bond Fund — R6-Class | 4.2% |
U.S. Treasury Bonds due 05/15/53 | 2.7% |
Fannie Mae, 5.00% due 05/01/53 | 1.6% |
U.S. Treasury Notes, 4.00% due 02/29/28 | 1.4% |
Freddie Mac, 5.00% due 06/01/53 | 1.3% |
Octagon Investment Partners 49 Ltd., 7.21% due 01/15/33 | 1.2% |
United States Treasury Inflation Indexed Bonds, 0.13% due 10/15/25 | 0.9% |
United States Treasury Inflation Indexed Bonds, 0.13% due 04/15/25 | 0.9% |
Top Ten Total | 27.1% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series E (Total Return Bond Series) | 6.95% | 1.28% | 3.00% |
Bloomberg U.S. Aggregate Bond Index | 5.53% | 1.10% | 1.81% |
Portfolio Composition by Quality Rating1 | |
Rating | % of Total |
Fixed Income Instruments | |
AAA | 46.9% |
AA | 6.0% |
A | 12.6% |
BBB | 13.9% |
BB | 4.2% |
B | 1.7% |
CCC | 0.2% |
CC | 1.7% |
C | 0.2% |
NR2 | 4.4% |
Other Instruments | 8.2% |
Total Investments | 100.0% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 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. |
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. |
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
| Shares | Value | ||||||
COMMON STOCKS† - 0.0% | ||||||||
Communications - 0.0% | ||||||||
Vacasa, Inc. — Class A* | 167 | $ | 1,369 | |||||
Financial - 0.0% | ||||||||
Pershing Square Tontine Holdings, Ltd. — Class A*,†††,1 | 76,590 | 8 | ||||||
Total Common Stocks | ||||||||
(Cost $33,288) | 1,377 | |||||||
PREFERRED STOCKS†† - 2.6% | ||||||||
Financial - 2.6% | ||||||||
Equitable Holdings, Inc. | ||||||||
4.95%* | 550,000 | 523,363 | ||||||
4.30%* | 3,700 | 61,272 | ||||||
Citigroup, Inc. | ||||||||
4.00%* | 200,000 | 184,082 | ||||||
3.88%* | 200,000 | 177,065 | ||||||
7.63%2 | 100,000 | 102,110 | ||||||
Wells Fargo & Co. | ||||||||
3.90%* | 500,000 | 461,978 | ||||||
Charles Schwab Corp. | ||||||||
4.00%* | 500,000 | 394,905 | ||||||
MetLife, Inc. | ||||||||
3.85%* | 400,000 | 378,639 | ||||||
Markel Group, Inc. | ||||||||
6.00%* | 360,000 | 355,931 | ||||||
Bank of New York Mellon Corp. | ||||||||
3.75%* | 400,000 | 345,733 | ||||||
JPMorgan Chase & Co. | ||||||||
3.65%* | 250,000 | 228,784 | ||||||
Bank of America Corp. | ||||||||
6.13%* | 100,000 | 100,240 | ||||||
4.38%* | 100,000 | 89,123 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3.80%2 | 150,000 | 133,580 | ||||||
CNO Financial Group, Inc. | ||||||||
5.13% due 11/25/60 | 6,000 | 104,520 | ||||||
Kuvare US Holdings, Inc. | ||||||||
7.00% due 02/17/51*,3 | 100,000 | 100,750 | ||||||
Assurant, Inc. | ||||||||
5.25% due 01/15/61 | 3,625 | 72,283 | ||||||
Selective Insurance Group, Inc. | ||||||||
4.60% | 4,000 | 68,760 | ||||||
First Republic Bank | ||||||||
4.25% | 16,525 | 1,487 | ||||||
4.50% | 675 | 61 | ||||||
Total Financial | 3,884,666 | |||||||
Total Preferred Stocks | ||||||||
(Cost $4,762,777) | 3,884,666 | |||||||
WARRANTS† - 0.0% | ||||||||
Ginkgo Bioworks Holdings, Inc. | ||||||||
Expiring 09/16/26 | 684 | 73 | ||||||
Pershing Square Tontine Holdings, Ltd. | ||||||||
Expiring 07/24/25*,†††,1 | 8,510 | — | ||||||
Total Warrants | ||||||||
(Cost $1,584) | 73 | |||||||
MUTUAL FUNDS† - 4.2% | ||||||||
Guggenheim Total Return Bond Fund — R6-Class4 | 265,375 | 6,323,894 | ||||||
Total Mutual Funds | ||||||||
(Cost $7,007,010) | 6,323,894 | |||||||
MONEY MARKET FUNDS† - 1.7% | ||||||||
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 5.25%5 | 1,693,216 | 1,693,216 | ||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.25%5 | 811,155 | 811,155 | ||||||
Total Money Market Funds | ||||||||
(Cost $2,504,371) | 2,504,371 | |||||||
Face | ||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 24.5% | ||||||||
Government Agency - 14.7% | ||||||||
Freddie Mac | ||||||||
5.00% due 06/01/53 | 1,915,445 | 1,894,967 | ||||||
5.00% due 04/01/53 | 1,435,650 | 1,420,900 | ||||||
5.50% due 06/01/53 | 1,208,182 | 1,214,992 | ||||||
5.50% due 09/01/53 | 1,063,780 | 1,081,079 | ||||||
5.00% due 08/01/53 | 1,068,501 | 1,078,720 | ||||||
3.00% due 08/01/52 | 1,186,846 | 1,056,897 | ||||||
3.00% due 06/01/52 | 1,159,694 | 1,031,523 | ||||||
4.00% due 02/01/53 | 941,659 | 900,225 | ||||||
5.50% due 05/01/53 | 831,493 | 834,855 | ||||||
5.00% due 09/01/52 | 533,258 | 528,246 | ||||||
5.00% due 03/01/53 | 471,075 | 466,340 | ||||||
4.00% due 04/01/52 | 224,786 | 214,572 | ||||||
Fannie Mae | ||||||||
5.00% due 05/01/53 | 2,734,968 | 2,713,189 | ||||||
5.00% due 06/01/53 | 2,690,642 | 2,661,946 | ||||||
5.00% due 04/01/53 | 1,470,915 | 1,455,927 | ||||||
5.50% due 05/01/53 | 728,732 | 732,466 | ||||||
5.00% due 08/01/53 | 553,731 | 547,951 | ||||||
4.00% due 07/01/52 | 457,649 | 434,662 | ||||||
4.00% due 06/01/52 | 409,168 | 390,576 | ||||||
2.00% due 03/01/52 | 437,927 | 360,755 | ||||||
2.50% due 10/01/51 | 386,799 | 330,680 | ||||||
3.00% due 03/01/52 | 323,421 | 286,735 | ||||||
5.00% due 09/01/52 | 203,257 | 201,346 | ||||||
Fannie Mae-Aces | ||||||||
1.49% (WAC) due 03/25/35◊,6 | 2,540,419 | 248,543 | ||||||
Total Government Agency | 22,088,092 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
| Face | Value | ||||||
Residential Mortgage-Backed Securities - 7.5% | ||||||||
PRPM LLC | ||||||||
2022-1, 3.72% due 02/25/273,7 | 684,050 | $ | 659,599 | |||||
2021-5, 1.79% due 06/25/263,7 | 358,648 | 349,341 | ||||||
2023-1, 6.88% (WAC) due 02/25/28◊,3 | 139,843 | 141,223 | ||||||
CSMC Trust | ||||||||
2020-RPL5, 3.02% (WAC) due 08/25/60◊,3 | 419,284 | 424,343 | ||||||
2021-RPL4, 1.80% (WAC) due 12/27/60◊,3 | 357,256 | 347,230 | ||||||
Legacy Mortgage Asset Trust | ||||||||
2021-GS3, 1.75% due 07/25/613,7 | 368,531 | 354,420 | ||||||
2021-GS5, 2.25% due 07/25/673,7 | 365,303 | 352,675 | ||||||
BRAVO Residential Funding Trust | ||||||||
2022-R1, 3.13% due 01/29/703,7 | 473,277 | 442,050 | ||||||
2023-NQM2, 4.50% due 05/25/623,7 | 230,167 | 216,070 | ||||||
Starwood Mortgage Residential Trust | ||||||||
2020-1, 2.41% (WAC) due 02/25/50◊,3 | 697,814 | 654,878 | ||||||
JP Morgan Mortgage Acquisition Trust | ||||||||
2006-WMC4, 5.59% (1 Month Term SOFR + 0.23%, Rate Floor: 0.12%) due 12/25/36◊ | 1,179,543 | 619,911 | ||||||
Ameriquest Mortgage Securities Trust | ||||||||
2006-M3, 5.63% (1 Month Term SOFR + 0.27%, Rate Floor: 0.16%) due 10/25/36◊ | 2,005,381 | 576,278 | ||||||
LSTAR Securities Investment Ltd. | ||||||||
2023-1, 8.83% (SOFR + 3.50%, Rate Floor: 0.00%) due 01/01/28◊,3 | 351,935 | 350,432 | ||||||
2021-1, 8.26% (1 Month Term SOFR + 2.91%, Rate Floor: 1.80%) due 02/01/26◊,8 | 214,942 | 210,743 | ||||||
GCAT Trust | ||||||||
2023-NQM3, 6.89% (WAC) due 08/25/68◊,3 | 490,608 | 497,984 | ||||||
Securitized Asset-Backed Receivables LLC Trust | ||||||||
2007-BR2, 5.83% (1 Month Term SOFR + 0.47%, Rate Floor: 0.36%) due 02/25/37◊,3 | 597,210 | 494,694 | ||||||
Towd Point Revolving Trust | ||||||||
4.83% due 09/25/648 | 500,000 | 493,750 | ||||||
Home Equity Loan Trust | ||||||||
2007-FRE1, 5.66% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37◊ | 476,963 | 445,319 | ||||||
NYMT Loan Trust | ||||||||
2022-SP1, 5.25% due 07/25/623,7 | 441,718 | 428,702 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
2021-RPL9, 2.44% (WAC) due 02/25/61◊,3 | 403,310 | 386,955 | ||||||
OSAT Trust | ||||||||
2021-RPL1, 2.12% due 05/25/653,7 | 390,192 | 379,563 | ||||||
Master Asset-Backed Securities Trust | ||||||||
2006-WMC4, 5.62% (1 Month Term SOFR + 0.26%, Rate Floor: 0.15%) due 10/25/36◊ | 1,098,387 | 356,579 | ||||||
First Franklin Mortgage Loan Trust | ||||||||
2006-FF16, 5.89% (1 Month Term SOFR + 0.53%, Rate Floor: 0.42%) due 12/25/36◊ | 853,642 | 344,730 | ||||||
NovaStar Mortgage Funding Trust Series | ||||||||
2007-2, 5.67% (1 Month Term SOFR + 0.31%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊ | 334,222 | 322,071 | ||||||
OBX Trust | ||||||||
2022-NQM1, 6.50% (WAC) due 11/25/62◊,3 | 220,752 | 219,766 | ||||||
2022-NQM9, 6.45% due 09/25/623,7 | 88,330 | 89,244 | ||||||
HarborView Mortgage Loan Trust | ||||||||
2006-14, 5.77% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/47◊ | 308,488 | 273,756 | ||||||
American Home Mortgage Investment Trust | ||||||||
2007-1, 2.08% due 05/25/476 | 1,684,034 | 245,193 | ||||||
Angel Oak Mortgage Trust | ||||||||
2023-1, 4.75% due 09/26/673,7 | 186,586 | 180,141 | ||||||
Imperial Fund Mortgage Trust | ||||||||
2022-NQM2, 4.20% (WAC) due 03/25/67◊,3 | 174,985 | 157,444 | ||||||
Saluda Grade Alternative Mortgage Trust | ||||||||
2023-FIG4, 6.72% (WAC) due 11/25/53◊,3 | 150,000 | 152,344 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | ||||||||
2006-AR9, 5.85% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊ | 188,116 | 150,747 | ||||||
Morgan Stanley Re-REMIC Trust | ||||||||
2010-R5, due 06/26/36 | 32,576 | 28,820 | ||||||
UCFC Manufactured Housing Contract | ||||||||
1997-2, 7.38% due 10/15/28 | 16,731 | 16,580 | ||||||
Total Residential Mortgage-Backed Securities | 11,363,575 | |||||||
Commercial Mortgage-Backed Securities - 1.2% | ||||||||
BX Commercial Mortgage Trust | ||||||||
2022-LP2, 7.32% (1 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 02/15/39◊,3 | 405,035 | 390,806 | ||||||
2021-VOLT, 7.48% (1 Month Term SOFR + 2.11%, Rate Floor: 2.00%) due 09/15/36◊,3 | 350,000 | 334,620 | ||||||
GS Mortgage Securities Trust | ||||||||
2020-GC45, 0.66% (WAC) due 02/13/53◊,6 | 9,855,873 | 282,020 | ||||||
Life Mortgage Trust | ||||||||
2021-BMR, 7.83% (1 Month Term SOFR + 2.46%, Rate Floor: 2.35%) due 03/15/38◊,3 | 245,743 | 232,152 | ||||||
Extended Stay America Trust | ||||||||
2021-ESH, 7.73% (1 Month Term SOFR + 2.36%, Rate Floor: 2.25%) due 07/15/38◊,3 | 233,360 | 229,257 | ||||||
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
| Face | Value | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
2016-C3, 0.98% (WAC) due 01/10/48◊,6 | 5,263,069 | $ | 81,370 | |||||
Citigroup Commercial Mortgage Trust | ||||||||
2016-GC37, 1.65% (WAC) due 04/10/49◊,6 | 2,796,942 | 75,003 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2016-NXS5, 1.40% (WAC) due 01/15/59◊,6 | 3,228,480 | 74,046 | ||||||
COMM Mortgage Trust | ||||||||
2015-CR26, 0.89% (WAC) due 10/10/48◊,6 | 5,584,245 | 60,712 | ||||||
Total Commercial Mortgage-Backed Securities | 1,759,986 | |||||||
Military Housing - 1.1% | ||||||||
GMAC Commercial Mortgage Asset Corp. | ||||||||
2007-HCKM, 6.11% due 08/10/52†††,3 | 912,388 | 908,966 | ||||||
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | ||||||||
2015-R1, 4.49% (WAC) due 11/25/55◊,3 | 901,678 | 735,892 | ||||||
Total Military Housing | 1,644,858 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $38,532,244) | 36,856,511 | |||||||
CORPORATE BONDS†† - 22.8% | ||||||||
Financial - 11.8% | ||||||||
Pershing Square Holdings Ltd. | ||||||||
3.25% due 10/01/313 | 1,000,000 | 785,890 | ||||||
3.25% due 11/15/30 | 750,000 | 608,610 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.75% due 05/07/253 | 800,000 | 768,719 | ||||||
Wilton RE Ltd. | ||||||||
6.00% 2,3,9 | 682,000 | 603,327 | ||||||
GLP Capital Limited Partnership / GLP Financing II, Inc. | ||||||||
4.00% due 01/15/31 | 290,000 | 261,184 | ||||||
5.30% due 01/15/29 | 250,000 | 248,554 | ||||||
Citigroup, Inc. | ||||||||
2.57% due 06/03/312 | 590,000 | 503,988 | ||||||
Nippon Life Insurance Co. | ||||||||
2.75% due 01/21/512,3 | 350,000 | 289,900 | ||||||
2.90% due 09/16/512,3 | 200,000 | 164,662 | ||||||
Fort Moore Family Communities LLC | ||||||||
6.09% due 01/15/513 | 460,337 | 435,157 | ||||||
Host Hotels & Resorts, LP | ||||||||
3.50% due 09/15/30 | 435,000 | 388,072 | ||||||
2.90% due 12/15/31 | 50,000 | 41,949 | ||||||
JPMorgan Chase & Co. | ||||||||
5.72% due 09/14/332 | 300,000 | 310,410 | ||||||
2.96% due 05/13/312 | 135,000 | 118,634 | ||||||
FS KKR Capital Corp. | ||||||||
2.63% due 01/15/27 | 250,000 | 224,396 | ||||||
3.25% due 07/15/27 | 200,000 | 181,926 | ||||||
Assurant, Inc. | ||||||||
6.10% due 02/27/26 | 200,000 | 203,181 | ||||||
2.65% due 01/15/32 | 250,000 | 201,872 | ||||||
Global Atlantic Finance Co. | ||||||||
4.70% due 10/15/512,3 | 250,000 | 214,274 | ||||||
3.13% due 06/15/313 | 195,000 | 159,752 | ||||||
Macquarie Group Ltd. | ||||||||
2.87% due 01/14/332,3 | 250,000 | 205,511 | ||||||
2.69% due 06/23/322,3 | 200,000 | 164,115 | ||||||
Safehold GL Holdings LLC | ||||||||
2.85% due 01/15/32 | 271,000 | 219,611 | ||||||
2.80% due 06/15/31 | 180,000 | 147,900 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.30% due 02/01/613 | 554,000 | 363,338 | ||||||
Ares Finance Company II LLC | ||||||||
3.25% due 06/15/303 | 410,000 | 362,071 | ||||||
Blue Owl Capital GP LLC | ||||||||
7.21% due 08/22/43††† | 350,000 | 361,267 | ||||||
Iron Mountain, Inc. | ||||||||
4.50% due 02/15/313 | 261,000 | 236,340 | ||||||
5.63% due 07/15/323 | 125,000 | 118,334 | ||||||
Fidelity National Financial, Inc. | ||||||||
3.40% due 06/15/30 | 255,000 | 227,250 | ||||||
2.45% due 03/15/31 | 150,000 | 124,260 | ||||||
Maple Grove Funding Trust I | ||||||||
4.16% due 08/15/513 | 500,000 | 350,182 | ||||||
United Wholesale Mortgage LLC | ||||||||
5.50% due 04/15/293 | 300,000 | 284,013 | ||||||
5.50% due 11/15/253 | 50,000 | 49,684 | ||||||
Standard Chartered plc | ||||||||
4.64% due 04/01/312,3 | 350,000 | 329,743 | ||||||
Jefferies Financial Group, Inc. | ||||||||
2.75% due 10/15/32 | 300,000 | 245,717 | ||||||
2.63% due 10/15/31 | 100,000 | 82,831 | ||||||
First American Financial Corp. | ||||||||
4.00% due 05/15/30 | 360,000 | 323,772 | ||||||
Fairfax Financial Holdings Ltd. | ||||||||
3.38% due 03/03/31 | 250,000 | 219,692 | ||||||
5.63% due 08/16/32 | 100,000 | 99,903 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
3.88% due 03/01/313 | 350,000 | 307,824 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
4.35% due 04/30/503 | 370,000 | 296,575 | ||||||
OneAmerica Financial Partners, Inc. | ||||||||
4.25% due 10/15/503 | 410,000 | 294,915 | ||||||
Reinsurance Group of America, Inc. | ||||||||
3.15% due 06/15/30 | 321,000 | 288,102 | ||||||
BPCE S.A. | ||||||||
7.00% due 10/19/342,3 | 250,000 | 271,702 | ||||||
ABN AMRO Bank N.V. | ||||||||
2.47% due 12/13/292,3 | 300,000 | 263,912 | ||||||
Belrose Funding Trust | ||||||||
2.33% due 08/15/303 | 320,000 | 255,572 | ||||||
Macquarie Bank Ltd. | ||||||||
3.62% due 06/03/303 | 290,000 | 252,005 | ||||||
Brookfield Finance, Inc. | ||||||||
3.50% due 03/30/51 | 280,000 | 204,747 | ||||||
4.70% due 09/20/47 | 50,000 | 43,462 | ||||||
UBS Group AG | ||||||||
2.10% due 02/11/322,3 | 300,000 | 239,286 | ||||||
SBA Communications Corp. | ||||||||
3.13% due 02/01/29 | 250,000 | 224,624 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
| Face | Value | ||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||
5.00% due 08/15/283 | 250,000 | $ | 223,770 | |||||
Societe Generale S.A. | ||||||||
2.89% due 06/09/322,3 | 250,000 | 206,278 | ||||||
Stewart Information Services Corp. | ||||||||
3.60% due 11/15/31 | 250,000 | 194,731 | ||||||
Westpac Banking Corp. | ||||||||
3.02% due 11/18/362 | 150,000 | 121,934 | ||||||
2.96% due 11/16/40 | 73,000 | 50,543 | ||||||
2.67% due 11/15/352 | 27,000 | 21,962 | ||||||
Morgan Stanley | ||||||||
2.70% due 01/22/312 | 220,000 | 192,319 | ||||||
Hunt Companies, Inc. | ||||||||
5.25% due 04/15/293 | 200,000 | 178,403 | ||||||
Trustage Financial Group, Inc. | ||||||||
4.63% due 04/15/323 | 200,000 | 174,185 | ||||||
Bank of America Corp. | ||||||||
2.59% due 04/29/312 | 190,000 | 163,740 | ||||||
LPL Holdings, Inc. | ||||||||
4.00% due 03/15/293 | 174,000 | 161,022 | ||||||
Americo Life, Inc. | ||||||||
3.45% due 04/15/313 | 200,000 | 156,586 | ||||||
Capital One Financial Corp. | ||||||||
6.38% due 06/08/342 | 150,000 | 154,380 | ||||||
AmFam Holdings, Inc. | ||||||||
2.81% due 03/11/313 | 200,000 | 153,196 | ||||||
KKR Group Finance Company VIII LLC | ||||||||
3.50% due 08/25/503 | 190,000 | 135,132 | ||||||
Prudential Financial, Inc. | ||||||||
3.70% due 10/01/502 | 130,000 | 112,702 | ||||||
Aretec Group, Inc. | ||||||||
10.00% due 08/15/303 | 100,000 | 106,265 | ||||||
Corebridge Financial, Inc. | ||||||||
6.88% due 12/15/522 | 100,000 | 99,661 | ||||||
PartnerRe Finance B LLC | ||||||||
4.50% due 10/01/502 | 110,000 | 93,637 | ||||||
Kennedy-Wilson, Inc. | ||||||||
4.75% due 03/01/29 | 109,000 | 91,006 | ||||||
Apollo Management Holdings, LP | ||||||||
2.65% due 06/05/303 | 90,000 | 77,837 | ||||||
Brown & Brown, Inc. | ||||||||
2.38% due 03/15/31 | 90,000 | 73,778 | ||||||
Assured Guaranty US Holdings, Inc. | ||||||||
3.60% due 09/15/51 | 100,000 | 71,358 | ||||||
Western & Southern Life Insurance Co. | ||||||||
3.75% due 04/28/613 | 100,000 | 69,731 | ||||||
Penn Mutual Life Insurance Co. | ||||||||
3.80% due 04/29/613 | 100,000 | 67,121 | ||||||
American Equity Investment Life Holding Co. | ||||||||
5.00% due 06/15/27 | 69,000 | 66,262 | ||||||
Kemper Corp. | ||||||||
2.40% due 09/30/30 | 76,000 | 58,865 | ||||||
NFP Corp. | ||||||||
6.88% due 08/15/283 | 52,000 | 52,863 | ||||||
Lincoln National Corp. | ||||||||
4.38% due 06/15/50 | 67,000 | 52,760 | ||||||
CNO Financial Group, Inc. | ||||||||
5.25% due 05/30/29 | 50,000 | 49,361 | ||||||
Nationstar Mortgage Holdings, Inc. | ||||||||
5.00% due 02/01/263 | 50,000 | 48,898 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75% due 05/15/283 | 35,000 | 34,825 | ||||||
Brookfield Finance LLC / Brookfield Finance, Inc. | ||||||||
3.45% due 04/15/50 | 50,000 | 34,814 | ||||||
Total Financial | 17,722,642 | |||||||
Consumer, Non-cyclical - 2.3% | ||||||||
Altria Group, Inc. | ||||||||
3.70% due 02/04/51 | 350,000 | 246,244 | ||||||
3.40% due 05/06/30 | 170,000 | 155,070 | ||||||
4.45% due 05/06/50 | 50,000 | 39,649 | ||||||
CoStar Group, Inc. | ||||||||
2.80% due 07/15/303 | 430,000 | 365,474 | ||||||
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. | ||||||||
3.00% due 05/15/32 | 200,000 | 162,832 | ||||||
5.50% due 01/15/30 | 100,000 | 98,278 | ||||||
4.38% due 02/02/52 | 100,000 | 74,444 | ||||||
Children’s Hospital Corp. | ||||||||
2.59% due 02/01/50 | 500,000 | 324,262 | ||||||
Global Payments, Inc. | ||||||||
2.90% due 05/15/30 | 210,000 | 184,712 | ||||||
2.90% due 11/15/31 | 140,000 | 119,754 | ||||||
Smithfield Foods, Inc. | ||||||||
2.63% due 09/13/313 | 250,000 | 193,362 | ||||||
3.00% due 10/15/303 | 110,000 | 90,302 | ||||||
Royalty Pharma plc | ||||||||
3.55% due 09/02/50 | 310,000 | 220,101 | ||||||
BAT Capital Corp. | ||||||||
3.98% due 09/25/50 | 300,000 | 211,134 | ||||||
Kimberly-Clark de Mexico SAB de CV | ||||||||
2.43% due 07/01/313 | 200,000 | 171,680 | ||||||
California Institute of Technology | ||||||||
3.65% due 09/01/19 | 225,000 | 160,235 | ||||||
Triton Container International Ltd. | ||||||||
3.15% due 06/15/313 | 200,000 | 159,105 | ||||||
Universal Health Services, Inc. | ||||||||
2.65% due 10/15/30 | 150,000 | 127,189 | ||||||
Transurban Finance Company Pty Ltd. | ||||||||
2.45% due 03/16/313 | 150,000 | 124,850 | ||||||
Triton Container International Limited / TAL International Container Corp. | ||||||||
3.25% due 03/15/32 | 100,000 | 80,058 | ||||||
Tenet Healthcare Corp. | ||||||||
4.63% due 06/15/28 | 75,000 | 71,574 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
3.13% due 02/15/293 | 43,000 | 37,630 | ||||||
Central Garden & Pet Co. | ||||||||
4.13% due 04/30/313 | 42,000 | 37,118 | ||||||
Total Consumer, Non-cyclical | 3,455,057 | |||||||
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
| Face | Value | ||||||
Industrial - 1.8% | ||||||||
Amsted Industries, Inc. | ||||||||
4.63% due 05/15/303 | 470,000 | $ | 430,153 | |||||
Crown Americas LLC / Crown Americas Capital Corporation VI | ||||||||
4.75% due 02/01/26 | 400,000 | 396,198 | ||||||
Stadco LA, LLC | ||||||||
3.75% due 05/15/56††† | 500,000 | 346,410 | ||||||
Flowserve Corp. | ||||||||
3.50% due 10/01/30 | 270,000 | 238,505 | ||||||
2.80% due 01/15/32 | 100,000 | 82,602 | ||||||
TD SYNNEX Corp. | ||||||||
2.65% due 08/09/31 | 210,000 | 169,638 | ||||||
2.38% due 08/09/28 | 150,000 | 129,418 | ||||||
Vontier Corp. | ||||||||
2.95% due 04/01/31 | 350,000 | 294,507 | ||||||
Owens Corning | ||||||||
3.88% due 06/01/30 | 247,000 | 231,688 | ||||||
Level 3 Financing, Inc. | ||||||||
3.63% due 01/15/29 | 330,000 | 168,300 | ||||||
3.75% due 07/15/29 | 100,000 | 50,000 | ||||||
11.00% due 11/15/29††† | 63,977 | — | ||||||
Weir Group plc | ||||||||
2.20% due 05/13/263 | 200,000 | 185,936 | ||||||
Berry Global, Inc. | ||||||||
1.57% due 01/15/26 | 50,000 | 46,450 | ||||||
Norfolk Southern Corp. | ||||||||
4.10% due 05/15/21 | 50,000 | 37,648 | ||||||
Total Industrial | 2,807,453 | |||||||
Consumer, Cyclical - 1.7% | ||||||||
Warnermedia Holdings, Inc. | ||||||||
4.28% due 03/15/32 | 400,000 | 366,082 | ||||||
5.14% due 03/15/52 | 173,000 | 148,495 | ||||||
Hyatt Hotels Corp. | ||||||||
5.38% due 04/23/25 | 220,000 | 220,244 | ||||||
5.75% due 04/23/30 | 190,000 | 196,314 | ||||||
Delta Air Lines, Inc. | ||||||||
7.00% due 05/01/253 | 367,000 | 373,390 | ||||||
Choice Hotels International, Inc. | ||||||||
3.70% due 01/15/31 | 360,000 | 310,338 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.50% due 06/20/273 | 245,000 | 245,696 | ||||||
Delta Air Lines, Inc. / SkyMiles IP Ltd. | ||||||||
4.50% due 10/20/253 | 200,000 | 196,961 | ||||||
Ferguson Finance plc | ||||||||
4.65% due 04/20/323 | 200,000 | 193,246 | ||||||
United Airlines, Inc. | ||||||||
4.38% due 04/15/263 | 150,000 | 146,161 | ||||||
British Airways Class A Pass Through Trust | ||||||||
2.90% due 03/15/353 | 92,486 | 79,038 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
4.10% due 04/15/50 | 98,000 | 71,165 | ||||||
Total Consumer, Cyclical | 2,547,130 | |||||||
Energy - 1.5% | ||||||||
BP Capital Markets plc | ||||||||
4.88% 2,9 | 547,000 | 519,539 | ||||||
Venture Global LNG, Inc. | ||||||||
9.50% due 02/01/293 | 200,000 | 211,633 | ||||||
9.88% due 02/01/323 | 100,000 | 104,164 | ||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||
3.25% due 09/30/403 | 328,000 | 256,708 | ||||||
ITT Holdings LLC | ||||||||
6.50% due 08/01/293 | 248,000 | 219,391 | ||||||
Greensaif Pipelines Bidco SARL | ||||||||
6.13% due 02/23/383 | 200,000 | 208,515 | ||||||
Kinder Morgan, Inc. | ||||||||
5.20% due 06/01/33 | 150,000 | 149,097 | ||||||
Targa Resources Corp. | ||||||||
6.50% due 03/30/34 | 100,000 | 107,927 | ||||||
Midwest Connector Capital Company LLC | ||||||||
4.63% due 04/01/293 | 110,000 | 105,903 | ||||||
Viper Energy, Inc. | ||||||||
7.38% due 11/01/313 | 100,000 | 103,500 | ||||||
TransCanada PipeLines Ltd. | ||||||||
6.20% due 03/09/26 | 100,000 | 99,992 | ||||||
NuStar Logistics, LP | ||||||||
5.63% due 04/28/27 | 100,000 | 99,574 | ||||||
Parkland Corp. | ||||||||
4.63% due 05/01/303 | 100,000 | 92,000 | ||||||
Total Energy | 2,277,943 | |||||||
Communications - 1.5% | ||||||||
British Telecommunications plc | ||||||||
4.88% due 11/23/812,3 | 350,000 | 299,214 | ||||||
9.63% due 12/15/30 | 100,000 | 123,740 | ||||||
Virgin Media Secured Finance plc | ||||||||
4.50% due 08/15/303 | 300,000 | 267,090 | ||||||
Paramount Global | ||||||||
4.90% due 08/15/44 | 132,000 | 103,881 | ||||||
5.90% due 10/15/40 | 86,000 | 77,746 | ||||||
5.25% due 04/01/44 | 46,000 | 36,842 | ||||||
4.85% due 07/01/42 | 35,000 | 28,080 | ||||||
4.60% due 01/15/45 | 20,000 | 15,209 | ||||||
Cable One, Inc. | ||||||||
4.00% due 11/15/303 | 300,000 | 242,892 | ||||||
Vodafone Group plc | ||||||||
4.13% due 06/04/812 | 250,000 | 214,627 | ||||||
Rogers Communications, Inc. | ||||||||
4.55% due 03/15/52 | 200,000 | 174,417 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.13% due 07/01/303 | 180,000 | 160,394 | ||||||
Altice France S.A. | ||||||||
5.13% due 07/15/293 | 200,000 | 155,604 | ||||||
CSC Holdings LLC | ||||||||
4.13% due 12/01/303 | 200,000 | 152,150 | ||||||
Go Daddy Operating Company LLC / GD Finance Co., Inc. | ||||||||
3.50% due 03/01/293 | 55,000 | 49,813 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. | ||||||||
4.50% due 09/15/263 | 56,000 | 42,711 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
| Face | Value | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
3.90% due 06/01/52 | 50,000 | $ | 33,619 | |||||
Discovery Communications LLC | ||||||||
5.20% due 09/20/47 | 26,000 | 22,399 | ||||||
McGraw-Hill Education, Inc. | ||||||||
5.75% due 08/01/283 | 16,000 | 15,428 | ||||||
Total Communications | 2,215,856 | |||||||
Technology - 1.0% | ||||||||
Broadcom, Inc. | ||||||||
4.93% due 05/15/373 | 277,000 | 268,061 | ||||||
3.19% due 11/15/363 | 26,000 | 21,069 | ||||||
Leidos, Inc. | ||||||||
2.30% due 02/15/31 | 250,000 | 209,251 | ||||||
Foundry JV Holdco LLC | ||||||||
5.88% due 01/25/343 | 200,000 | 205,427 | ||||||
Qorvo, Inc. | ||||||||
4.38% due 10/15/29 | 119,000 | 112,901 | ||||||
3.38% due 04/01/313 | 100,000 | 85,557 | ||||||
Oracle Corp. | ||||||||
3.95% due 03/25/51 | 217,000 | 169,925 | ||||||
MSCI, Inc. | ||||||||
3.63% due 11/01/313 | 150,000 | 132,021 | ||||||
CDW LLC / CDW Finance Corp. | ||||||||
3.57% due 12/01/31 | 141,000 | 124,971 | ||||||
Booz Allen Hamilton, Inc. | ||||||||
5.95% due 08/04/33 | 100,000 | 105,640 | ||||||
Twilio, Inc. | ||||||||
3.63% due 03/15/29 | 38,000 | 34,667 | ||||||
Total Technology | 1,469,490 | |||||||
Basic Materials - 0.8% | ||||||||
Anglo American Capital plc | ||||||||
5.63% due 04/01/303 | 200,000 | 202,997 | ||||||
2.63% due 09/10/303 | 200,000 | 170,136 | ||||||
Alcoa Nederland Holding BV | ||||||||
5.50% due 12/15/273 | 200,000 | 194,926 | ||||||
Minerals Technologies, Inc. | ||||||||
5.00% due 07/01/283 | 190,000 | 182,721 | ||||||
International Flavors & Fragrances, Inc. | ||||||||
1.23% due 10/01/253 | 170,000 | 157,359 | ||||||
Yamana Gold, Inc. | ||||||||
2.63% due 08/15/31 | 150,000 | 126,441 | ||||||
Arsenal AIC Parent LLC | ||||||||
8.00% due 10/01/303 | 100,000 | 104,336 | ||||||
Valvoline, Inc. | ||||||||
4.25% due 02/15/303 | 50,000 | 49,598 | ||||||
Total Basic Materials | 1,188,514 | |||||||
Utilities - 0.4% | ||||||||
AES Corp. | ||||||||
3.95% due 07/15/303 | 220,000 | 203,125 | ||||||
Enel Finance International N.V. | ||||||||
5.00% due 06/15/323 | 200,000 | 195,071 | ||||||
NRG Energy, Inc. | ||||||||
2.45% due 12/02/273 | 200,000 | 180,317 | ||||||
Total Utilities | 578,513 | |||||||
Total Corporate Bonds | ||||||||
(Cost $39,528,599) | 34,262,598 | |||||||
U.S. GOVERNMENT SECURITIES†† - 22.1% | ||||||||
U.S. Treasury Notes | ||||||||
4.63% due 09/30/2810 | 11,402,600 | 11,769,621 | ||||||
4.13% due 07/31/28 | 7,490,000 | 7,567,241 | ||||||
4.00% due 02/29/28 | 2,060,000 | 2,066,759 | ||||||
2.75% due 02/15/28 | 650,000 | 621,334 | ||||||
U.S. Treasury Bonds | ||||||||
due 05/15/5311,12 | 12,650,000 | 4,014,071 | ||||||
due 11/15/5211,12 | 3,400,000 | 1,097,921 | ||||||
due 02/15/4611,12 | 2,455,000 | 964,070 | ||||||
due 05/15/4411,12 | 2,145,000 | 905,211 | ||||||
due 02/15/5211,12 | 2,180,000 | 709,632 | ||||||
due 11/15/4411,12 | 490,000 | 202,389 | ||||||
United States Treasury Inflation Indexed Bonds | ||||||||
0.13% due 10/15/25 | 1,422,936 | 1,368,204 | ||||||
0.13% due 04/15/25 | 1,405,557 | 1,355,343 | ||||||
1.25% due 04/15/28 | 410,300 | 399,583 | ||||||
1.38% due 07/15/33 | 192,481 | 186,595 | ||||||
Total U.S. Government Securities | ||||||||
(Cost $33,565,427) | 33,227,974 | |||||||
ASSET-BACKED SECURITIES†† - 21.8% | ||||||||
Collateralized Loan Obligations - 12.9% | ||||||||
Octagon Investment Partners 49 Ltd. | ||||||||
2021-5A B, 7.21% (3 Month Term SOFR + 1.81%, Rate Floor: 1.55%) due 01/15/33◊,3 | 1,750,000 | 1,737,995 | ||||||
BXMT Ltd. | ||||||||
2020-FL2 AS, 6.63% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 02/15/38◊,3 | 1,000,000 | 917,711 | ||||||
2020-FL3 C, 8.03% (1 Month Term SOFR + 2.66%, Rate Floor: 2.66%) due 11/15/37◊,3 | 250,000 | 210,046 | ||||||
Cerberus Loan Funding XXX, LP | ||||||||
2020-3A A, 7.51% (3 Month Term SOFR + 2.11%, Rate Floor: 1.85%) due 01/15/33◊,3 | 1,000,000 | 995,985 | ||||||
Woodmont Trust | ||||||||
2020-7A A1A, 7.56% (3 Month Term SOFR + 2.16%, Rate Floor: 1.90%) due 01/15/32◊,3 | 1,000,000 | 995,844 | ||||||
ABPCI Direct Lending Fund CLO II LLC | ||||||||
2021-1A A1R, 7.28% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 04/20/32◊,3 | 1,000,000 | 992,001 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
2022-1A A2, 6.99% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,3 | 1,000,000 | 987,566 | ||||||
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
| Face | Value | ||||||
Cerberus Loan Funding XXXIII, LP | ||||||||
2021-3A A, 7.22% (3 Month Term SOFR + 1.82%, Rate Floor: 1.56%) due 07/23/33◊,3 | 500,000 | $ | 494,989 | |||||
2021-3A B, 7.51% (3 Month Term SOFR + 2.11%, Rate Floor: 1.85%) due 07/23/33◊,3 | 500,000 | 485,815 | ||||||
LCCM Trust | ||||||||
2021-FL3 A, 6.93% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 11/15/38◊,3 | 600,000 | 591,457 | ||||||
2021-FL3 AS, 7.28% (1 Month Term SOFR + 1.91%, Rate Floor: 1.91%) due 11/15/38◊,3 | 400,000 | 382,358 | ||||||
Cerberus Loan Funding XLIV LLC | ||||||||
2024-5A A, (3 Month Term SOFR + 2.35%, Rate Floor: 2.35%) due 01/15/36◊,3 | 950,000 | 950,000 | ||||||
Golub Capital Partners CLO 33M Ltd. | ||||||||
2021-33A AR2, 7.50% (3 Month Term SOFR + 2.12%, Rate Floor: 1.86%) due 08/25/33◊,3 | 750,000 | 722,165 | ||||||
Dryden 37 Senior Loan Fund | ||||||||
2015-37A Q, due 01/15/313,13 | 1,000,000 | 716,581 | ||||||
Golub Capital Partners CLO 36M Ltd. | ||||||||
2018-36A A, 6.95% (3 Month Term SOFR + 1.56%, Rate Floor: 0.00%) due 02/05/31◊,3 | 715,397 | 712,338 | ||||||
STWD Ltd. | ||||||||
2019-FL1 B, 7.08% (1 Month Term SOFR + 1.71%, Rate Floor: 1.71%) due 07/15/38◊,3 | 750,000 | 704,286 | ||||||
Fortress Credit Opportunities XI CLO Ltd. | ||||||||
2018-11A A1T, 6.96% (3 Month Term SOFR + 1.56%, Rate Floor: 0.00%) due 04/15/31◊,3 | 650,848 | 648,289 | ||||||
Cerberus Loan Funding XLII LLC | ||||||||
2023-3A A1, 7.91% (3 Month Term SOFR + 2.48%, Rate Floor: 2.48%) due 09/13/35◊,3 | 500,000 | 500,045 | ||||||
Cerberus Loan Funding XL LLC | ||||||||
2023-1A A, 7.79% (3 Month Term SOFR + 2.40%, Rate Floor: 2.40%) due 03/22/35◊,3 | 500,000 | 500,011 | ||||||
Golub Capital Partners CLO 16 Ltd. | ||||||||
2021-16A A1R2, 7.25% (3 Month Term SOFR + 1.87%, Rate Floor: 1.61%) due 07/25/33◊,3 | 500,000 | 498,327 | ||||||
THL Credit Lake Shore MM CLO I Ltd. | ||||||||
2021-1A A1R, 7.36% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33◊,3 | 500,000 | 495,955 | ||||||
ABPCI Direct Lending Fund CLO I LLC | ||||||||
2021-1A A1A2, 7.38% (3 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 07/20/33◊,3 | 500,000 | 495,224 | ||||||
HERA Commercial Mortgage Ltd. | ||||||||
2021-FL1 B, 7.07% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 02/18/38◊,3 | 500,000 | 480,296 | ||||||
LoanCore Issuer Ltd. | ||||||||
2021-CRE6 C, 7.78% (1 Month Term SOFR + 2.41%, Rate Floor: 2.30%) due 11/15/38◊,3 | 500,000 | 478,813 | ||||||
Golub Capital Partners CLO 54M L.P | ||||||||
2021-54A C, 8.30% (3 Month Term SOFR + 2.91%, Rate Floor: 2.65%) due 08/05/33◊,3 | 500,000 | 477,474 | ||||||
CHCP Ltd. | ||||||||
2021-FL1 C, 7.57% (1 Month Term SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/38◊,3 | 500,000 | 473,077 | ||||||
KREF | ||||||||
2021-FL2 C, 7.48% (1 Month Term SOFR + 2.11%, Rate Floor: 2.00%) due 02/15/39◊,3 | 500,000 | 462,185 | ||||||
ABPCI Direct Lending Fund CLO V Ltd. | ||||||||
2021-5A A1R, 7.18% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 04/20/31◊,3 | 457,970 | 453,431 | ||||||
CIFC Funding 2017-II Ltd. | ||||||||
2021-2A CR, 7.53% (3 Month Term SOFR + 2.11%, Rate Floor: 1.85%) due 04/20/30◊,3 | 250,000 | 247,968 | ||||||
Owl Rock CLO IV Ltd. | ||||||||
2021-4A A1R, 7.23% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33◊,3 | 250,000 | 246,351 | ||||||
Golub Capital Partners CLO 17 Ltd. | ||||||||
2017-17A A1R, 7.29% (3 Month Term SOFR + 1.91%, Rate Floor: 0.00%) due 10/25/30◊,3 | 185,173 | 185,193 | ||||||
KREF Ltd. | ||||||||
2021-FL2 AS, 6.78% (1 Month Term SOFR + 1.41%, Rate Floor: 1.30%) due 02/15/39◊,3 | 150,000 | 138,053 | ||||||
Cerberus Loan Funding XXXVI, LP | ||||||||
2021-6A A, 7.06% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 11/22/33◊,3 | 53,233 | 53,208 | ||||||
Treman Park CLO Ltd. | ||||||||
2015-1A COM, due 10/20/283,13 | 162,950 | 640 | ||||||
Copper River CLO Ltd. | ||||||||
2007-1A INC, due 01/20/218,13 | 600,000 | 60 | ||||||
Total Collateralized Loan Obligations | 19,431,737 | |||||||
Net Lease - 1.8% | ||||||||
STORE Master Funding I-VII | ||||||||
2016-1A, 3.96% due 10/20/463 | 1,070,972 | 1,010,736 | ||||||
CF Hippolyta Issuer LLC | ||||||||
2022-1A, 6.11% due 08/15/623 | 244,283 | 238,559 | ||||||
2020-1, 2.28% due 07/15/603 | 224,863 | 205,772 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
| Face | Value | ||||||
Capital Automotive REIT | ||||||||
2021-1A, 2.76% due 08/15/513 | 497,604 | $ | 366,112 | |||||
SVC ABS LLC | ||||||||
2023-1A, 5.15% due 02/20/533 | 348,542 | 335,394 | ||||||
CMFT Net Lease Master Issuer LLC | ||||||||
2021-1, 3.44% due 07/20/513 | 400,000 | 293,056 | ||||||
CARS-DB4, LP | ||||||||
2020-1A, 3.81% due 02/15/503 | 246,823 | 208,892 | ||||||
Total Net Lease | 2,658,521 | |||||||
Transport-Aircraft - 1.7% | ||||||||
Navigator Aircraft ABS Ltd. | ||||||||
2021-1, 2.77% due 11/15/463 | 427,083 | 371,955 | ||||||
Lunar Structured Aircraft Portfolio Notes | ||||||||
2021-1, 2.64% due 10/15/463 | 405,128 | 349,370 | ||||||
AASET Trust | ||||||||
2021-1A, 2.95% due 11/16/413 | 363,325 | 325,539 | ||||||
JOL Air Ltd. | ||||||||
2019-1, 3.97% due 04/15/443 | 328,736 | 299,101 | ||||||
WAVE LLC | ||||||||
2019-1, 3.60% due 09/15/443 | 354,314 | 295,859 | ||||||
Sapphire Aviation Finance II Ltd. | ||||||||
2020-1A, 3.23% due 03/15/403 | 332,692 | 283,823 | ||||||
Castlelake Aircraft Structured Trust | ||||||||
2021-1A, 3.47% due 01/15/463 | 224,934 | 206,460 | ||||||
Raspro Trust | ||||||||
2005-1A, 6.18% (3 Month Term SOFR + 1.19%, Rate Floor: 0.93%) due 03/23/24◊,3 | 196,989 | 196,118 | ||||||
Sprite Ltd. | ||||||||
2021-1, 3.75% due 11/15/463 | 189,051 | 173,271 | ||||||
Falcon Aerospace Ltd. | ||||||||
2017-1, 4.58% due 02/15/423 | 67,608 | 63,199 | ||||||
Total Transport-Aircraft | 2,564,695 | |||||||
Financial - 1.5% | ||||||||
KKR Core Holding Company LLC | ||||||||
4.00% due 08/12/31††† | 536,679 | 482,533 | ||||||
Project Onyx I | ||||||||
7.67% due 01/26/27††† | 436,920 | 436,789 | ||||||
Madison Avenue Secured Funding Trust | ||||||||
2023-1, 7.36% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 03/04/24◊,†††,3 | 350,000 | 350,000 | ||||||
LVNV Funding LLC | ||||||||
7.80% due 11/05/28††† | 250,000 | 261,030 | ||||||
Thunderbird A | ||||||||
5.50% due 03/01/37††† | 224,340 | 211,344 | ||||||
Lightning A | ||||||||
5.50% due 03/01/37††† | 220,993 | 208,191 | ||||||
Project Onyx II | ||||||||
7.67% due 01/26/27††† | 141,311 | 141,256 | ||||||
Nassau LLC | ||||||||
2019-1, 3.98% due 08/15/343 | 126,687 | 121,379 | ||||||
Oxford Finance Funding | ||||||||
2020-1A, 3.10% due 02/15/283 | 99,690 | 96,765 | ||||||
Total Financial | 2,309,287 | |||||||
Whole Business - 1.4% | ||||||||
Arbys Funding LLC | ||||||||
2020-1A, 3.24% due 07/30/503 | 774,000 | 706,146 | ||||||
Applebee’s Funding LLC / IHOP Funding LLC | ||||||||
2019-1A, 4.72% due 06/05/493 | 495,000 | 474,236 | ||||||
SERVPRO Master Issuer LLC | ||||||||
2021-1A, 2.39% due 04/25/513 | 487,500 | 418,762 | ||||||
Taco Bell Funding LLC | ||||||||
2016-1A, 4.97% due 05/25/463 | 328,125 | 323,047 | ||||||
ServiceMaster Funding LLC | ||||||||
2020-1, 3.34% due 01/30/513 | 236,976 | 193,384 | ||||||
Total Whole Business | 2,115,575 | |||||||
Infrastructure - 0.8% | ||||||||
Stack Infrastructure Issuer LLC | ||||||||
2023-1A, 5.90% due 03/25/483 | 500,000 | 491,986 | ||||||
Hotwire Funding LLC | ||||||||
2021-1, 2.31% due 11/20/513 | 250,000 | 225,498 | ||||||
VB-S1 Issuer LLC - VBTEL | ||||||||
2022-1A, 4.29% due 02/15/523 | 250,000 | 225,280 | ||||||
Aligned Data Centers Issuer LLC | ||||||||
2021-1A, 1.94% due 08/15/463 | 250,000 | 224,058 | ||||||
Total Infrastructure | 1,166,822 | |||||||
Single Family Residence - 0.8% | ||||||||
FirstKey Homes Trust | ||||||||
2021-SFR1, 1.79% due 08/17/383 | 600,000 | 541,911 | ||||||
2020-SFR2, 4.50% due 10/19/373 | 150,000 | 140,466 | ||||||
2020-SFR2, 4.00% due 10/19/373 | 150,000 | 140,046 | ||||||
2020-SFR2, 3.37% due 10/19/373 | 100,000 | 92,691 | ||||||
Tricon Residential Trust | ||||||||
2023-SFR2, 5.00% due 12/17/283 | 250,000 | 238,428 | ||||||
Total Single Family Residence | 1,153,542 | |||||||
Transport-Container - 0.5% | ||||||||
CLI Funding VIII LLC | ||||||||
2021-1A, 1.64% due 02/18/463 | 353,012 | 311,330 | ||||||
Textainer Marine Containers Ltd. | ||||||||
2021-3A, 1.94% due 08/20/463 | 244,000 | 209,303 | ||||||
Textainer Marine Containers VII Ltd. | ||||||||
2020-1A, 2.73% due 08/21/453 | 157,080 | 146,578 | ||||||
Total Transport-Container | 667,211 | |||||||
Collateralized Debt Obligations - 0.4% | ||||||||
Anchorage Credit Funding 4 Ltd. | ||||||||
2021-4A AR, 2.72% due 04/27/393 | 750,000 | 653,625 | ||||||
Total Asset-Backed Securities | ||||||||
(Cost $34,241,263) | 32,721,015 | |||||||
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
| Face | Value | ||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 1.8% | ||||||||
Consumer, Cyclical - 0.6% | ||||||||
MB2 Dental Solutions LLC | ||||||||
11.46% (1 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 01/29/27††† | 422,178 | $ | 417,694 | |||||
First Brands Group LLC | ||||||||
10.88% (6 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27 | 346,500 | 343,253 | ||||||
Pacific Bells LLC | ||||||||
10.11% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28 | 90,034 | 89,499 | ||||||
New Trojan Parent, Inc. | ||||||||
8.72% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 01/06/28 | 97,500 | 25,281 | ||||||
Total Consumer, Cyclical | 875,727 | |||||||
Financial - 0.4% | ||||||||
Higginbotham Insurance Agency, Inc. | ||||||||
10.96% (1 Month Term SOFR + 5.50%, Rate Floor: 5.50%) due 11/24/28††† | 288,035 | 285,353 | ||||||
10.96% (1 Month Term SOFR + 5.50%, Rate Floor: 5.50%) due 11/25/28††† | 85,186 | 84,393 | ||||||
Jane Street Group LLC | ||||||||
8.22% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 01/26/28 | 124,889 | 125,236 | ||||||
Citadel Securities, LP | ||||||||
7.97% (1 Month Term SOFR + 2.61%, Rate Floor: 2.61%) due 07/29/30 | 99,750 | 99,875 | ||||||
HighTower Holding LLC | ||||||||
9.64% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/21/28 | 55,198 | 54,946 | ||||||
Total Financial | 649,803 | |||||||
Technology - 0.3% | ||||||||
Datix Bidco Ltd. | ||||||||
9.69% (6 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 04/28/25††† | GBP 300,000 | 380,541 | ||||||
RLDatix | ||||||||
9.94% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/28/25††† | 129,574 | 128,925 | ||||||
Total Technology | 509,466 | |||||||
Consumer, Non-cyclical - 0.3% | ||||||||
Quirch Foods Holdings LLC | ||||||||
10.39% (3 Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 10/27/27 | 146,487 | 146,213 | ||||||
Mission Veterinary Partners | ||||||||
9.47% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/27/28 | 146,643 | 145,269 | ||||||
Southern Veterinary Partners LLC | ||||||||
9.47% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/05/27 | 105,449 | 105,001 | ||||||
HAH Group Holding Co. LLC | ||||||||
10.46% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27 | 33,998 | 33,637 | ||||||
Elanco Animal Health, Inc. | ||||||||
7.19% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/02/27 | 24,306 | 24,134 | ||||||
Total Consumer, Non-cyclical | 454,254 | |||||||
Industrial - 0.2% | ||||||||
Mileage Plus Holdings LLC | ||||||||
10.77% (3 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 06/21/27 | 175,000 | 180,750 | ||||||
Air Canada | ||||||||
9.14% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 08/11/28 | 49,418 | 49,495 | ||||||
Total Industrial | 230,245 | |||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $2,802,928) | 2,719,495 | |||||||
FEDERAL AGENCY BONDS†† - 1.3% | ||||||||
Tennessee Valley Authority | ||||||||
4.25% due 09/15/65 | 1,000,000 | 916,445 | ||||||
5.38% due 04/01/56 | 750,000 | 831,019 | ||||||
Tennessee Valley Authority Principal Strips | ||||||||
due 01/15/4811,12 | 500,000 | 154,396 | ||||||
Total Federal Agency Bonds | ||||||||
(Cost $2,556,450) | 1,901,860 | |||||||
MUNICIPAL BONDS†† - 0.2% | ||||||||
Illinois - 0.2% | ||||||||
State of Illinois General Obligation Unlimited | ||||||||
5.65% due 12/01/38 | 333,333 | 334,035 | ||||||
Total Municipal Bonds | ||||||||
(Cost $338,726) | 334,035 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
| Notional | Value | ||||||
OTC OPTIONS PURCHASED†† - 0.0% | ||||||||
Call Options on: | ||||||||
Interest Rate Options | ||||||||
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 | USD 3,900,000 | $ | 5,717 | |||||
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 | USD 3,850,000 | 5,644 | ||||||
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 | USD 1,950,000 | 2,859 | ||||||
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 | USD 1,600,000 | 2,346 | ||||||
Total OTC Options Purchased | ||||||||
(Cost $51,002) | 16,566 | |||||||
Total Investments - 103.0% | ||||||||
(Cost $165,925,669) | $ | 154,754,435 | ||||||
Other Assets & Liabilities, net - (3.0)% | (4,471,905 | ) | ||||||
Total Net Assets - 100.0% | $ | 150,282,530 | ||||||
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||||
3-Month SOFR Futures Contracts | 60 | Jun 2025 | $ | 14,485,500 | $ | 109,629 | ||||||||||
Centrally Cleared Credit Default Swap Agreements Protection Purchased†† | |||||||||||||||||||||||||||
Counterparty | Exchange | Index | Protection | Payment | Maturity | Notional | Value | Upfront | Unrealized | ||||||||||||||||||
BofA Securities, Inc. | ICE | ITRAXX.EUR.38.V1 | 1.00% | Quarterly | 12/20/27 | EUR 1,600,000 | $ | (36,307 | ) | $ | (11,289 | ) | $ | (25,018 | ) | ||||||||||||
BofA Securities, Inc. | ICE | CDX.NA.HY.41.V2 | 5.00% | Quarterly | 12/20/28 | 990,000 | (57,749 | ) | 3,935 | (61,684 | ) | ||||||||||||||||
| $ | (94,056 | ) | $ | (7,354 | ) | $ | (86,702 | ) | |||||||||||||||||||
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
Centrally Cleared Interest Rate Swap Agreements†† | |||||||||||||||||||||||||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | Maturity | Notional | Value | Upfront | Unrealized | |||||||||||||||||||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 4.48% | Annually | 11/02/33 | $ | 6,380,000 | $ | 528,960 | $ | 298 | $ | 528,662 | |||||||||||||||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 4.35% | Annually | 10/03/28 | 5,000,000 | 177,721 | 306 | 177,415 | |||||||||||||||||||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 4.51% | Annually | 10/11/28 | 3,852,000 | 164,239 | 303 | 163,936 | |||||||||||||||||||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 4.99% | Annually | 10/11/25 | 9,089,000 | 122,469 | 286 | 122,183 | |||||||||||||||||||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 4.50% | Annually | 11/02/30 | 462,000 | 28,071 | 296 | 27,775 | |||||||||||||||||||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 3.40% | Annually | 04/04/28 | 5,000,000 | (33,360 | ) | 274 | (33,634 | ) | |||||||||||||||||||
BofA Securities, Inc. | CME | Pay | U.S. Secured Overnight Financing Rate | 2.78% | Annually | 07/18/27 | 5,000,000 | (143,014 | ) | 91 | (143,105 | ) | |||||||||||||||||||
| $ | 845,086 | $ | 1,854 | $ | 843,232 | ||||||||||||||||||||||||||
Total Return Swap Agreements | |||||||||||||||||||||||
Counterparty | Index | Type | Financing | Payment | Maturity | Units | Notional | Value and | |||||||||||||||
OTC Credit Index Swap Agreements Sold Short†† | |||||||||||||||||||||||
JPMorgan Chase Bank, N.A. | iShares iBoxx $ Investment Grade Corporate Bond ETF | Receive | 4.53% (Federal | At Maturity | 01/06/25 | 1,965 | $ | 217,447 | $ | (7,820 | ) | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||
JPMorgan Chase Bank, N.A. | Vanguard Intermediate-Term Corporate Bond ETF | Pay | 5.18% (Federal | At Maturity | 01/04/24 | 2,427 | 197,267 | 6,213 | |||||||||||||||
Bank of America, N.A. | Vanguard Short-Term Corporate Bond ETF | Pay | 5.78% (Federal | At Maturity | 01/06/25 | 2,427 | 187,777 | 2,439 | |||||||||||||||
| $ | 385,044 | $ | 8,652 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
Barclays Bank plc | GBP | Sell | 303,000 | 380,733 USD | 01/17/24 | $ | (5,580 | ) | ||||||||||||||||
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
◊ | Variable rate security. Rate indicated is the rate effective at December 31, 2023. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
3 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $59,174,201 (cost $63,816,047), or 39.4% of total net assets. |
4 | Affiliated issuer. |
5 | Rate indicated is the 7-day yield as of December 31, 2023. |
6 | Security is an interest-only strip. |
7 | Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at December 31, 2023. See table below for additional step information for each security. |
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 $704,553 (cost $714,941), or 0.5% of total net assets — See Note 9. |
9 | Perpetual maturity. |
10 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At December 31, 2023, the total market value of segregated or earmarked securities was $11,769,621 — See Note 11. |
11 | Zero coupon rate security. |
12 | Security is a principal-only strip. |
13 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
BofA — Bank of America | |
CDX.NA.HY.41.V2 — Credit Default Swap North American High Yield Series 41 Index Version 2 | |
CME — Chicago Mercantile Exchange | |
CMS — Constant Maturity Swap | |
CMT — Constant Maturity Treasury | |
EUR — Euro | |
GBP — British Pound | |
ICE — Intercontinental Exchange | |
ITRAXX.EUR.38.V1 — iTraxx Europe Series 38 Index Version 1 | |
plc — Public Limited Company | |
REMIC — Real Estate Mortgage Investment Conduit | |
REIT — Real Estate Investment Trust | |
SARL — Société à Responsabilité Limitée | |
SOFR — Secured Overnight Financing Rate | |
SONIA — Sterling Overnight Index Average | |
WAC — Weighted Average Coupon | |
See Sector Classification in Other Information section. |
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 1,369 | $ | — | $ | 8 | $ | 1,377 | ||||||||
Preferred Stocks | — | 3,884,666 | — | 3,884,666 | ||||||||||||
Warrants | 73 | — | — | * | 73 | |||||||||||
Mutual Funds | 6,323,894 | — | — | 6,323,894 | ||||||||||||
Money Market Fund | 2,504,371 | — | — | 2,504,371 | ||||||||||||
Collateralized Mortgage Obligations | — | 35,947,545 | 908,966 | 36,856,511 | ||||||||||||
Corporate Bonds | — | 33,554,921 | 707,677 | 34,262,598 | ||||||||||||
U.S. Government Securities | — | 33,227,974 | — | 33,227,974 | ||||||||||||
Asset-Backed Securities | — | 30,629,872 | 2,091,143 | 32,721,015 | ||||||||||||
Senior Floating Rate Interests | — | 1,422,589 | 1,296,906 | 2,719,495 | ||||||||||||
Federal Agency Bonds | — | 1,901,860 | — | 1,901,860 | ||||||||||||
Municipal Bonds | — | 334,035 | — | 334,035 | ||||||||||||
Options Purchased | — | 16,566 | — | 16,566 | ||||||||||||
Interest Rate Futures Contracts** | 109,629 | — | — | 109,629 | ||||||||||||
Interest Rate Swap Agreements** | — | 1,019,971 | — | 1,019,971 | ||||||||||||
Equity Index Swap Agreements** | — | 8,652 | — | 8,652 | ||||||||||||
Total Assets | $ | 8,939,336 | $ | 141,948,651 | $ | 5,004,700 | $ | 155,892,687 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swap Agreements** | $ | — | $ | 86,702 | $ | — | $ | 86,702 | ||||||||
Interest Rate Swap Agreements** | — | 176,739 | — | 176,739 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 5,580 | — | 5,580 | ||||||||||||
Credit Index Swap Agreements** | — | 7,820 | — | 7,820 | ||||||||||||
Unfunded Loan Commitments (Note 8) | — | — | 399 | 399 | ||||||||||||
Total Liabilities | $ | — | $ | 276,841 | $ | 399 | $ | 277,240 | ||||||||
* | 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 $4,549,375 are categorized as Level 2 within the disclosure hierarchy — See Note 11.
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND SERIES) |
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 | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* | |||||||||||||||
Assets: | ||||||||||||||||||||
Asset-Backed Securities | $ | 1,163,098 | Yield Analysis | Yield | 6.2%-6.9% | 6.5% | ||||||||||||||
Asset-Backed Securities | 578,045 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||||||||
Asset-Backed Securities | 350,000 | Third Party Pricing | Broker Quote | — | — | |||||||||||||||
Collaterized Mortgage Obligations | 908,966 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||||||||
Common Stocks | 8 | Model Price | Liquidation Value | — | — | |||||||||||||||
Corporate Bonds | 707,677 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — | |||||||||||||||
Senior Floating Rate Interests | 1,296,906 | Yield Analysis | Yield | 10.2%-11.8% | 11.0% | |||||||||||||||
Total Assets | $ | 5,004,700 |
|
|
|
| ||||||||||||||
Liabilities: | ||||||||||||||||||||
Unfunded Loan Commitments | $ | 399 | Model Price | Purchase Price | — | — | ||||||||||||||
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote, yield or liquidation value would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended December 31, 2023, the Fund did not have securities transfer into Level 3 from Level 2 and had securities with a total value of $291,542 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND 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 year ended December 31, 2023:
Assets | Liabilities | |||||||||||||||||||||||||||
| Asset-Backed | Collateralized | Corporate | Senior | Common | Total Assets | Unfunded | |||||||||||||||||||||
Beginning Balance | $ | 1,198,541 | $ | 1,634,137 | $ | 344,600 | $ | 1,576,324 | $ | 7 | $ | 4,753,609 | $ | (1,569 | ) | |||||||||||||
Purchases/(Receipts) | 1,348,496 | — | 350,000 | 139,231 | — | 1,837,727 | (1,282 | ) | ||||||||||||||||||||
(Sales, maturities and paydowns)/Fundings | (475,540 | ) | (761,139 | ) | — | (192,887 | ) | — | (1,429,566 | ) | 1,663 | |||||||||||||||||
Amortization of premiums/discounts | — | (3,506 | ) | — | 3,736 | — | 230 | 1,282 | ||||||||||||||||||||
Total realized gains (losses) included in earnings | — | — | — | (1,881 | ) | — | (1,881 | ) | (854 | ) | ||||||||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | 19,706 | 39,474 | 13,077 | 63,865 | 1 | 136,123 | 361 | |||||||||||||||||||||
Transfers into Level 3 | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers out of Level 3 | (60 | ) | — | — | (291,482 | ) | — | (291,542 | ) | — | ||||||||||||||||||
Ending Balance | $ | 2,091,143 | $ | 908,966 | $ | 707,677 | $ | 1,296,906 | $ | 8 | $ | 5,004,700 | $ | (399 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at December 31, 2023 | $ | 19,880 | $ | 9,387 | $ | 13,077 | $ | 31,882 | $ | 1 | $ | 74,227 | $ | (399 | ) | |||||||||||||
Step Coupon Bonds
The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.
Name | Coupon Rate at | Next Rate Reset Date | Future Reset Rate | Future Reset Date | ||||||||||||
Angel Oak Mortgage Trust 2023-1, 4.75% due 09/26/67 | 5.75 | % | 01/01/27 | — | — | |||||||||||
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70 | 6.13 | % | 01/30/25 | — | — | |||||||||||
BRAVO Residential Funding Trust 2023-NQM2, 4.50% due 05/25/62 | 5.50 | % | 02/01/27 | — | — | |||||||||||
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61 | 4.75 | % | 05/25/24 | 5.75 | % | 05/25/25 | ||||||||||
Legacy Mortgage Asset Trust 2021-GS5, 2.25% due 07/25/67 | 5.25 | % | 11/25/24 | 6.25 | % | 11/25/25 | ||||||||||
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62 | 8.25 | % | 07/01/25 | 9.25 | % | 07/01/26 | ||||||||||
OBX Trust 2022-NQM9, 6.45% due 09/25/62 | 7.45 | % | 11/01/26 | — | — | |||||||||||
OSAT Trust 2021-RPL1, 2.12% due 05/25/65 | 5.12 | % | 06/25/24 | 6.12 | % | 06/25/25 | ||||||||||
PRPM LLC 2022-1, 3.72% due 02/25/27 | 6.72 | % | 02/25/25 | 7.72 | % | 02/25/26 | ||||||||||
PRPM LLC 2021-5, 1.79% due 06/25/26 | 4.79 | % | 06/25/24 | 5.79 | % | 06/25/25 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
SERIES E (TOTAL RETURN BOND 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, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Total Return Bond Fund — R6-Class | $ | 5,884,003 | $ | 276,896 | $ | — | $ | — | $ | 162,995 | $ | 6,323,894 | 265,375 | $ | 277,512 | |||||||||||||||||
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES E (TOTAL RETURN BOND SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $158,918,659) | $ | 148,430,541 | ||
Investments in affiliated issuers, at value (cost $7,007,010) | 6,323,894 | |||
Segregated cash with broker | 221,316 | |||
Unamortized upfront premiums paid on credit default swap agreements | 3,935 | |||
Unamortized upfront premiums paid on interest rate swap agreements | 1,854 | |||
Unrealized appreciation on OTC swap agreements | 8,652 | |||
Prepaid expenses | 4,083 | |||
Receivables: | ||||
Securities sold | 1,570,758 | |||
Interest | 1,183,532 | |||
Dividends | 27,621 | |||
Variation margin on futures contracts | 6,000 | |||
Fund shares sold | 1,110 | |||
Variation margin on credit default swap agreements | 207 | |||
Total assets | 157,783,503 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 8) (commitment fees received $—) | 399 | |||
Reverse repurchase agreements | 4,549,375 | |||
Overdraft due to custodian bank | 1,761 | |||
Unamortized upfront premiums received on credit default swap agreements | 11,289 | |||
Unrealized depreciation on OTC swap agreements | 7,820 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 5,580 | |||
Payable for: | ||||
Securities purchased | 2,532,474 | |||
Variation margin on interest rate swap agreements | 156,906 | |||
Fund shares redeemed | 62,731 | |||
Management fees | 45,392 | |||
Distribution and service fees | 31,474 | |||
Fund accounting/administration fees | 4,389 | |||
Protection fees on credit default swap agreements | 2,239 | |||
Transfer agent/maintenance fees | 2,012 | |||
Swap settlement | 1,836 | |||
Trustees’ fees* | 1,799 | |||
Miscellaneous | 83,497 | |||
Total liabilities | 7,500,973 | |||
Net assets | $ | 150,282,530 | ||
Net assets consist of: | ||||
Paid in capital | $ | 170,625,342 | ||
Total distributable earnings (loss) | (20,342,812 | ) | ||
Net assets | $ | 150,282,530 | ||
Capital shares outstanding | 10,441,572 | |||
Net asset value per share | $ | 14.39 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 46,667 | ||
Dividends from securities of affiliated issuers | 277,512 | |||
Interest (net of foreign withholding tax of $641) | 7,294,751 | |||
Total investment income | 7,618,930 | |||
Expenses: | ||||
Management fees | 552,326 | |||
Distribution and service fees | 354,998 | |||
Transfer agent/maintenance fees | 25,216 | |||
Interest expense | 259,541 | |||
Professional fees | 106,019 | |||
Fund accounting/administration fees | 66,246 | |||
Custodian fees | 29,181 | |||
Trustees’ fees* | 16,971 | |||
Line of credit fees | 9,309 | |||
Miscellaneous | 19,482 | |||
Total expenses | 1,439,289 | |||
Less: | ||||
Expenses reimbursed by Adviser | (270 | ) | ||
Expenses waived by Adviser | (95,462 | ) | ||
Earnings credits applied | (6,241 | ) | ||
Total waived/reimbursed expenses | (101,973 | ) | ||
Net expenses | 1,337,316 | |||
Net investment income | 6,281,614 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (8,449,407 | ) | ||
Swap agreements | (179,010 | ) | ||
Futures contracts | 50,435 | |||
Options purchased | (89,123 | ) | ||
Options written | (110,514 | ) | ||
Forward foreign currency exchange contracts | (2,396 | ) | ||
Foreign currency transactions | 306 | |||
Net realized loss | (8,779,709 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 10,630,805 | |||
Investments in affiliated issuers | 162,995 | |||
Swap agreements | 1,150,513 | |||
Futures contracts | 132,006 | |||
Options purchased | (28,989 | ) | ||
Forward foreign currency exchange contracts | (19,515 | ) | ||
Foreign currency translations | 41 | |||
Net change in unrealized appreciation (depreciation) | 12,027,856 | |||
Net realized and unrealized gain | 3,248,147 | |||
Net increase in net assets resulting from operations | $ | 9,529,761 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
SERIES E (TOTAL RETURN BOND SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 6,281,614 | $ | 5,266,149 | ||||
Net realized loss on investments | (8,779,709 | ) | (6,503,282 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 12,027,856 | (26,542,165 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 9,529,761 | (27,779,298 | ) | |||||
Distributions to shareholders | (5,275,065 | ) | (4,733,547 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 33,336,930 | 30,323,241 | ||||||
Distributions reinvested | 5,275,065 | 4,733,547 | ||||||
Cost of shares redeemed | (27,650,396 | ) | (41,680,379 | ) | ||||
Net increase (decrease) from capital share transactions | 10,961,599 | (6,623,591 | ) | |||||
Net increase (decrease) in net assets | 15,216,295 | (39,136,436 | ) | |||||
Net assets: | ||||||||
Beginning of year | 135,066,235 | 174,202,671 | ||||||
End of year | $ | 150,282,530 | $ | 135,066,235 | ||||
Capital share activity: | ||||||||
Shares sold | 2,359,120 | 1,979,951 | ||||||
Shares issued from reinvestment of distributions | 378,412 | 323,330 | ||||||
Shares redeemed | (1,967,697 | ) | (2,743,296 | ) | ||||
Net increase (decrease) in shares | 769,835 | (440,015 | ) | |||||
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES E (TOTAL RETURN BOND SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.97 | $ | 17.23 | $ | 18.09 | $ | 16.13 | $ | 15.85 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .62 | .53 | .44 | .39 | .38 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .33 | (3.29 | ) | (.51 | ) | 1.88 | .34 | |||||||||||||
Total from investment operations | .95 | (2.76 | ) | (.07 | ) | 2.27 | .72 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.53 | ) | (.46 | ) | (.30 | ) | (.31 | ) | (.44 | ) | ||||||||||
Net realized gains | — | (.04 | ) | (.49 | ) | — | — | |||||||||||||
Total distributions | (.53 | ) | (.50 | ) | (.79 | ) | (.31 | ) | (.44 | ) | ||||||||||
Net asset value, end of period | $ | 14.39 | $ | 13.97 | $ | 17.23 | $ | 18.09 | $ | 16.13 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 6.95 | % | (16.15 | %) | (0.43 | %) | 14.21 | % | 4.49 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 150,283 | $ | 135,066 | $ | 174,203 | $ | 177,103 | $ | 128,209 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 4.44 | % | 3.54 | % | 2.51 | % | 2.27 | % | 2.33 | % | ||||||||||
Total expensesc | 1.02 | % | 0.90 | % | 0.85 | % | 0.88 | % | 0.94 | % | ||||||||||
Net expensesd,e | 0.95 | % | 0.85 | % | 0.78 | % | 0.78 | % | 0.78 | % | ||||||||||
Portfolio turnover rate | 91 | % | 51 | % | 84 | % | 123 | % | 54 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
0.76% | 0.76% | 0.78% | 0.77% | 0.77% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series F (Floating Rate Strategies Series, or the “Fund”) is managed by a team of seasoned professionals, including Anne B. Walsh, CFA, JD, Managing Partner, Chief Investment Officer and Portfolio Manager; Steven H. Brown, CFA, Chief Investment Officer - Fixed Income, Senior Managing Director and Portfolio Manager; Thomas J. Hauser, Senior Managing Director and Portfolio Manager; and Christopher Keywork, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 11.12%, underperforming the Credit Suisse Leveraged Loan Index (“Index”), the Fund’s benchmark, which returned 13.04% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
Leveraged loans had their best calendar year since 2009, returning 13%, driven primarily by high interest return as well as modest market value gains. The technical backdrop was supportive for loan prices, as demand, driven by solid collateralized loan obligation (“CLO”) origination, outpaced net new loan issuance, the proxy for supply. Additionally, credit spreads tightened over the course of the year as the market increasingly priced in expectations of a softer landing. Issuer fundamentals weakened due to inflationary pressures and higher borrowing costs, but on average leverage and interest coverage remain relatively in-line with historical levels given their solid starting point entering this cycle. As a result, the default rate ticked higher but remains below the long-term average.
Breaking down the Fund’s annual performance, by sector, credit selection in Capital Goods was the largest contributor to performance, whereas selection in Consumer Cyclicals was the most impactful detractor due to several idiosyncratic credit issues in the sector. By rating, selection in the CCC ratings category as well as in Non-Rated (“NR”, largely upper middle market) issuers benefitted performance. Additionally, given that lower ratings categories outperformed this year, the Fund’s performance benefitted from the underweight to BBs, but this was offset by the underweight to CCCs for the year. Given liquidity requirements including large inflows and outflows as percentage of the Fund’s size, the Fund has an allocation to a bank loan ETF and is generally positioned up in liquidity, which hurt performance in such a strong year for the index.
How did the Fund use derivatives during the Reporting Period?
The Fund used derivatives in the form of forward foreign currency exchange contracts to hedge currency exposure on foreign-denominated bonds. The hedges had a negligible impact on performance for the Reporting Period.
How was the Fund positioned at the end of the Reporting Period?
Loan discount margins (spreads) ended the year at ~545 basis points (or “bps,” with one basis point equal to 0.01%), tighter by ~75bps from where they started the year given the market strength. That said, we remain cautious of where we are in the cycle. The default rate remains below the historical average, but we expect the pace of defaults to pick up as inflation and higher borrowing costs continue to weigh on corporate cash flows. As such, we view current loan credit spreads as closer to fair value and believe that credit selection remains pivotal.
We believe the fund is defensively positioned given the up-in-quality nature of its underlying constituents versus the broader market. At the end of the Reporting Period, the Fund was underweight the CCC-and-below segment by approximately 417 basis points, and the distress ratio (loans trading below 80) was 0.9% for the portfolio versus 4.4% for the Benchmark. As such, we expect the Fund will continue to avoid the worst-performing names in the benchmark and demonstrate lower defaults and losses versus the broader market. Additionally, an increase in defaults could drive spreads wider, which would widen the opportunity set to add selectively using our bottom-up approach.
In terms of portfolio positioning, although focus has shifted slightly to the primary market, we continue to review both primary and secondary market opportunities, evaluate the risk of our existing positions, and look to use the market strength to opportunistically exit or trim some names we believe have traded up tight to fair value.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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 |
SPDR Blackstone Senior Loan ETF | 3.0% |
Arsenal AIC Parent LLC, 9.86% | 0.9% |
Atlantic Aviation, 8.22% | 0.9% |
Nomad Foods Limited, 8.47% | 0.9% |
Central Parent LLC, 9.35% | 0.9% |
Restaurant Brands, 7.61% | 0.9% |
Worldpay | 0.8% |
Delos Aircraft Leasing, 7.35% | 0.8% |
Hilton Worldwide Finance LLC, 7.46% | 0.8% |
Medline Borrower LP, 8.47% | 0.8% |
Top Ten Total | 10.7% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series F (Floating Rate Strategies Series) | 11.12% | 3.98% | 3.40% |
Credit Suisse Leveraged Loan Index | 13.04% | 5.56% | 4.44% |
Portfolio Composition by Quality Rating1 | |
Rating | % of Total |
Fixed Income Instruments | |
BBB | 9.4% |
BB | 29.4% |
B | 49.1% |
CCC | 0.6% |
NR2 | 0.3% |
Other Instruments | 11.2% |
Total Investments | 100.0% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Credit Suisse Leveraged Loan Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
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. |
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES F (FLOATING RATE STRATEGIES SERIES) |
| Shares | Value | ||||||
COMMON STOCKS††† - 0.3% | ||||||||
Industrial - 0.3% | ||||||||
API Heat Transfer Intermediate* | 123 | $ | 171,932 | |||||
BP Holdco LLC*,1 | 11,609 | 14,072 | ||||||
Vector Phoenix Holdings, LP* | 11,609 | 288 | ||||||
Total Industrial | 186,292 | |||||||
Financial - 0.0% | ||||||||
Tensor Ltd.* | 9,240 | 1 | ||||||
Total Common Stocks | ||||||||
(Cost $204,510) | 186,293 | |||||||
EXCHANGE-TRADED FUNDS† - 3.0% | ||||||||
SPDR Blackstone Senior Loan ETF | 41,700 | 1,748,481 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $1,760,867) | 1,748,481 | |||||||
MONEY MARKET FUND† - 8.5% | ||||||||
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 5.22%2 | 5,042,656 | 5,042,656 | ||||||
Total Money Market Fund | ||||||||
(Cost $5,042,656) | 5,042,656 | |||||||
Face | ||||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 93.6% | ||||||||
Consumer, Non-cyclical - 19.7% | ||||||||
Nomad Foods Limited | ||||||||
8.47% (6 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 11/08/29 | 514,991 | 515,929 | ||||||
Medline Borrower LP | ||||||||
8.47% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 10/23/28 | 498,731 | 500,756 | ||||||
Electron BidCo, Inc. | ||||||||
due 11/01/28 | 498,731 | 499,424 | ||||||
Aramark Services, Inc. | ||||||||
7.22% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 01/15/27 | 250,000 | 249,453 | ||||||
7.97% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 06/21/30 | 248,750 | 249,021 | ||||||
DaVita, Inc. | ||||||||
due 08/12/26 | 498,687 | 498,153 | ||||||
Summit Behavioral Healthcare, LLC | ||||||||
due 11/24/28 | 498,731 | 497,484 | ||||||
Topgolf Callaway Brands Corp. | ||||||||
8.96% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 03/15/30 | 497,497 | 496,979 | ||||||
VC GB Holdings I Corp. | ||||||||
8.61% (3 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 07/21/28 | 490,000 | 486,149 | ||||||
Triton Water Holdings, Inc. | ||||||||
8.86% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/31/28 | 489,745 | 484,603 | ||||||
Southern Veterinary Partners LLC | ||||||||
due 10/05/27 | 473,779 | 471,765 | ||||||
Bombardier Recreational Products, Inc. | ||||||||
7.46% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | 472,116 | 469,165 | ||||||
Grifols Worldwide Operations USA, Inc. | ||||||||
7.54% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 11/15/27 | 464,267 | 463,686 | ||||||
Medical Solutions Parent Holdings, Inc. | ||||||||
8.71% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 11/01/28 | 491,652 | 457,443 | ||||||
CHG PPC Parent LLC | ||||||||
8.47% (1 Month Term SOFR + 3.11%, Rate Floor: 3.61%) due 12/08/28††† | 448,846 | 448,846 | ||||||
Dermatology Intermediate Holdings III, Inc. | ||||||||
9.63% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29 | 460,942 | 444,666 | ||||||
National Mentor Holdings, Inc. | ||||||||
9.20% (1 Month Term SOFR + 3.85%, Rate Floor: 4.60%) due 03/02/28 | 438,875 | 397,182 | ||||||
Froneri US, Inc. | ||||||||
7.71% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 01/29/27 | 392,952 | 393,109 | ||||||
Resonetics LLC | ||||||||
9.65% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/28/28 | 392,965 | 392,556 | ||||||
Hearthside Group Holdings LLC | ||||||||
9.34% (3 Month Term SOFR + 3.69%, Rate Floor: 3.69%) due 05/23/25 | 374,365 | 298,088 | ||||||
Cambrex Corp. | ||||||||
8.96% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/04/26 | 299,959 | 293,135 | ||||||
Heritage Grocers Group LLC | ||||||||
12.20% (3 Month Term SOFR + 6.85%, Rate Floor: 7.60%) due 08/01/29 | 248,744 | 248,371 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
9.36% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 12/22/26 | 244,165 | 243,723 | ||||||
HAH Group Holding Co. LLC | ||||||||
10.46% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27 | 246,204 | 243,589 | ||||||
Mission Veterinary Partners | ||||||||
9.47% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/27/28 | 244,406 | 242,116 | ||||||
Del Monte Foods, Inc. | ||||||||
9.71% ((1 Month Term SOFR + 4.25%) and (Commercial Prime Lending Rate + 3.25%), Rate Floor: 4.25%) due 05/16/29 | 247,500 | 231,103 | ||||||
Weber-Stephen Products LLC | ||||||||
8.72% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 10/29/27 | 245,364 | 213,729 | ||||||
Osmosis Holdings Australia II Pty Ltd. | ||||||||
9.09% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 07/30/28 | 197,766 | 197,656 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES F (FLOATING RATE STRATEGIES SERIES) |
| Face | Value | ||||||
Reynolds Consumer Products LLC | ||||||||
7.21% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 02/04/27 | 193,013 | $ | 193,237 | |||||
Energizer Holdings, Inc. | ||||||||
7.72% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 12/22/27 | 188,903 | 188,510 | ||||||
Chefs’ Warehouse, Inc. | ||||||||
10.21% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/23/29 | 184,167 | 183,629 | ||||||
Surgery Center Holdings, Inc. | ||||||||
due 12/04/30 | 170,000 | 170,496 | ||||||
Hayward Industries, Inc. | ||||||||
8.22% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 05/30/28 | 132,976 | 132,762 | ||||||
TGP Holdings LLC | ||||||||
8.71% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 06/29/28 | 114,142 | 99,303 | ||||||
Endo Luxembourg Finance Company I SARL | ||||||||
14.50% (Commercial Prime Lending Rate + 6.00%, Rate Floor: 7.75%) due 03/27/28 | 98,750 | 64,434 | ||||||
Total Consumer, Non-cyclical | 11,660,250 | |||||||
Consumer, Cyclical - 17.8% | ||||||||
Restaurant Brands | ||||||||
7.61% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 09/20/30 | 503,304 | 503,122 | ||||||
Hilton Worldwide Finance LLC | ||||||||
7.46% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 11/08/30 | 500,000 | 501,520 | ||||||
Station Casinos LLC | ||||||||
due 02/08/27 | 498,689 | 499,218 | ||||||
Guardian US HoldCo LLC | ||||||||
9.35% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/31/30 | 497,500 | 498,535 | ||||||
Hanesbrands, Inc. | ||||||||
9.11% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/08/30 | 498,245 | 496,999 | ||||||
Caesars Entertainment, Inc. | ||||||||
8.71% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/06/30 | 496,250 | 496,950 | ||||||
PetSmart LLC | ||||||||
9.21% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 02/11/28 | 502,125 | 495,848 | ||||||
WIRB - Copernicus Group, Inc. | ||||||||
9.47% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/08/27 | 494,002 | 494,467 | ||||||
Fertitta Entertainment LLC | ||||||||
9.36% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/29/29 | 492,481 | 492,378 | ||||||
Petco Health And Wellness Company, Inc. | ||||||||
8.86% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/03/28 | 476,931 | 449,889 | ||||||
Flutter Financing B.V. | ||||||||
7.70% (3 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 11/18/30 | 440,000 | 440,365 | ||||||
American Tire Distributors, Inc. | ||||||||
11.91% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 10/20/28 | 443,250 | 368,341 | ||||||
CCRR Parent, Inc. | ||||||||
9.22% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/06/28 | 288,215 | 278,488 | ||||||
Go Daddy Operating Company LLC | ||||||||
7.86% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 11/09/29 | 273,625 | 274,334 | ||||||
PCI Gaming Authority, Inc. | ||||||||
7.97% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 05/29/26 | 250,000 | 250,657 | ||||||
Belron Finance US LLC | ||||||||
8.00% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 04/18/29 | 249,375 | 249,687 | ||||||
Wyndham Hotels & Resorts, Inc. | ||||||||
7.71% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 05/24/30 | 248,750 | 249,280 | ||||||
MX Holdings US, Inc. | ||||||||
8.22% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 07/25/28 | 248,750 | 249,218 | ||||||
BCPE Empire Holdings, Inc. | ||||||||
10.11% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 12/11/28 | 248,750 | 249,185 | ||||||
Scientific Games Holdings, LP | ||||||||
8.66% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 04/04/29 | 247,500 | 247,376 | ||||||
Thevelia US LLC | ||||||||
9.50% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 06/18/29 | 246,250 | 246,046 | ||||||
Eyemart Express LLC | ||||||||
8.49% (3 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 08/31/27 | 247,180 | 239,146 | ||||||
Sweetwater Sound | ||||||||
9.72% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 08/07/28 | 237,166 | 235,981 | ||||||
Rent-A-Center, Inc. | ||||||||
9.12% (6 Month Term SOFR + 3.25%, Rate Floor: 3.75%) due 02/17/28 | 234,313 | 234,020 | ||||||
Congruex Group LLC | ||||||||
11.28% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 05/03/29††† | 246,250 | 233,937 | ||||||
Entain Holdings (Gibraltar) Ltd. | ||||||||
8.95% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 10/31/29 | 233,323 | 233,566 | ||||||
Ontario Gaming GTA LP | ||||||||
9.60% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 08/01/30 | 220,524 | 221,271 | ||||||
Eagle Parent Corp. | ||||||||
9.60% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29 | 221,063 | 218,576 | ||||||
Galaxy US Opco, Inc. | ||||||||
10.13% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 04/30/29††† | 247,500 | 202,950 | ||||||
Packers Holdings LLC | ||||||||
8.71% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/09/28 | 246,265 | 154,038 | ||||||
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES F (FLOATING RATE STRATEGIES SERIES) |
| Face | Value | ||||||
TMF Sapphire Bidco BV | ||||||||
10.41% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 05/03/28 | 136,648 | $ | 137,161 | |||||
Michaels Stores, Inc. | ||||||||
9.86% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/15/28 | 159,398 | 131,822 | ||||||
Mavis Tire Express Services TopCo Corp. | ||||||||
9.47% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 05/04/28 | 96,505 | 96,560 | ||||||
WW International, Inc. | ||||||||
8.97% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/13/28 | 94,500 | 66,465 | ||||||
New Trojan Parent, Inc. | ||||||||
8.72% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 01/06/28 | 246,212 | 63,840 | ||||||
EG Finco Ltd. | ||||||||
9.35% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 02/07/28 | 22,138 | 21,695 | ||||||
Total Consumer, Cyclical | 10,522,931 | |||||||
Industrial - 17.4% | ||||||||
Atlantic Aviation | ||||||||
8.22% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 09/22/28 | 522,824 | 521,716 | ||||||
Ring Container Technologies Group LLC | ||||||||
8.97% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 08/14/28 | 498,728 | 499,456 | ||||||
Anchor Packaging LLC | ||||||||
8.96% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 07/20/26 | 494,055 | 489,886 | ||||||
American Bath Group LLC | ||||||||
9.21% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 11/23/27 | 492,994 | 484,036 | ||||||
LTI Holdings, Inc. | ||||||||
8.97% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 09/08/25 | 499,351 | 480,940 | ||||||
Arcline FM Holdings LLC | ||||||||
10.36% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 06/23/28 | 474,088 | 473,201 | ||||||
Hunter Douglas, Inc. | ||||||||
8.88% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/26/29 | 444,375 | 442,042 | ||||||
Park River Holdings, Inc. | ||||||||
8.91% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 12/28/27 | 440,949 | 429,652 | ||||||
FCG Acquisitions, Inc | ||||||||
9.22% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/31/28 | 340,633 | 340,463 | ||||||
Berry Global, Inc. | ||||||||
7.22% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | 332,143 | 332,947 | ||||||
STS Operating, Inc. (SunSource) | ||||||||
9.71% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/11/24 | 294,006 | 294,741 | ||||||
Fugue Finance LLC | ||||||||
9.39% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/31/28 | 277,900 | 278,725 | ||||||
Charter Next Generation, Inc. | ||||||||
9.22% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 12/01/27 | 277,334 | 278,288 | ||||||
GYP Holdings III Corp. | ||||||||
8.36% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 05/12/30 | 250,000 | 250,625 | ||||||
Service Logic Acquisition, Inc. | ||||||||
9.64% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/29/27 | 248,724 | 248,309 | ||||||
TricorBraun Holdings, Inc. | ||||||||
8.72% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/03/28 | 249,643 | 247,848 | ||||||
Harsco Corporation | ||||||||
7.72% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 03/10/28 | 247,462 | 246,658 | ||||||
Aegion Corp. | ||||||||
10.39% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 05/17/28 | 245,749 | 245,646 | ||||||
USIC Holding, Inc. | ||||||||
9.11% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 05/12/28 | 246,485 | 244,143 | ||||||
DXP Enterprises, Inc. | ||||||||
10.29% (6 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/05/30††† | 224,438 | 224,999 | ||||||
Pelican Products, Inc. | ||||||||
9.75% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/29/28 | 242,884 | 223,859 | ||||||
Michael Baker International LLC | ||||||||
10.47% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 12/01/28††† | 223,858 | 223,298 | ||||||
Ravago Holdings America, Inc. | ||||||||
8.11% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 03/06/28 | 216,484 | 214,860 | ||||||
Gates Global LLC | ||||||||
8.36% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 11/16/29 | 207,375 | 207,817 | ||||||
TransDigm, Inc. | ||||||||
8.60% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/28/31 | 196,750 | 197,488 | ||||||
Pro Mach Group, Inc. | ||||||||
9.47% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 08/31/28 | 196,056 | 196,424 | ||||||
DG Investment Intermediate Holdings 2, Inc. | ||||||||
9.22% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/31/28 | 195,006 | 192,918 | ||||||
Brown Group Holding LLC | ||||||||
8.21% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 06/07/28 | 191,505 | 191,574 | ||||||
Titan Acquisition Ltd. (Husky) | ||||||||
8.47% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | 188,499 | 188,107 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES F (FLOATING RATE STRATEGIES SERIES) |
| Face | Value | ||||||
Berlin Packaging LLC | ||||||||
9.21% ((1 Month Term SOFR + 3.75%) and (3 Month Term SOFR + 3.75%), Rate Floor: 3.75%) due 03/13/28 | 146,625 | $ | 146,641 | |||||
Spring Education Group, Inc. | ||||||||
9.85% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 10/04/30 | 146,071 | 146,400 | ||||||
API Heat Transfer | ||||||||
13.64% (3 Month Term SOFR + 8.00%, Rate Floor: 8.00%) due 11/10/27††† | 81,269 | 81,269 | ||||||
10.64% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 11/10/27††† | 47,037 | 47,037 | ||||||
Mileage Plus Holdings LLC | ||||||||
10.77% (3 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 06/21/27 | 105,350 | 108,812 | ||||||
CPM Holdings, Inc. | ||||||||
9.84% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 09/22/28 | 100,379 | 100,630 | ||||||
XPO, Inc. | ||||||||
due 02/28/31 | 100,000 | 100,042 | ||||||
Air Canada | ||||||||
9.14% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 08/11/28 | 98,750 | 98,904 | ||||||
CPG International LLC | ||||||||
7.96% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 04/28/29 | 98,750 | 98,799 | ||||||
Protective Industrial Products, Inc. | ||||||||
9.47% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/29/27††† | 98,236 | 97,254 | ||||||
TK Elevator Midco GmbH | ||||||||
9.38% (6 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 07/30/27 | 97,041 | 97,162 | ||||||
Barnes Group, Inc. | ||||||||
8.46% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 09/03/30 | 89,775 | 89,955 | ||||||
Osmose Utility Services, Inc. | ||||||||
8.72% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 06/23/28 | 72,459 | 72,332 | ||||||
Sundyne (Star US Bidco) | ||||||||
due 03/17/27 | 70,871 | 70,747 | ||||||
United Airlines, Inc. | ||||||||
9.22% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/21/28 | 63,040 | 63,180 | ||||||
Total Industrial | 10,309,830 | |||||||
Financial - 10.4% | ||||||||
USI, Inc. | ||||||||
8.60% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 09/13/30 | 300,000 | 300,093 | ||||||
8.36% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 11/22/29 | 207,847 | 208,009 | ||||||
Worldpay | ||||||||
due 09/21/30 | 500,000 | 501,875 | ||||||
Delos Aircraft Leasing | ||||||||
7.35% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 11/01/27 | 500,000 | 501,625 | ||||||
Duff & Phelps | ||||||||
9.10% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27 | 474,270 | 469,134 | ||||||
FleetCor Technologies Operating Company LLC | ||||||||
7.21% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/28/28 | 390,986 | 391,049 | ||||||
Virtu Financial | ||||||||
8.46% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 01/12/29 | 383,778 | 384,066 | ||||||
Citadel Securities, LP | ||||||||
7.97% (1 Month Term SOFR + 2.61%, Rate Floor: 2.61%) due 07/29/30 | 357,297 | 357,744 | ||||||
Jane Street Group LLC | ||||||||
8.22% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 01/26/28 | 275,435 | 276,200 | ||||||
AmWINS Group, Inc. | ||||||||
7.72% (1 Month Term SOFR + 2.36%, Rate Floor: 3.11%) due 02/22/28 | 251,344 | 251,412 | ||||||
HarbourVest Partners, LP | ||||||||
8.35% (3 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 04/22/30††† | 249,375 | 249,998 | ||||||
Capstone Borrower, Inc. | ||||||||
9.10% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 06/17/30 | 247,628 | 247,113 | ||||||
Focus Financial Partners, LLC | ||||||||
8.61% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 06/30/28 | 246,875 | 247,080 | ||||||
Teneo Holdings LLC | ||||||||
10.71% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/11/25 | 247,416 | 246,797 | ||||||
Asurion LLC | ||||||||
9.71% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 08/20/28 | 243,163 | 241,990 | ||||||
Aretec Group, Inc. | ||||||||
9.96% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/09/30 | 238,800 | 238,284 | ||||||
Nexus Buyer LLC | ||||||||
due 12/11/30 | 220,000 | 217,939 | ||||||
Apex Group Treasury LLC | ||||||||
10.40% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 07/27/28††† | 198,500 | 197,756 | ||||||
Zodiac Pool Solutions LLC | ||||||||
7.38% (1 Month Term SOFR + 1.93%, Rate Floor: 1.93%) due 01/29/29 | 164,025 | 163,649 | ||||||
Franchise Group, Inc. | ||||||||
10.44% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 03/10/26 | 199,776 | 158,622 | ||||||
GIP Pilot Acquisition Partners LP | ||||||||
8.39% (3 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 10/04/30 | 101,430 | 101,346 | ||||||
Osaic Holdings, Inc. | ||||||||
9.86% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/10/28 | 95,000 | 95,203 | ||||||
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES F (FLOATING RATE STRATEGIES SERIES) |
| Face | Value | ||||||
Jones Deslauriers Insurance Management, Inc. | ||||||||
9.62% (6 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/15/30 | 90,000 | $ | 90,263 | |||||
Total Financial | 6,137,247 | |||||||
Technology - 10.0% | ||||||||
Central Parent LLC | ||||||||
9.35% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 07/06/29 | 501,822 | 503,820 | ||||||
Emerald TopCo, Inc. (Press Ganey) | ||||||||
8.97% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | 495,360 | 489,415 | ||||||
Athenahealth Group, Inc. | ||||||||
8.61% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/15/29 | 439,057 | 436,642 | ||||||
Planview Parent, Inc. | ||||||||
9.61% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/17/27 | 353,753 | 349,972 | ||||||
Imprivata, Inc. | ||||||||
9.61% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 12/01/27 | 246,250 | 246,954 | ||||||
9.22% (1 Month Term SOFR + 3.86%, Rate Floor: 4.36%) due 12/01/27 | 89,311 | 89,518 | ||||||
Conair Holdings LLC | ||||||||
9.22% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 05/17/28 | 323,459 | 316,518 | ||||||
Polaris Newco LLC | ||||||||
9.47% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 06/02/28 | 318,698 | 313,997 | ||||||
Peraton Corp. | ||||||||
9.21% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 02/01/28 | 285,553 | 285,910 | ||||||
Xerox Corp. | ||||||||
9.36% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 11/19/29 | 281,030 | 280,679 | ||||||
Atlas CC Acquisition Corp. | ||||||||
9.90% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/25/28 | 286,568 | 266,020 | ||||||
CoreLogic, Inc. | ||||||||
8.97% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 06/02/28 | 269,788 | 261,864 | ||||||
Indicor, LLC | ||||||||
9.35% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 11/22/29 | 245,752 | 246,120 | ||||||
Ascend Learning LLC | ||||||||
8.96% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/11/28 | 245,000 | 240,441 | ||||||
Gen Digital, Inc. | ||||||||
7.46% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 09/12/29 | 240,111 | 240,186 | ||||||
Cloud Software Group, Inc. | ||||||||
9.95% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 09/29/28 | 243,542 | 236,959 | ||||||
Sabre GLBL, Inc. | ||||||||
8.97% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/17/27 | 144,699 | 126,105 | ||||||
10.46% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 06/30/28 | 87,599 | 77,569 | ||||||
Iron Mountain Information Management Services, Inc. | ||||||||
due 01/31/31 | 190,000 | 189,882 | ||||||
Instructure Holdings, Inc. | ||||||||
due 10/30/28 | 175,512 | 176,170 | ||||||
Park Place Technologies, LLC | ||||||||
10.46% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 11/10/27 | 172,342 | 171,172 | ||||||
Ciena Corp. | ||||||||
7.36% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 10/24/30 | 135,000 | 135,226 | ||||||
Dun & Bradstreet | ||||||||
8.21% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 02/06/26 | 89,525 | 89,652 | ||||||
iSolved, Inc. | ||||||||
9.48% (6 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 10/14/30 | 85,500 | 85,500 | ||||||
DCert Buyer, Inc. | ||||||||
9.36% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/16/26 | 29,615 | 29,306 | ||||||
Total Technology | 5,885,597 | |||||||
Communications - 9.9% | ||||||||
McGraw Hill LLC | ||||||||
10.22% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/28/28 | 501,717 | 500,568 | ||||||
Virgin Media Bristol LLC | ||||||||
7.98% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 01/31/28 | 500,406 | 497,834 | ||||||
UPC Broadband Holding BV | ||||||||
8.48% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 01/31/29 | 500,000 | 497,605 | ||||||
Playtika Holding Corp. | ||||||||
8.22% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 03/13/28 | 489,722 | 488,703 | ||||||
CSC Holdings LLC | ||||||||
9.86% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 01/18/28 | 486,391 | 469,066 | ||||||
Altice France SA | ||||||||
10.89% (3 Month Term SOFR + 5.50%, Rate Floor: 5.50%) due 08/15/28 | 467,846 | 418,918 | ||||||
Ziggo Financing Partnership | ||||||||
7.98% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 04/28/28 | 400,000 | 398,428 | ||||||
Telenet Financing USD LLC | ||||||||
7.48% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 04/28/28 | 400,000 | 397,100 | ||||||
Level 3 Financing, Inc. | ||||||||
7.22% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 03/01/27 | 387,478 | 368,104 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES F (FLOATING RATE STRATEGIES SERIES) |
| Face | Value | ||||||
Zayo Group Holdings, Inc. | ||||||||
8.47% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | 401,527 | $ | 343,715 | |||||
Cengage Learning Acquisitions, Inc. | ||||||||
10.41% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/14/26 | 253,485 | 253,947 | ||||||
Cincinnati Bell, Inc. | ||||||||
8.71% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 11/22/28 | 248,101 | 245,399 | ||||||
Flight Bidco, Inc. | ||||||||
8.97% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 07/23/25 | 246,104 | 241,797 | ||||||
Radiate Holdco LLC | ||||||||
8.72% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 09/25/26 | 246,231 | 196,273 | ||||||
Charter Communications Operating, LLC | ||||||||
due 12/09/30 | 190,000 | 189,208 | ||||||
Xplornet Communications, Inc. | ||||||||
9.61% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/02/28 | 293,250 | 174,255 | ||||||
Simon & Schuster | ||||||||
9.39% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/30/30 | 129,600 | 129,924 | ||||||
Internet Brands, Inc. | ||||||||
9.22% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 09/13/24 | 69,603 | 69,634 | ||||||
Total Communications | 5,880,478 | |||||||
Basic Materials - 4.5% | ||||||||
Arsenal AIC Parent LLC | ||||||||
9.86% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/19/30 | 528,637 | 530,123 | ||||||
Illuminate Buyer LLC | ||||||||
8.97% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 06/30/27 | 454,071 | 454,298 | ||||||
CTEC III GmbH | ||||||||
7.46% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/16/29 | EUR 400,000 | 437,403 | ||||||
LSF11 A5 HoldCo LLC | ||||||||
9.71% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 10/16/28 | 359,872 | 360,473 | ||||||
Nouryon USA LLC | ||||||||
9.44% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/03/28 | 243,775 | 244,324 | ||||||
9.47% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/03/28 | 90,668 | 90,922 | ||||||
Platform Specialty Products | ||||||||
due 12/09/30 | 147,600 | 147,969 | ||||||
INEOS Ltd. | ||||||||
8.22% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 01/29/26 | 145,936 | 145,863 | ||||||
Vantage Specialty Chemicals, Inc. | ||||||||
10.11% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/26/26 | 104,213 | 100,174 | ||||||
W.R. Grace Holdings LLC | ||||||||
9.36% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 09/22/28 | 98,000 | 98,158 | ||||||
Ineos US Finance LLC | ||||||||
8.96% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/18/30 | 74,625 | 74,625 | ||||||
Total Basic Materials | 2,684,332 | |||||||
Energy - 2.7% | ||||||||
Traverse Midstream Partners LLC | ||||||||
9.24% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 02/16/28 | 486,328 | 486,124 | ||||||
UGI Energy Services LLC | ||||||||
8.71% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/22/30 | 247,244 | 247,415 | ||||||
AL GCX Holdings LLC | ||||||||
8.95% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 05/17/29 | 242,735 | 242,796 | ||||||
Par Petroleum LLC | ||||||||
9.74% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 02/28/30 | 148,875 | 148,763 | ||||||
BANGL LLC | ||||||||
9.89% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 02/01/29 | 146,380 | 146,425 | ||||||
ITT Holdings LLC | ||||||||
8.71% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 10/05/30 | 114,713 | 115,048 | ||||||
TransMontaigne Operating Company LP | ||||||||
8.97% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 11/17/28 | 103,309 | 102,866 | ||||||
Bip PipeCo Holdings LLC | ||||||||
8.62% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 12/04/30 | 100,000 | 99,625 | ||||||
Total Energy | 1,589,062 | |||||||
Utilities - 1.2% | ||||||||
Calpine Construction Finance Company, LP | ||||||||
7.61% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 07/31/30 | 498,750 | 498,376 | ||||||
TerraForm Power Operating LLC | ||||||||
7.95% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 05/21/29 | 227,960 | 227,460 | ||||||
Total Utilities | 725,836 | |||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $56,147,074) | 55,395,563 | |||||||
66 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES F (FLOATING RATE STRATEGIES SERIES) |
| Face | Value | ||||||
CORPORATE BONDS†† - 0.1% | ||||||||
Industrial - 0.1% | ||||||||
GrafTech Global Enterprises, Inc. | ||||||||
9.88% due 12/15/283 | 90,000 | $ | 69,412 | |||||
Level 3 Financing, Inc. | ||||||||
11.00% due 11/15/29††† | 245,761 | — | ||||||
Total Industrial | 69,412 | |||||||
Total Corporate Bonds | ||||||||
(Cost $87,876) | 69,412 | |||||||
Total Investments - 105.5% | ||||||||
(Cost $63,242,983) | $ | 62,442,405 | ||||||
Other Assets & Liabilities, net - (5.5)% | (3,272,592 | ) | ||||||
Total Net Assets - 100.0% | $ | 59,169,813 | ||||||
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
Barclays Bank plc | EUR | Sell | 431,000 | 465,936 USD | 01/17/24 | $ | (10,288 | ) | ||||||||||||||||
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
◊ | Variable rate security. Rate indicated is the rate effective at December 31, 2023. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of December 31, 2023. |
3 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $69,412 (cost $87,876), or 0.1% of total net assets. |
EUR — Euro | |
EURIBOR — European Interbank Offered Rate | |
plc — Public Limited Company | |
SARL — Société à Responsabilité Limitée | |
SOFR — Secured Overnight Financing Rate | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES F (FLOATING RATE STRATEGIES SERIES) |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | — | $ | — | $ | 186,293 | $ | 186,293 | ||||||||
Exchange-Traded Funds | 1,748,481 | — | — | 1,748,481 | ||||||||||||
Money Market Fund | 5,042,656 | — | — | 5,042,656 | ||||||||||||
Senior Floating Rate Interests | — | 53,388,219 | 2,007,344 | 55,395,563 | ||||||||||||
Corporate Bonds | — | 69,412 | — | * | 69,412 | |||||||||||
Total Assets | $ | 6,791,137 | $ | 53,457,631 | $ | 2,193,637 | $ | 62,442,405 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Exchange Contracts** | $ | — | $ | 10,288 | $ | — | $ | 10,288 | ||||||||
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Category | Ending Balance at | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* | |||||||||||||||
Assets: | ||||||||||||||||||||
Common Stocks | $ | 186,292 | Enterprise Value | Valuation Multiple | 2.9x-7.9x | 4.8x | ||||||||||||||
Common Stocks | 1 | Third Party Pricing | Trade Price | — | — | |||||||||||||||
Senior Floating Rate Interests | 1,879,038 | Third Party Pricing | Broker Quote | — | — | |||||||||||||||
Senior Floating Rate Interests | 128,306 | Model Price | Purchase Price | — | — | |||||||||||||||
Total Assets | $ | 2,193,637 |
|
|
|
| ||||||||||||||
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended December 31, 2023, the Fund had securities with a total value of $731,897 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $686,782 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
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 year ended December 31, 2023:
Assets | Liabilities | |||||||||||||||||||
| Senior Floating | Common Stocks | Preferred Stocks | Total Assets | Unfunded Loan | |||||||||||||||
Beginning Balance | $ | 696,906 | $ | 9,843 | $ | — | * | $ | 706,749 | $ | (7,934 | ) | ||||||||
Purchases/(Receipts) | 1,537,360 | — | — | 1,537,360 | 1,093 | |||||||||||||||
(Sales, maturities and paydowns)/Fundings | (235,319 | ) | — | — | (235,319 | ) | 114 | |||||||||||||
Amortization of premiums/discounts | 1,795 | — | — | 1,795 | (94 | ) | ||||||||||||||
Corporate actions | (170,490 | ) | 199,439 | (28,949 | ) | — | — | |||||||||||||
Total realized gains (losses) included in earnings | (5,942 | ) | (83,494 | ) | — | (89,436 | ) | 1,079 | ||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | 137,919 | 60,505 | 28,949 | 227,373 | 5,742 | |||||||||||||||
Transfers into Level 3 | 731,897 | — | — | 731,897 | — | |||||||||||||||
Transfers out of Level 3 | (686,782 | ) | — | — | (686,782 | ) | — | |||||||||||||
Ending Balance | $ | 2,007,344 | $ | 186,293 | $ | — | $ | 2,193,637 | $ | — | ||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at December 31, 2023 | $ | 1,483 | $ | (22,959 | ) | $ | — | $ | (21,476 | ) | $ | — | ||||||||
* | Security has a market value of $0. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||
BP Holdco LLC * | $ | 7,040 | $ | — | $ | — | $ | — | $ | 7,032 | $ | 14,072 | 11,609 | |||||||||||||||
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 69 |
SERIES F (FLOATING RATE STRATEGIES SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $63,238,884) | $ | 62,428,333 | ||
Investments in affiliated issuers, at value (cost $4,099) | 14,072 | |||
Foreign currency, at value (cost $38,218) | 38,648 | |||
Cash | 224,399 | |||
Prepaid expenses | 4,990 | |||
Receivables: | ||||
Securities sold | 2,157,754 | |||
Interest | 276,191 | |||
Fund shares sold | 72,035 | |||
Total assets | 65,216,422 | |||
Liabilities: | ||||
Unrealized depreciation on forward foreign currency exchange contracts | 10,288 | |||
Payable for: | ||||
Securities purchased | 5,934,432 | |||
Management fees | 27,501 | |||
Distribution and service fees | 12,740 | |||
Fund accounting/administration fees | 2,291 | |||
Transfer agent/maintenance fees | 1,977 | |||
Trustees’ fees* | 1,780 | |||
Fund shares redeemed | 1,296 | |||
Miscellaneous | 54,304 | |||
Total liabilities | 6,046,609 | |||
Net assets | $ | 59,169,813 | ||
Net assets consist of: | ||||
Paid in capital | $ | 60,048,761 | ||
Total distributable earnings (loss) | (878,948 | ) | ||
Net assets | $ | 59,169,813 | ||
Capital shares outstanding | 2,335,413 | |||
Net asset value per share | $ | 25.34 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends | $ | 147,618 | ||
Interest from securities of unaffiliated issuers | 4,945,319 | |||
Total investment income | 5,092,937 | |||
Expenses: | ||||
Management fees | 357,845 | |||
Distribution and service fees | 137,960 | |||
Transfer agent/maintenance fees | 25,092 | |||
Professional fees | 72,245 | |||
Fund accounting/administration fees | 31,237 | |||
Custodian fees | 20,065 | |||
Trustees’ fees* | 14,184 | |||
Line of credit fees | 13,945 | |||
Interest expense | 7 | |||
Miscellaneous | 16,947 | |||
Total expenses | 689,527 | |||
Less: | ||||
Expenses reimbursed by Adviser | (1,663 | ) | ||
Expenses waived by Adviser | (51,696 | ) | ||
Earnings credits applied | (1,598 | ) | ||
Total waived/reimbursed expenses | (54,957 | ) | ||
Net expenses | 634,570 | |||
Net investment income | 4,458,367 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (326,510 | ) | ||
Forward foreign currency exchange contracts | 2,547 | |||
Foreign currency transactions | 596 | |||
Net realized loss | (323,367 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 1,575,742 | |||
Investments in affiliated issuers | 7,032 | |||
Forward foreign currency exchange contracts | (7,692 | ) | ||
Foreign currency translations | 351 | |||
Net change in unrealized appreciation (depreciation) | 1,575,433 | |||
Net realized and unrealized gain | 1,252,066 | |||
Net increase in net assets resulting from operations | $ | 5,710,433 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES F (FLOATING RATE STRATEGIES SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 4,458,367 | $ | 1,893,774 | ||||
Net realized loss on investments | (323,367 | ) | (429,312 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 1,575,433 | (2,017,712 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 5,710,433 | (553,250 | ) | |||||
Distributions to shareholders | (1,925,766 | ) | (1,070,948 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 50,185,730 | 41,718,376 | ||||||
Distributions reinvested | 1,925,766 | 1,070,948 | ||||||
Cost of shares redeemed | (45,065,168 | ) | (43,594,800 | ) | ||||
Net increase (decrease) from capital share transactions | 7,046,328 | (805,476 | ) | |||||
Net increase (decrease) in net assets | 10,830,995 | (2,429,674 | ) | |||||
Net assets: | ||||||||
Beginning of year | 48,338,818 | 50,768,492 | ||||||
End of year | $ | 59,169,813 | $ | 48,338,818 | ||||
Capital share activity: | ||||||||
Shares sold | 2,041,325 | 1,752,818 | ||||||
Shares issued from reinvestment of distributions | 79,184 | 46,402 | ||||||
Shares redeemed | (1,832,480 | ) | (1,832,795 | ) | ||||
Net increase (decrease) in shares | 288,029 | (33,575 | ) | |||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 71 |
SERIES F (FLOATING RATE STRATEGIES SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 23.61 | $ | 24.40 | $ | 24.41 | $ | 25.96 | $ | 25.30 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 1.99 | .95 | .58 | .68 | 1.06 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .61 | (1.18 | ) | .02 | (.74 | ) | .85 | |||||||||||||
Total from investment operations | 2.60 | (.23 | ) | .60 | (.06 | ) | 1.91 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.87 | ) | (.56 | ) | (.61 | ) | (1.49 | ) | (1.25 | ) | ||||||||||
Total distributions | (.87 | ) | (.56 | ) | (.61 | ) | (1.49 | ) | (1.25 | ) | ||||||||||
Net asset value, end of period | $ | 25.34 | $ | 23.61 | $ | 24.40 | $ | 24.41 | $ | 25.96 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 11.12 | % | (0.85 | %) | 2.50 | % | 0.01 | % | 7.60 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 59,170 | $ | 48,339 | $ | 50,768 | $ | 41,004 | $ | 46,047 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 8.10 | % | 4.01 | % | 2.36 | % | 2.81 | % | 4.10 | % | ||||||||||
Total expenses | 1.25 | % | 1.27 | % | 1.34 | % | 1.47 | % | 1.38 | % | ||||||||||
Net expensesc,d | 1.16 | % | 1.16 | % | 1.17 | % | 1.23 | % | 1.21 | % | ||||||||||
Portfolio turnover rate | 66 | % | 68 | % | 56 | % | 60 | % | 28 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
d | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
1.13% | 1.14% | 1.14% | 1.15% | 1.15% |
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series J (StylePlusTM—Mid Growth Series, or the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer - Equities and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 26.41%, outperforming the Russell Midcap Growth Index (“Index”), the Fund’s benchmark, which returned 25.87%.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
Over the Reporting Period, 15%-25% of the total equity position was allocated to actively managed equity and 75%-85% to passive equity. Remaining Fund assets were invested in the Guggenheim Strategy Funds, short-term fixed-income investment companies advised by Guggenheim Investments, and the Guggenheim Ultra Short Duration Fund whose objective is to seek a high level of income consistent with the preservation of capital.
For the Reporting Period, the Fund outperformed the Russell Midcap Growth Index by 0.54% net of fees. The Fund performed better than the benchmark due to contribution from the active fixed income sleeve, offset by a negative contribution from the equity sleeve, as well as the cost of derivatives and Fund fees and expenses.
How did the Fund use derivatives during the Reporting Period?
The passive equity component, which accounted for 75%-85% of the Fund’s exposure to the broad equity market, consisted of equity index swaps and equity index futures. On average, the equity index futures accounted for 0%-5% of the overall exposure, with the remainder from equity index swaps. Both the swaps and futures benefited performance.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 73 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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 Strategy Fund III | 26.6% |
Guggenheim Strategy Fund II | 23.4% |
Guggenheim Variable Insurance Strategy Fund III | 23.2% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 1.7% |
Carlisle Companies, Inc. | 0.4% |
GoDaddy, Inc. — Class A | 0.3% |
Dropbox, Inc. — Class A | 0.3% |
Owens Corning | 0.3% |
Deckers Outdoor Corp. | 0.3% |
UFP Industries, Inc. | 0.3% |
Top Ten Total | 76.8% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series J (StylePlus—Mid Growth Series) | 26.41% | 12.72% | 9.97% |
Russell Midcap Growth Index | 25.87% | 13.81% | 10.57% |
* | 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. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) |
| Shares | Value | ||||||
COMMON STOCKS† - 20.5% | ||||||||
Industrial - 5.3% | ||||||||
Carlisle Companies, Inc. | 2,212 | $ | 691,095 | |||||
Owens Corning | 3,647 | 540,595 | ||||||
UFP Industries, Inc. | 4,160 | 522,288 | ||||||
Donaldson Company, Inc. | 7,612 | 497,444 | ||||||
Middleby Corp.* | 3,260 | 479,774 | ||||||
Lincoln Electric Holdings, Inc. | 2,133 | 463,842 | ||||||
Acuity Brands, Inc. | 2,259 | 462,711 | ||||||
Simpson Manufacturing Company, Inc. | 2,281 | 451,592 | ||||||
Boise Cascade Co. | 3,028 | 391,702 | ||||||
AGCO Corp. | 2,960 | 359,374 | ||||||
Snap-on, Inc. | 1,214 | 350,652 | ||||||
Mueller Industries, Inc. | 6,893 | 325,005 | ||||||
TopBuild Corp.* | 843 | 315,501 | ||||||
Advanced Drainage Systems, Inc. | 2,230 | 313,627 | ||||||
Masco Corp. | 4,340 | 290,693 | ||||||
Builders FirstSource, Inc.* | 1,690 | 282,129 | ||||||
Keysight Technologies, Inc.* | 1,756 | 279,362 | ||||||
Lennox International, Inc. | 572 | 255,982 | ||||||
Timken Co. | 2,989 | 239,568 | ||||||
Graphic Packaging Holding Co. | 9,374 | 231,069 | ||||||
Watts Water Technologies, Inc. — Class A | 1,029 | 214,382 | ||||||
EMCOR Group, Inc. | 895 | 192,810 | ||||||
Belden, Inc. | 2,231 | 172,345 | ||||||
IDEX Corp. | 783 | 169,997 | ||||||
Graco, Inc. | 1,903 | 165,104 | ||||||
Illinois Tool Works, Inc. | 624 | 163,451 | ||||||
Applied Industrial Technologies, Inc. | 647 | 111,730 | ||||||
Woodward, Inc. | 787 | 107,134 | ||||||
Comfort Systems USA, Inc. | 440 | 90,495 | ||||||
Total Industrial | 9,131,453 | |||||||
Consumer, Cyclical - 4.3% | ||||||||
Deckers Outdoor Corp.* | 793 | 530,065 | ||||||
Brunswick Corp. | 5,089 | 492,361 | ||||||
Gentex Corp. | 13,794 | 450,512 | ||||||
DR Horton, Inc. | 2,604 | 395,756 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 3,764 | 381,143 | ||||||
AutoNation, Inc.* | 2,367 | 355,476 | ||||||
Yum! Brands, Inc. | 2,707 | 353,697 | ||||||
Polaris, Inc. | 3,401 | 322,313 | ||||||
Williams-Sonoma, Inc. | 1,557 | 314,171 | ||||||
Dolby Laboratories, Inc. — Class A | 3,566 | 307,318 | ||||||
Cummins, Inc. | 1,272 | 304,733 | ||||||
Boyd Gaming Corp. | 4,788 | 299,777 | ||||||
Toll Brothers, Inc. | 2,783 | 286,065 | ||||||
Harley-Davidson, Inc. | 6,883 | 253,569 | ||||||
Watsco, Inc. | 567 | 242,942 | ||||||
O’Reilly Automotive, Inc.* | 249 | 236,570 | ||||||
Crocs, Inc.* | 2,506 | 234,085 | ||||||
Tempur Sealy International, Inc. | 4,320 | 220,190 | ||||||
Wingstop, Inc. | 846 | 217,067 | ||||||
Murphy USA, Inc. | 587 | 209,301 | ||||||
Installed Building Products, Inc. | 1,144 | 209,146 | ||||||
Visteon Corp.* | 1,539 | 192,221 | ||||||
Autoliv, Inc. | 1,457 | 160,547 | ||||||
Dick’s Sporting Goods, Inc. | 1,010 | 148,419 | ||||||
Choice Hotels International, Inc. | 1,261 | 142,871 | ||||||
WW Grainger, Inc. | 127 | 105,244 | ||||||
Skechers USA, Inc. — Class A* | 1,425 | 88,835 | ||||||
Total Consumer, Cyclical | 7,454,394 | |||||||
Technology - 3.2% | ||||||||
Dropbox, Inc. — Class A* | 18,962 | 559,009 | ||||||
Cirrus Logic, Inc.* | 5,506 | 458,044 | ||||||
NXP Semiconductor N.V. | 1,487 | 341,534 | ||||||
Microchip Technology, Inc. | 3,655 | 329,608 | ||||||
Qualys, Inc.* | 1,637 | 321,310 | ||||||
Super Micro Computer, Inc.* | 1,053 | 299,326 | ||||||
Lattice Semiconductor Corp.* | 4,290 | 295,967 | ||||||
Onto Innovation, Inc.* | 1,669 | 255,190 | ||||||
Teradata Corp.* | 5,774 | 251,227 | ||||||
Amkor Technology, Inc. | 7,161 | 238,247 | ||||||
Dynatrace, Inc.* | 4,236 | 231,667 | ||||||
Crane NXT Co. | 3,919 | 222,874 | ||||||
Fair Isaac Corp.* | 188 | 218,834 | ||||||
KLA Corp. | 366 | 212,756 | ||||||
Fortinet, Inc.* | 3,297 | 192,973 | ||||||
Silicon Laboratories, Inc.* | 1,429 | 189,014 | ||||||
Manhattan Associates, Inc.* | 826 | 177,854 | ||||||
Allegro MicroSystems, Inc.* | 5,753 | 174,143 | ||||||
CommVault Systems, Inc.* | 1,956 | 156,186 | ||||||
Synopsys, Inc.* | 252 | 129,757 | ||||||
Cadence Design Systems, Inc.* | 470 | 128,014 | ||||||
Concentrix Corp. | 1,148 | 112,745 | ||||||
Total Technology | 5,496,279 | |||||||
Consumer, Non-cyclical - 2.6% | ||||||||
Exelixis, Inc.* | 20,656 | 495,538 | ||||||
Neurocrine Biosciences, Inc.* | 3,741 | 492,914 | ||||||
H&R Block, Inc. | 9,442 | 456,710 | ||||||
United Therapeutics Corp.* | 1,987 | 436,921 | ||||||
Incyte Corp.* | 6,118 | 384,149 | ||||||
Hologic, Inc.* | 4,788 | 342,103 | ||||||
HCA Healthcare, Inc. | 1,063 | 287,733 | ||||||
Encompass Health Corp. | 3,761 | 250,934 | ||||||
Grand Canyon Education, Inc.* | 1,879 | 248,103 | ||||||
Chemed Corp. | 409 | 239,163 | ||||||
Molina Healthcare, Inc.* | 626 | 226,180 | ||||||
Halozyme Therapeutics, Inc.* | 5,356 | 197,958 | ||||||
Lantheus Holdings, Inc.* | 2,809 | 174,158 | ||||||
Globus Medical, Inc. — Class A* | 3,102 | 165,305 | ||||||
Humana, Inc. | 208 | 95,224 | ||||||
Total Consumer, Non-cyclical | 4,493,093 | |||||||
Energy - 2.0% | ||||||||
Chord Energy Corp. | 2,741 | 455,636 | ||||||
CNX Resources Corp.* | 20,597 | 411,940 | ||||||
PBF Energy, Inc. — Class A | 7,881 | 346,449 | ||||||
Marathon Petroleum Corp. | 2,258 | 334,997 | ||||||
EOG Resources, Inc. | 2,758 | 333,580 | ||||||
76 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) |
| Shares | Value | ||||||
Range Resources Corp. | 10,307 | $ | 313,745 | |||||
APA Corp. | 6,002 | 215,352 | ||||||
Antero Midstream Corp. | 15,435 | 193,401 | ||||||
Ovintiv, Inc. | 4,324 | 189,910 | ||||||
Civitas Resources, Inc. | 2,326 | 159,052 | ||||||
Matador Resources Co. | 2,682 | 152,498 | ||||||
Occidental Petroleum Corp. | 2,525 | 150,768 | ||||||
SM Energy Co. | 3,303 | 127,892 | ||||||
SolarEdge Technologies, Inc.* | 1,198 | 112,133 | ||||||
Total Energy | 3,497,353 | |||||||
Financial - 1.8% | ||||||||
Interactive Brokers Group, Inc. — Class A | 5,887 | 487,984 | ||||||
International Bancshares Corp. | 7,888 | 428,476 | ||||||
SouthState Corp. | 4,271 | 360,686 | ||||||
Affiliated Managers Group, Inc. | 2,264 | 342,815 | ||||||
East West Bancorp, Inc. | 4,217 | 303,413 | ||||||
Equity LifeStyle Properties, Inc. REIT | 3,485 | 245,832 | ||||||
Federated Hermes, Inc. — Class B | 6,415 | 217,212 | ||||||
Kinsale Capital Group, Inc. | 555 | 185,875 | ||||||
Fidelity National Financial, Inc. | 3,569 | 182,090 | ||||||
RenaissanceRe Holdings Ltd. | 799 | 156,604 | ||||||
Everest Group Ltd. | 418 | 147,797 | ||||||
Total Financial | 3,058,784 | |||||||
Communications - 0.7% | ||||||||
GoDaddy, Inc. — Class A* | 5,712 | 606,386 | ||||||
Motorola Solutions, Inc. | 1,054 | 329,997 | ||||||
VeriSign, Inc.* | 1,558 | 320,886 | ||||||
Total Communications | 1,257,269 | |||||||
Basic Materials - 0.5% | ||||||||
NewMarket Corp. | 733 | 400,093 | ||||||
Cabot Corp. | 3,153 | 263,275 | ||||||
Reliance Steel & Aluminum Co. | 604 | 168,927 | ||||||
RPM International, Inc. | 971 | 108,393 | ||||||
Total Basic Materials | 940,688 | |||||||
Utilities - 0.1% | ||||||||
Vistra Corp. | 5,885 | 226,690 | ||||||
Total Common Stocks | ||||||||
(Cost $31,515,372) | 35,556,003 | |||||||
MUTUAL FUNDS† - 74.9% | ||||||||
Guggenheim Strategy Fund III1 | 1,879,772 | 46,148,406 | ||||||
Guggenheim Strategy Fund II1 | 1,654,132 | 40,526,245 | ||||||
Guggenheim Variable Insurance Strategy Fund III1 | 1,636,351 | 40,139,678 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 295,978 | 2,915,383 | ||||||
Total Mutual Funds | ||||||||
(Cost $130,486,106) | 129,729,712 | |||||||
MONEY MARKET FUND† - 5.0% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.25%2 | 8,745,610 | 8,745,610 | ||||||
Total Money Market Fund | ||||||||
(Cost $8,745,610) | 8,745,610 | |||||||
Total Investments - 100.4% | ||||||||
(Cost $170,747,088) | $ | 174,031,325 | ||||||
Other Assets & Liabilities, net - (0.4)% | (701,813 | ) | ||||||
Total Net Assets - 100.0% | $ | 173,329,512 | ||||||
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
S&P MidCap 400 Index Mini Futures Contracts | 11 | Mar 2024 | $ | 3,088,910 | $ | 146,774 | ||||||||||
NASDAQ-100 Index Mini Futures Contracts | 4 | Mar 2024 | 1,361,540 | 45,686 | ||||||||||||
S&P 500 Index Mini Futures Contracts | 4 | Mar 2024 | 963,800 | 28,319 | ||||||||||||
| $ | 5,414,250 | $ | 220,779 | |||||||||||||
Total Return Swap Agreements | |||||||||||||||||||||||
Counterparty | Index | Type | Financing | Payment | Maturity | Units | Notional | Value and | |||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||
Wells Fargo Bank, N.A. | Russell MidCap Growth Index | Pay | 5.90% (Federal | At Maturity | 03/31/24 | 24,717 | $ | 127,385,733 | $ | 16,173,791 | |||||||||||||
Wells Fargo Bank, N.A. | Russell MidCap Growth Index | Pay | 5.84% (Federal | At Maturity | 03/31/24 | 1,500 | 7,730,655 | 1,203,308 | |||||||||||||||
| $ | 135,116,388 | $ | 17,377,099 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of December 31, 2023. |
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 December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 35,556,003 | $ | — | $ | — | $ | 35,556,003 | ||||||||
Mutual Funds | 129,729,712 | — | — | 129,729,712 | ||||||||||||
Money Market Fund | 8,745,610 | — | — | 8,745,610 | ||||||||||||
Equity Futures Contracts** | 220,779 | — | — | 220,779 | ||||||||||||
Equity Index Swap Agreements** | — | 17,377,099 | — | 17,377,099 | ||||||||||||
Total Assets | $ | 174,252,104 | $ | 17,377,099 | $ | — | $ | 191,629,203 | ||||||||
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
78 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
SERIES J (STYLEPLUS—MID GROWTH 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 26,262,849 | $ | 37,281,579 | $ | (23,573,066 | ) | $ | 132,271 | $ | 422,612 | $ | 40,526,245 | 1,654,132 | $ | 1,358,874 | ||||||||||||||||
Guggenheim Strategy Fund III | 43,164,347 | 9,847,185 | (7,767,350 | ) | (227,357 | ) | 1,131,581 | 46,148,406 | 1,879,772 | 2,634,196 | ||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 2,705,158 | 149,816 | — | — | 60,409 | 2,915,383 | 295,978 | 150,167 | ||||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 39,804,396 | 2,129,629 | (2,550,000 | ) | (72,387 | ) | 828,040 | 40,139,678 | 1,636,351 | 2,132,757 | ||||||||||||||||||||||
| $ | 111,936,750 | $ | 49,408,209 | $ | (33,890,416 | ) | $ | (167,473 | ) | $ | 2,442,642 | $ | 129,729,712 | $ | 6,275,994 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 79 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $40,260,982) | $ | 44,301,613 | ||
Investments in affiliated issuers, at value (cost $130,486,106) | 129,729,712 | |||
Cash | 492 | |||
Segregated cash with broker | 288,800 | |||
Unrealized appreciation on OTC swap agreements | 17,377,099 | |||
Prepaid expenses | 3,559 | |||
Receivables: | ||||
Dividends | 587,233 | |||
Interest | 36,895 | |||
Fund shares sold | 21 | |||
Total assets | 192,325,424 | |||
Liabilities: | ||||
Segregated cash due to broker | 16,400,000 | |||
Payable for: | ||||
Swap settlement | 1,700,284 | |||
Securities purchased | 592,703 | |||
Management fees | 79,003 | |||
Fund shares redeemed | 47,093 | |||
Variation margin on futures contracts | 38,710 | |||
Distribution and service fees | 35,822 | |||
Fund accounting/administration fees | 3,024 | |||
Transfer agent/maintenance fees | 1,988 | |||
Trustees’ fees* | 711 | |||
Miscellaneous | 96,574 | |||
Total liabilities | 18,995,912 | |||
Net assets | $ | 173,329,512 | ||
Net assets consist of: | ||||
Paid in capital | $ | 186,187,693 | ||
Total distributable earnings (loss) | (12,858,181 | ) | ||
Net assets | $ | 173,329,512 | ||
Capital shares outstanding | 3,774,569 | |||
Net asset value per share | $ | 45.92 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $788) | $ | 373,791 | ||
Dividends from securities of affiliated issuers | 6,275,994 | |||
Interest | 249,573 | |||
Other income | 110 | |||
Total investment income | 6,899,468 | |||
Expenses: | ||||
Management fees | 1,160,885 | |||
Distribution and service fees | 387,955 | |||
Transfer agent/maintenance fees | 25,164 | |||
Interest expense | 301,700 | |||
Professional fees | 91,680 | |||
Fund accounting/administration fees | 71,566 | |||
Custodian fees | 14,647 | |||
Trustees’ fees* | 14,186 | |||
Line of credit fees | 5,790 | |||
Miscellaneous | 19,432 | |||
Total expenses | 2,093,005 | |||
Less: | ||||
Expenses reimbursed by Adviser | (5 | ) | ||
Expenses waived by Adviser | (375,299 | ) | ||
Earnings credit applied | (3,686 | ) | ||
Total waived/reimbursed expenses | (378,990 | ) | ||
Net expenses | 1,714,015 | |||
Net investment income | 5,185,453 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 2,721,602 | |||
Investments in affiliated issuers | (167,473 | ) | ||
Swap agreements | 7,760,089 | |||
Futures contracts | 284,266 | |||
Net realized gain | 10,598,484 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 4,064,202 | |||
Investments in affiliated issuers | 2,442,642 | |||
Swap agreements | 15,268,042 | |||
Futures contracts | 376,869 | |||
Net change in unrealized appreciation (depreciation) | 22,151,755 | |||
Net realized and unrealized gain | 32,750,239 | |||
Net increase in net assets resulting from operations | $ | 37,935,692 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
80 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES J (STYLEPLUS—MID GROWTH SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 5,185,453 | $ | 2,272,753 | ||||
Net realized gain (loss) on investments | 10,598,484 | (49,405,358 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 22,151,755 | (9,054,433 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 37,935,692 | (56,187,038 | ) | |||||
Distributions to shareholders | (2,254,596 | ) | (43,841,105 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 13,775,845 | 16,227,294 | ||||||
Distributions reinvested | 2,254,596 | 43,841,105 | ||||||
Cost of shares redeemed | (23,555,097 | ) | (13,494,617 | ) | ||||
Net increase (decrease) from capital share transactions | (7,524,656 | ) | 46,573,782 | |||||
Net increase (decrease) in net assets | 28,156,440 | (53,454,361 | ) | |||||
Net assets: | ||||||||
Beginning of year | 145,173,072 | 198,627,433 | ||||||
End of year | $ | 173,329,512 | $ | 145,173,072 | ||||
Capital share activity: | ||||||||
Shares sold | 351,330 | 285,794 | ||||||
Shares issued from reinvestment of distributions | 51,806 | 1,157,674 | ||||||
Shares redeemed | (571,160 | ) | (291,950 | ) | ||||
Net increase (decrease) in shares | (168,024 | ) | 1,151,518 | |||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 81 |
SERIES J (STYLEPLUS—MID GROWTH SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 36.82 | $ | 71.17 | $ | 72.46 | $ | 58.49 | $ | 48.75 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 1.37 | .66 | .22 | .39 | .79 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.32 | (20.02 | ) | 9.44 | 17.43 | 14.90 | ||||||||||||||
Total from investment operations | 9.69 | (19.36 | ) | 9.66 | 17.82 | 15.69 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.59 | ) | (.20 | ) | (.40 | ) | (.84 | ) | (.49 | ) | ||||||||||
Net realized gains | — | (14.79 | ) | (10.55 | ) | (3.01 | ) | (5.46 | ) | |||||||||||
Total distributions | (.59 | ) | (14.99 | ) | (10.95 | ) | (3.85 | ) | (5.95 | ) | ||||||||||
Net asset value, end of period | $ | 45.92 | $ | 36.82 | $ | 71.17 | $ | 72.46 | $ | 58.49 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 26.41 | % | (27.78 | %) | 13.69 | % | 32.10 | % | 32.70 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 173,330 | $ | 145,173 | $ | 198,627 | $ | 190,920 | $ | 157,675 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.35 | % | 1.42 | % | 0.30 | % | 0.66 | % | 1.39 | % | ||||||||||
Total expensesc | 1.35 | % | 1.18 | % | 1.16 | % | 1.22 | % | 1.30 | % | ||||||||||
Net expensesd,e | 1.11 | % | 0.96 | % | 0.89 | % | 0.89 | % | 1.00 | % | ||||||||||
Portfolio turnover rate | 67 | % | 87 | % | 60 | % | 71 | % | 57 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
0.91% | 0.91% | 0.87% | 0.88% | 0.92% |
82 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series N (Managed Asset Allocation Series, or the “Fund”) is managed by a team of seasoned professionals, including Michael P. Byrum, CFA, Senior Managing Director and Portfolio Manager; Matthew Wu, Ph.D., CFA, Director and Portfolio Manager; and Adrian Bachman, Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 14.12%, underperforming the weighted benchmark that is 60% S&P 500® Index and 40% Bloomberg U.S. Aggregate Bond Index, which returned 17.67%. The S&P 500 Index returned 26.29% over the year and the Bloomberg U.S. Aggregate Bond Index returned 5.53% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The year 2023 surprised almost everybody with no recession despite the Federal Reserve’s aggressive rate hikes. In fact, the market started to price in multiple cuts by the Federal Reserve in the near term. The rate hikes pushed several regional banks into bankruptcy but the government quickly controlled the situation. Also, the launch of Chat GPT prompted excitement about chip companies, which led the market to surge. The strong performance of high tech companies helped the U.S. outperform international counterparts and much of this performance was concentrated in a small number of stocks, such as the “Magnificent Seven”.
The top detractors were short positions in Japan and German futures. The other detractor from relative performance was having a lower exposure to U.S. large cap equities than the benchmark. Investments in futures and ETFs of both international and small cap equity were absolute contributors to performance, but did not improve relative contribution. The models used by the Fund did help performance, by signaling an overweight to large cap and an underweight to small cap within our U.S. equity exposure. The Fund also benefited from a few short-term opportunities in currency markets.
How did the Fund use derivatives during the Reporting Period?
We have used index and bond futures to replicate benchmark exposures and traded them when we found it less expensive than trading ETFs.
How was the Fund positioned at the end of the Reporting Period?
At the end of the Reporting Period, we continued to position the portfolio holdings to closely replicate most of the benchmark’s exposures. The financial markets have recovered at least part of the losses that occurred in 2022, if not reaching all-time highs. Speculations on how many rate cuts the Federal Reserve will have in 2024 is a dominating theme and can change at any time as more data are released. Therefore, we believe markets are expected to continue to be volatile, which may generate short-term opportunities for our models to capture.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 83 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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 | 22.3% |
Schwab U.S. Aggregate Bond ETF | 14.8% |
SPDR S&P 500 ETF Trust | 12.4% |
iShares 7-10 Year Treasury Bond ETF | 8.0% |
iShares MSCI EAFE ETF | 7.8% |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 7.6% |
iShares 1-3 Year Treasury Bond ETF | 6.6% |
iShares Core S&P Mid-Cap ETF | 6.5% |
Guggenheim Variable Insurance Strategy Fund III | 3.1% |
Guggenheim Strategy Fund II | 3.0% |
Top Ten Total | 92.1% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
84 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series N (Managed Asset Allocation Series) | 14.12% | 7.68% | 6.06% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
Blended Index** | 17.67% | 9.98% | 8.09% |
Bloomberg U.S. Aggregate Bond Index | 5.53% | 1.10% | 1.81% |
* | 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 S&P 500 Index and the Bloomberg U.S. Aggregate Bond Index are unmanaged indices and, unlike the Fund, has no management fees or operating expenses to reduce their reported returns. |
** | Blended index is 60% S&P 500 Index and 40% Bloomberg 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 85 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES N (MANAGED ASSET ALLOCATION SERIES) |
| Shares | Value | ||||||
EXCHANGE-TRADED FUNDS† - 86.0% | ||||||||
Vanguard S&P 500 ETF | 18,126 | $ | 7,917,437 | |||||
Schwab U.S. Aggregate Bond ETF | 113,005 | 5,268,293 | ||||||
SPDR S&P 500 ETF Trust | 9,259 | 4,400,895 | ||||||
iShares 7-10 Year Treasury Bond ETF | 29,604 | 2,853,530 | ||||||
iShares MSCI EAFE ETF | 36,576 | 2,756,002 | ||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 24,391 | 2,699,108 | ||||||
iShares 1-3 Year Treasury Bond ETF | 28,819 | 2,364,311 | ||||||
iShares Core S&P Mid-Cap ETF | 8,343 | 2,312,262 | ||||||
iShares iBoxx High Yield Corporate Bond ETF | 79 | 6,114 | ||||||
iShares Russell 1000 Value ETF | 20 | 3,305 | ||||||
iShares TIPS Bond ETF | 29 | 3,117 | ||||||
iShares Core S&P 500 ETF | 2 | 955 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $23,617,143) | 30,585,329 | |||||||
MUTUAL FUNDS† - 11.1% | ||||||||
Guggenheim Variable Insurance Strategy Fund III1 | 45,729 | 1,121,722 | ||||||
Guggenheim Strategy Fund II1 | 43,300 | 1,060,841 | ||||||
Guggenheim Strategy Fund III1 | 42,900 | 1,053,183 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 74,390 | 732,746 | ||||||
Total Mutual Funds | ||||||||
(Cost $4,035,721) | 3,968,492 | |||||||
MONEY MARKET FUND† - 1.7% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.25%2 | 603,625 | 603,625 | ||||||
Total Money Market Fund | ||||||||
(Cost $603,625) | 603,625 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 0.7% | ||||||||
U.S. Treasury Bills | ||||||||
5.17% due 01/09/243,4 | $ | 246,000 | 245,749 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $245,712) | 245,749 | |||||||
Total Investments - 99.5% | ||||||||
(Cost $28,502,201) | $ | 35,403,195 | ||||||
Other Assets & Liabilities, net - 0.5% | 180,181 | |||||||
Total Net Assets - 100.0% | $ | 35,583,376 | ||||||
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
MSCI EAFE Index Futures Contracts | 22 | Mar 2024 | $ | 2,477,640 | $ | 103,804 | ||||||||||
Russell 2000 Index Mini Futures Contracts | 9 | Mar 2024 | 921,150 | 70,876 | ||||||||||||
S&P 500 Index Mini Futures Contracts | 1 | Mar 2024 | 240,950 | 8,460 | ||||||||||||
Dow Jones Industrial Average Index Mini Futures Contracts | 1 | Mar 2024 | 190,015 | 8,208 | ||||||||||||
S&P/TSX 60 IX Index Futures Contracts | 1 | Mar 2024 | 191,911 | 6,331 | ||||||||||||
FTSE 100 Index Futures Contracts†† | 1 | Mar 2024 | 98,407 | 2,061 | ||||||||||||
CAC 40 10 Euro Index Futures Contracts | 1 | Jan 2024 | 83,635 | 724 | ||||||||||||
S&P MidCap 400 Index Mini Futures Contracts | 1 | Mar 2024 | 280,810 | 638 | ||||||||||||
| $ | 4,484,518 | $ | 201,102 | |||||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||||
U.S. Treasury 10 Year Note Futures Contracts | 8 | Mar 2024 | $ | 901,875 | $ | 31,549 | ||||||||||
U.S. Treasury 2 Year Note Futures Contracts | 2 | Mar 2024 | 411,766 | 4,466 | ||||||||||||
| $ | 1,313,641 | $ | 36,015 | |||||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||||
Euro FX Futures Contracts | 2 | Mar 2024 | $ | 276,875 | $ | (18 | ) | |||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||||
Nikkei 225 (CME) Index Futures Contracts | 1 | Mar 2024 | 166,525 | 722 | ||||||||||||
DAX Index Futures Contracts | 1 | Mar 2024 | 467,314 | (1,656 | ) | |||||||||||
SPI 200 Index Futures Contracts†† | 1 | Mar 2024 | 128,700 | (1,925 | ) | |||||||||||
| $ | 762,539 | $ | (2,859 | ) | ||||||||||||
86 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES N (MANAGED ASSET ALLOCATION SERIES) |
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||||
Swiss Franc Futures Contracts | 2 | Mar 2024 | $ | 299,588 | $ | (30 | ) | |||||||||
Japanese Yen Futures Contracts | 1 | Mar 2024 | 89,725 | (3,039 | ) | |||||||||||
| $ | 389,313 | $ | (3,069 | ) | ||||||||||||
** | 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 December 31, 2023. |
3 | All or a portion of this security is pledged as futures collateral at December 31, 2023. |
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 December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange-Traded Funds | $ | 30,585,329 | $ | — | $ | — | $ | 30,585,329 | ||||||||
Mutual Funds | 3,968,492 | — | — | 3,968,492 | ||||||||||||
Money Market Fund | 603,625 | — | — | 603,625 | ||||||||||||
U.S. Treasury Bills | — | 245,749 | — | 245,749 | ||||||||||||
Equity Futures Contracts** | 199,763 | 2,061 | — | 201,824 | ||||||||||||
Interest Rate Futures Contracts** | 36,015 | — | — | 36,015 | ||||||||||||
Total Assets | $ | 35,393,224 | $ | 247,810 | $ | — | $ | 35,641,034 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts** | $ | 1,656 | $ | 1,925 | $ | — | $ | 3,581 | ||||||||
Currency Futures Contracts** | 3,087 | — | — | 3,087 | ||||||||||||
Total Liabilities | $ | 4,743 | $ | 1,925 | $ | — | $ | 6,668 | ||||||||
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,536,185 | $ | — | $ | (500,000 | ) | $ | (14,627 | ) | $ | 39,283 | $ | 1,060,841 | 43,300 | $ | 74,176 | |||||||||||||||
Guggenheim Strategy Fund III | 1,032,163 | — | — | — | 21,020 | 1,053,183 | 42,900 | 55,583 | ||||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 1,014,044 | — | (300,000 | ) | (7,442 | ) | 26,144 | 732,746 | 74,390 | 51,609 | ||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 1,100,686 | — | — | — | 21,036 | 1,121,722 | 45,729 | 59,021 | ||||||||||||||||||||||||
| $ | 4,683,078 | $ | — | $ | (800,000 | ) | $ | (22,069 | ) | $ | 107,483 | $ | 3,968,492 | $ | 240,389 | |||||||||||||||||
88 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES N (MANAGED ASSET ALLOCATION SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $24,466,480) | $ | 31,434,703 | ||
Investments in affiliated issuers, at value (cost $4,035,721) | 3,968,492 | |||
Cash | 13 | |||
Segregated cash with broker | 10,880 | |||
Prepaid expenses | 2,559 | |||
Receivables: | ||||
Securities sold | 199,934 | |||
Dividends | 35,988 | |||
Interest | 2,686 | |||
Fund shares sold | 18 | |||
Total assets | 35,655,273 | |||
Liabilities: | ||||
Payable for: | ||||
Professional fees | 21,900 | |||
Variation margin on futures contracts | 17,659 | |||
Management fees | 11,789 | |||
Distribution and service fees | 7,465 | |||
Fund shares redeemed | 4,713 | |||
Fund accounting/administration fees | 3,003 | |||
Transfer agent/maintenance fees | 2,111 | |||
Trustees’ fees* | 1,335 | |||
Miscellaneous | 1,922 | |||
Total liabilities | 71,897 | |||
Net assets | $ | 35,583,376 | ||
Net assets consist of: | ||||
Paid in capital | $ | 26,401,504 | ||
Total distributable earnings (loss) | 9,181,872 | |||
Net assets | $ | 35,583,376 | ||
Capital shares outstanding | 1,224,109 | |||
Net asset value per share | $ | 29.07 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 745,700 | ||
Dividends from securities of affiliated issuers | 240,389 | |||
Interest | 58,751 | |||
Total investment income | 1,044,840 | |||
Expenses: | ||||
Management fees | 143,387 | |||
Distribution and service fees | 89,617 | |||
Transfer agent/maintenance fees | 25,239 | |||
Professional fees | 36,180 | |||
Fund accounting/administration fees | 23,499 | |||
Trustees’ fees* | 15,184 | |||
Custodian fees | 2,725 | |||
Line of credit fees | 1,210 | |||
Miscellaneous | 11,384 | |||
Total expenses | 348,425 | |||
Less: | ||||
Expenses waived by Adviser | (2,426 | ) | ||
Earnings credits applied | (148 | ) | ||
Total waived expenses | (2,574 | ) | ||
Net expenses | 345,851 | |||
Net investment income | 698,989 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 1,522,448 | |||
Investments in affiliated issuers | (22,069 | ) | ||
Futures contracts | 8,715 | |||
Foreign currency transactions | (122 | ) | ||
Net realized gain | 1,508,972 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 2,089,042 | |||
Investments in affiliated issuers | 107,483 | |||
Futures contracts | 292,384 | |||
Foreign currency translations | (17 | ) | ||
Net change in unrealized appreciation (depreciation) | 2,488,892 | |||
Net realized and unrealized gain | 3,997,864 | |||
Net increase in net assets resulting from operations | $ | 4,696,853 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 89 |
SERIES N (MANAGED ASSET ALLOCATION SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 698,989 | $ | 455,175 | ||||
Net realized gain on investments | 1,508,972 | 638,700 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 2,488,892 | (8,719,480 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 4,696,853 | (7,625,605 | ) | |||||
Distributions to shareholders | (733,004 | ) | (4,049,453 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 536,127 | 612,413 | ||||||
Distributions reinvested | 733,004 | 4,049,453 | ||||||
Cost of shares redeemed | (5,618,941 | ) | (4,025,591 | ) | ||||
Net increase (decrease) from capital share transactions | (4,349,810 | ) | 636,275 | |||||
Net decrease in net assets | (385,961 | ) | (11,038,783 | ) | ||||
Net assets: | ||||||||
Beginning of year | 35,969,337 | 47,008,120 | ||||||
End of year | $ | 35,583,376 | $ | 35,969,337 | ||||
Capital share activity: | ||||||||
Shares sold | 19,560 | 20,795 | ||||||
Shares issued from reinvestment of distributions | 26,207 | 152,178 | ||||||
Shares redeemed | (206,333 | ) | (138,118 | ) | ||||
Net increase (decrease) in shares | (160,566 | ) | 34,855 | |||||
90 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES N (MANAGED ASSET ALLOCATION SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.98 | $ | 34.83 | $ | 33.41 | $ | 32.05 | $ | 27.34 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .53 | .33 | .24 | .24 | .44 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.11 | (6.03 | ) | 3.83 | 3.52 | 5.02 | ||||||||||||||
Total from investment operations | 3.64 | (5.70 | ) | 4.07 | 3.76 | 5.46 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.34 | ) | (.25 | ) | (.25 | ) | (.49 | ) | (.51 | ) | ||||||||||
Net realized gains | (.21 | ) | (2.90 | ) | (2.40 | ) | (1.91 | ) | (.24 | ) | ||||||||||
Total distributions | (.55 | ) | (3.15 | ) | (2.65 | ) | (2.40 | ) | (.75 | ) | ||||||||||
Net asset value, end of period | $ | 29.07 | $ | 25.98 | $ | 34.83 | $ | 33.41 | $ | 32.05 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 14.12 | % | (16.57 | %) | 12.47 | % | 12.59 | % | 20.11 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 35,583 | $ | 35,969 | $ | 47,008 | $ | 45,673 | $ | 46,219 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.95 | % | 1.15 | % | 0.68 | % | 0.77 | % | 1.45 | % | ||||||||||
Total expensesc | 0.97 | % | 0.96 | % | 0.94 | % | 1.01 | % | 1.01 | % | ||||||||||
Net expensesd | 0.97 | % | 0.95 | % | 0.94 | % | 1.00 | % | 1.00 | % | ||||||||||
Portfolio turnover rate | 7 | % | 1 | % | 26 | % | 6 | % | 14 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 91 |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series O (All Cap Value Series, or the “Fund”) is managed by a team of seasoned professionals, led by James Schier, CFA, Senior Managing Director and Portfolio Manager; David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer - Equities and Portfolio Manager; Gregg Strohkorb, CFA, Managing Director and Portfolio Manager; Burak Hurmeydan, Ph.D., Director and Portfolio Manager; and Chris Phalen, CFA, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 8.52%, underperforming the Russell 3000 Value Index, the Fund’s benchmark (“Benchmark”), which returned 11.66% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The market began the Reporting Period somewhat indecisively. However, a buoyant economy helped build expectations that a highly anticipated recession could be pushed further out and that perhaps the Fed could do the unthinkable and engineer a soft landing. Once the banking crisis hit in March, leadership in equities shifted away from the value area, and growth stocks once again caught the market’s interest. As the year progressed, the continued strong jobs market accompanied by increasing fiscal deficits and Treasury issuance caused a significant rise in interest rates. Then, at the beginning of November, the market sensed a possible Fed pivot. Not only was the trend of steadily rising interest rates believed to be past, but hopes quickly built for numerous interest rate cuts. Consequently, there was a strong rally among mega-cap growth companies and lower quality names. The combination of these two factors—growth leadership early in the year followed up with a strong final quarter along with a low-quality year-end rally—created an extremely difficult backdrop for the relative performance of this strategy.
The Fund’s performance for the Reporting Period was below the Benchmark. During the period, the Fund produced a negative contribution from its sector allocation and security selection.
The Fund’s overweight to the Utilities and Energy sectors detracted from performance as the sectors returned -7.2% and -0.2%, respectively. The largest sector allocation detractor was the Fund’s 4% overweight in the Energy sector. The Fund was more concentrated in exploration and production companies and the large, multinational integrated oil companies which underperformed the oil refining sub-sector, which the Fund was underweight. Another detractor for the Fund was its 2% overweight to the Utilities sector. Utilities, an interest rate sensitive sector, underperformed because interest rates continually moved higher during the Reporting Period and investors moved out of this defensive sector as views on the state of the economy improved. However, the Fund was able to offset some of this performance drag with positive stock selection within Utilities as the Fund’s holdings were -5.0% versus -7.2% for the benchmark. Mitigating, but not completely offsetting these detractors, the Fund’s 5% underweight to the Pharmaceutical sector provided positive contribution to performance, as this sub-sector recorded a -10.1% return during the year. Government pricing controls embedded in the Inflation Reduction Act and the interest-rate-sensitive nature of these dividend-paying stocks caused the sector to underperform.
Overall, the Fund experienced positive contribution from security selection except for the outsized negative influence from Meta Platforms, Inc. The Fund’s largest detractor from performance was not owning Meta. This company, which historically has only been in the Russell Growth Index, was added to the Russell Value Index at the beginning of the Reporting Period after the company’s stock price fell 75%. The Fund did not invest in Meta and the stock performed extremely well and subsequently was removed from the Russell Value Index at mid-year 2023.
The Fund had significant contribution from its exposure to certain companies within the Technology sector. A major contributor, up over 50% for the year, was semiconductor capital equipment company KLA Corp. The company is expected to benefit from an increase in spending on producing AI chips as well as the construction of semiconductor manufacturing facilities in the U.S. resulting from the government’s CHIPS Act. Holdings in Alphabet and Microsoft were significant contributors (both were up over 50% for the year), as these large growth companies recovered from their 2022 sell-off as enthusiasm around Generative AI growth and improving revenues and earnings helped propel them higher.
Holdings in the Materials sector performed well, up 23% versus 11% in the benchmark. Two companies in the steel sector, Reliance Steel & Aluminum Co. and Nucor Corp., and chemical company Westlake Corp. performed well for the Fund, as the steel and chemicals sectors remained resilient amid healthy macroeconomic activity. Although revenues and earnings fell, the drop wasn’t as much as investors feared, and these companies continued to produce free cash flow and returned it to shareholders.
92 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | December 31, 2023 |
Additionally, certain companies within the Industrials sector performed well. Curtis-Wright Corp., an aerospace & defense supplier, was up 34% as the commercial aerospace and military markets were strong. Additionally, building products companies Ferguson PLC and Eagle Materials, Inc. were both up nearly 40% as the industrial and residential construction markets remained resilient in the face of higher financing costs. Another building products company, PGT Innovations, Inc., an impact-resistant window manufacturer, was up 125% as it received multiple take-over bids late in the year.
On the negative side, stock selection in Financials had the most significant adverse impact. This sector was up 6.6% versus a gain of 14.0% in the benchmark. This was largely attributable to a significant exposure to SIVB Financial that ended up costing the strategy approximately 50 basis points. While the market was being impacted by stress in the banking sector, the Fund’s significant weight in JP Morgan Chase & Co. aided performance. JP Morgan, with its management team, asset size, and diversified business, provided a relatively sound investment during this tumultuous period.
Finally, there were a few stocks that hurt the Fund’s performance the most during the Reporting Period, Archer-Daniels-Midland Co, Tyson Foods, Inc. and Charles Schwab Corp. Archer Daniels, after having an excellent year in 2022 from higher agricultural prices due to the Russian invasion of Ukraine, gave back most of its gains as the global agricultural markets were able to adjust. Tyson Foods produces and distributes beef, chicken, and pork products, and they struggled as their operating margins fell significantly as commodity input costs spiked higher. Schwab, a wealth management and brokerage company, experienced declining profitability as their customers moved their cash deposits to higher yielding alternatives.
How was the Fund positioned at the end of the Reporting Period?
In many ways, the environment is similar to last year. The geopolitical outlook seems to have become less favorable, and the Fed, while wanting to be more accommodative, must still contend with financial markets that are becoming increasingly frothy. The bond market has also started to become increasingly concerned about deficits and the willingness of foreign central banks to continue participating in Treasury auctions at the level now required. We believe all of this provides plenty of opportunity for volatility to increase in the year ahead.
At the end of the Reporting Period, the Fund’s largest sector overweight was in Energy. Favorable OPEC production discipline is controlling supply, and demand is slowly returning in China while demand in India and U.S. has been resilient. Additionally, the Fund continued to hold an overweight in the Utilities sector and a similar-size underweight in the REITs sector. Both sectors are interest-rate sensitive, but we favor Utilities because of their valuations, profitability, and regulatory nature of their businesses. We were also overweight in Materials. This sector should benefit from U.S. onshoring and infrastructure spending, and trades at attractive valuations. Plus, it has ample free cash flow to re-invest in businesses and return capital to shareholders.
The Fund holds an underweight in the Health Care and Consumer Discretionary sectors. Within Health Care, the Fund was primarily underweight pharmaceuticals, a subsector with dividend-paying companies that are more interest-rate sensitive and are continually pressured to make acquisitions to fill their drug pipeline as they fight patent expirations for their existing drugs. As for Consumer Discretionary, given the significant increase in interest costs for the consumer, record high credit card balances, increasing delinquency rates, and potential weakening of the labor markets, we are leery of consumers being able to continue their consumption and spending habits in the future.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 93 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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. | 2.2% |
OGE Energy Corp. | 1.9% |
Ingredion, Inc. | 1.8% |
Berkshire Hathaway, Inc. — Class B | 1.7% |
ConocoPhillips | 1.7% |
JPMorgan Chase & Co. | 1.7% |
Bank of America Corp. | 1.6% |
Diamondback Energy, Inc. | 1.6% |
Verizon Communications, Inc. | 1.6% |
Pioneer Natural Resources Co. | 1.5% |
Top Ten Total | 17.3% |
“Ten Largest Holdings” excludes any temporary cash investments. | |
94 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series O (All Cap Value Series) | 8.52% | 11.41% | 8.28% |
Russell 3000 Value Index | 11.66% | 10.84% | 8.28% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 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. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 95 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES O (ALL CAP VALUE SERIES) |
| Shares | Value | ||||||
COMMON STOCKS† - 96.9% | ||||||||
Financial - 21.0% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 4,561 | $ | 1,626,726 | |||||
JPMorgan Chase & Co. | 9,089 | 1,546,039 | ||||||
Bank of America Corp. | 45,454 | 1,530,436 | ||||||
Unum Group | 29,223 | 1,321,464 | ||||||
Jefferies Financial Group, Inc. | 29,463 | 1,190,600 | ||||||
Markel Group, Inc.* | 697 | 989,670 | ||||||
Ventas, Inc. REIT | 18,188 | 906,490 | ||||||
First Horizon Corp. | 63,275 | 895,974 | ||||||
Synovus Financial Corp. | 23,249 | 875,325 | ||||||
Mastercard, Inc. — Class A | 2,031 | 866,242 | ||||||
Wells Fargo & Co. | 17,301 | 851,555 | ||||||
Charles Schwab Corp. | 10,274 | 706,851 | ||||||
American Tower Corp. — Class A REIT | 3,046 | 657,570 | ||||||
Prosperity Bancshares, Inc. | 9,109 | 616,953 | ||||||
Goldman Sachs Group, Inc. | 1,527 | 589,071 | ||||||
First Merchants Corp. | 13,604 | 504,436 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 3,802 | 481,980 | ||||||
Stifel Financial Corp. | 6,684 | 462,199 | ||||||
STAG Industrial, Inc. REIT | 11,015 | 432,449 | ||||||
Old Republic International Corp. | 14,148 | 415,951 | ||||||
Gaming and Leisure Properties, Inc. REIT | 7,190 | 354,826 | ||||||
First American Financial Corp. | 4,603 | 296,618 | ||||||
Sun Communities, Inc. REIT | 2,052 | 274,250 | ||||||
Apple Hospitality REIT, Inc. REIT | 15,426 | 256,226 | ||||||
Stewart Information Services Corp. | 4,147 | 243,636 | ||||||
Jones Lang LaSalle, Inc.* | 1,165 | 220,033 | ||||||
Axos Financial, Inc.* | 3,511 | 191,701 | ||||||
BOK Financial Corp. | 2,000 | 171,300 | ||||||
WisdomTree, Inc. | 12,250 | 84,892 | ||||||
UMB Financial Corp. | 951 | 79,456 | ||||||
Total Financial | 19,640,919 | |||||||
Consumer, Non-cyclical - 16.9% | ||||||||
Ingredion, Inc. | 15,668 | 1,700,448 | ||||||
Euronet Worldwide, Inc.* | 12,325 | 1,250,864 | ||||||
Johnson & Johnson | 7,769 | 1,217,713 | ||||||
Humana, Inc. | 2,596 | 1,188,475 | ||||||
Bunge Global S.A. | 9,416 | 950,545 | ||||||
Encompass Health Corp. | 13,794 | 920,335 | ||||||
Tyson Foods, Inc. — Class A | 16,562 | 890,208 | ||||||
Medtronic plc | 9,686 | 797,933 | ||||||
Archer-Daniels-Midland Co. | 10,876 | 785,465 | ||||||
PayPal Holdings, Inc.* | 12,789 | 785,373 | ||||||
Merck & Company, Inc. | 6,065 | 661,206 | ||||||
Coca-Cola Co. | 10,011 | 589,948 | ||||||
Enovis Corp.* | 8,793 | 492,584 | ||||||
HCA Healthcare, Inc. | 1,707 | 462,051 | ||||||
Henry Schein, Inc.* | 5,983 | 452,973 | ||||||
Integer Holdings Corp.* | 4,278 | 423,864 | ||||||
Kenvue, Inc. | 18,876 | 406,400 | ||||||
Central Garden & Pet Co. — Class A* | 7,169 | 315,723 | ||||||
Moderna, Inc.* | 3,118 | 310,085 | ||||||
LivaNova plc* | 5,153 | 266,616 | ||||||
Pfizer, Inc. | 7,912 | 227,787 | ||||||
ICF International, Inc. | 1,592 | 213,471 | ||||||
Azenta, Inc.* | 2,750 | 179,135 | ||||||
Certara, Inc.* | 8,687 | 152,804 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 8,172 | 93,488 | ||||||
Jazz Pharmaceuticals plc* | 640 | 78,720 | ||||||
Total Consumer, Non-cyclical | 15,814,214 | |||||||
Industrial - 12.8% | ||||||||
Knight-Swift Transportation Holdings, Inc. | 21,358 | 1,231,289 | ||||||
Eagle Materials, Inc. | 5,661 | 1,148,277 | ||||||
Advanced Energy Industries, Inc. | 10,350 | 1,127,322 | ||||||
Johnson Controls International plc | 19,318 | 1,113,489 | ||||||
Teledyne Technologies, Inc.* | 2,369 | 1,057,261 | ||||||
L3Harris Technologies, Inc. | 2,536 | 534,132 | ||||||
Curtiss-Wright Corp. | 2,348 | 523,111 | ||||||
Graphic Packaging Holding Co. | 20,768 | 511,931 | ||||||
Summit Materials, Inc. — Class A* | 11,199 | 430,714 | ||||||
Kirby Corp.* | 5,294 | 415,473 | ||||||
Daseke, Inc.* | 45,933 | 372,057 | ||||||
Coherent Corp.* | 8,484 | 369,309 | ||||||
Arcosa, Inc. | 4,432 | 366,261 | ||||||
PGT Innovations, Inc.* | 7,522 | 306,145 | ||||||
Esab Corp. | 3,380 | 292,776 | ||||||
Mercury Systems, Inc.* | 7,737 | 282,942 | ||||||
MDU Resources Group, Inc. | 13,111 | 259,598 | ||||||
Terex Corp. | 4,370 | 251,100 | ||||||
Park Aerospace Corp. | 14,655 | 215,429 | ||||||
Littelfuse, Inc. | 798 | 213,513 | ||||||
EnerSys | 2,114 | 213,429 | ||||||
Sonoco Products Co. | 2,930 | 163,699 | ||||||
Masonite International Corp.* | 1,927 | 163,140 | ||||||
Stoneridge, Inc.* | 6,430 | 125,835 | ||||||
Plexus Corp.* | 1,142 | 123,484 | ||||||
GATX Corp. | 687 | 82,591 | ||||||
NVE Corp. | 958 | 75,136 | ||||||
Total Industrial | 11,969,443 | |||||||
Energy - 11.8% | ||||||||
Chevron Corp. | 14,038 | 2,093,908 | ||||||
ConocoPhillips | 13,815 | 1,603,507 | ||||||
Diamondback Energy, Inc. | 9,793 | 1,518,699 | ||||||
Pioneer Natural Resources Co. | 6,267 | 1,409,323 | ||||||
Equities Corp. | 21,249 | 821,486 | ||||||
Coterra Energy, Inc. — Class A | 29,092 | 742,428 | ||||||
Kinder Morgan, Inc. | 36,763 | 648,499 | ||||||
Marathon Oil Corp. | 24,310 | 587,330 | ||||||
Range Resources Corp. | 13,787 | 419,676 | ||||||
Talos Energy, Inc.* | 23,296 | 331,502 | ||||||
Murphy Oil Corp. | 7,759 | 330,999 | ||||||
Liberty Energy, Inc. — Class A | 12,812 | 232,410 | ||||||
Patterson-UTI Energy, Inc. | 21,280 | 229,824 | ||||||
Total Energy | 10,969,591 | |||||||
Technology - 9.3% | ||||||||
Teradyne, Inc. | 11,150 | 1,209,998 | ||||||
Leidos Holdings, Inc. | 10,336 | 1,118,768 | ||||||
96 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES O (ALL CAP VALUE SERIES) |
| Shares | Value | ||||||
Microsoft Corp. | 2,329 | $ | 875,797 | |||||
NXP Semiconductor N.V. | 3,223 | 740,259 | ||||||
Fiserv, Inc.* | 5,115 | 679,477 | ||||||
KLA Corp. | 1,131 | 657,450 | ||||||
Intel Corp. | 12,976 | 652,044 | ||||||
Evolent Health, Inc. — Class A* | 17,216 | 568,645 | ||||||
Science Applications International Corp. | 3,543 | 440,466 | ||||||
Amdocs Ltd. | 4,891 | 429,870 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 4,023 | 373,938 | ||||||
Applied Materials, Inc. | 1,781 | 288,647 | ||||||
Fortinet, Inc.* | 4,724 | 276,496 | ||||||
Wolfspeed, Inc.* | 4,358 | 189,616 | ||||||
LivePerson, Inc.* | 35,946 | 136,235 | ||||||
Axcelis Technologies, Inc.* | 606 | 78,592 | ||||||
Total Technology | 8,716,298 | |||||||
Consumer, Cyclical - 7.6% | ||||||||
Walmart, Inc. | 8,159 | 1,286,266 | ||||||
Ferguson plc* | 6,573 | 1,269,049 | ||||||
Whirlpool Corp. | 5,975 | 727,576 | ||||||
Delta Air Lines, Inc. | 17,521 | 704,870 | ||||||
Lear Corp. | 4,900 | 691,929 | ||||||
Levi Strauss & Co. — Class A | 28,402 | 469,769 | ||||||
H&E Equipment Services, Inc. | 8,495 | 444,458 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 4,360 | 441,494 | ||||||
Southwest Airlines Co. | 14,749 | 425,951 | ||||||
Advance Auto Parts, Inc. | 3,767 | 229,900 | ||||||
Methode Electronics, Inc. | 5,456 | 124,015 | ||||||
Lakeland Industries, Inc. | 6,577 | 121,938 | ||||||
Newell Brands, Inc. | 11,444 | 99,334 | ||||||
Sonic Automotive, Inc. — Class A | 1,574 | 88,474 | ||||||
Total Consumer, Cyclical | 7,125,023 | |||||||
Utilities - 6.8% | ||||||||
OGE Energy Corp. | 49,487 | 1,728,581 | ||||||
Pinnacle West Capital Corp. | 16,818 | 1,208,205 | ||||||
Edison International | 15,015 | 1,073,423 | ||||||
Exelon Corp. | 20,760 | 745,284 | ||||||
Evergy, Inc. | 11,701 | 610,792 | ||||||
Duke Energy Corp. | 5,623 | 545,656 | ||||||
NiSource, Inc. | 8,451 | 224,374 | ||||||
Black Hills Corp. | 3,016 | 162,713 | ||||||
Total Utilities | 6,299,028 | |||||||
Basic Materials - 5.9% | ||||||||
Nucor Corp. | 5,980 | 1,040,759 | ||||||
Westlake Corp. | 7,103 | 994,136 | ||||||
Reliance Steel & Aluminum Co. | 3,354 | 938,047 | ||||||
Huntsman Corp. | 30,083 | 755,986 | ||||||
Freeport-McMoRan, Inc. | 15,267 | 649,916 | ||||||
DuPont de Nemours, Inc. | 6,536 | 502,814 | ||||||
Avient Corp. | 8,639 | 359,123 | ||||||
Ashland, Inc. | 2,721 | 229,408 | ||||||
Total Basic Materials | 5,470,189 | |||||||
Communications - 4.8% | ||||||||
Verizon Communications, Inc. | 39,044 | 1,471,959 | ||||||
Alphabet, Inc. — Class A* | 7,377 | 1,030,493 | ||||||
Walt Disney Co. | 6,367 | 574,876 | ||||||
AT&T, Inc. | 26,343 | 442,036 | ||||||
T-Mobile US, Inc. | 2,640 | 423,271 | ||||||
Calix, Inc.* | 4,354 | 190,226 | ||||||
Ciena Corp.* | 3,971 | 178,735 | ||||||
Luna Innovations, Inc.* | 17,154 | 114,074 | ||||||
Total Communications | 4,425,670 | |||||||
Total Common Stocks | ||||||||
(Cost $73,367,990) | 90,430,375 | |||||||
RIGHTS† - 0.0% | ||||||||
Basic Materials - 0.0% | ||||||||
Pan American Silver Corp.* | 40,146 | 20,675 | ||||||
Total Rights | ||||||||
(Cost $—) | 20,675 | |||||||
MONEY MARKET FUND† - 3.1% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.25%1 | 2,904,506 | 2,904,506 | ||||||
Total Money Market Fund | ||||||||
(Cost $2,904,506) | 2,904,506 | |||||||
Total Investments - 100.0% | ||||||||
(Cost $76,272,496) | $ | 93,355,556 | ||||||
Other Assets & Liabilities, net - 0.0% | 9,120 | |||||||
Total Net Assets - 100.0% | $ | 93,364,676 | ||||||
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of December 31, 2023. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 97 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
SERIES O (ALL CAP VALUE SERIES) |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 90,430,375 | $ | — | $ | — | $ | 90,430,375 | ||||||||
Rights | 20,675 | — | — | 20,675 | ||||||||||||
Money Market Fund | 2,904,506 | — | — | 2,904,506 | ||||||||||||
Total Assets | $ | 93,355,556 | $ | — | $ | — | $ | 93,355,556 | ||||||||
98 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES O (ALL CAP VALUE SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments, at value (cost $76,272,496) | $ | 93,355,556 | ||
Cash | 378 | |||
Prepaid expenses | 3,057 | |||
Receivables: | ||||
Dividends | 124,743 | |||
Interest | 14,842 | |||
Total assets | 93,498,576 | |||
Liabilities: | ||||
Payable for: | ||||
Management fees | 35,849 | |||
Fund shares redeemed | 28,157 | |||
Professional fees | 24,277 | |||
Distribution and service fees | 19,452 | |||
Securities purchased | 15,727 | |||
Fund accounting/administration fees | 2,470 | |||
Transfer agent/maintenance fees | 2,123 | |||
Trustees’ fees* | 1,962 | |||
Miscellaneous | 3,883 | |||
Total liabilities | 133,900 | |||
Net assets | $ | 93,364,676 | ||
Net assets consist of: | ||||
Paid in capital | $ | 69,998,777 | ||
Total distributable earnings (loss) | 23,365,899 | |||
Net assets | $ | 93,364,676 | ||
Capital shares outstanding | 2,844,511 | |||
Net asset value per share | $ | 32.82 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $490) | $ | 2,094,063 | ||
Interest | 191,711 | |||
Total investment income | 2,285,774 | |||
Expenses: | ||||
Management fees | 643,810 | |||
Distribution and service fees | 229,932 | |||
Transfer agent/maintenance fees | 25,248 | |||
Professional fees | 58,730 | |||
Fund accounting/administration fees | 46,198 | |||
Trustees’ fees* | 17,114 | |||
Custodian fees | 3,780 | |||
Line of credit fees | 3,509 | |||
Miscellaneous | 15,571 | |||
Total expenses | 1,043,892 | |||
Less: | ||||
Expenses reimbursed by Adviser | (1,065 | ) | ||
Expenses waived by Adviser | (259,302 | ) | ||
Total reimbursed/waived expenses | (260,367 | ) | ||
Net expenses | 783,525 | |||
Net investment income | 1,502,249 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 5,803,307 | |||
Net realized gain | 5,803,307 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 134,769 | |||
Net change in unrealized appreciation (depreciation) | 134,769 | |||
Net realized and unrealized gain | 5,938,076 | |||
Net increase in net assets resulting from operations | $ | 7,440,325 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 99 |
SERIES O (ALL CAP VALUE SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 1,502,249 | $ | 1,420,372 | ||||
Net realized gain on investments | 5,803,307 | 8,505,286 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 134,769 | (11,219,630 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 7,440,325 | (1,293,972 | ) | |||||
Distributions to shareholders | (9,149,598 | ) | (11,376,268 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 4,025,157 | 3,180,810 | ||||||
Distributions reinvested | 9,149,598 | 11,376,268 | ||||||
Cost of shares redeemed | (12,012,812 | ) | (11,109,259 | ) | ||||
Net increase from capital share transactions | 1,161,943 | 3,447,819 | ||||||
Net decrease in net assets | (547,330 | ) | (9,222,421 | ) | ||||
Net assets: | ||||||||
Beginning of year | 93,912,006 | 103,134,427 | ||||||
End of year | $ | 93,364,676 | $ | 93,912,006 | ||||
Capital share activity: | ||||||||
Shares sold | 122,486 | 87,562 | ||||||
Shares issued from reinvestment of distributions | 285,212 | 353,740 | ||||||
Shares redeemed | (369,236 | ) | (312,170 | ) | ||||
Net increase in shares | 38,462 | 129,132 | ||||||
100 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES O (ALL CAP VALUE SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 33.47 | $ | 38.53 | $ | 31.06 | $ | 32.89 | $ | 29.31 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .53 | .52 | .38 | .56 | .51 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.24 | (1.15 | ) | 7.93 | (.33 | ) | 6.19 | |||||||||||||
Total from investment operations | 2.77 | (.63 | ) | 8.31 | .23 | 6.70 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.53 | ) | (.43 | ) | (.65 | ) | (.52 | ) | (.49 | ) | ||||||||||
Net realized gains | (2.89 | ) | (4.00 | ) | (.19 | ) | (1.54 | ) | (2.63 | ) | ||||||||||
Total distributions | (3.42 | ) | (4.43 | ) | (.84 | ) | (2.06 | ) | (3.12 | ) | ||||||||||
Net asset value, end of period | $ | 32.82 | $ | 33.47 | $ | 38.53 | $ | 31.06 | $ | 32.89 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 8.52 | % | (1.17 | %) | 26.95 | % | 1.88 | % | 23.74 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 93,365 | $ | 93,912 | $ | 103,134 | $ | 91,661 | $ | 107,634 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.63 | % | 1.45 | % | 1.06 | % | 2.03 | % | 1.62 | % | ||||||||||
Total expensesc | 1.14 | % | 1.11 | % | 1.13 | % | 1.21 | % | 1.18 | % | ||||||||||
Net expensesd,e | 0.85 | % | 0.86 | % | 0.87 | % | 0.87 | % | 0.88 | % | ||||||||||
Portfolio turnover rate | 25 | % | 30 | % | 26 | % | 22 | % | 33 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
0.85% | 0.86% | 0.87% | 0.87% | 0.88% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 101 |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series P (High Yield Series, or the “Fund”) is managed by a team of seasoned professionals, including Anne B. Walsh, CFA, JD, Managing Partner, Chief Investment Officer and Portfolio Manager; Steven H. Brown, CFA, Chief Investment Officer - Fixed Income, Senior Managing Director and Portfolio Manager; Thomas J. Hauser, Senior Managing Director and Portfolio Manager; and John Walsh, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 12.02%, underperforming the Bloomberg U.S. Corporate High Yield Index (“Index”), the Fund’s benchmark, which returned 13.45% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The Index delivered double-digit returns over the year with tighter credit spreads, declining interest rates, and slowing inflation, as all sectors and rating categories generated positive returns. Notably, the Index was up 8.43% in the last 2 months of the year amid growing expectations for rate cuts and greater likelihood of a soft landing.
Bottom-up fundamental credit analysis continues to be the main driver of the Fund’s positioning and performance. The largest contributing sectors to performance were Consumer Non-Cyclicals and Communications, in which the Fund benefited from strong security selection relative to the benchmark. The Fund’s large allocation to bank loans contributed to performance, with its returns slightly ahead of the broader high yield market. The Fund’s underweight to Consumer Cyclicals, in particular to cruise lines which was a top performing subsector, detracted from performance. An up-in-quality basis with an underweight to CCCs relative to Bs detracted from performance, as lower quality outperformed.
How did the Fund use derivatives during the Reporting Period?
The Fund invests in non-U.S. dollar denominated assets when the risk-return profile is favorable. The Fund entered forward foreign currency exchange contracts to hedge exchange rate risk for non-U.S. dollar denominated positions, which had a slight negative impact to performance. Non-U.S. dollar denominated assets comprise less than 2% of the Fund.
How was the Fund positioned at the end of the Reporting Period?
The Fund’s largest exposure is to high-yield bonds followed by a meaningful exposure to bank loans. We continue to evaluate the relative value between high yield bonds and bank loans, potentially looking to shift the allocation as the relationship changes. The bank loan exposure ranged from about 10% to 15% of the Fund over the course of the year.
The Fund has been selective in participating in new issues and continues to uncover opportunities in the secondary market. The Fund remains positioned up in quality, driven by an underweight to CCCs and distressed issuers. Overall, we remain nimble to take advantage of opportunities in the market using our bottom-up approach.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
102 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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 |
Terraform Global Operating, LP, 6.13% | 1.3% |
Jefferies Finance LLC / JFIN Company-Issuer Corp., 5.00% | 1.2% |
Cheplapharm Arzneimittel GmbH, 5.50% | 1.1% |
Upbound Group, Inc., 6.38% | 1.1% |
CPI CG, Inc., 8.63% | 1.0% |
VZ Secured Financing BV, 5.00% | 1.0% |
CVR Energy, Inc., 5.75% | 0.9% |
Artera Services LLC, 9.03% | 0.9% |
ITT Holdings LLC, 6.50% | 0.9% |
GrafTech Finance, Inc., 4.63% | 0.9% |
Top Ten Total | 10.3% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 103 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series P (High Yield Series) | 12.02% | 4.50% | 3.92% |
Bloomberg U.S. Corporate High Yield Index | 13.45% | 5.37% | 4.60% |
Portfolio Composition by Quality Rating1 | |
Rating | % of Total |
Fixed Income Instruments | |
BBB | 4.7% |
BB | 44.1% |
B | 36.7% |
CCC | 5.2% |
NR2 | 1.6% |
Other Instruments | 7.7% |
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 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. |
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. |
104 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES P (HIGH YIELD SERIES) |
| Shares | Value | ||||||
COMMON STOCKS††- 0.9% | ||||||||
Utilities - 0.8% | ||||||||
TexGen Power LLC* | 7,929 | $ | 267,604 | |||||
Consumer, Non-cyclical - 0.1% | ||||||||
Cengage Learning Holdings II, Inc.* | 2,107 | 19,051 | ||||||
MEDIQ, Inc.*,††† | 92 | — | ||||||
Total Consumer, Non-cyclical | 19,051 | |||||||
Energy - 0.0% | ||||||||
Legacy Reserves, Inc.*,††† | 1,969 | 15,752 | ||||||
Permian Production Partners LLC*,††† | 9,124 | 377 | ||||||
Bruin E&P Partnership Units* ,††† | 6,071 | — | ||||||
Total Energy | 16,129 | |||||||
Industrial - 0.0% | ||||||||
BP Holdco LLC*,†††,1 | 523 | 634 | ||||||
Vector Phoenix Holdings, LP*,††† | 523 | 13 | ||||||
YAK BLOCKER 2 LLC*,††† | 914 | 9 | ||||||
YAK BLOCKER 2 LLC*,††† | 844 | 9 | ||||||
Total Industrial | 665 | |||||||
Financial - 0.0% | ||||||||
Tensor Ltd.*,††† | 25,733 | 3 | ||||||
Total Common Stocks | ||||||||
(Cost $201,767) | 303,452 | |||||||
PREFERRED STOCKS†† - 1.3% | ||||||||
Financial - 1.2% | ||||||||
Citigroup, Inc. | ||||||||
7.63% | 125,000 | 127,638 | ||||||
Charles Schwab Corp. | ||||||||
4.00% | 150,000 | 118,471 | ||||||
Goldman Sachs Group, Inc. | ||||||||
7.50% | 75,000 | 78,367 | ||||||
American Equity Investment Life Holding Co. | ||||||||
5.95% | 3,500 | 75,740 | ||||||
Total Financial | 400,216 | |||||||
Industrial - 0.1% | ||||||||
YAK BLOCKER 2 LLC*,††† | 50,189 | 14,563 | ||||||
U.S. Shipping Corp.*,††† | 24,529 | 2 | ||||||
Total Industrial | 14,565 | |||||||
Total Preferred Stocks | ||||||||
(Cost $1,195,927) | 414,781 | |||||||
MONEY MARKET FUND† - 5.6% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.25%3 | 1,860,665 | 1,860,665 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,860,665) | 1,860,665 | |||||||
| Face | |||||||
CORPORATE BONDS†† - 78.6% | ||||||||
Industrial - 13.8% | ||||||||
New Enterprise Stone & Lime Company, Inc. | ||||||||
9.75% due 07/15/284 | 200,000 | 200,000 | ||||||
5.25% due 07/15/284 | 150,000 | 143,086 | ||||||
Level 3 Financing, Inc. | ||||||||
4.25% due 07/01/28 | 300,000 | 174,000 | ||||||
3.63% due 01/15/29 | 300,000 | 153,000 | ||||||
11.00% due 11/15/29††† | 89,271 | — | ||||||
Artera Services LLC | ||||||||
9.03% due 12/04/254 | 307,059 | 290,481 | ||||||
GrafTech Finance, Inc. | ||||||||
4.63% due 12/15/284 | 430,000 | 285,051 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
7.88% due 08/15/264 | 175,000 | 178,094 | ||||||
9.25% due 04/15/274 | 100,000 | 98,156 | ||||||
Brundage-Bone Concrete Pumping Holdings, Inc. | ||||||||
6.00% due 02/01/264 | 275,000 | 274,865 | ||||||
Great Lakes Dredge & Dock Corp. | ||||||||
5.25% due 06/01/294 | 275,000 | 233,808 | ||||||
Enviri Corp. | ||||||||
5.75% due 07/31/274 | 225,000 | 209,710 | ||||||
Trinity Industries, Inc. | ||||||||
7.75% due 07/15/284 | 175,000 | 180,789 | ||||||
TransDigm, Inc. | ||||||||
6.88% due 12/15/304 | 175,000 | 180,250 | ||||||
Emerald Debt Merger Sub LLC | ||||||||
6.63% due 12/15/304 | 175,000 | 178,740 | ||||||
Clearwater Paper Corp. | ||||||||
4.75% due 08/15/284 | 175,000 | 162,225 | ||||||
Amsted Industries, Inc. | ||||||||
4.63% due 05/15/304 | 175,000 | 160,164 | ||||||
Clean Harbors, Inc. | ||||||||
6.38% due 02/01/314 | 150,000 | 152,408 | ||||||
Builders FirstSource, Inc. | ||||||||
6.38% due 06/15/324 | 125,000 | 127,647 | ||||||
4.25% due 02/01/324 | 25,000 | 22,550 | ||||||
Masonite International Corp. | ||||||||
5.38% due 02/01/284 | 150,000 | 144,000 | ||||||
Standard Industries, Inc. | ||||||||
4.38% due 07/15/304 | 150,000 | 137,758 | ||||||
Ball Corp. | ||||||||
3.13% due 09/15/31 | 125,000 | 107,774 | ||||||
6.00% due 06/15/29 | 25,000 | 25,529 | ||||||
Advanced Drainage Systems, Inc. | ||||||||
6.38% due 06/15/304 | 125,000 | 125,937 | ||||||
Sealed Air Corporation/Sealed Air Corp US | ||||||||
7.25% due 02/15/314 | 100,000 | 106,030 | ||||||
Summit Materials LLC / Summit Materials Finance Corp. | ||||||||
7.25% due 01/15/314 | 100,000 | 105,370 | ||||||
Pactiv Evergreen Group Issuer Incorporated/Pactiv Evergreen Group Issuer LLC | ||||||||
4.00% due 10/15/274 | 100,000 | 93,500 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 105 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES P (HIGH YIELD SERIES) |
| Face | Value | ||||||
Calderys Financing LLC | ||||||||
11.25% due 06/01/284 | 75,000 | $ | 78,554 | |||||
Howmet Aerospace, Inc. | ||||||||
5.95% due 02/01/37 | 75,000 | 78,287 | ||||||
Arcosa, Inc. | ||||||||
4.38% due 04/15/294 | 75,000 | 69,854 | ||||||
AmeriTex HoldCo Intermediate LLC | ||||||||
10.25% due 10/15/284 | 50,000 | 51,250 | ||||||
Hillenbrand, Inc. | ||||||||
3.75% due 03/01/31 | 50,000 | 43,289 | ||||||
MIWD Holdco II LLC / MIWD Finance Corp. | ||||||||
5.50% due 02/01/304 | 25,000 | 22,125 | ||||||
Total Industrial | 4,594,281 | |||||||
Consumer, Non-cyclical - 12.9% | ||||||||
Cheplapharm Arzneimittel GmbH | ||||||||
5.50% due 01/15/284 | 375,000 | 354,565 | ||||||
Upbound Group, Inc. | ||||||||
6.38% due 02/15/294,5 | 375,000 | 351,941 | ||||||
CPI CG, Inc. | ||||||||
8.63% due 03/15/264 | 351,000 | 338,715 | ||||||
GTCR W-2 Merger Sub LLC | ||||||||
7.50% due 01/15/314 | 200,000 | 211,344 | ||||||
Tenet Healthcare Corp. | ||||||||
6.13% due 06/15/30 | 125,000 | 126,386 | ||||||
6.75% due 05/15/314 | 75,000 | 76,654 | ||||||
Grifols S.A. | ||||||||
4.75% due 10/15/284 | 200,000 | 181,374 | ||||||
KeHE Distributors LLC / KeHE Finance Corp. | ||||||||
8.63% due 10/15/264 | 179,000 | 179,000 | ||||||
DaVita, Inc. | ||||||||
4.63% due 06/01/304 | 200,000 | 174,479 | ||||||
Sotheby’s/Bidfair Holdings, Inc. | ||||||||
5.88% due 06/01/294 | 200,000 | 172,972 | ||||||
Post Holdings, Inc. | ||||||||
5.50% due 12/15/294 | 75,000 | 72,268 | ||||||
4.63% due 04/15/304 | 75,000 | 68,988 | ||||||
5.63% due 01/15/284 | 25,000 | 24,774 | ||||||
Carriage Services, Inc. | ||||||||
4.25% due 05/15/294 | 175,000 | 155,424 | ||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
7.00% due 12/31/274 | 107,000 | 102,185 | ||||||
5.00% due 12/31/264 | 50,000 | 48,750 | ||||||
Darling Ingredients, Inc. | ||||||||
6.00% due 06/15/304 | 150,000 | 150,111 | ||||||
Par Pharmaceutical, Inc. | ||||||||
due 04/01/274,6 | 225,000 | 144,000 | ||||||
Bausch Health Companies, Inc. | ||||||||
4.88% due 06/01/284 | 225,000 | 135,505 | ||||||
WW International, Inc. | ||||||||
4.50% due 04/15/294 | 205,000 | 134,429 | ||||||
Castor S.p.A. | ||||||||
9.18% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 02/15/29◊,4 | EUR 125,000 | 133,378 | ||||||
Williams Scotsman, Inc. | ||||||||
7.38% due 10/01/314 | 125,000 | 131,095 | ||||||
US Foods, Inc. | ||||||||
7.25% due 01/15/324 | 125,000 | 130,339 | ||||||
BCP V Modular Services Finance II plc | ||||||||
4.75% due 10/30/284 | EUR 125,000 | 127,504 | ||||||
TriNet Group, Inc. | ||||||||
7.00% due 08/15/314 | 100,000 | 102,409 | ||||||
Albertsons Companies Incorporated / Safeway Inc / New Albertsons Limited Partnership / Albertsons LLC | ||||||||
5.88% due 02/15/284 | 100,000 | 100,067 | ||||||
Medline Borrower, LP | ||||||||
5.25% due 10/01/294 | 100,000 | 94,258 | ||||||
Service Corporation International | ||||||||
3.38% due 08/15/30 | 100,000 | 87,210 | ||||||
Endo Luxembourg Finance Company I SARL / Endo US, Inc. | ||||||||
due 04/01/294,6 | 125,000 | 80,000 | ||||||
Central Garden & Pet Co. | ||||||||
4.13% due 04/30/314 | 75,000 | 66,283 | ||||||
Sabre GLBL, Inc. | ||||||||
7.38% due 09/01/254 | 35,000 | 33,250 | ||||||
9.25% due 04/15/254 | 7,000 | 6,720 | ||||||
Total Consumer, Non-cyclical | 4,296,377 | |||||||
Consumer, Cyclical - 12.4% | ||||||||
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | ||||||||
5.00% due 06/01/314 | 250,000 | 226,647 | ||||||
Ritchie Bros Holdings, Inc. | ||||||||
7.75% due 03/15/314 | 150,000 | 159,916 | ||||||
6.75% due 03/15/284 | 50,000 | 51,479 | ||||||
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | ||||||||
5.75% due 01/20/264 | 213,000 | 200,676 | ||||||
Station Casinos LLC | ||||||||
4.63% due 12/01/314 | 200,000 | 180,335 | ||||||
Allison Transmission, Inc. | ||||||||
3.75% due 01/30/314 | 200,000 | 176,710 | ||||||
Wolverine World Wide, Inc. | ||||||||
4.00% due 08/15/294 | 225,000 | 176,625 | ||||||
CD&R Smokey Buyer, Inc. | ||||||||
6.75% due 07/15/254 | 175,000 | 173,134 | ||||||
Ferrellgas Limited Partnership / Ferrellgas Finance Corp. | ||||||||
5.38% due 04/01/264 | 175,000 | 171,263 | ||||||
Penn Entertainment, Inc. | ||||||||
4.13% due 07/01/294 | 200,000 | 171,000 | ||||||
Scotts Miracle-Gro Co. | ||||||||
4.38% due 02/01/32 | 200,000 | 169,004 | ||||||
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc. | ||||||||
6.63% due 03/01/304 | 175,000 | 165,450 | ||||||
106 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES P (HIGH YIELD SERIES) |
| Face | Value | ||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
4.00% due 10/15/304 | 175,000 | $ | 156,957 | |||||
Crocs, Inc. | ||||||||
4.25% due 03/15/294 | 175,000 | 156,753 | ||||||
Caesars Entertainment, Inc. | ||||||||
6.25% due 07/01/254 | 150,000 | 150,408 | ||||||
Newell Brands, Inc. | ||||||||
5.20% due 04/01/26 | 150,000 | 147,932 | ||||||
Wabash National Corp. | ||||||||
4.50% due 10/15/284 | 150,000 | 135,347 | ||||||
Allwyn Entertainment Financing UK plc | ||||||||
7.88% due 04/30/294 | 125,000 | 127,187 | ||||||
Tempur Sealy International, Inc. | ||||||||
3.88% due 10/15/314 | 150,000 | 126,815 | ||||||
Hanesbrands, Inc. | ||||||||
4.88% due 05/15/264 | 125,000 | 120,577 | ||||||
United Airlines, Inc. | ||||||||
4.63% due 04/15/294 | 125,000 | 116,905 | ||||||
Ontario Gaming GTA, LP | ||||||||
8.00% due 08/01/304 | 100,000 | 103,125 | ||||||
Air Canada | ||||||||
3.88% due 08/15/264 | 100,000 | 95,539 | ||||||
Park River Holdings, Inc. | ||||||||
5.63% due 02/01/294 | 100,000 | 79,890 | ||||||
Michaels Companies, Inc. | ||||||||
5.25% due 05/01/284 | 100,000 | 79,058 | ||||||
JB Poindexter & Company, Inc. | ||||||||
8.75% due 12/15/314 | 75,000 | 76,500 | ||||||
Clarios Global, LP / Clarios US Finance Co. | ||||||||
8.50% due 05/15/274 | 75,000 | 75,261 | ||||||
Evergreen Acqco 1 Limited Partnership / TVI, Inc. | ||||||||
9.75% due 04/26/284 | 67,000 | 71,355 | ||||||
Asbury Automotive Group, Inc. | ||||||||
5.00% due 02/15/324 | 75,000 | 68,160 | ||||||
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc. | ||||||||
4.63% due 01/15/294 | 75,000 | 68,053 | ||||||
Superior Plus, LP | ||||||||
4.25% due 05/18/284 | CAD 75,000 | 52,305 | ||||||
Clarios Global Limited Partnership / Clarios US Finance Co. | ||||||||
6.75% due 05/15/284 | 50,000 | 51,011 | ||||||
Papa John’s International, Inc. | ||||||||
3.88% due 09/15/294 | 50,000 | 44,228 | ||||||
Total Consumer, Cyclical | 4,125,605 | |||||||
Communications - 11.5% | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
6.38% due 09/01/294 | 250,000 | 246,541 | ||||||
4.25% due 02/01/314 | 225,000 | 196,634 | ||||||
4.50% due 06/01/334 | 125,000 | 105,767 | ||||||
4.25% due 01/15/344 | 100,000 | 81,263 | ||||||
Altice France S.A. | ||||||||
5.50% due 10/15/294 | 325,000 | 254,841 | ||||||
5.13% due 07/15/294 | 175,000 | 136,153 | ||||||
McGraw-Hill Education, Inc. | ||||||||
5.75% due 08/01/284 | 275,000 | 265,169 | ||||||
8.00% due 08/01/294 | 100,000 | 93,000 | ||||||
CSC Holdings LLC | ||||||||
4.13% due 12/01/304 | 200,000 | 152,150 | ||||||
4.63% due 12/01/304 | 200,000 | 120,424 | ||||||
3.38% due 02/15/314 | 75,000 | 54,718 | ||||||
VZ Secured Financing BV | ||||||||
5.00% due 01/15/324 | 375,000 | 320,145 | ||||||
LCPR Senior Secured Financing DAC | ||||||||
6.75% due 10/15/274 | 270,000 | 264,454 | ||||||
AMC Networks, Inc. | ||||||||
4.25% due 02/15/29 | 300,000 | 228,917 | ||||||
Sirius XM Radio, Inc. | ||||||||
3.88% due 09/01/314 | 125,000 | 106,936 | ||||||
4.13% due 07/01/304 | 100,000 | 89,108 | ||||||
Telenet Finance Luxembourg Notes SARL | ||||||||
5.50% due 03/01/28 | 200,000 | 187,000 | ||||||
UPC Broadband Finco BV | ||||||||
4.88% due 07/15/314 | 200,000 | 176,022 | ||||||
Cogent Communications Group, Inc. | ||||||||
7.00% due 06/15/274 | 175,000 | 175,875 | ||||||
Vmed O2 UK Financing I plc | ||||||||
4.25% due 01/31/314 | 200,000 | 174,649 | ||||||
Match Group Holdings II LLC | ||||||||
3.63% due 10/01/314 | 150,000 | 129,603 | ||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. | ||||||||
4.25% due 01/15/294 | 100,000 | 90,237 | ||||||
7.38% due 02/15/314 | 25,000 | 26,253 | ||||||
Go Daddy Operating Company LLC / GD Finance Co., Inc. | ||||||||
3.50% due 03/01/294 | 75,000 | 67,927 | ||||||
Cable One, Inc. | ||||||||
4.00% due 11/15/304 | 75,000 | 60,723 | ||||||
Total Communications | 3,804,509 | |||||||
Financial - 9.4% | ||||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||
5.00% due 08/15/284 | 450,000 | 402,786 | ||||||
United Wholesale Mortgage LLC | ||||||||
5.50% due 04/15/294 | 225,000 | 213,010 | ||||||
5.75% due 06/15/274 | 125,000 | 122,514 | ||||||
NFP Corp. | ||||||||
6.88% due 08/15/284 | 250,000 | 254,150 | ||||||
8.50% due 10/01/314 | 75,000 | 81,292 | ||||||
OneMain Finance Corp. | ||||||||
3.88% due 09/15/28 | 225,000 | 199,070 | ||||||
4.00% due 09/15/30 | 75,000 | 64,182 | ||||||
Hunt Companies, Inc. | ||||||||
5.25% due 04/15/294 | 200,000 | 178,403 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
3.88% due 03/01/314 | 200,000 | 175,899 | ||||||
Assurant, Inc. | ||||||||
7.00% due 03/27/482 | 150,000 | 151,216 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 107 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES P (HIGH YIELD SERIES) |
| Face | Value | ||||||
HUB International Ltd. | ||||||||
7.00% due 05/01/264 | 100,000 | $ | 100,386 | |||||
5.63% due 12/01/294 | 50,000 | 47,699 | ||||||
Jane Street Group / JSG Finance, Inc. | ||||||||
4.50% due 11/15/294 | 150,000 | 139,878 | ||||||
SLM Corp. | ||||||||
3.13% due 11/02/26 | 150,000 | 139,865 | ||||||
Jones Deslauriers Insurance Management, Inc. | ||||||||
10.50% due 12/15/304 | 125,000 | 131,738 | ||||||
Iron Mountain, Inc. | ||||||||
5.63% due 07/15/324 | 125,000 | 118,334 | ||||||
AmWINS Group, Inc. | ||||||||
4.88% due 06/30/294 | 100,000 | 91,323 | ||||||
Kennedy-Wilson, Inc. | ||||||||
4.75% due 03/01/29 | 100,000 | 83,492 | ||||||
Starwood Property Trust, Inc. | ||||||||
4.38% due 01/15/274 | 85,000 | 80,107 | ||||||
Aretec Group, Inc. | ||||||||
10.00% due 08/15/304 | 75,000 | 79,699 | ||||||
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer | ||||||||
7.00% due 01/15/314 | 75,000 | 79,115 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.30% due 02/01/614 | 100,000 | 65,584 | ||||||
PennyMac Financial Services, Inc. | ||||||||
7.88% due 12/15/294 | 50,000 | 51,468 | ||||||
USI, Inc. | ||||||||
7.50% due 01/15/324 | 50,000 | 51,190 | ||||||
Total Financial | 3,102,400 | |||||||
Basic Materials - 7.2% | ||||||||
Carpenter Technology Corp. | ||||||||
6.38% due 07/15/28 | 200,000 | 199,249 | ||||||
7.63% due 03/15/30 | 125,000 | 128,898 | ||||||
Minerals Technologies, Inc. | ||||||||
5.00% due 07/01/284 | 275,000 | 264,465 | ||||||
SCIL IV LLC / SCIL USA Holdings LLC | ||||||||
5.38% due 11/01/264 | 275,000 | 263,981 | ||||||
Ingevity Corp. | ||||||||
3.88% due 11/01/284 | 225,000 | 201,495 | ||||||
Compass Minerals International, Inc. | ||||||||
6.75% due 12/01/274 | 200,000 | 198,000 | ||||||
INEOS Finance plc | ||||||||
6.75% due 05/15/284 | 200,000 | 196,380 | ||||||
SK Invictus Intermediate II SARL | ||||||||
5.00% due 10/30/294 | 225,000 | 195,188 | ||||||
Novelis Corp. | ||||||||
4.75% due 01/30/304 | 200,000 | 188,090 | ||||||
Kaiser Aluminum Corp. | ||||||||
4.63% due 03/01/284 | 110,000 | 101,731 | ||||||
4.50% due 06/01/314 | 75,000 | 64,652 | ||||||
Valvoline, Inc. | ||||||||
3.63% due 06/15/314 | 125,000 | 106,676 | ||||||
Arsenal AIC Parent LLC | ||||||||
8.00% due 10/01/304 | 100,000 | 104,336 | ||||||
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | ||||||||
9.00% due 07/01/284 | 100,000 | 95,620 | ||||||
WR Grace Holdings LLC | ||||||||
4.88% due 06/15/274 | 75,000 | 72,158 | ||||||
Mirabela Nickel Ltd. | ||||||||
due 06/24/19†††,6,7 | 390,085 | 1,950 | ||||||
Total Basic Materials | 2,382,869 | |||||||
Energy - 6.8% | ||||||||
CVR Energy, Inc. | ||||||||
5.75% due 02/15/284 | 325,000 | 299,812 | ||||||
8.50% due 01/15/294 | 75,000 | 74,625 | ||||||
ITT Holdings LLC | ||||||||
6.50% due 08/01/294 | 325,000 | 287,508 | ||||||
Kinetik Holdings, LP | ||||||||
6.63% due 12/15/284 | 200,000 | 203,762 | ||||||
5.88% due 06/15/304 | 75,000 | 73,579 | ||||||
NuStar Logistics, LP | ||||||||
5.63% due 04/28/27 | 200,000 | 199,148 | ||||||
6.00% due 06/01/26 | 75,000 | 74,868 | ||||||
Global Partners Limited Partnership / GLP Finance Corp. | ||||||||
7.00% due 08/01/27 | 225,000 | 219,962 | ||||||
6.88% due 01/15/29 | 50,000 | 48,251 | ||||||
HF Sinclair Corp. | ||||||||
6.38% due 04/15/274 | 149,000 | 150,168 | ||||||
Venture Global Calcasieu Pass LLC | ||||||||
6.25% due 01/15/304 | 150,000 | 149,188 | ||||||
TransMontaigne Partners Limited Partnership / TLP Finance Corp. | ||||||||
6.13% due 02/15/26 | 150,000 | 135,375 | ||||||
Parkland Corp. | ||||||||
4.50% due 10/01/294 | 125,000 | 114,559 | ||||||
Viper Energy, Inc. | ||||||||
7.38% due 11/01/314 | 100,000 | 103,500 | ||||||
Venture Global LNG, Inc. | ||||||||
9.50% due 02/01/294 | 75,000 | 79,363 | ||||||
Southwestern Energy Co. | ||||||||
5.38% due 02/01/29 | 50,000 | 48,795 | ||||||
Basic Energy Services, Inc. | ||||||||
due 10/15/23†††,6 | 168,000 | 840 | ||||||
Total Energy | 2,263,303 | |||||||
Technology - 3.1% | ||||||||
NCR Voyix Corp. | ||||||||
5.13% due 04/15/294 | 250,000 | 237,650 | ||||||
Central Parent Incorporated / CDK Global, Inc. | ||||||||
7.25% due 06/15/294 | 225,000 | 229,468 | ||||||
Boxer Parent Company, Inc. | ||||||||
7.13% due 10/02/254 | 200,000 | 201,072 | ||||||
Capstone Borrower, Inc. | ||||||||
8.00% due 06/15/304 | 150,000 | 156,054 | ||||||
Entegris Escrow Corp. | ||||||||
4.75% due 04/15/294 | 100,000 | 96,342 | ||||||
108 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES P (HIGH YIELD SERIES) |
| Face | Value | ||||||
Dun & Bradstreet Corp. | ||||||||
5.00% due 12/15/294 | 100,000 | $ | 93,282 | |||||
Cloud Software Group, Inc. | ||||||||
6.50% due 03/31/294 | 25,000 | 23,811 | ||||||
Total Technology | 1,037,679 | |||||||
Utilities - 1.5% | ||||||||
Terraform Global Operating, LP | ||||||||
6.13% due 03/01/264 | 420,000 | 413,175 | ||||||
Clearway Energy Operating LLC | ||||||||
4.75% due 03/15/284 | 75,000 | 72,256 | ||||||
Total Utilities | 485,431 | |||||||
Total Corporate Bonds | ||||||||
(Cost $28,321,766) | 26,092,454 | |||||||
SENIOR FLOATING RATE INTERESTS††,◊ - 13.8% | ||||||||
Consumer, Cyclical - 3.4% | ||||||||
First Brands Group LLC | ||||||||
10.88% (6 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27 | 161,534 | 159,950 | ||||||
PetSmart LLC | ||||||||
9.21% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 02/11/28 | 146,625 | 144,792 | ||||||
American Tire Distributors, Inc. | ||||||||
11.91% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 10/20/28 | 172,375 | 143,244 | ||||||
CCRR Parent, Inc. | ||||||||
9.22% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/06/28 | 147,618 | 142,636 | ||||||
ScribeAmerica Intermediate Holdco LLC (Healthchannels) | ||||||||
9.97% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/03/25 | 184,109 | 127,265 | ||||||
Apro LLC | ||||||||
9.21% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 11/16/26 | 97,250 | 97,250 | ||||||
TransNetwork LLC | ||||||||
due 11/15/30 | 75,000 | 74,438 | ||||||
Holding SOCOTEC | ||||||||
9.57% (3 Month Term SOFR + 4.26%, Rate Floor: 5.01%) due 06/30/28 | 73,500 | 72,581 | ||||||
Rent-A-Center, Inc. | ||||||||
9.12% (6 Month Term SOFR + 3.25%, Rate Floor: 3.75%) due 02/17/28 | 46,367 | 46,309 | ||||||
Sweetwater Sound | ||||||||
9.72% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 08/07/28 | 46,246 | 46,015 | ||||||
WW International, Inc. | ||||||||
8.97% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/13/28 | 45,000 | 31,650 | ||||||
Gateway Casinos & Entertainment Limited | ||||||||
13.55% (3 Month Term SOFR + 8.00%, Rate Floor: 8.00%) due 10/22/27 | 24,939 | 24,876 | ||||||
Flutter Financing B.V. | ||||||||
8.86% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 07/24/28 | 20,776 | 20,822 | ||||||
Total Consumer, Cyclical | 1,131,828 | |||||||
Industrial - 2.6% | ||||||||
Arcline FM Holdings LLC | ||||||||
10.36% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 06/23/28 | 171,063 | 170,743 | ||||||
Dispatch Terra Acquisition LLC | ||||||||
9.75% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/27/28 | 146,372 | 137,224 | ||||||
Barnes Group, Inc. | ||||||||
8.46% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 09/03/30 | 99,750 | 99,949 | ||||||
Pelican Products, Inc. | ||||||||
9.75% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/29/28 | 89,491 | 82,481 | ||||||
Aegion Corp. | ||||||||
10.39% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 05/17/28 | 73,356 | 73,325 | ||||||
Michael Baker International LLC | ||||||||
10.47% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 12/01/28††† | 73,500 | 73,316 | ||||||
TAMKO Building Products, Inc. | ||||||||
8.87% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 09/20/30 | 49,875 | 50,021 | ||||||
DXP Enterprises, Inc. | ||||||||
10.29% (6 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/05/30††† | 49,875 | 50,000 | ||||||
Air Canada | ||||||||
9.14% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 08/11/28 | 49,375 | 49,452 | ||||||
Osmose Utility Services, Inc. | ||||||||
8.72% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 06/23/28 | 49,244 | 49,158 | ||||||
Patriot Container Corp. (Wastequip) | ||||||||
9.21% (1 Month Term SOFR + 3.85%, Rate Floor: 4.85%) due 03/20/25 | 24,934 | 23,838 | ||||||
EMRLD Borrower LP | ||||||||
8.36% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 05/31/30 | 17,353 | 17,403 | ||||||
Total Industrial | 876,910 | |||||||
Technology - 2.4% | ||||||||
Datix Bidco Ltd. | ||||||||
9.69% (6 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 04/28/25††† | GBP 150,000 | 190,270 | ||||||
12.94% (6 Month GBP SONIA + 7.75%, Rate Floor: 7.75%) due 04/27/26††† | GBP 75,000 | 95,470 | ||||||
Peraton Corp. | ||||||||
9.21% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 02/01/28 | 118,958 | 119,107 | ||||||
Instructure Holdings, Inc. | ||||||||
due 10/30/28 | 100,000 | 100,375 | ||||||
Cloud Software Group, Inc. | ||||||||
9.95% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 09/29/28 | 99,159 | 96,479 | ||||||
Xerox Corp. | ||||||||
9.36% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 11/19/29 | 75,000 | 74,906 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 109 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES P (HIGH YIELD SERIES) |
| Face | Value | ||||||
Atlas CC Acquisition Corp. | ||||||||
9.90% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/25/28 | 73,125 | $ | 67,882 | |||||
Project Ruby Ultimate Parent Corp. | ||||||||
10.22% (1 Month Term SOFR + 4.86%, Rate Floor: 5.61%) due 03/10/28††† | 62,843 | 61,914 | ||||||
Total Technology | 806,403 | |||||||
Consumer, Non-cyclical - 2.1% | ||||||||
Quirch Foods Holdings LLC | ||||||||
10.39% (3 Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 10/27/27 | 97,000 | 96,819 | ||||||
Gibson Brands, Inc. | ||||||||
10.66% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 08/11/28 | 95,550 | 85,039 | ||||||
National Mentor Holdings, Inc. | ||||||||
9.20% (1 Month Term SOFR + 3.85%, Rate Floor: 4.60%) due 03/02/28 | 92,945 | 84,115 | ||||||
Blue Ribbon LLC | ||||||||
11.63% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 05/08/28 | 88,750 | 76,436 | ||||||
Osmosis Holdings Australia II Pty Ltd. | ||||||||
9.09% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 07/30/28 | 74,262 | 74,221 | ||||||
Confluent Health LLC | ||||||||
9.47% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 11/30/28 | 73,952 | 72,473 | ||||||
Women’s Care Holdings, Inc. | ||||||||
10.05% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 01/17/28 | 62,382 | 52,947 | ||||||
PlayCore | ||||||||
9.39% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 03/29/27 | 49,875 | 50,124 | ||||||
Balrog Acquisition, Inc. | ||||||||
9.97% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 09/05/28††† | 49,750 | 49,626 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
11.54% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 12/22/26 | 24,500 | 24,515 | ||||||
TGP Holdings LLC | ||||||||
8.71% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 06/29/28 | 23,522 | 20,464 | ||||||
Total Consumer, Non-cyclical | 686,779 | |||||||
Communications - 1.5% | ||||||||
Cengage Learning Acquisitions, Inc. | ||||||||
10.41% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/14/26 | 147,741 | 148,010 | ||||||
Cincinnati Bell, Inc. | ||||||||
8.71% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 11/22/28 | 124,051 | 122,700 | ||||||
Playtika Holding Corp. | ||||||||
8.22% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 03/13/28 | 97,500 | 97,297 | ||||||
Xplornet Communications, Inc. | ||||||||
9.61% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/02/28 | 122,188 | 72,606 | ||||||
Flight Bidco, Inc. | ||||||||
8.97% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 07/23/25 | 49,221 | 48,360 | ||||||
Total Communications | 488,973 | |||||||
Financial - 0.8% | ||||||||
Franchise Group, Inc. | ||||||||
10.44% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 03/10/26 | 99,888 | 79,311 | ||||||
Worldpay | ||||||||
due 09/21/30 | 75,000 | 75,281 | ||||||
Teneo Holdings LLC | ||||||||
10.71% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/11/25 | 74,610 | 74,424 | ||||||
Eisner Advisory Group | ||||||||
10.72% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/28/28 | 48,876 | 48,896 | ||||||
Total Financial | 277,912 | |||||||
Basic Materials - 0.7% | ||||||||
LTI Holdings, Inc. | ||||||||
10.22% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/24/26 | 98,341 | 95,022 | ||||||
NIC Acquisition Corp. | ||||||||
9.36% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 12/29/27 | 87,154 | 69,854 | ||||||
Nouryon USA LLC | ||||||||
9.47% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/03/28 | 48,836 | 48,973 | ||||||
Total Basic Materials | 213,849 | |||||||
Energy - 0.3% | ||||||||
BANGL LLC | ||||||||
9.89% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 02/01/29 | 85,785 | 85,812 | ||||||
Permian Production Partners LLC | ||||||||
13.47% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) (in-kind rate was 2.00%) due 11/24/258 | 18,803 | 17,957 | ||||||
Total Energy | 103,769 | |||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $4,801,889) | 4,586,423 | |||||||
Total Investments - 100.2% | ||||||||
(Cost $36,382,014) | $ | 33,257,775 | ||||||
Other Assets & Liabilities, net - (0.2)% | (71,996 | ) | ||||||
Total Net Assets - 100.0% | $ | 33,185,779 | ||||||
110 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES P (HIGH YIELD SERIES) |
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract | Settlement Date | Unrealized | ||||||||||||||||||
Bank of America, N.A. | CAD | Sell | 68,000 | 50,009 USD | 01/17/24 | $ | (1,340 | ) | ||||||||||||||||
Barclays Bank plc | GBP | Sell | 228,000 | 286,492 USD | 01/17/24 | (4,199 | ) | |||||||||||||||||
Barclays Bank plc | EUR | Sell | 235,000 | 254,048 USD | 01/17/24 | (5,609 | ) | |||||||||||||||||
| $ | (11,148 | ) | ||||||||||||||||||||||
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
◊ | Variable rate security. Rate indicated is the rate effective at December 31, 2023. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Affiliated issuer. |
2 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
3 | Rate indicated is the 7-day yield as of December 31, 2023. |
4 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $22,868,965 (cost $24,148,192), or 68.9% of total net assets. |
5 | All or a portion of this has been physically segregated or earmarked in connection with reverse repurchase agreements. At December 31, 2023, the total market value of segregated or earmarked security was $351,941 — See Note 11. |
6 | Security is in default of interest and/or principal obligations. |
7 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $1,950 (cost $353,909), or 0.0% of total net assets — See Note 9. |
8 | Payment-in-kind security. |
CAD — Canadian Dollar | |
EUR — Euro | |
EURIBOR — European Interbank Offered Rate | |
GBP — British Pound | |
plc — Public Limited Company | |
SARL — Société à Responsabilité Limitée | |
SOFR — Secured Overnight Financing Rate | |
SONIA — Sterling Overnight Index Average | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 111 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES P (HIGH YIELD SERIES) |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | — | $ | 286,655 | $ | 16,797 | $ | 303,452 | ||||||||
Preferred Stocks | — | 400,216 | 14,565 | 414,781 | ||||||||||||
Money Market Fund | 1,860,665 | — | — | 1,860,665 | ||||||||||||
Corporate Bonds | — | 26,089,664 | 2,790 | 26,092,454 | ||||||||||||
Senior Floating Rate Interests | — | 4,065,827 | 520,596 | 4,586,423 | ||||||||||||
Total Assets | $ | 1,860,665 | $ | 30,842,362 | $ | 554,748 | $ | 33,257,775 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Exchange Contracts** | $ | — | $ | 11,148 | $ | — | $ | 11,148 | ||||||||
** | 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 $238,161 are categorized as Level 2 within the disclosure hierarchy — See Note 11.
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 | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* | |||||||||||||||
Assets: | ||||||||||||||||||||
Common Stocks | $ | 16,794 | Enterprise Value | Valuation Multiple | 2.9x-7.9x | 4.0x | ||||||||||||||
Common Stocks | 3 | Third Party Pricing | Trade Price | — | — | |||||||||||||||
Corporate Bonds | 1,950 | Third Party Pricing | Broker Quote | — | — | |||||||||||||||
Corporate Bonds | 840 | Third Party Pricing | Vendor Price | — | — | |||||||||||||||
Preferred Stocks | 14,563 | Enterprise Value | Valuation Multiple | 5.1x | — | |||||||||||||||
Preferred Stocks | 2 | Model Price | Purchase Price | — | — | |||||||||||||||
Senior Floating Rate Interests | 347,654 | Yield Analysis | Yield | 10.2%-13.4% | 11.2% | |||||||||||||||
Senior Floating Rate Interests | 123,316 | Third Party Pricing | Broker Quote | — | — | |||||||||||||||
Senior Floating Rate Interests | 49,626 | Third Party Pricing | Vendor Price | — | — | |||||||||||||||
Total Assets | $ | 554,748 |
|
|
|
| ||||||||||||||
* | 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 classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment changes. For the year ended December 31, 2023, the Fund had no securities transfer into Level 3 from Level 2 and had securities with a total value of $320,239 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant unobservable inputs.
112 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
SERIES P (HIGH YIELD SERIES) |
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended December 31, 2023:
Assets | Liabilities | |||||||||||||||||||||||
| Corporate Bonds | Senior Floating | Common Stocks | Preferred Stocks | Total Assets | Unfunded Loan | ||||||||||||||||||
Beginning Balance | $ | 120,477 | $ | 559,713 | $ | 25,289 | $ | 2 | $ | 705,481 | $ | (1,511 | ) | |||||||||||
Purchases/(Receipts) | — | 158,735 | — | — | 158,735 | — | ||||||||||||||||||
(Sales, maturities and paydowns)/Fundings | — | (47,174 | ) | — | — | (47,174 | ) | 70 | ||||||||||||||||
Amortization of premiums/discounts | (571 | ) | 4,293 | — | — | 3,722 | — | |||||||||||||||||
Corporate actions | — | — | 198 | 133,427 | 133,625 | — | ||||||||||||||||||
Total realized gains (losses) included in earnings | — | (5,119 | ) | — | — | (5,119 | ) | 283 | ||||||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | 3,308 | 49,963 | (8,690 | ) | (118,864 | ) | (74,283 | ) | 1,158 | |||||||||||||||
Transfers into Level 3 | — | — | — | — | — | — | ||||||||||||||||||
Transfers out of Level 3 | (120,424 | ) | (199,815 | ) | — | — | (320,239 | ) | — | |||||||||||||||
Ending Balance | $ | 2,790 | $ | 520,596 | $ | 16,797 | $ | 14,565 | $ | 554,748 | $ | — | ||||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at December 31, 2023 | $ | (5,851 | ) | $ | 23,596 | $ | (8,690 | ) | $ | (118,864 | ) | $ | (109,809 | ) | $ | — | ||||||||
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||
BP Holdco LLC * | $ | 317 | $ | — | $ | — | $ | — | $ | 317 | $ | 634 | 523 | $ | — | |||||||||||||||||
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 113 |
SERIES P (HIGH YIELD SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $36,381,829) | $ | 33,257,141 | ||
Investments in affiliated issuers, at value (cost $185) | 634 | |||
Cash | 20,555 | |||
Prepaid expenses | 2,628 | |||
Receivables: | ||||
Interest | 480,812 | |||
Foreign tax reclaims | 2,074 | |||
Securities sold | 1,895 | |||
Total assets | 33,765,739 | |||
Liabilities: | ||||
Reverse repurchase agreements | 238,161 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 11,148 | |||
Payable for: | ||||
Securities purchased | 247,686 | |||
Professional fees | 37,824 | |||
Management fees | 12,289 | |||
Distribution and service fees | 6,963 | |||
Fund shares redeemed | 5,192 | |||
Fund accounting and administration fees | 2,060 | |||
Transfer agent/maintenance fees | 2,002 | |||
Trustees’ fees* | 1,115 | |||
Miscellaneous | 15,520 | |||
Total liabilities | 579,960 | |||
Net assets | $ | 33,185,779 | ||
Net assets consist of: | ||||
Paid in capital | $ | 43,749,598 | ||
Total distributable earnings (loss) | (10,563,819 | ) | ||
Net assets | $ | 33,185,779 | ||
Capital shares outstanding | 1,353,085 | |||
Net asset value per share | $ | 24.53 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 18,669 | ||
Interest from securities of unaffiliated issuers | 2,252,143 | |||
Total investment income | 2,270,812 | |||
Expenses: | ||||
Management fees | 186,463 | |||
Distribution and service fees | 77,917 | |||
Transfer agent/maintenance fees | 25,149 | |||
Professional fees | 55,999 | |||
Fund accounting and administration fees | 21,567 | |||
Trustees’ fees* | 13,828 | |||
Custodian fees | 13,428 | |||
Interest expense | 8,398 | |||
Line of credit fees | 2,117 | |||
Miscellaneous | 12,935 | |||
Total expenses | 417,801 | |||
Less: | ||||
Expenses reimbursed by Adviser | (2,315 | ) | ||
Expenses waived by Adviser | (79,498 | ) | ||
Earnings credits applied | (1,487 | ) | ||
Total waived/reimbursed expenses | (83,300 | ) | ||
Net expenses | 334,501 | |||
Net investment income | 1,936,311 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (531,478 | ) | ||
Investments sold short in unaffiliated issuers | (186 | ) | ||
Forward foreign currency exchange contracts | (957 | ) | ||
Foreign currency transactions | (152 | ) | ||
Net realized loss | (532,773 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 2,252,143 | |||
Investments in affiliated issuers | 317 | |||
Forward foreign currency exchange contracts | (16,209 | ) | ||
Foreign currency translations | 71 | |||
Net change in unrealized appreciation (depreciation) | 2,236,322 | |||
Net realized and unrealized gain | 1,703,549 | |||
Net increase in net assets resulting from operations | $ | 3,639,860 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
114 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES P (HIGH YIELD SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 1,936,311 | $ | 1,826,267 | ||||
Net realized loss on investments | (532,773 | ) | (1,015,877 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 2,236,322 | (4,766,138 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 3,639,860 | (3,955,748 | ) | |||||
Distributions to shareholders | (1,782,949 | ) | (2,232,635 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 22,499,533 | 9,470,895 | ||||||
Distributions reinvested | 1,782,949 | 2,232,635 | ||||||
Cost of shares redeemed | (25,271,728 | ) | (17,788,963 | ) | ||||
Net decrease from capital share transactions | (989,246 | ) | (6,085,433 | ) | ||||
Net increase (decrease) in net assets | 867,665 | (12,273,816 | ) | |||||
Net assets: | ||||||||
Beginning of year | 32,318,114 | 44,591,930 | ||||||
End of year | $ | 33,185,779 | $ | 32,318,114 | ||||
Capital share activity: | ||||||||
Shares sold | 952,750 | 390,216 | ||||||
Shares issued from reinvestment of distributions | 76,951 | 95,986 | ||||||
Shares redeemed | (1,069,069 | ) | (712,105 | ) | ||||
Net decrease in shares | (39,368 | ) | (225,903 | ) | ||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 115 |
SERIES P (HIGH YIELD SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 23.21 | $ | 27.55 | $ | 27.49 | $ | 28.39 | $ | 27.51 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 1.47 | 1.28 | 1.30 | 1.37 | 1.68 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.25 | (3.95 | ) | .18 | (.21 | ) | 1.45 | |||||||||||||
Total from investment operations | 2.72 | (2.67 | ) | 1.48 | 1.16 | 3.13 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.40 | ) | (1.67 | ) | (1.42 | ) | (2.06 | ) | (2.25 | ) | ||||||||||
Total distributions | (1.40 | ) | (1.67 | ) | (1.42 | ) | (2.06 | ) | (2.25 | ) | ||||||||||
Net asset value, end of period | $ | 24.53 | $ | 23.21 | $ | 27.55 | $ | 27.49 | $ | 28.39 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 12.02 | % | (9.70 | %) | 5.41 | % | 4.64 | % | 11.59 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 33,186 | $ | 32,318 | $ | 44,592 | $ | 45,153 | $ | 54,288 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 6.23 | % | 5.19 | % | 4.70 | % | 5.13 | % | 5.89 | % | ||||||||||
Total expensesc | 1.34 | % | 1.28 | % | 1.28 | % | 1.38 | % | 1.31 | % | ||||||||||
Net expensesd,e | 1.08 | % | 1.07 | % | 1.08 | % | 1.12 | % | 1.10 | % | ||||||||||
Portfolio turnover rate | 39 | % | 33 | % | 76 | % | 84 | % | 58 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
1.05% | 1.05% | 1.06% | 1.07% | 1.07% |
116 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series Q (Small Cap Value Series, or the “Fund”) is managed by a team of seasoned professionals, led by David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; James Schier, CFA, Senior Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer - Equities and Portfolio Manager; Gregg Strohkorb, CFA, Managing Director and Portfolio Manager; Burak Hurmeydan, Ph.D., Director and Portfolio Manager; and Chris Phalen, CFA, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 10.29%, underperforming the Russell 2000 Value Index, the Fund’s benchmark (“Benchmark”), which returned 14.65% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The market began the Reporting Period somewhat indecisively. However, a buoyant economy helped build expectations that a highly anticipated recession could be pushed further out and that perhaps the Fed could do the unthinkable and engineer a soft landing. Once the banking crisis hit in March, leadership in equities shifted away from the value area, and growth stocks once again caught the market’s interest. As the year progressed, the continued strong jobs market accompanied by increasing fiscal deficits and Treasury issuance caused a significant rise in interest rates. Then, at the beginning of November, the market sensed a possible Fed pivot. Not only was the trend of steadily rising interest rates believed to be past, but hopes quickly built for numerous interest rate cuts. Consequently, there was a strong rally among smaller, lower quality names. The combination of these two factors—growth leadership early in the year and a low-quality year-end rally—created an extremely difficult backdrop for the relative performance of this strategy.
The Fund’s performance for the Reporting Period was below the Benchmark. During the period, the Fund produced a positive contribution from sector allocation but experienced a negative contribution from security selection.
The Fund’s 10% overweight to the Industrials sector was the most significant contributor, as the sector returned 31% for the year and the Fund’s holdings in building materials companies PGT Innovations, Inc. and AZEK Co (not held at period end) were up 125% and 72%, respectively. PGT, an impact-resistant window manufacturer, received multiple take-over bids late in the year. AZEK, an environmentally sustainable decking manufacturer, experienced increased demand, and revenues and margins improved throughout the year. Another strong performer for the Fund was Moog Inc., a commercial aerospace company which returned 67%. New senior management and increasing revenues and profitability in the aerospace industry helped propel the stock higher. Finally, Rush Enterprises, Inc., which owns commercial truck dealerships, was up 47% and continued to perform well as the company grew through acquiring private dealerships.
The Fund’s underweight to the Health Care sector contributed favorably, as this sector was one of the worst-performing sectors in the benchmark. The Fund’s holdings in this sector managed to gain over 4% during the year while the benchmark was up just 0.3%. The Health Care sector was buffeted by investor concern about the implications that the growing popularity of weight loss drugs would have on demand in the various sub-industries. Generally, the strategy was able to avoid many of the impacted companies and benefited from strong performance from Integer Holdings (+44%), Encompass Health (+13%), and Azenta (+11%).
The Fund’s most significant detractor from performance was its significant underweight to the Consumer Discretionary sector. This sector gained 34%, and the Fund had an average weighting of 5% versus 10% for the benchmark. We have been concerned about the impact higher rates would have on spending and diminishing stimulus funds would have on aggregate demand. Most companies in the sector continue to have high margins which should contract in the quarters ahead. The consumer was far more resilient than anticipated and low exposures to homebuilders and auto retailers proved to be detrimental. The home-oriented stocks that the strategy owned such as Whirlpool Corp., Newell Brands, Inc., and Leggett & Platt (not held at period end) all provided negative returns.
The second most significant detractor to performance was in Energy stock selection. The Fund’s holdings in this sector gained 7% versus 16% for the Benchmark. Essentially, the Fund lacked exposure to the higher-beta crude and refined products shipping companies that performed best. Additionally, a large weight in Pioneer Natural Resources Co. detracted from return, as this position only gained 5% while smaller, more operationally levered exploration and production companies performed better.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 117 |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | December 31, 2023 |
The stocks that hurt the Fund’s performance the most during the Reporting Period were Mercury Systems, Inc., Methode Electronics, Inc., and Ashland, Inc. Mercury Systems, Inc., a defense electronics sub-contractor, had issues in execution of fixed-price contracts that led to deteriorating revenues, earnings, and cashflow, and the stock declined 18% during the year. Methode Electronics, Inc. fell 48% as this electronics components manufacturer to the automotive and industrial end markets experienced softer demand and declining margins. Ashland, Inc., a specialty chemical company that produces additives for the consumer, pharmaceutical, and industrial markets, dropped 20% as its customers’ demand fell and they went through inventory de-stocking.
How was the Fund positioned at the end of the Reporting Period?
In many ways, the environment is similar to last year. The geopolitical outlook seems to have become less favorable, and the Fed, while wanting to be more accommodative, must still contend with financial markets that are becoming increasingly frothy. The bond market has also started to become increasingly concerned about deficits and the willingness of foreign central banks to continue participating in Treasury auctions at the level now required. We believe all of this provides plenty of opportunity for volatility to increase in the year ahead.
Going into 2024, the Fund continues to hold overweights in the Industrials and Materials sectors. The “on-shoring” and “re-shoring” of manufacturing to the U.S. along with infrastructure spending on highways and electrical transmission grids provide many opportunities. Furthermore, the Fund continues to hold an underweight in the Consumer Discretionary sector. Given the significant increase in interest costs for the consumer, record high credit card balances, increasing delinquency rates, and potential weakening of the labor markets, we are leery of consumers being able to continue their consumption and spending habits in the future. Finally, the Fund continues to hold an underweight to the REIT sector. We expect that many of these companies will be faced with higher interest rates as they refinance their maturing debt while also dealing with potentially higher vacancy rates and lower lease rates.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
118 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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 |
Pioneer Natural Resources Co. | 3.4% |
iShares Russell 2000 Value ETF | 2.9% |
SPDR S&P Biotech ETF | 2.7% |
Rush Enterprises, Inc. — Class A | 2.2% |
Euronet Worldwide, Inc. | 1.9% |
Liberty Energy, Inc. — Class A | 1.7% |
OGE Energy Corp. | 1.7% |
Encompass Health Corp. | 1.7% |
Murphy Oil Corp. | 1.6% |
First Merchants Corp. | 1.6% |
Top Ten Total | 21.4% |
“Ten Largest Holdings” excludes any temporary cash investments. | |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 119 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series Q (Small Cap Value Series) | 10.29% | 10.21% | 5.55% |
Russell 2000 Value Index | 14.65% | 10.00% | 6.76% |
* | 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. |
120 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES Q (SMALL CAP VALUE SERIES) |
| Shares | Value | ||||||
COMMON STOCKS† - 93.5% | ||||||||
Financial - 27.2% | ||||||||
First Merchants Corp. | 26,978 | $ | 1,000,344 | |||||
Cathay General Bancorp | 21,370 | 952,461 | ||||||
Old National Bancorp | 54,441 | 919,508 | ||||||
Stifel Financial Corp. | 13,103 | 906,073 | ||||||
STAG Industrial, Inc. REIT | 22,618 | 887,983 | ||||||
Banc of California, Inc. | 59,918 | 804,699 | ||||||
MGIC Investment Corp. | 39,769 | 767,144 | ||||||
Physicians Realty Trust REIT | 54,266 | 722,280 | ||||||
Unum Group | 15,874 | 717,822 | ||||||
First Horizon Corp. | 50,408 | 713,777 | ||||||
Hanmi Financial Corp. | 35,569 | 690,039 | ||||||
Stewart Information Services Corp. | 11,745 | 690,019 | ||||||
LXP Industrial Trust REIT | 67,059 | 665,225 | ||||||
First American Financial Corp. | 9,429 | 607,605 | ||||||
Prosperity Bancshares, Inc. | 8,912 | 603,610 | ||||||
Hancock Whitney Corp. | 12,214 | 593,478 | ||||||
Apple Hospitality REIT, Inc. | 30,185 | 501,373 | ||||||
Simmons First National Corp. — Class A | 23,197 | 460,228 | ||||||
Old Republic International Corp. | 13,251 | 389,579 | ||||||
Sunstone Hotel Investors, Inc. REIT | 35,434 | 380,207 | ||||||
Synovus Financial Corp. | 9,959 | 374,956 | ||||||
Independent Bank Group, Inc. | 7,348 | 373,866 | ||||||
Axos Financial, Inc.* | 6,712 | 366,475 | ||||||
BOK Financial Corp. | 3,838 | 328,725 | ||||||
United Bankshares, Inc. | 8,031 | 301,564 | ||||||
First Hawaiian, Inc. | 12,966 | 296,403 | ||||||
UMB Financial Corp. | 3,410 | 284,906 | ||||||
United Community Banks, Inc. | 8,606 | 251,812 | ||||||
RMR Group, Inc. — Class A | 7,220 | 203,821 | ||||||
Piedmont Office Realty Trust, Inc. — Class A REIT | 22,755 | 161,788 | ||||||
Total Financial | 16,917,770 | |||||||
Industrial - 20.8% | ||||||||
Arcosa, Inc. | 11,657 | 963,334 | ||||||
Moog, Inc. — Class A | 6,196 | 897,057 | ||||||
Summit Materials, Inc. — Class A* | 22,256 | 855,966 | ||||||
Kirby Corp.* | 10,146 | 796,258 | ||||||
Knight-Swift Transportation Holdings, Inc. | 13,527 | 779,831 | ||||||
Daseke, Inc.* | 94,908 | 768,755 | ||||||
Advanced Energy Industries, Inc. | 6,700 | 729,764 | ||||||
Mercury Systems, Inc.* | 18,276 | 668,353 | ||||||
Curtiss-Wright Corp. | 2,816 | 627,377 | ||||||
PGT Innovations, Inc.* | 15,287 | 622,181 | ||||||
Sonoco Products Co. | 10,651 | 595,071 | ||||||
Esab Corp. | 6,348 | 549,864 | ||||||
Terex Corp. | 9,210 | 529,207 | ||||||
MDU Resources Group, Inc. | 26,414 | 522,997 | ||||||
Graphic Packaging Holding Co. | 19,212 | 473,576 | ||||||
EnerSys | 4,571 | 461,488 | ||||||
Belden, Inc. | 5,787 | 447,046 | ||||||
Littelfuse, Inc. | 1,586 | 424,350 | ||||||
Park Aerospace Corp. | 28,528 | 419,362 | ||||||
Stoneridge, Inc.* | 13,470 | 263,608 | ||||||
Plexus Corp.* | 2,234 | 241,563 | ||||||
Masonite International Corp.* | 1,846 | 156,282 | ||||||
NVE Corp. | 1,852 | 145,252 | ||||||
Total Industrial | 12,938,542 | |||||||
Consumer, Non-cyclical - 11.9% | ||||||||
Euronet Worldwide, Inc.* | 11,618 | 1,179,111 | ||||||
Encompass Health Corp. | 15,794 | 1,053,776 | ||||||
Enovis Corp.* | 17,412 | 975,420 | ||||||
Central Garden & Pet Co. — Class A* | 15,598 | 686,936 | ||||||
LivaNova plc* | 10,351 | 535,561 | ||||||
Certara, Inc.* | 29,643 | 521,420 | ||||||
Ingredion, Inc. | 4,743 | 514,758 | ||||||
ICF International, Inc. | 3,175 | 425,736 | ||||||
Perdoceo Education Corp. | 20,801 | 365,265 | ||||||
Azenta, Inc.* | 5,523 | 359,768 | ||||||
Addus HomeCare Corp.* | 3,305 | 306,869 | ||||||
Integer Holdings Corp.* | 2,929 | 290,205 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 16,911 | 193,462 | ||||||
Total Consumer, Non-cyclical | 7,408,287 | |||||||
Energy - 10.6% | ||||||||
Pioneer Natural Resources Co. | 9,473 | 2,130,288 | ||||||
Liberty Energy, Inc. — Class A | 59,574 | 1,080,672 | ||||||
Murphy Oil Corp. | 23,650 | 1,008,909 | ||||||
CNX Resources Corp.* | 40,226 | 804,520 | ||||||
Talos Energy, Inc.* | 29,247 | 416,185 | ||||||
Baytex Energy Corp. | 109,016 | 361,933 | ||||||
Diamondback Energy, Inc. | 2,120 | 328,770 | ||||||
Range Resources Corp. | 8,907 | 271,129 | ||||||
Patterson-UTI Energy, Inc. | 19,446 | 210,017 | ||||||
Total Energy | 6,612,423 | |||||||
Consumer, Cyclical - 9.3% | ||||||||
Rush Enterprises, Inc. — Class A | 26,989 | 1,357,547 | ||||||
H&E Equipment Services, Inc. | 16,847 | 881,435 | ||||||
Levi Strauss & Co. — Class A | 28,535 | 471,969 | ||||||
Alaska Air Group, Inc.* | 11,992 | 468,527 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 4,531 | 458,809 | ||||||
Lakeland Industries, Inc. | 21,184 | 392,751 | ||||||
MarineMax, Inc.* | 9,293 | 361,498 | ||||||
Macy’s, Inc. | 13,170 | 264,980 | ||||||
Methode Electronics, Inc. | 10,734 | 243,984 | ||||||
Whirlpool Corp. | 1,956 | 238,182 | ||||||
Newell Brands, Inc. | 22,864 | 198,460 | ||||||
Sonic Automotive, Inc. — Class A | 3,021 | 169,810 | ||||||
Advance Auto Parts, Inc. | 2,486 | 151,721 | ||||||
Crocs, Inc.* | 1,400 | 130,774 | ||||||
Total Consumer, Cyclical | 5,790,447 | |||||||
Utilities - 4.2% | ||||||||
OGE Energy Corp. | 30,576 | 1,068,020 | ||||||
Spire, Inc. | 7,249 | 451,903 | ||||||
Black Hills Corp. | 7,403 | 399,392 | ||||||
ALLETE, Inc. | 5,769 | 352,832 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 121 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES Q (SMALL CAP VALUE SERIES) |
| Shares | Value | ||||||
Avista Corp. | 9,559 | $ | 341,638 | |||||
Total Utilities | 2,613,785 | |||||||
Technology - 3.8% | ||||||||
Science Applications International Corp. | 7,631 | 948,686 | ||||||
Amkor Technology, Inc. | 18,498 | 615,428 | ||||||
Wolfspeed, Inc.* | 8,145 | 354,389 | ||||||
LivePerson, Inc.* | 68,389 | 259,194 | ||||||
Axcelis Technologies, Inc.* | 1,194 | 154,850 | ||||||
Total Technology | 2,332,547 | |||||||
Basic Materials - 3.3% | ||||||||
Avient Corp. | 17,177 | 714,048 | ||||||
Ashland, Inc. | 6,259 | 527,696 | ||||||
Commercial Metals Co. | 8,977 | 449,209 | ||||||
Huntsman Corp. | 14,242 | 357,902 | ||||||
Total Basic Materials | 2,048,855 | |||||||
Communications - 2.4% | ||||||||
Ciena Corp.* | 9,083 | 408,826 | ||||||
Calix, Inc.* | 8,057 | 352,010 | ||||||
TEGNA, Inc. | 19,791 | 302,803 | ||||||
Gray Television, Inc. | 25,944 | 232,458 | ||||||
Luna Innovations, Inc.* | 31,463 | 209,229 | ||||||
Total Communications | 1,505,326 | |||||||
Total Common Stocks | ||||||||
(Cost $51,171,204) | 58,167,982 | |||||||
CONVERTIBLE PREFERRED STOCKS††† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
Thermoenergy Corp.*,1 | 116,667 | — | ||||||
Total Convertible Preferred Stocks | ||||||||
(Cost $111,410) | — | |||||||
RIGHTS† - 0.1% | ||||||||
Basic Materials - 0.1% | ||||||||
Pan American Silver Corp.* | 81,258 | 41,848 | ||||||
Total Rights | ||||||||
(Cost $—) | 41,848 | |||||||
EXCHANGE-TRADED FUNDS† - 5.6% | ||||||||
iShares Russell 2000 Value ETF | 11,483 | 1,783,655 | ||||||
SPDR S&P Biotech ETF | 18,880 | 1,685,795 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $2,835,622) | 3,469,450 | |||||||
MONEY MARKET FUND† - 0.5% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.25%2 | 337,708 | 337,708 | ||||||
Total Money Market Fund | ||||||||
(Cost $337,708) | 337,708 | |||||||
Total Investments - 99.7% | ||||||||
(Cost $54,455,944) | $ | 62,016,988 | ||||||
Other Assets & Liabilities, net - 0.3% | 202,267 | |||||||
Total Net Assets - 100.0% | $ | 62,219,255 | ||||||
* | 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 | PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering. |
2 | Rate indicated is the 7-day yield as of December 31, 2023. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
122 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
SERIES Q (SMALL CAP VALUE SERIES) |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 58,167,982 | $ | — | $ | — | $ | 58,167,982 | ||||||||
Convertible Preferred Stocks | — | — | — | * | — | |||||||||||
Rights | 41,848 | — | — | 41,848 | ||||||||||||
Exchange-Traded Funds | 3,469,450 | — | — | 3,469,450 | ||||||||||||
Money Market Fund | 337,708 | — | — | 337,708 | ||||||||||||
Total Assets | $ | 62,016,988 | $ | — | $ | — | $ | 62,016,988 | ||||||||
* | Security has a market value of $0. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 123 |
SERIES Q (SMALL CAP VALUE SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments, at value (cost $54,455,944) | $ | 62,016,988 | ||
Prepaid expenses | 2,599 | |||
Receivables: | ||||
Securities sold | 227,963 | |||
Dividends | 85,100 | |||
Interest | 4,427 | |||
Fund shares sold | 57 | |||
Total assets | 62,337,134 | |||
Liabilities: | ||||
Payable for: | ||||
Management fees | 31,597 | |||
Fund shares redeemed | 25,751 | |||
Professional fees | 19,133 | |||
Securities purchased | 15,125 | |||
Distribution and service fees | 12,837 | |||
Transfer agent/maintenance fees | 2,669 | |||
Fund accounting/administration fees | 2,524 | |||
Trustees’ fees* | 1,280 | |||
Miscellaneous | 6,963 | |||
Total liabilities | 117,879 | |||
Net assets | $ | 62,219,255 | ||
Net assets consist of: | ||||
Paid in capital | $ | 51,399,545 | ||
Total distributable earnings (loss) | 10,819,710 | |||
Net assets | $ | 62,219,255 | ||
Capital shares outstanding | 1,441,116 | |||
Net asset value per share | $ | 43.17 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $546) | $ | 1,307,228 | ||
Interest | 68,940 | |||
Total investment income | 1,376,168 | |||
Expenses: | ||||
Management fees | 456,515 | |||
Distribution and service fees | 152,172 | |||
Transfer agent/maintenance fees | 25,893 | |||
Professional fees | 43,699 | |||
Fund accounting/administration fees | 33,625 | |||
Trustees’ fees* | 14,180 | |||
Custodian fees | 3,179 | |||
Line of credit fees | 2,221 | |||
Miscellaneous | 16,850 | |||
Total expenses | 748,334 | |||
Less: | ||||
Expenses reimbursed by Adviser | (2,492 | ) | ||
Expenses waived by Adviser | (68,715 | ) | ||
Earnings credits applied | (132 | ) | ||
Total waived/reimbursed expenses | (71,339 | ) | ||
Net expenses | 676,995 | |||
Net investment income | 699,173 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 3,429,041 | |||
Net realized gain | 3,429,041 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,763,165 | |||
Net change in unrealized appreciation (depreciation) | 1,763,165 | |||
Net realized and unrealized gain | 5,192,206 | |||
Net increase in net assets resulting from operations | $ | 5,891,379 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
124 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES Q (SMALL CAP VALUE SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 699,173 | $ | 789,210 | ||||
Net realized gain on investments | 3,429,041 | 4,703,199 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,763,165 | (8,393,736 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 5,891,379 | (2,901,327 | ) | |||||
Distributions to shareholders | (4,697,915 | ) | (3,785,119 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 3,300,157 | 5,461,906 | ||||||
Distributions reinvested | 4,697,915 | 3,785,119 | ||||||
Cost of shares redeemed | (11,356,057 | ) | (12,013,440 | ) | ||||
Net decrease from capital share transactions | (3,357,985 | ) | (2,766,415 | ) | ||||
Net decrease in net assets | (2,164,521 | ) | (9,452,861 | ) | ||||
Net assets: | ||||||||
Beginning of year | 64,383,776 | 73,836,637 | ||||||
End of year | $ | 62,219,255 | $ | 64,383,776 | ||||
Capital share activity: | ||||||||
Shares sold | 79,965 | 124,259 | ||||||
Shares issued from reinvestment of distributions | 114,948 | 93,460 | ||||||
Shares redeemed | (276,354 | ) | (276,335 | ) | ||||
Net decrease in shares | (81,441 | ) | (58,616 | ) | ||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 125 |
SERIES Q (SMALL CAP VALUE SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 42.29 | $ | 46.70 | $ | 37.30 | $ | 41.39 | $ | 36.18 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .47 | .51 | .27 | .32 | .32 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.68 | (2.37 | ) | 9.47 | (1.36 | ) | 7.62 | |||||||||||||
Total from investment operations | 4.15 | (1.86 | ) | 9.74 | (1.04 | ) | 7.94 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.56 | ) | (.31 | ) | (.34 | ) | (.37 | ) | (.33 | ) | ||||||||||
Net realized gains | (2.71 | ) | (2.24 | ) | — | (2.68 | ) | (2.40 | ) | |||||||||||
Total distributions | (3.27 | ) | (2.55 | ) | (.34 | ) | (3.05 | ) | (2.73 | ) | ||||||||||
Net asset value, end of period | $ | 43.17 | $ | 42.29 | $ | 46.70 | $ | 37.30 | $ | 41.39 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 10.29 | % | (3.74 | %) | 26.18 | % | (0.97 | %) | 22.58 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 62,219 | $ | 64,384 | $ | 73,837 | $ | 64,418 | $ | 74,015 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.15 | % | 1.17 | % | 0.61 | % | 0.97 | % | 0.80 | % | ||||||||||
Total expensesc | 1.23 | % | 1.21 | % | 1.21 | % | 1.29 | % | 1.29 | % | ||||||||||
Net expensesd,e | 1.11 | % | 1.12 | % | 1.13 | % | 1.14 | % | 1.14 | % | ||||||||||
Portfolio turnover rate | 25 | % | 38 | % | 32 | % | 32 | % | 54 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
1.11% | 1.12% | 1.13% | 1.13% | 1.14% |
126 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series V (SMid Cap Value Series, or the “Fund”) is managed by a team of seasoned professionals, led by James Schier, CFA, Senior Managing Director and Portfolio Manager; David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer - Equities and Portfolio Manager; Gregg Strohkorb, CFA, Managing Director and Portfolio Manager; Burak Hurmeydan, Ph.D., Director and Portfolio Manager; and Chris Phalen, CFA, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 9.73%, underperforming the Russell 2500 Value Index, the Fund’s benchmark (“Benchmark”), which returned 15.98% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The market began the Reporting Period somewhat indecisively. However, a buoyant economy helped build expectations that a highly anticipated recession could be pushed further out and that perhaps the Fed could do the unthinkable and engineer a soft landing. Once the banking crisis hit in March, leadership in equities shifted away from the value area, and growth stocks once again caught the market’s interest. As the year progressed, the continued strong jobs market accompanied by increasing fiscal deficits and Treasury issuance caused a significant rise in interest rates. Then, at the beginning of November, the market sensed a possible Fed pivot. Not only was the trend of steadily rising interest rates believed to be past, but hopes quickly built for numerous interest rate cuts. Consequently, there was a strong rally among smaller, lower-quality names. The combination of these two factors—growth leadership early in the year and a low-quality year-end rally—created an extremely difficult backdrop for the relative performance of this strategy.
The Fund had a disappointing year as it underperformed its benchmark by 625 basis points. The most significant positive contributor to the strategy was stock selection in the Health Care sector. This sector managed to gain almost 10% during the year while the benchmark was up just 0.5%. The Health Care sector was buffeted by investor concern about the implications that the growing popularity of weight loss drugs would have on demand in the various sub-industries. Generally, the strategy was able to avoid many of the impacted companies and benefited from strong performance from Integer Holdings (+44%), Evolent Health (+17%) and Azenta (+11%).
Stock selection in the Materials sector was favorable, as this sector gained well over 19% versus 17.8% for the benchmark. Westlake Corp. gained more than 38%, as it was rewarded for operating in an area of the chemical industry (chlor-alkali) that has very limited new capacity coming onstream over the next several years. In addition, its building products business posted solid results. Construction materials stocks such as Knife River (not held at period end) and Summit Materials, Inc. (up 36% and 35%, respectively) performed well as they are perceived to be beneficiaries of the IRA act.
Lastly, the strategy’s weighting in REITs that was about ½ of the benchmark’s proved to be a nice tailwind as the REIT sector gained 10.6%, lagging the benchmark’s overall 16.1% gain.
On the negative side, stock selection in Financials had the most significant adverse impact. This sector was down 1.7% versus a gain of 12.6% in the benchmark. This was largely attributable to a significant exposure to SIVB Financial that ended up costing the strategy approximately 160 basis points.
Secondly, stock selection coupled with an underweighting in the Consumer Discretionary sector was unfavorable. Stocks owned in this sector provided slightly negative returns, while the sector advanced more than 24% for the benchmark. The average weighting of 3.4% was well below the benchmark weighting of 11.9%. The consumer was far more resilient than anticipated and low exposures to homebuilders or auto retailers proved to be detrimental. The home-oriented stocks that the strategy owned, such as Whirlpool Corp., Newell Brands, Inc., and Leggett & Platt (not held at period end), all provided negative returns.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 127 |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | December 31, 2023 |
Lastly, an overweighting to the Utility sector, which declined 3.5% in the benchmark, was detrimental. The strategy’s average weighting of 5.1% was above the benchmark’s 3.5% exposure.
How was the Fund positioned at the end of the Reporting Period?
In many ways, the environment is similar to last year. The geopolitical outlook seems to have become less favorable, and the Fed, while wanting to be more accommodative, must still contend with financial markets that are becoming increasingly frothy. The bond market has also started to become increasingly concerned about deficits and the willingness of foreign central banks to continue participating in Treasury auctions at the level now required. We believe all of this provides plenty of opportunity for volatility to increase in the year ahead.
At the beginning of the Reporting Period, our three largest active weights were in Industrials (+670 basis points), Technology (+341 basis points), and Materials (+334 basis points). At the end of the Reporting Period, they were in Materials (+406 basis points), Technology (+340 basis points), and Energy (+336 basis points).
At the beginning of the Reporting Period, our largest underweights were in Consumer Discretionary (-700 basis points), Real Estate (-563 basis points), and Financials (-353 basis points). At the end of the Reporting Period, they were in Consumer Discretionary (-901 basis points), Real Estate (-502 basis points), and Communication Services (-288 basis points). Cash at the end of the Reporting Period was less than 1%.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
128 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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 |
Ingredion, Inc. | 2.4% |
Unum Group | 2.4% |
Curtiss-Wright Corp. | 2.1% |
Pioneer Natural Resources Co. | 2.0% |
Evergy, Inc. | 1.9% |
Prosperity Bancshares, Inc. | 1.9% |
OGE Energy Corp. | 1.9% |
Markel Group, Inc. | 1.8% |
Evolent Health, Inc. — Class A | 1.8% |
Teledyne Technologies, Inc. | 1.8% |
Top Ten Total | 20.0% |
“Ten Largest Holdings” excludes any temporary cash investments. | |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 129 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series V (SMid Cap Value Series) | 9.73% | 11.98% | 7.59% |
Russell 2500 Value Index | 15.98% | 10.79% | 7.42% |
* | 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. |
130 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES V (SMID CAP VALUE SERIES) |
| Shares | Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Industrial - 24.8% | ||||||||
Curtiss-Wright Corp. | 15,343 | $ | 3,418,267 | |||||
Teledyne Technologies, Inc.* | 6,415 | 2,862,951 | ||||||
Graphic Packaging Holding Co. | 113,754 | 2,804,036 | ||||||
Knight-Swift Transportation Holdings, Inc. | 42,599 | 2,455,833 | ||||||
Summit Materials, Inc. — Class A* | 58,969 | 2,267,948 | ||||||
Kirby Corp.* | 26,936 | 2,113,937 | ||||||
Daseke, Inc.* | 244,873 | 1,983,471 | ||||||
Advanced Energy Industries, Inc. | 17,827 | 1,941,717 | ||||||
Coherent Corp.* | 44,451 | 1,934,952 | ||||||
Arcosa, Inc. | 23,028 | 1,903,034 | ||||||
Johnson Controls International plc | 31,250 | 1,801,250 | ||||||
PGT Innovations, Inc.* | 39,297 | 1,599,388 | ||||||
Esab Corp. | 17,760 | 1,538,371 | ||||||
Mercury Systems, Inc.* | 40,107 | 1,466,713 | ||||||
Terex Corp. | 23,685 | 1,360,940 | ||||||
MDU Resources Group, Inc. | 67,949 | 1,345,390 | ||||||
EnerSys | 11,333 | 1,144,179 | ||||||
Littelfuse, Inc. | 4,153 | 1,111,177 | ||||||
Park Aerospace Corp. | 73,696 | 1,083,331 | ||||||
Sonoco Products Co. | 14,545 | 812,629 | ||||||
Masonite International Corp.* | 9,491 | 803,508 | ||||||
Stoneridge, Inc.* | 34,863 | 682,269 | ||||||
Plexus Corp.* | 5,945 | 642,833 | ||||||
GATX Corp. | 3,418 | 410,912 | ||||||
NVE Corp. | 4,870 | 381,954 | ||||||
Total Industrial | 39,870,990 | |||||||
Financial - 21.6% | ||||||||
Unum Group | 85,948 | 3,886,569 | ||||||
Prosperity Bancshares, Inc. | 44,851 | 3,037,758 | ||||||
Markel Group, Inc.* | 2,068 | 2,936,353 | ||||||
First Merchants Corp. | 70,938 | 2,630,381 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 19,006 | 2,409,391 | ||||||
Stifel Financial Corp. | 34,421 | 2,380,212 | ||||||
Old Republic International Corp. | 75,587 | 2,222,258 | ||||||
Jefferies Financial Group, Inc. | 50,911 | 2,057,314 | ||||||
First American Financial Corp. | 24,171 | 1,557,579 | ||||||
Sun Communities, Inc. REIT | 10,247 | 1,369,511 | ||||||
Ventas, Inc. REIT | 25,543 | 1,273,063 | ||||||
Apple Hospitality REIT, Inc. | 76,398 | 1,268,971 | ||||||
Stewart Information Services Corp. | 20,658 | 1,213,657 | ||||||
Jones Lang LaSalle, Inc.* | 5,755 | 1,086,947 | ||||||
Synovus Financial Corp. | 25,840 | 972,876 | ||||||
Gaming and Leisure Properties, Inc. REIT | 19,571 | 965,829 | ||||||
Axos Financial, Inc.* | 17,465 | 953,589 | ||||||
BOK Financial Corp. | 9,986 | 855,301 | ||||||
First Horizon Corp. | 56,318 | 797,463 | ||||||
WisdomTree, Inc. | 61,384 | 425,391 | ||||||
UMB Financial Corp. | 5,046 | 421,593 | ||||||
Total Financial | 34,722,006 | |||||||
Consumer, Non-cyclical - 15.6% | ||||||||
Ingredion, Inc. | 36,142 | 3,922,491 | ||||||
Euronet Worldwide, Inc.* | 28,040 | 2,845,780 | ||||||
Bunge Global S.A. | 25,994 | 2,624,094 | ||||||
Encompass Health Corp. | 39,104 | 2,609,019 | ||||||
Enovis Corp.* | 44,942 | 2,517,651 | ||||||
Integer Holdings Corp.* | 22,296 | 2,209,088 | ||||||
Central Garden & Pet Co. — Class A* | 36,979 | 1,628,555 | ||||||
Henry Schein, Inc.* | 15,717 | 1,189,934 | ||||||
ICF International, Inc. | 8,167 | 1,095,113 | ||||||
Azenta, Inc.* | 14,247 | 928,049 | ||||||
LivaNova plc* | 16,420 | 849,571 | ||||||
Quest Diagnostics, Inc. | 6,021 | 830,175 | ||||||
Certara, Inc.* | 45,799 | 805,605 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 42,997 | 491,886 | ||||||
Jazz Pharmaceuticals plc* | 3,354 | 412,542 | ||||||
Total Consumer, Non-cyclical | 24,959,553 | |||||||
Technology - 8.7% | ||||||||
Evolent Health, Inc. — Class A* | 88,522 | 2,923,882 | ||||||
Teradyne, Inc. | 25,467 | 2,763,679 | ||||||
Science Applications International Corp. | 18,106 | 2,250,938 | ||||||
Leidos Holdings, Inc. | 19,309 | 2,090,006 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 21,155 | 1,966,357 | ||||||
Wolfspeed, Inc.* | 21,677 | 943,166 | ||||||
LivePerson, Inc.* | 180,853 | 685,433 | ||||||
Axcelis Technologies, Inc.* | 3,058 | 396,592 | ||||||
Total Technology | 14,020,053 | |||||||
Energy - 8.2% | ||||||||
Pioneer Natural Resources Co. | 14,093 | 3,169,234 | ||||||
Diamondback Energy, Inc. | 16,878 | 2,617,440 | ||||||
Murphy Oil Corp. | 41,143 | 1,755,161 | ||||||
Liberty Energy, Inc. — Class A | 68,891 | 1,249,683 | ||||||
Equities Corp. | 30,561 | 1,181,488 | ||||||
Talos Energy, Inc.* | 77,945 | 1,109,157 | ||||||
Kinder Morgan, Inc. | 47,986 | 846,473 | ||||||
Range Resources Corp. | 23,548 | 716,801 | ||||||
Patterson-UTI Energy, Inc. | 49,799 | 537,829 | ||||||
HydroGen Corp.*,†††,1 | 672,346 | 1 | ||||||
Total Energy | 13,183,267 | |||||||
Basic Materials - 6.8% | ||||||||
Reliance Steel & Aluminum Co. | 8,565 | 2,395,459 | ||||||
Westlake Corp. | 15,433 | 2,160,003 | ||||||
Avient Corp. | 45,219 | 1,879,754 | ||||||
Nucor Corp. | 10,390 | 1,808,276 | ||||||
Ashland, Inc. | 17,088 | 1,440,689 | ||||||
Huntsman Corp. | 46,551 | 1,169,826 | ||||||
Total Basic Materials | 10,854,007 | |||||||
Consumer, Cyclical - 6.4% | ||||||||
H&E Equipment Services, Inc. | 44,032 | 2,303,754 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 22,183 | 2,246,251 | ||||||
Whirlpool Corp. | 11,994 | 1,460,509 | ||||||
Lear Corp. | 6,168 | 870,983 | ||||||
Lakeland Industries, Inc. | 35,963 | 666,754 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 131 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES V (SMID CAP VALUE SERIES) |
| Shares | Value | ||||||
Methode Electronics, Inc. | 28,441 | $ | 646,464 | |||||
Newell Brands, Inc. | 59,067 | 512,702 | ||||||
Sonic Automotive, Inc. — Class A | 7,840 | 440,686 | ||||||
Levi Strauss & Co. — Class A | 25,106 | 415,253 | ||||||
Advance Auto Parts, Inc. | 6,418 | 391,691 | ||||||
Crocs, Inc.* | 3,633 | 339,359 | ||||||
Total Consumer, Cyclical | 10,294,406 | |||||||
Utilities - 5.9% | ||||||||
Evergy, Inc. | 58,995 | 3,079,539 | ||||||
OGE Energy Corp. | 85,731 | 2,994,584 | ||||||
Pinnacle West Capital Corp. | 35,510 | 2,551,038 | ||||||
Black Hills Corp. | 14,897 | 803,693 | ||||||
Total Utilities | 9,428,854 | |||||||
Communications - 1.5% | ||||||||
Calix, Inc.* | 21,538 | 940,995 | ||||||
Ciena Corp.* | 19,837 | 892,864 | ||||||
Luna Innovations, Inc.* | 83,872 | 557,749 | ||||||
Total Communications | 2,391,608 | |||||||
Total Common Stocks | ||||||||
(Cost $133,156,038) | 159,724,744 | |||||||
CONVERTIBLE PREFERRED STOCKS††† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
Thermoenergy Corp.*,2 | 308,333 | 1 | ||||||
Total Convertible Preferred Stocks | ||||||||
(Cost $294,438) | 1 | |||||||
RIGHTS† - 0.0% | ||||||||
Basic Materials - 0.0% | ||||||||
Pan American Silver Corp.* | 220,317 | 113,463 | ||||||
Total Rights | ||||||||
(Cost $—) | 113,463 | |||||||
MONEY MARKET FUND† - 0.5% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.25%3 | 773,224 | 773,224 | ||||||
Total Money Market Fund | ||||||||
(Cost $773,224) | 773,224 | |||||||
Total Investments - 100.0% | ||||||||
(Cost $134,223,700) | $ | 160,611,432 | ||||||
Other Assets & Liabilities, net - 0.0% | (55,615 | ) | ||||||
Total Net Assets - 100.0% | $ | 160,555,817 | ||||||
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | PIPE (Private Investment in Public Equity) - Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering. |
3 | Rate indicated is the 7-day yield as of December 31, 2023. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
132 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
SERIES V (SMID CAP VALUE SERIES) |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 159,724,743 | $ | — | $ | 1 | $ | 159,724,744 | ||||||||
Convertible Preferred Stocks | — | — | 1 | 1 | ||||||||||||
Rights | 113,463 | — | — | 113,463 | ||||||||||||
Money Market Fund | 773,224 | — | — | 773,224 | ||||||||||||
Total Assets | $ | 160,611,430 | $ | — | $ | 2 | $ | 160,611,432 | ||||||||
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 December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||
HydroGen Corp. * | $ | 1 | $ | — | $ | — | $ | — | $ | — | $ | 1 | 672,346 | $ | — | |||||||||||||||||
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 133 |
SERIES V (SMID CAP VALUE SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $131,652,125) | $ | 160,611,431 | ||
Investments in affiliated issuers, at value (cost $2,571,575) | 1 | |||
Cash | 1,878 | |||
Prepaid expenses | 3,388 | |||
Receivables: | ||||
Dividends | 187,222 | |||
Interest | 4,708 | |||
Fund shares sold | 487 | |||
Total assets | 160,809,115 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 77,688 | |||
Management fees | 69,208 | |||
Distribution and service fees | 33,180 | |||
Professional fees | 24,521 | |||
Fund shares redeemed | 21,916 | |||
Trustees’ fees* | 2,974 | |||
Fund accounting/administration fees | 2,935 | |||
Transfer agent/maintenance fees | 2,274 | |||
Miscellaneous | 18,602 | |||
Total liabilities | 253,298 | |||
Net assets | $ | 160,555,817 | ||
Net assets consist of: | ||||
Paid in capital | $ | 127,955,212 | ||
Total distributable earnings (loss) | 32,600,605 | |||
Net assets | $ | 160,555,817 | ||
Capital shares outstanding | 2,225,235 | |||
Net asset value per share | $ | 72.15 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 3,377,685 | ||
Interest | 100,037 | |||
Total investment income | 3,477,722 | |||
Expenses: | ||||
Management fees | 1,195,204 | |||
Distribution and service fees | 398,401 | |||
Transfer agent/maintenance fees | 25,007 | |||
Professional fees | 90,034 | |||
Fund accounting/administration fees | 73,466 | |||
Trustees’ fees* | 18,742 | |||
Line of credit fees | 5,978 | |||
Custodian fees | 5,453 | |||
Miscellaneous | 20,422 | |||
Total expenses | 1,832,707 | |||
Less: | ||||
Expenses reimbursed by Adviser | (853 | ) | ||
Expenses waived by Adviser | (426,547 | ) | ||
Total waived/reimbursed expenses | (427,400 | ) | ||
Net expenses | 1,405,307 | |||
Net investment income | 2,072,415 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 5,467,881 | |||
Net realized gain | 5,467,881 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 7,076,248 | |||
Net change in unrealized appreciation (depreciation) | 7,076,248 | |||
Net realized and unrealized gain | 12,544,129 | |||
Net increase in net assets resulting from operations | $ | 14,616,544 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
134 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES V (SMID CAP VALUE SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 2,072,415 | $ | 2,330,277 | ||||
Net realized gain on investments | 5,467,881 | 13,613,515 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 7,076,248 | (19,694,434 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 14,616,544 | (3,750,642 | ) | |||||
Distributions to shareholders | (13,654,917 | ) | (20,034,393 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,665,048 | 3,018,349 | ||||||
Distributions reinvested | 13,654,917 | 20,034,393 | ||||||
Cost of shares redeemed | (21,793,940 | ) | (21,572,513 | ) | ||||
Net increase (decrease) from capital share transactions | (5,473,975 | ) | 1,480,229 | |||||
Net decrease in net assets | (4,512,348 | ) | (22,304,806 | ) | ||||
Net assets: | ||||||||
Beginning of year | 165,068,165 | 187,372,971 | ||||||
End of year | $ | 160,555,817 | $ | 165,068,165 | ||||
Capital share activity: | ||||||||
Shares sold | 37,002 | 39,400 | ||||||
Shares issued from reinvestment of distributions | 195,433 | 293,201 | ||||||
Shares redeemed | (310,727 | ) | (283,522 | ) | ||||
Net increase (decrease) in shares | (78,292 | ) | 49,079 | |||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 135 |
SERIES V (SMID CAP VALUE SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 71.66 | $ | 83.11 | $ | 68.31 | $ | 69.18 | $ | 61.70 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .91 | 1.03 | .61 | 1.21 | .68 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.86 | (3.04 | ) | 15.53 | 1.10 | f | 15.01 | |||||||||||||
Total from investment operations | 6.77 | (2.01 | ) | 16.14 | 2.31 | 15.69 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.10 | ) | (.70 | ) | (1.34 | ) | (.77 | ) | (.64 | ) | ||||||||||
Net realized gains | (5.18 | ) | (8.74 | ) | — | (2.41 | ) | (7.57 | ) | |||||||||||
Total distributions | (6.28 | ) | (9.44 | ) | (1.34 | ) | (3.18 | ) | (8.21 | ) | ||||||||||
Net asset value, end of period | $ | 72.15 | $ | 71.66 | $ | 83.11 | $ | 68.31 | $ | 69.18 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 9.73 | % | (1.86 | %) | 23.75 | % | 4.30 | % | 26.70 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 160,556 | $ | 165,068 | $ | 187,373 | $ | 172,440 | $ | 195,207 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.30 | % | 1.36 | % | 0.76 | % | 2.05 | % | 1.01 | % | ||||||||||
Total expensesc | 1.15 | % | 1.13 | % | 1.14 | % | 1.22 | % | 1.19 | % | ||||||||||
Net expensesd,e | 0.88 | % | 0.89 | % | 0.90 | % | 0.90 | % | 0.91 | % | ||||||||||
Portfolio turnover rate | 28 | % | 40 | % | 34 | % | 38 | % | 41 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
0.88% | 0.89% | 0.90% | 0.90% | 0.91% |
f | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss on investments for the period because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
136 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series X (StylePlusTM—Small Growth Series, or the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer - Equities and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 21.01%, outperforming the Russell 2000 Growth Index (“Index”), the Fund’s benchmark, which returned 18.66%.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
Over the period, 20-30% of the total equity position was allocated to actively managed equity and 70-80% to passive equity. Remaining Fund assets were invested in the Guggenheim Strategy Funds, short-term fixed-income investment companies advised by Guggenheim Investments, and the Guggenheim Ultra Short Duration Fund whose objective is to seek a high level of income consistent with the preservation of capital.
For the Reporting Period, the Fund outperformed the Russell 2000 Growth Index by 2.35% net of fees. The Fund performed better than the benchmark due to contributions from the active equity and active fixed income sleeves, offset by cost of derivatives and Fund fees and expenses.
How did the Fund use derivatives during the Reporting Period?
The passive equity component, which accounted for 70-80% of the Fund’s exposure to the broad equity market, consisted of equity index swaps and equity index futures. On average, the equity index futures accounted for 0%~5% of the overall exposure, with the remainder from equity index swaps. Both the swaps and futures benefited performance.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 137 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.
Inception Date: October 15, 1997 |
Ten Largest Holdings | % of Total Net Assets |
Guggenheim Variable Insurance Strategy Fund III | 26.0% |
Guggenheim Strategy Fund III | 24.9% |
Guggenheim Strategy Fund II | 14.6% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 1.2% |
Boise Cascade Co. | 0.5% |
Mueller Industries, Inc. | 0.5% |
Applied Industrial Technologies, Inc. | 0.4% |
InterDigital, Inc. | 0.4% |
SPS Commerce, Inc. | 0.4% |
Axcelis Technologies, Inc. | 0.4% |
Top Ten Total | 69.3% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
138 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series X (StylePlus—Small Growth Series) | 21.01% | 9.41% | 7.68% |
Russell 2000 Growth Index | 18.66% | 9.22% | 7.16% |
* | 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. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 139 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) |
| Shares | Value | ||||||
COMMON STOCKS† - 28.4% | ||||||||
Industrial - 7.5% | ||||||||
Boise Cascade Co. | 1,108 | $ | 143,331 | |||||
Mueller Industries, Inc. | 2,863 | 134,991 | ||||||
Applied Industrial Technologies, Inc. | 684 | 117,950 | ||||||
Encore Wire Corp. | 479 | 102,314 | ||||||
Franklin Electric Company, Inc. | 1,020 | 98,583 | ||||||
AAON, Inc. | 1,334 | 98,543 | ||||||
Fabrinet* | 505 | 96,117 | ||||||
Griffon Corp. | 1,508 | 91,913 | ||||||
Apogee Enterprises, Inc. | 1,471 | 78,566 | ||||||
Middleby Corp.* | 481 | 70,789 | ||||||
Acuity Brands, Inc. | 343 | 70,257 | ||||||
Donaldson Company, Inc. | 1,027 | 67,114 | ||||||
Standex International Corp. | 416 | 65,886 | ||||||
AGCO Corp. | 529 | 64,226 | ||||||
Advanced Energy Industries, Inc. | 527 | 57,401 | ||||||
Lindsay Corp. | 429 | 55,410 | ||||||
UFP Industries, Inc. | 441 | 55,367 | ||||||
Enerpac Tool Group Corp. | 1,780 | 55,340 | ||||||
Timken Co. | 648 | 51,937 | ||||||
Badger Meter, Inc. | 283 | 43,686 | ||||||
Moog, Inc. — Class A | 291 | 42,131 | ||||||
AeroVironment, Inc.* | 327 | 41,215 | ||||||
Frontdoor, Inc.* | 1,138 | 40,080 | ||||||
Alamo Group, Inc. | 188 | 39,516 | ||||||
Armstrong World Industries, Inc. | 380 | 37,362 | ||||||
Simpson Manufacturing Company, Inc. | 186 | 36,824 | ||||||
Dorian LPG Ltd. | 827 | 36,280 | ||||||
Dycom Industries, Inc.* | 307 | 35,333 | ||||||
Advanced Drainage Systems, Inc. | 202 | 28,409 | ||||||
Watts Water Technologies, Inc. — Class A | 107 | 22,292 | ||||||
Matson, Inc. | 186 | 20,386 | ||||||
Total Industrial | 1,999,549 | |||||||
Consumer, Cyclical - 4.6% | ||||||||
Monarch Casino & Resort, Inc. | 1,279 | 88,443 | ||||||
Brunswick Corp. | 835 | 80,786 | ||||||
Installed Building Products, Inc. | 429 | 78,430 | ||||||
Cavco Industries, Inc.* | 218 | 75,563 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 646 | 65,414 | ||||||
Meritage Homes Corp. | 375 | 65,325 | ||||||
Gentex Corp. | 1,921 | 62,740 | ||||||
Golden Entertainment, Inc. | 1,358 | 54,225 | ||||||
Polaris, Inc. | 567 | 53,735 | ||||||
AutoNation, Inc.* | 342 | 51,362 | ||||||
Papa John’s International, Inc. | 648 | 49,397 | ||||||
Wabash National Corp. | 1,792 | 45,911 | ||||||
Oxford Industries, Inc. | 455 | 45,500 | ||||||
Buckle, Inc. | 940 | 44,669 | ||||||
Dolby Laboratories, Inc. — Class A | 466 | 40,160 | ||||||
Green Brick Partners, Inc.* | 760 | 39,474 | ||||||
Signet Jewelers Ltd. | 359 | 38,506 | ||||||
Group 1 Automotive, Inc. | 125 | 38,092 | ||||||
Asbury Automotive Group, Inc.* | 149 | 33,520 | ||||||
Ethan Allen Interiors, Inc. | 990 | 31,601 | ||||||
Boyd Gaming Corp. | 387 | 24,230 | ||||||
Vista Outdoor, Inc.* | 801 | 23,685 | ||||||
Titan International, Inc.* | 1,563 | 23,257 | ||||||
M/I Homes, Inc.* | 151 | 20,799 | ||||||
Abercrombie & Fitch Co. — Class A* | 222 | 19,585 | ||||||
American Eagle Outfitters, Inc. | 904 | 19,129 | ||||||
Total Consumer, Cyclical | 1,213,538 | |||||||
Technology - 4.5% | ||||||||
SPS Commerce, Inc.* | 555 | 107,581 | ||||||
Axcelis Technologies, Inc.* | 826 | 107,124 | ||||||
Photronics, Inc.* | 2,967 | 93,075 | ||||||
DoubleVerify Holdings, Inc.* | 2,389 | 87,868 | ||||||
Diodes, Inc.* | 1,067 | 85,915 | ||||||
Progress Software Corp. | 1,567 | 85,088 | ||||||
Kulicke & Soffa Industries, Inc. | 1,165 | 63,749 | ||||||
Cirrus Logic, Inc.* | 758 | 63,058 | ||||||
CEVA, Inc.* | 2,241 | 50,893 | ||||||
Cohu, Inc.* | 1,274 | 45,087 | ||||||
Veradigm, Inc.* | 4,263 | 44,719 | ||||||
PDF Solutions, Inc.* | 1,277 | 41,043 | ||||||
Teradata Corp.* | 838 | 36,461 | ||||||
NetScout Systems, Inc.* | 1,568 | 34,418 | ||||||
Amkor Technology, Inc. | 1,001 | 33,303 | ||||||
Allegro MicroSystems, Inc.* | 1,066 | 32,268 | ||||||
MaxLinear, Inc. — Class A* | 1,341 | 31,875 | ||||||
Digi International, Inc.* | 1,219 | 31,694 | ||||||
Crane NXT Co. | 507 | 28,833 | ||||||
Agilysys, Inc.* | 338 | 28,669 | ||||||
Blackbaud, Inc.* | 327 | 28,351 | ||||||
Qualys, Inc.* | 121 | 23,750 | ||||||
CommVault Systems, Inc.* | 278 | 22,198 | ||||||
Total Technology | 1,207,020 | |||||||
Consumer, Non-cyclical - 4.1% | ||||||||
elf Beauty, Inc.* | 705 | 101,760 | ||||||
Alarm.com Holdings, Inc.* | 1,342 | 86,720 | ||||||
Dynavax Technologies Corp.* | 5,781 | 80,818 | ||||||
AMN Healthcare Services, Inc.* | 925 | 69,264 | ||||||
Innoviva, Inc.* | 3,950 | 63,358 | ||||||
Corcept Therapeutics, Inc.* | 1,930 | 62,686 | ||||||
Premier, Inc. — Class A | 2,526 | 56,481 | ||||||
Collegium Pharmaceutical, Inc.* | 1,463 | 45,031 | ||||||
Exelixis, Inc.* | 1,858 | 44,574 | ||||||
Ensign Group, Inc. | 395 | 44,323 | ||||||
Encompass Health Corp. | 590 | 39,365 | ||||||
Perdoceo Education Corp. | 2,159 | 37,912 | ||||||
Cross Country Healthcare, Inc.* | 1,651 | 37,379 | ||||||
Catalyst Pharmaceuticals, Inc.* | 2,118 | 35,604 | ||||||
Vector Group Ltd. | 3,057 | 34,483 | ||||||
Embecta Corp. | 1,774 | 33,582 | ||||||
Stride, Inc.* | 562 | 33,366 | ||||||
Amphastar Pharmaceuticals, Inc.* | 520 | 32,162 | ||||||
Chemed Corp. | 54 | 31,576 | ||||||
Quanex Building Products Corp. | 902 | 27,574 | ||||||
LiveRamp Holdings, Inc.* | 713 | 27,008 | ||||||
140 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) |
| Shares | Value | ||||||
H&R Block, Inc. | 549 | $ | 26,555 | |||||
Halozyme Therapeutics, Inc.* | 680 | 25,133 | ||||||
Harmony Biosciences Holdings, Inc.* | 666 | 21,512 | ||||||
Ligand Pharmaceuticals, Inc.*, †† | 89 | — | ||||||
Total Consumer, Non-cyclical | 1,098,226 | |||||||
Financial - 3.7% | ||||||||
Westamerica BanCorp | 1,424 | 80,328 | ||||||
Jackson Financial, Inc. — Class A | 1,534 | 78,541 | ||||||
International Bancshares Corp. | 1,403 | 76,211 | ||||||
Hanmi Financial Corp. | 3,781 | 73,351 | ||||||
First BanCorp | 4,262 | 70,110 | ||||||
SouthState Corp. | 752 | 63,506 | ||||||
OFG Bancorp | 1,601 | 60,006 | ||||||
Interactive Brokers Group, Inc. — Class A | 660 | 54,714 | ||||||
Virtus Investment Partners, Inc. | 217 | 52,462 | ||||||
BancFirst Corp. | 530 | 51,585 | ||||||
StoneX Group, Inc.* | 689 | 50,869 | ||||||
Mr Cooper Group, Inc.* | 769 | 50,078 | ||||||
Pathward Financial, Inc. | 840 | 44,461 | ||||||
TrustCo Bank Corporation NY | 1,159 | 35,987 | ||||||
East West Bancorp, Inc. | 460 | 33,097 | ||||||
Artisan Partners Asset Management, Inc. — Class A | 740 | 32,693 | ||||||
Bancorp, Inc.* | 788 | 30,385 | ||||||
NMI Holdings, Inc. — Class A* | 831 | 24,664 | ||||||
Affiliated Managers Group, Inc. | 153 | 23,167 | ||||||
Total Financial | 986,215 | |||||||
Energy - 1.8% | ||||||||
SM Energy Co. | 2,103 | 81,428 | ||||||
Liberty Energy, Inc. — Class A | 2,991 | 54,257 | ||||||
CVR Energy, Inc. | 1,654 | 50,116 | ||||||
Helmerich & Payne, Inc. | 1,255 | 45,456 | ||||||
CONSOL Energy, Inc. | 444 | 44,635 | ||||||
US Silica Holdings, Inc.* | 3,443 | 38,940 | ||||||
CNX Resources Corp.* | 1,891 | 37,820 | ||||||
PBF Energy, Inc. — Class A | 792 | 34,817 | ||||||
Patterson-UTI Energy, Inc. | 3,206 | 34,625 | ||||||
Northern Oil and Gas, Inc. | 928 | 34,401 | ||||||
SolarEdge Technologies, Inc.* | 248 | 23,213 | ||||||
Total Energy | 479,708 | |||||||
Communications - 1.6% | ||||||||
InterDigital, Inc. | 1,033 | 112,122 | ||||||
Extreme Networks, Inc.* | 3,345 | 59,006 | ||||||
Yelp, Inc. — Class A* | 1,218 | 57,660 | ||||||
Viavi Solutions, Inc.* | 4,223 | 42,526 | ||||||
A10 Networks, Inc. | 2,950 | 38,851 | ||||||
ePlus, Inc.* | 460 | 36,727 | ||||||
Perficient, Inc.* | 538 | 35,411 | ||||||
Harmonic, Inc.* | 2,506 | 32,678 | ||||||
Total Communications | 414,981 | |||||||
Basic Materials - 0.5% | ||||||||
Livent Corp.* | 2,627 | 47,233 | ||||||
Sylvamo Corp. | 810 | 39,779 | ||||||
NewMarket Corp. | 42 | 22,925 | ||||||
Carpenter Technology Corp. | 274 | 19,399 | ||||||
Total Basic Materials | 129,336 | |||||||
Utilities - 0.1% | ||||||||
Otter Tail Corp. | 337 | 28,635 | ||||||
Total Common Stocks | ||||||||
(Cost $6,650,059) | 7,557,208 | |||||||
MUTUAL FUNDS† - 66.7% | ||||||||
Guggenheim Variable Insurance Strategy Fund III1 | 281,878 | 6,914,473 | ||||||
Guggenheim Strategy Fund III1 | 270,394 | 6,638,163 | ||||||
Guggenheim Strategy Fund II1 | 158,847 | 3,891,748 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 31,563 | 310,899 | ||||||
Total Mutual Funds | ||||||||
(Cost $17,898,749) | 17,755,283 | |||||||
MONEY MARKET FUND† - 6.3% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.25%2 | 1,688,666 | 1,688,666 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,688,666) | 1,688,666 | |||||||
Total Investments - 101.4% | ||||||||
(Cost $26,237,474) | $ | 27,001,157 | ||||||
Other Assets & Liabilities, net - (1.4)% | (371,590 | ) | ||||||
Total Net Assets - 100.0% | $ | 26,629,567 | ||||||
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
S&P MidCap 400 Index Mini Futures Contracts | 2 | Mar 2024 | $ | 561,620 | $ | 27,075 | ||||||||||
Russell 2000 Index Mini Futures Contracts | 3 | Mar 2024 | 307,050 | 21,667 | ||||||||||||
| $ | 868,670 | $ | 48,742 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 141 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) |
Total Return Swap Agreements | |||||||||||||||||||||||
Counterparty | Index | Type | Financing | Payment | Maturity | Units | Notional | Value and | |||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||
Wells Fargo Bank, N.A. | Russell 2000 Growth Index | Pay | 5.74% (Federal | At Maturity | 03/31/24 | 2,015 | $ | 18,874,686 | $ | 2,133,893 | |||||||||||||
* | 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 — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of December 31, 2023. |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 7,557,208 | $ | — | * | $ | — | $ | 7,557,208 | |||||||
Mutual Funds | 17,755,283 | — | — | 17,755,283 | ||||||||||||
Money Market Fund | 1,688,666 | — | — | 1,688,666 | ||||||||||||
Equity Futures Contracts** | 48,742 | — | — | 48,742 | ||||||||||||
Equity Index Swap Agreements** | — | 2,133,893 | — | 2,133,893 | ||||||||||||
Total Assets | $ | 27,049,899 | $ | 2,133,893 | $ | — | $ | 29,183,792 | ||||||||
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
142 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
SERIES X (STYLEPLUS—SMALL GROWTH 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 2,587,860 | $ | 4,579,289 | $ | (3,329,836 | ) | $ | 19,970 | $ | 34,465 | $ | 3,891,748 | 158,847 | $ | 147,691 | ||||||||||||||||
Guggenheim Strategy Fund III | 7,474,966 | 899,034 | (1,875,911 | ) | (44,973 | ) | 185,047 | 6,638,163 | 270,394 | 413,973 | ||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 288,481 | 15,976 | — | — | 6,442 | 310,899 | 31,563 | 15,995 | ||||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 6,828,127 | 369,208 | (412,420 | ) | (10,529 | ) | 140,087 | 6,914,473 | 281,878 | 369,728 | ||||||||||||||||||||||
| $ | 17,179,434 | $ | 5,863,507 | $ | (5,618,167 | ) | $ | (35,532 | ) | $ | 366,041 | $ | 17,755,283 | $ | 947,387 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 143 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $8,338,725) | $ | 9,245,874 | ||
Investments in affiliated issuers, at value (cost $17,898,749) | 17,755,283 | |||
Cash | 170 | |||
Segregated cash with broker | 60,000 | |||
Unrealized appreciation on OTC swap agreements | 2,133,893 | |||
Prepaid expenses | 2,335 | |||
Receivables: | ||||
Dividends | 79,265 | |||
Interest | 5,766 | |||
Fund shares sold | 74 | |||
Total assets | 29,282,660 | |||
Liabilities: | ||||
Segregated cash due to broker | 2,270,000 | |||
Payable for: | ||||
Swap settlement | 240,230 | |||
Securities purchased | 79,797 | |||
Variation margin on futures contracts | 10,365 | |||
Distribution and service fees | 5,437 | |||
Fund shares redeemed | 4,962 | |||
Management fees | 4,550 | |||
Transfer agent/maintenance fees | 2,013 | |||
Fund accounting/administration fees | 2,010 | |||
Trustees’ fees* | 1,421 | |||
Miscellaneous | 32,308 | |||
Total liabilities | 2,653,093 | |||
Net assets | $ | 26,629,567 | ||
Net assets consist of: | ||||
Paid in capital | $ | 31,017,241 | ||
Total distributable earnings (loss) | (4,387,674 | ) | ||
Net assets | $ | 26,629,567 | ||
Capital shares outstanding | 996,086 | |||
Net asset value per share | $ | 26.73 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $216) | $ | 101,418 | ||
Dividends from securities of affiliated issuers | 947,387 | |||
Interest | 36,414 | |||
Total investment income | 1,085,219 | |||
Expenses: | ||||
Management fees | 188,985 | |||
Distribution and service fees | 63,161 | |||
Transfer agent/maintenance fees | 25,102 | |||
Interest expense | 39,961 | |||
Professional fees | 38,343 | |||
Fund accounting/administration fees | 19,189 | |||
Trustees’ fees* | 14,842 | |||
Custodian fees | 13,540 | |||
Line of credit fees | 817 | |||
Miscellaneous | 11,675 | |||
Total expenses | 415,615 | |||
Less: | ||||
Expenses reimbursed by Adviser | (4,157 | ) | ||
Expenses waived by Adviser | (110,822 | ) | ||
Earnings credits applied | (289 | ) | ||
Total waived/reimbursed expenses | (115,268 | ) | ||
Net expenses | 300,347 | |||
Net investment income | 784,872 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 299,542 | |||
Investments in affiliated issuers | (35,532 | ) | ||
Swap agreements | 602,718 | |||
Futures contracts | (17,457 | ) | ||
Net realized gain | 849,271 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 1,086,828 | |||
Investments in affiliated issuers | 366,041 | |||
Swap agreements | 1,678,008 | |||
Futures contracts | 75,705 | |||
Net change in unrealized appreciation (depreciation) | 3,206,582 | |||
Net realized and unrealized gain | 4,055,853 | |||
Net increase in net assets resulting from operations | $ | 4,840,725 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
144 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 784,872 | $ | 358,406 | ||||
Net realized gain (loss) on investments | 849,271 | (8,924,685 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 3,206,582 | (1,124,827 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 4,840,725 | (9,691,106 | ) | |||||
Distributions to shareholders | (356,250 | ) | (8,952,911 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 1,135,100 | 613,968 | ||||||
Distributions reinvested | 356,250 | 8,952,911 | ||||||
Cost of shares redeemed | (3,638,989 | ) | (3,640,657 | ) | ||||
Net increase (decrease) from capital share transactions | (2,147,639 | ) | 5,926,222 | |||||
Net increase (decrease) in net assets | 2,336,836 | (12,717,795 | ) | |||||
Net assets: | ||||||||
Beginning of year | 24,292,731 | 37,010,526 | ||||||
End of year | $ | 26,629,567 | $ | 24,292,731 | ||||
Capital share activity: | ||||||||
Shares sold | 46,743 | 21,194 | ||||||
Shares issued from reinvestment of distributions | 13,755 | 382,440 | ||||||
Shares redeemed | (149,718 | ) | (122,777 | ) | ||||
Net increase (decrease) in shares | (89,220 | ) | 280,857 | |||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 145 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 22.38 | $ | 46.01 | $ | 44.91 | $ | 34.53 | $ | 30.87 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .75 | .38 | .10 | .17 | .42 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.94 | (12.10 | ) | 2.82 | 10.65 | 7.28 | ||||||||||||||
Total from investment operations | 4.69 | (11.72 | ) | 2.92 | 10.82 | 7.70 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.34 | ) | (.11 | ) | (.19 | ) | (.44 | ) | (.22 | ) | ||||||||||
Net realized gains | — | (11.80 | ) | (1.63 | ) | — | (3.82 | ) | ||||||||||||
Total distributions | (.34 | ) | (11.91 | ) | (1.82 | ) | (.44 | ) | (4.04 | ) | ||||||||||
Net asset value, end of period | $ | 26.73 | $ | 22.38 | $ | 46.01 | $ | 44.91 | $ | 34.53 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 21.01 | % | (26.61 | %) | 6.54 | % | 31.82 | % | 25.68 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 26,630 | $ | 24,293 | $ | 37,011 | $ | 37,989 | $ | 33,036 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.11 | % | 1.29 | % | 0.22 | % | 0.49 | % | 1.24 | % | ||||||||||
Total expensesc | 1.65 | % | 1.43 | % | 1.39 | % | 1.50 | % | 1.62 | % | ||||||||||
Net expensesd,e | 1.19 | % | 1.05 | % | 1.00 | % | 1.02 | % | 1.11 | % | ||||||||||
Portfolio turnover rate | 80 | % | 73 | % | 64 | % | 86 | % | 59 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
1.03% | 1.04% | 1.00% | 1.01% | 1.03% |
146 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series Y (StylePlusTM—Large Growth Series, or the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer - Equities and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 39.91%, underperforming the Russell 1000 Growth Index (“Index”), the Fund’s benchmark, which returned 42.68%.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
Over the period, 15%-25% of the total equity position was allocated to actively managed equity and 75%-85% to passive equity. Remaining Fund assets were invested in the Guggenheim Strategy Funds, short-term fixed-income investment companies advised by Guggenheim Investments, and the Guggenheim Ultra Short Duration Fund whose objective is to seek a high level of income consistent with the preservation of capital.
For the Reporting Period, the Fund underperformed the Russell 1000 Growth Index by 2.77% net of fees. The Fund performed worse than the benchmark due to a negative contribution from the equity sleeve, which was offset by a positive contribution from the active fixed income sleeve, as well as the cost of derivatives and Fund fees and expenses.
How did the Fund use derivatives during the Reporting Period?
The passive equity component, which accounted for 75%-85% of the Fund’s exposure to the broad equity market, consisted of equity index swaps and equity index futures. On average, the equity index futures accounted for 0%~5% of the overall exposure, with the remainder from equity index swaps. Both the swaps and futures benefited performance.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 147 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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 | 21.9% |
Guggenheim Strategy Fund II | 21.8% |
Guggenheim Strategy Fund III | 21.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 8.3% |
Apple, Inc. | 2.7% |
Microsoft Corp. | 2.6% |
Alphabet, Inc. — Class C | 1.4% |
Amazon.com, Inc. | 1.2% |
NVIDIA Corp. | 1.0% |
Meta Platforms, Inc. — Class A | 0.6% |
Top Ten Total | 83.3% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
148 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series Y (StylePlus—Large Growth Series) | 39.91% | 18.00% | 14.25% |
Russell 1000 Growth Index | 42.68% | 19.50% | 14.86% |
* | 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. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 149 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) |
| Shares | Value | ||||||
COMMON STOCKS† - 20.5% | ||||||||
Technology - 9.5% | ||||||||
Apple, Inc. | 6,901 | $ | 1,328,650 | |||||
Microsoft Corp. | 3,388 | 1,274,024 | ||||||
NVIDIA Corp. | 952 | 471,450 | ||||||
Applied Materials, Inc. | 911 | 147,646 | ||||||
QUALCOMM, Inc. | 1,008 | 145,787 | ||||||
Broadcom, Inc. | 121 | 135,066 | ||||||
Oracle Corp. | 1,256 | 132,420 | ||||||
Lam Research Corp. | 169 | 132,371 | ||||||
Fortinet, Inc.* | 2,117 | 123,908 | ||||||
NXP Semiconductor N.V. | 534 | 122,649 | ||||||
KLA Corp. | 207 | 120,329 | ||||||
Texas Instruments, Inc. | 654 | 111,481 | ||||||
ON Semiconductor Corp.* | 1,263 | 105,498 | ||||||
Microchip Technology, Inc. | 1,150 | 103,707 | ||||||
Salesforce, Inc.* | 285 | 74,995 | ||||||
Adobe, Inc.* | 99 | 59,063 | ||||||
ServiceNow, Inc.* | 35 | 24,727 | ||||||
Total Technology | 4,613,771 | |||||||
Communications - 3.6% | ||||||||
Alphabet, Inc. — Class C* | 4,777 | 673,223 | ||||||
Amazon.com, Inc.* | 3,805 | 578,132 | ||||||
Meta Platforms, Inc. — Class A* | 887 | 313,962 | ||||||
VeriSign, Inc.* | 435 | 89,592 | ||||||
Motorola Solutions, Inc. | 154 | 48,216 | ||||||
Netflix, Inc.* | 85 | 41,385 | ||||||
Total Communications | 1,744,510 | |||||||
Consumer, Non-cyclical - 2.6% | ||||||||
Merck & Company, Inc. | 1,326 | 144,560 | ||||||
Eli Lilly & Co. | 238 | 138,735 | ||||||
Regeneron Pharmaceuticals, Inc.* | 143 | 125,596 | ||||||
Incyte Corp.* | 1,805 | 113,336 | ||||||
Molina Healthcare, Inc.* | 290 | 104,780 | ||||||
Amgen, Inc. | 362 | 104,263 | ||||||
Biogen, Inc.* | 396 | 102,473 | ||||||
Gilead Sciences, Inc. | 1,235 | 100,047 | ||||||
Bristol-Myers Squibb Co. | 1,945 | 99,798 | ||||||
HCA Healthcare, Inc. | 348 | 94,197 | ||||||
Altria Group, Inc. | 1,640 | 66,158 | ||||||
Vertex Pharmaceuticals, Inc.* | 156 | 63,475 | ||||||
Humana, Inc. | 60 | 27,468 | ||||||
Total Consumer, Non-cyclical | 1,284,886 | |||||||
Industrial - 1.6% | ||||||||
Caterpillar, Inc. | 514 | 151,974 | ||||||
Deere & Co. | 341 | 136,356 | ||||||
Keysight Technologies, Inc.* | 675 | 107,386 | ||||||
Masco Corp. | 1,597 | 106,967 | ||||||
Snap-on, Inc. | 355 | 102,538 | ||||||
Lockheed Martin Corp. | 226 | 102,432 | ||||||
IDEX Corp. | 355 | 77,074 | ||||||
Total Industrial | 784,727 | |||||||
Consumer, Cyclical - 1.2% | ||||||||
Tesla, Inc.* | 879 | 218,414 | ||||||
DR Horton, Inc. | 801 | 121,736 | ||||||
WW Grainger, Inc. | 139 | 115,188 | ||||||
Cummins, Inc. | 413 | 98,942 | ||||||
Total Consumer, Cyclical | 554,280 | |||||||
Energy - 1.0% | ||||||||
EOG Resources, Inc. | 1,042 | 126,030 | ||||||
Marathon Petroleum Corp. | 722 | 107,116 | ||||||
Equities Corp. | 2,615 | 101,096 | ||||||
APA Corp. | 2,809 | 100,787 | ||||||
SolarEdge Technologies, Inc.* | 656 | 61,401 | ||||||
Total Energy | 496,430 | |||||||
Financial - 0.6% | ||||||||
Discover Financial Services | 831 | 93,404 | ||||||
Everest Group Ltd. | 248 | 87,688 | ||||||
Visa, Inc. — Class A | 283 | 73,679 | ||||||
Mastercard, Inc. — Class A | 80 | 34,121 | ||||||
Total Financial | 288,892 | |||||||
Utilities - 0.2% | ||||||||
Atmos Energy Corp. | 873 | 101,181 | ||||||
Basic Materials - 0.2% | ||||||||
CF Industries Holdings, Inc. | 1,258 | 100,011 | ||||||
Total Common Stocks | ||||||||
(Cost $8,576,959) | 9,968,688 | |||||||
MUTUAL FUNDS† - 73.8% | ||||||||
Guggenheim Variable Insurance Strategy Fund III1 | 435,015 | 10,670,930 | ||||||
Guggenheim Strategy Fund II1 | 434,807 | 10,652,769 | ||||||
Guggenheim Strategy Fund III1 | 432,659 | 10,621,790 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 409,466 | 4,033,244 | ||||||
Total Mutual Funds | ||||||||
(Cost $36,224,088) | 35,978,733 | |||||||
MONEY MARKET FUND† - 5.8% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.25%2 | 2,838,998 | 2,838,998 | ||||||
Total Money Market Fund | ||||||||
(Cost $2,838,998) | 2,838,998 | |||||||
Total Investments - 100.1% | ||||||||
(Cost $47,640,045) | $ | 48,786,419 | ||||||
Other Assets & Liabilities, net - (0.1)% | (57,015 | ) | ||||||
Total Net Assets - 100.0% | $ | 48,729,404 | ||||||
150 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
S&P 500 Index Mini Futures Contracts | 2 | Mar 2024 | $ | 481,900 | $ | 14,160 | ||||||||||
Total Return Swap Agreements | |||||||||||||||||||||||
Counterparty | Index | Type | Financing | Payment | Maturity | Units | Notional | Value and | |||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||
Wells Fargo Bank, N.A. | Russell 1000 Growth Index | Pay | 5.94% (Federal | At Maturity | 03/31/24 | 12,313 | $ | 38,496,595 | $ | 4,776,102 | |||||||||||||
* | 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 December 31, 2023. |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 9,968,688 | $ | — | $ | — | $ | 9,968,688 | ||||||||
Mutual Funds | 35,978,733 | — | — | 35,978,733 | ||||||||||||
Money Market Fund | 2,838,998 | — | — | 2,838,998 | ||||||||||||
Equity Futures Contracts** | 14,160 | — | — | 14,160 | ||||||||||||
Equity Index Swap Agreements** | — | 4,776,102 | — | 4,776,102 | ||||||||||||
Total Assets | $ | 48,800,579 | $ | 4,776,102 | $ | — | $ | 53,576,681 | ||||||||
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 151 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
SERIES Y (STYLEPLUS—LARGE GROWTH 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 4,651,513 | $ | 11,311,596 | $ | (5,456,520 | ) | $ | 21,398 | $ | 124,782 | $ | 10,652,769 | 434,807 | $ | 457,630 | ||||||||||||||||
Guggenheim Strategy Fund III | 10,279,629 | 1,056,214 | (913,902 | ) | (33,835 | ) | 233,684 | 10,621,790 | �� | 432,659 | 519,249 | |||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 3,742,412 | 207,260 | — | — | 83,572 | 4,033,244 | 409,466 | 207,478 | ||||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 9,931,120 | 544,906 | — | — | 194,904 | 10,670,930 | 435,015 | 545,517 | ||||||||||||||||||||||||
| $ | 28,604,674 | $ | 13,119,976 | $ | (6,370,422 | ) | $ | (12,437 | ) | $ | 636,942 | $ | 35,978,733 | $ | 1,729,874 | |||||||||||||||||
152 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $11,415,957) | $ | 12,807,686 | ||
Investments in affiliated issuers, at value (cost $36,224,088) | 35,978,733 | |||
Segregated cash with broker | 25,000 | |||
Unrealized appreciation on OTC swap agreements | 4,776,102 | |||
Prepaid expenses | 2,697 | |||
Receivables: | ||||
Dividends | 168,025 | |||
Interest | 11,737 | |||
Fund shares sold | 768 | |||
Total assets | 53,770,748 | |||
Liabilities: | ||||
Segregated cash due to broker | 4,280,000 | |||
Payable for: | ||||
Swap settlement | 500,749 | |||
Securities purchased | 168,771 | |||
Management fees | 14,700 | |||
Fund shares redeemed | 12,649 | |||
Distribution and service fees | 10,158 | |||
Fund accounting/administration fees | 2,167 | |||
Transfer agent/maintenance fees | 2,096 | |||
Variation margin on futures contracts | 1,325 | |||
Trustees’ fees* | 1,313 | |||
Miscellaneous | 47,416 | |||
Total liabilities | 5,041,344 | |||
Net assets | $ | 48,729,404 | ||
Net assets consist of: | ||||
Paid in capital | $ | 45,056,639 | ||
Total distributable earnings (loss) | 3,672,765 | |||
Net assets | $ | 48,729,404 | ||
Capital shares outstanding | 2,563,597 | |||
Net asset value per share | $ | 19.01 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $309) | $ | 132,625 | ||
Dividends from securities of affiliated issuers | 1,729,874 | |||
Interest | 85,107 | |||
Total investment income | 1,947,606 | |||
Expenses: | ||||
Management fees | 279,762 | |||
Distribution and service fees | 107,855 | |||
Transfer agent/maintenance fees | 25,083 | |||
Interest expense | 126,414 | |||
Professional fees | 41,834 | |||
Fund accounting/administration fees | 26,384 | |||
Trustees’ fees* | 15,863 | |||
Custodian fees | 12,091 | |||
Line of credit fees | 1,446 | |||
Miscellaneous | 11,243 | |||
Total expenses | 647,975 | |||
Less: | ||||
Expenses reimbursed by Adviser | (2,878 | ) | ||
Expenses waived by Adviser | (137,372 | ) | ||
Earnings credits applied | (1,186 | ) | ||
Total waived/reimbursed expenses | (141,436 | ) | ||
Net expenses | 506,539 | |||
Net investment income | 1,441,067 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 236,811 | |||
Investments in affiliated issuers | (12,437 | ) | ||
Swap agreements | 5,858,008 | |||
Futures contracts | 47,715 | |||
Net realized gain | 6,130,097 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 1,718,012 | |||
Investments in affiliated issuers | 636,942 | |||
Swap agreements | 4,243,515 | |||
Futures contracts | 79,151 | |||
Net change in unrealized appreciation (depreciation) | 6,677,620 | |||
Net realized and unrealized gain | 12,807,717 | |||
Net increase in net assets resulting from operations | $ | 14,248,784 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 153 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 1,441,067 | $ | 588,298 | ||||
Net realized gain (loss) on investments | 6,130,097 | (9,758,413 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 6,677,620 | (8,117,879 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 14,248,784 | (17,287,994 | ) | |||||
Distributions to shareholders | (586,749 | ) | (10,472,266 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 3,844,874 | 2,650,703 | ||||||
Distributions reinvested | 586,749 | 10,472,266 | ||||||
Cost of shares redeemed | (6,425,230 | ) | (6,278,669 | ) | ||||
Net increase (decrease) from capital share transactions | (1,993,607 | ) | 6,844,300 | |||||
Net increase (decrease) in net assets | 11,668,428 | (20,915,960 | ) | |||||
Net assets: | ||||||||
Beginning of year | 37,060,976 | 57,976,936 | ||||||
End of year | $ | 48,729,404 | $ | 37,060,976 | ||||
Capital share activity: | ||||||||
Shares sold | 226,502 | 134,492 | ||||||
Shares issued from reinvestment of distributions | 33,414 | 690,327 | ||||||
Shares redeemed | (389,335 | ) | (329,923 | ) | ||||
Net increase (decrease) in shares | (129,419 | ) | 494,896 | |||||
154 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.76 | $ | 26.38 | $ | 25.79 | $ | 19.82 | $ | 16.47 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .55 | .24 | .09 | .16 | .28 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.92 | (7.87 | ) | 6.51 | 7.07 | 5.13 | ||||||||||||||
Total from investment operations | 5.47 | (7.63 | ) | 6.60 | 7.23 | 5.41 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.22 | ) | (.09 | ) | (.17 | ) | (.28 | ) | (.38 | ) | ||||||||||
Net realized gains | — | (4.90 | ) | (5.84 | ) | (.98 | ) | (1.68 | ) | |||||||||||
Total distributions | (.22 | ) | (4.99 | ) | (6.01 | ) | (1.26 | ) | (2.06 | ) | ||||||||||
Net asset value, end of period | $ | 19.01 | $ | 13.76 | $ | 26.38 | $ | 25.79 | $ | 19.82 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 39.91 | % | (30.69 | %) | 27.77 | % | 37.87 | % | 33.92 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 48,729 | $ | 37,061 | $ | 57,977 | $ | 49,478 | $ | 40,187 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.35 | % | 1.34 | % | 0.34 | % | 0.73 | % | 1.51 | % | ||||||||||
Total expensesc | 1.51 | % | 1.21 | % | 1.20 | % | 1.29 | % | 1.44 | % | ||||||||||
Net expensesd,e | 1.18 | % | 0.92 | % | 0.88 | % | 0.88 | % | 0.97 | % | ||||||||||
Portfolio turnover rate | 57 | % | 65 | % | 40 | % | 66 | % | 47 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
0.88% | 0.89% | 0.87% | 0.88% | 0.90% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 155 |
MANAGERS’ COMMENTARY (Unaudited) | December 31, 2023 |
To Our Shareholders
The Series Z (Alpha Opportunity Series) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer - Equities and Portfolio Manager; Samir Sanghani, CFA, Managing Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2023 (the “Reporting Period”).
For the Reporting Period, the Fund provided a total return of 8.38%, outperforming the ICE BofA 3-Month U.S. Treasury Bill Index (“Index”), the Fund’s benchmark, which returned 5.05% for the same period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
For the Reporting Period, the broad market strongly recovered in a goldilocks environment of slowing inflation with sustained economic strength. The year started as it ended 2022, with interest rates rising, leading to pockets of struggle (for example, several regional banks going bust due to imbalances between their short term and long term liabilities). But by late summer the tone changed. Supply constraints eased, as did many commodity prices (particularly oil & gas). Meanwhile, the drumbeat of calls for a coming recession proved to be wrong (or early perhaps) – with the job market holding fairly steady despite the continued Fed rate increases. ‘Soft Landing’ replaced the term ‘Recession’ in economic news. The last Fed hike was in July, and by the end of 2023, the new consensus was gradual and steady Fed rate cuts in 2024.
As is often the case, the equity markets responded in strange ways. For most of the year, the cap-weighted benchmarks had impressive gains driven by the so-called ‘Magnificent Seven’ megacaps, with AI-related growth being a huge driver for the likes of Microsoft Corp., Nvidia (not held at period end), Alphabet (not held at period end), and Meta Platforms, Inc.. Outside those largest growth companies, returns were much weaker. The large cap value benchmarks, and small cap benchmarks, were all underwater for the year-to-date in late October. As the year closed out with long term rates on the decline, all asset classes held a massive risk-on rally (and particularly the laggards from earlier in the year). Companies with difficult profitability or leverage metrics seemed to rebound the most, as the easing of rates and spreads eased their situations the most.
The Fund had a return of +8.38%, amounting to about +3.33% of outperformance above our cash benchmark return. The overall market gains contributed about +1.1% based on our net long exposure. The realized beta (sensitivity of daily returns to broad stock market moves) was about 0.19 for the year.
Overall fundamental style positioning worked in the Fund’s favor by about +11.9% attribution. Value names had a good year vis-à-vis expensive names, particularly among the small and mid-caps. A bias towards high-quality positions also paid off (mostly early in 2023, before the risk-on rally commenced).
Industry tilts ended with a moderate -1.6% drag. A net long among Health Care names was a drag, as that sector was one of the poorly performing ‘defensive’ sectors (along with Utilities and Staples). On the plus side, the Fund’s net long in the Capital Goods industry was a positive contributor. Security selection (the impact of returns within style and industry groups) was close to neutral with a small -0.8% attribution.
How did the Fund use derivatives during the Reporting Period?
The Fund uses total return swaps to gain exposure to short positions and to attain some leverage on the long side when surpassing 100% long weights. In total, the derivatives have a net negative market exposure, creating a partial market hedge against assets that are invested in long stocks. While the standalone performance of derivatives was negative for the Reporting Period as the market rose significantly, the partial market hedge performed as expected.
How was the Fund positioned at the end of the Reporting Period?
At Reporting Period end, the Fund held about 155% of assets in long securities, and 109% short, for a net-dollar exposure of 46%. Because the long side exposure holds higher quality and more defensive sectors, while the short side focuses on higher risk names, the actual expected net ‘beta’ of the fund is in the 0.10 to 0.15 range.
156 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | December 31, 2023 |
The Fund maintains its style bias towards cheaper valuation names. Our bias towards higher profitability and low stock volatility remains. The Fund is slightly short the growth factor, but that bias is closer to neutral than in years past.
From an industry perspective, the Fund’s largest net long sectors are IT, Health Care, and Consumer Discretionary, with our names mostly focused on cheaper and higher-cash-flow-generating groups within those otherwise growth-oriented sectors. The largest net short exposures are Real Estate, and Materials. Notably, the Fund has flipped to a net short exposure in the Materials sector – including many chemicals and mining names.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 157 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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 |
Toll Brothers, Inc. | 1.1% |
Incyte Corp. | 1.1% |
Viatris, Inc. | 1.1% |
Boise Cascade Co. | 1.1% |
QUALCOMM, Inc. | 1.1% |
Acuity Brands, Inc. | 1.1% |
Ambac Financial Group, Inc. | 1.1% |
MGIC Investment Corp. | 1.0% |
InterDigital, Inc. | 1.0% |
Essent Group Ltd. | 1.0% |
Top Ten Total | 10.7% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. | |
158 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Series Z (Alpha Opportunity Series) | 8.38% | 1.99% | 2.09% |
Morningstar Long/Short Equity Category Average | 9.28% | 5.29% | 3.25% |
ICE BofA 3-Month U.S. Treasury Bill Index | 5.05% | 1.89% | 1.26% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The ICE BofA 3-Month U.S. Treasury Bill Index 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. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 159 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
| Shares | Value | ||||||
COMMON STOCKS† - 100.8% | ||||||||
Industrial - 19.6% | ||||||||
Boise Cascade Co.1 | 292 | $ | 37,773 | |||||
Acuity Brands, Inc.1 | 183 | 37,484 | ||||||
Middleby Corp.* | 243 | 35,762 | ||||||
Donaldson Company, Inc.1 | 546 | 35,681 | ||||||
TD SYNNEX Corp.1 | 328 | 35,296 | ||||||
Snap-on, Inc. | 120 | 34,661 | ||||||
Apogee Enterprises, Inc.1 | 614 | 32,794 | ||||||
International Seaways, Inc. | 628 | 28,561 | ||||||
Terex Corp.1 | 497 | 28,558 | ||||||
Carlisle Companies, Inc. | 87 | 27,181 | ||||||
Garmin Ltd. | 205 | 26,351 | ||||||
Mueller Industries, Inc. | 549 | 25,885 | ||||||
Brady Corp. — Class A | 427 | 25,061 | ||||||
Teekay Corp.* | 3,078 | 22,008 | ||||||
AGCO Corp. | 178 | 21,611 | ||||||
UFP Industries, Inc.1 | 152 | 19,084 | ||||||
Encore Wire Corp.1 | 83 | 17,729 | ||||||
Owens Corning | 119 | 17,639 | ||||||
Scorpio Tankers, Inc. | 278 | 16,902 | ||||||
Argan, Inc.1 | 356 | 16,657 | ||||||
Keysight Technologies, Inc.* | 103 | 16,386 | ||||||
Ardmore Shipping Corp. | 1,032 | 14,541 | ||||||
Huntington Ingalls Industries, Inc. | 55 | 14,280 | ||||||
EnerSys | 140 | 14,134 | ||||||
Atkore, Inc.* | 87 | 13,920 | ||||||
Teekay Tankers Ltd. — Class A | 246 | 12,293 | ||||||
Vontier Corp. | 348 | 12,023 | ||||||
Lindsay Corp. | 79 | 10,204 | ||||||
Builders FirstSource, Inc.* | 60 | 10,016 | ||||||
Griffon Corp. | 145 | 8,838 | ||||||
A O Smith Corp. | 101 | 8,327 | ||||||
Insteel Industries, Inc. | 189 | 7,237 | ||||||
Total Industrial | 684,877 | |||||||
Consumer, Cyclical - 18.5% | ||||||||
Toll Brothers, Inc.1 | 384 | 39,424 | ||||||
NVR, Inc.* | 5 | 35,002 | ||||||
Allison Transmission Holdings, Inc.1 | 601 | 34,948 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 343 | 34,732 | ||||||
Meritage Homes Corp. | 198 | 34,492 | ||||||
DR Horton, Inc. | 226 | 34,347 | ||||||
PulteGroup, Inc.1 | 325 | 33,547 | ||||||
Brunswick Corp.1 | 346 | 33,475 | ||||||
Starbucks Corp. | 345 | 33,123 | ||||||
Cummins, Inc. | 121 | 28,988 | ||||||
Monarch Casino & Resort, Inc. | 381 | 26,346 | ||||||
M/I Homes, Inc.* | 186 | 25,620 | ||||||
Polaris, Inc. | 262 | 24,830 | ||||||
Standard Motor Products, Inc. | 594 | 23,647 | ||||||
KB Home | 328 | 20,487 | ||||||
Taylor Morrison Home Corp. — Class A*,1 | 352 | 18,779 | ||||||
Lennar Corp. — Class A1 | 126 | 18,779 | ||||||
AutoNation, Inc.* | 116 | 17,421 | ||||||
PACCAR, Inc. | 175 | 17,089 | ||||||
General Motors Co. | 425 | 15,266 | ||||||
Gentex Corp. | 455 | 14,860 | ||||||
Tri Pointe Homes, Inc.*,1 | 336 | 11,894 | ||||||
BorgWarner, Inc. | 282 | 10,110 | ||||||
MasterCraft Boat Holdings, Inc.* | 437 | 9,894 | ||||||
Patrick Industries, Inc. | 96 | 9,634 | ||||||
Malibu Boats, Inc. — Class A* | 174 | 9,539 | ||||||
Golden Entertainment, Inc. | 215 | 8,585 | ||||||
Ethan Allen Interiors, Inc.1 | 244 | 7,788 | ||||||
Home Depot, Inc.1 | 21 | 7,278 | ||||||
Caleres, Inc. | 215 | 6,607 | ||||||
Total Consumer, Cyclical | 646,531 | |||||||
Consumer, Non-cyclical - 16.9% | ||||||||
Incyte Corp.*,1 | 606 | 38,051 | ||||||
Viatris, Inc. | 3,510 | 38,013 | ||||||
Gilead Sciences, Inc.1 | 432 | 34,996 | ||||||
Merck & Company, Inc. | 319 | 34,777 | ||||||
Ingredion, Inc. | 315 | 34,187 | ||||||
Hologic, Inc.* | 474 | 33,867 | ||||||
Johnson & Johnson | 211 | 33,072 | ||||||
Bristol-Myers Squibb Co.1 | 636 | 32,633 | ||||||
Pfizer, Inc.1 | 1,078 | 31,036 | ||||||
Innoviva, Inc.* | 1,674 | 26,851 | ||||||
Premier, Inc. — Class A | 1,095 | 24,484 | ||||||
Exelixis, Inc.*,1 | 890 | 21,351 | ||||||
Biogen, Inc.* | 81 | 20,960 | ||||||
United Therapeutics Corp.*,1 | 94 | 20,670 | ||||||
Perdoceo Education Corp. | 1,003 | 17,613 | ||||||
Dynavax Technologies Corp.*,1 | 1,224 | 17,112 | ||||||
Royalty Pharma plc — Class A | 606 | 17,023 | ||||||
PayPal Holdings, Inc.*,1 | 188 | 11,545 | ||||||
Molina Healthcare, Inc.* | 31 | 11,200 | ||||||
Humana, Inc.1 | 23 | 10,530 | ||||||
Centene Corp.* | 134 | 9,944 | ||||||
Baxter International, Inc. | 257 | 9,936 | ||||||
Cross Country Healthcare, Inc.*,1 | 410 | 9,282 | ||||||
Organon & Co. | 571 | 8,234 | ||||||
Neurocrine Biosciences, Inc.* | 58 | 7,642 | ||||||
Alarm.com Holdings, Inc.* | 118 | 7,625 | ||||||
Thermo Fisher Scientific, Inc. | 14 | 7,431 | ||||||
Alkermes plc* | 259 | 7,185 | ||||||
Supernus Pharmaceuticals, Inc.* | 240 | 6,946 | ||||||
Halozyme Therapeutics, Inc.* | 166 | 6,135 | ||||||
Total Consumer, Non-cyclical | 590,331 | |||||||
Communications - 12.6% | ||||||||
InterDigital, Inc. | 331 | 35,927 | ||||||
Cisco Systems, Inc.1 | 701 | 35,414 | ||||||
Yelp, Inc. — Class A*,1 | 743 | 35,174 | ||||||
Fox Corp. — Class A1 | 1,063 | 31,539 | ||||||
Juniper Networks, Inc.1 | 1,048 | 30,895 | ||||||
VeriSign, Inc.*,1 | 148 | 30,482 | ||||||
T-Mobile US, Inc. | 190 | 30,463 | ||||||
AT&T, Inc.1 | 1,746 | 29,298 | ||||||
Verizon Communications, Inc.1 | 761 | 28,690 | ||||||
160 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
| Shares | Value | ||||||
TEGNA, Inc. | 1,673 | $ | 25,597 | |||||
IDT Corp. — Class B*,1 | 639 | 21,783 | ||||||
eBay, Inc. | 414 | 18,059 | ||||||
Meta Platforms, Inc. — Class A* | 48 | 16,990 | ||||||
Ooma, Inc.* | 1,247 | 13,380 | ||||||
Shutterstock, Inc. | 276 | 13,325 | ||||||
Ciena Corp.* | 260 | 11,702 | ||||||
Gogo, Inc.* | 992 | 10,049 | ||||||
Cargurus, Inc.* | 306 | 7,393 | ||||||
Spok Holdings, Inc. | 464 | 7,183 | ||||||
A10 Networks, Inc.1 | 529 | 6,967 | ||||||
Total Communications | 440,310 | |||||||
Technology - 10.0% | ||||||||
QUALCOMM, Inc. | 261 | 37,748 | ||||||
Amdocs Ltd. | 394 | 34,629 | ||||||
International Business Machines Corp.1 | 209 | 34,182 | ||||||
Dropbox, Inc. — Class A*,1 | 979 | 28,861 | ||||||
Cirrus Logic, Inc.* | 303 | 25,207 | ||||||
Genpact Ltd. | 699 | 24,262 | ||||||
Microsoft Corp. | 56 | 21,058 | ||||||
Photronics, Inc.* | 644 | 20,202 | ||||||
Immersion Corp.1 | 2,801 | 19,775 | ||||||
Hewlett Packard Enterprise Co.1 | 1,118 | 18,983 | ||||||
Insight Enterprises, Inc.* | 93 | 16,479 | ||||||
Skyworks Solutions, Inc. | 144 | 16,188 | ||||||
Amkor Technology, Inc. | 287 | 9,549 | ||||||
Applied Materials, Inc. | 57 | 9,238 | ||||||
NetApp, Inc. | 104 | 9,169 | ||||||
Veradigm, Inc.*,1 | 839 | 8,801 | ||||||
Bandwidth, Inc. — Class A* | 580 | 8,393 | ||||||
DXC Technology Co.* | 284 | 6,495 | ||||||
Total Technology | 349,219 | |||||||
Financial - 9.3% | ||||||||
Ambac Financial Group, Inc.*,1 | 2,262 | 37,278 | ||||||
MGIC Investment Corp.1 | 1,885 | 36,361 | ||||||
Essent Group Ltd. | 681 | 35,916 | ||||||
Radian Group, Inc. | 1,242 | 35,459 | ||||||
Equity Commonwealth REIT | 1,754 | 33,677 | ||||||
Interactive Brokers Group, Inc. — Class A | 285 | 23,627 | ||||||
International Bancshares Corp. | 356 | 19,338 | ||||||
Jackson Financial, Inc. — Class A | 369 | 18,893 | ||||||
Walker & Dunlop, Inc. | 159 | 17,651 | ||||||
Enact Holdings, Inc.1 | 600 | 17,334 | ||||||
SouthState Corp. | 203 | 17,143 | ||||||
Mr Cooper Group, Inc.* | 227 | 14,782 | ||||||
Affiliated Managers Group, Inc. | 59 | 8,934 | ||||||
Preferred Bank/Los Angeles CA | 103 | 7,524 | ||||||
Total Financial | 323,917 | |||||||
Energy - 6.3% | ||||||||
Valero Energy Corp.1 | 267 | 34,710 | ||||||
Marathon Petroleum Corp.1 | 224 | 33,233 | ||||||
EOG Resources, Inc. | 273 | 33,019 | ||||||
Cheniere Energy, Inc. | 170 | 29,021 | ||||||
CNX Resources Corp.*,1 | 828 | 16,560 | ||||||
PBF Energy, Inc. — Class A | 360 | 15,825 | ||||||
Liberty Energy, Inc. — Class A | 856 | 15,528 | ||||||
CVR Energy, Inc.1 | 490 | 14,847 | ||||||
SandRidge Energy, Inc. | 910 | 12,440 | ||||||
NOW, Inc.* | 656 | 7,426 | ||||||
SolarEdge Technologies, Inc.* | 79 | 7,394 | ||||||
Total Energy | 220,003 | |||||||
Utilities - 5.7% | ||||||||
PPL Corp. | 1,264 | 34,254 | ||||||
Atmos Energy Corp. | 293 | 33,959 | ||||||
Evergy, Inc. | 648 | 33,826 | ||||||
Xcel Energy, Inc.1 | 544 | 33,679 | ||||||
National Fuel Gas Co.1 | 652 | 32,711 | ||||||
Public Service Enterprise Group, Inc.1 | 526 | 32,165 | ||||||
Total Utilities | 200,594 | |||||||
Basic Materials - 1.4% | ||||||||
NewMarket Corp.1 | 63 | 34,387 | ||||||
Sylvamo Corp. | 269 | 13,211 | ||||||
Total Basic Materials | 47,598 | |||||||
Government - 0.5% | ||||||||
Banco Latinoamericano de Comercio Exterior S.A. — Class E | 643 | 15,908 | ||||||
Total Common Stocks | ||||||||
(Cost $3,220,667) | 3,519,288 | |||||||
MONEY MARKET FUND† - 4.0% | ||||||||
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 5.21%2 | 139,354 | 139,354 | ||||||
Total Money Market Fund | ||||||||
(Cost $139,354) | 139,354 | |||||||
Total Investments - 104.8% | ||||||||
(Cost $3,360,021) | $ | 3,658,642 | ||||||
Other Assets & Liabilities, net - (4.8)% | (168,961 | ) | ||||||
Total Net Assets - 100.0% | $ | 3,489,681 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 161 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
Custom Basket Swap Agreements | |||||||||||||||||||
Counterparty | Reference Obligation | Type | Financing | Payment | Maturity | Notional | Value and | ||||||||||||
OTC Custom Basket Swap Agreements†† | |||||||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | 5.73% (Federal | At Maturity | 11/01/24 | $ | 923,893 | $ | 90,586 | ||||||||||
Goldman Sachs International | GS Equity Custom Basket | Pay | 5.78% (Federal | At Maturity | 05/06/24 | 891,211 | 89,642 | ||||||||||||
| $ | 1,815,104 | $ | 180,228 | ||||||||||||||||
OTC Custom Basket Swap Agreements Sold Short†† | |||||||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Receive | 5.03% (Federal | At Maturity | 11/01/24 | $ | 1,870,797 | $ | (127,550 | ) | |||||||||
Goldman Sachs International | GS Equity Custom Basket | Receive | 5.13% (Federal | At Maturity | 05/06/24 | 1,870,817 | (128,717 | ) | |||||||||||
| $ | 3,741,614 | $ | (256,267 | ) | |||||||||||||||
| Shares | Percentage | Value and | |||||||||
MS EQUITY LONG CUSTOM BASKET | ||||||||||||
Industrial | ||||||||||||
Boise Cascade Co. | 75 | 1.05 | % | $ | 3,956 | |||||||
Mueller Industries, Inc. | 141 | 0.72 | % | 2,159 | ||||||||
Snap-on, Inc. | 31 | 0.97 | % | 2,085 | ||||||||
Acuity Brands, Inc. | 47 | 1.04 | % | 1,683 | ||||||||
UFP Industries, Inc. | 39 | 0.53 | % | 1,613 | ||||||||
TD SYNNEX Corp. | 84 | 0.98 | % | 1,109 | ||||||||
Terex Corp. | 128 | 0.80 | % | 1,094 | ||||||||
Encore Wire Corp. | 21 | 0.49 | % | 974 | ||||||||
Scorpio Tankers, Inc. | 72 | 0.47 | % | 926 | ||||||||
Apogee Enterprises, Inc. | 158 | 0.91 | % | 922 | ||||||||
Owens Corning | 31 | 0.50 | % | 904 | ||||||||
Donaldson Company, Inc. | 141 | 1.00 | % | 878 | ||||||||
Middleby Corp. | 63 | 1.00 | % | 852 | ||||||||
Teekay Corp. | 793 | 0.61 | % | 683 | ||||||||
Builders FirstSource, Inc. | 15 | 0.27 | % | 670 | ||||||||
Atkore, Inc. | 22 | 0.38 | % | 645 | ||||||||
Teekay Tankers Ltd. — Class A | 63 | 0.34 | % | 622 | ||||||||
Argan, Inc. | 92 | 0.47 | % | 586 | ||||||||
Keysight Technologies, Inc. | 26 | 0.45 | % | 565 | ||||||||
International Seaways, Inc. | 162 | 0.80 | % | 539 | ||||||||
Ardmore Shipping Corp. | 266 | 0.41 | % | 507 | ||||||||
Carlisle Companies, Inc. | 22 | 0.74 | % | 479 | ||||||||
Griffon Corp. | 37 | 0.24 | % | 424 | ||||||||
EnerSys | 36 | 0.39 | % | 341 | ||||||||
Huntington Ingalls Industries, Inc. | 14 | 0.39 | % | 265 | ||||||||
Insteel Industries, Inc. | 49 | 0.20 | % | 259 | ||||||||
Garmin Ltd. | 53 | 0.74 | % | 231 | ||||||||
Brady Corp. — Class A | 110 | 0.70 | % | 187 | ||||||||
AGCO Corp. | 46 | 0.60 | % | 159 | ||||||||
A O Smith Corp. | 26 | 0.23 | % | 141 | ||||||||
Vontier Corp. | 90 | 0.34 | % | 26 | ||||||||
Lindsay Corp. | 20 | 0.28 | % | (204 | ) | |||||||
Total Industrial | 26,280 | |||||||||||
Communications | ||||||||||||
InterDigital, Inc. | 85 | 1.00 | % | 2,259 | ||||||||
IDT Corp. — Class B | 165 | 0.61 | % | 1,724 | ||||||||
AT&T, Inc. | 450 | 0.82 | % | 870 | ||||||||
Yelp, Inc. — Class A | 191 | 0.98 | % | 722 | ||||||||
T-Mobile US, Inc. | 49 | 0.85 | % | 690 | ||||||||
Verizon Communications, Inc. | 196 | 0.80 | % | 626 | ||||||||
Juniper Networks, Inc. | 270 | 0.86 | % | 592 | ||||||||
eBay, Inc. | 107 | 0.51 | % | 493 | ||||||||
Meta Platforms, Inc. — Class A | 12 | 0.46 | % | 489 | ||||||||
Shutterstock, Inc. | 71 | 0.37 | % | 471 | ||||||||
A10 Networks, Inc. | 136 | 0.19 | % | 214 | ||||||||
Cargurus, Inc. | 79 | 0.21 | % | 177 | ||||||||
Cisco Systems, Inc. | 181 | 0.99 | % | 28 | ||||||||
TEGNA, Inc. | 431 | 0.71 | % | 21 | ||||||||
Gogo, Inc. | 256 | 0.28 | % | (109 | ) | |||||||
Ciena Corp. | 67 | 0.33 | % | (122 | ) | |||||||
Spok Holdings, Inc. | 120 | 0.20 | % | (134 | ) | |||||||
VeriSign, Inc. | 38 | 0.85 | % | (160 | ) | |||||||
Fox Corp. — Class A | 312 | 1.00 | % | (323 | ) | |||||||
Ooma, Inc. | 321 | 0.37 | % | (385 | ) | |||||||
Total Communications | 8,143 | |||||||||||
162 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
| Shares | Percentage | Value and | |||||||||
Financial | ||||||||||||
MGIC Investment Corp. | 486 | 1.01 | % | $ | 2,390 | |||||||
Ambac Financial Group, Inc. | 583 | 1.04 | % | 1,986 | ||||||||
Essent Group Ltd. | 175 | 1.00 | % | 1,568 | ||||||||
SouthState Corp. | 52 | 0.48 | % | 950 | ||||||||
International Bancshares Corp. | 92 | 0.54 | % | 903 | ||||||||
Walker & Dunlop, Inc. | 41 | 0.49 | % | 821 | ||||||||
Radian Group, Inc. | 320 | 0.99 | % | 771 | ||||||||
Preferred Bank/Los Angeles CA | 26 | 0.21 | % | 700 | ||||||||
Jackson Financial, Inc. — Class A | 95 | 0.53 | % | 281 | ||||||||
Interactive Brokers Group, Inc. — Class A | 73 | 0.66 | % | 277 | ||||||||
Affiliated Managers Group, Inc. | 15 | 0.25 | % | 211 | ||||||||
Enact Holdings, Inc. | 155 | 0.48 | % | 149 | ||||||||
Mr Cooper Group, Inc. | 58 | 0.41 | % | 122 | ||||||||
Equity Commonwealth | 452 | 0.94 | % | 13 | ||||||||
Total Financial | 11,142 | |||||||||||
Consumer, Non-cyclical | ||||||||||||
Perdoceo Education Corp. | 258 | 0.49 | % | 1,812 | ||||||||
Innoviva, Inc. | 431 | 0.75 | % | 1,704 | ||||||||
Exelixis, Inc. | 229 | 0.59 | % | 1,526 | ||||||||
Viatris, Inc. | 904 | 1.06 | % | 1,051 | ||||||||
Dynavax Technologies Corp. | 315 | 0.48 | % | 658 | ||||||||
Premier, Inc. — Class A | 282 | 0.68 | % | 574 | ||||||||
Merck & Company, Inc. | 82 | 0.97 | % | 465 | ||||||||
Biogen, Inc. | 21 | 0.59 | % | 458 | ||||||||
Gilead Sciences, Inc. | 111 | 0.97 | % | 331 | ||||||||
Neurocrine Biosciences, Inc. | 15 | 0.21 | % | 232 | ||||||||
Alarm.com Holdings, Inc. | 31 | 0.22 | % | 231 | ||||||||
Molina Healthcare, Inc. | 8 | 0.31 | % | 203 | ||||||||
Ingredion, Inc. | 81 | 0.95 | % | 196 | ||||||||
Centene Corp. | 35 | 0.28 | % | 191 | ||||||||
Alkermes plc | 67 | 0.20 | % | 168 | ||||||||
Hologic, Inc. | 122 | 0.94 | % | 133 | ||||||||
Baxter International, Inc. | 66 | 0.28 | % | 117 | ||||||||
PayPal Holdings, Inc. | 48 | 0.32 | % | 103 | ||||||||
Thermo Fisher Scientific, Inc. | 3 | 0.17 | % | 101 | ||||||||
Supernus Pharmaceuticals, Inc. | 62 | 0.19 | % | 55 | ||||||||
Humana, Inc. | 6 | 0.30 | % | (56 | ) | |||||||
Cross Country Healthcare, Inc. | 106 | 0.26 | % | (83 | ) | |||||||
United Therapeutics Corp. | 24 | 0.57 | % | (85 | ) | |||||||
Johnson & Johnson | 54 | 0.92 | % | (123 | ) | |||||||
Halozyme Therapeutics, Inc. | 43 | 0.17 | % | (130 | ) | |||||||
Royalty Pharma plc — Class A | 156 | 0.47 | % | (217 | ) | |||||||
Incyte Corp. | 156 | 1.06 | % | (278 | ) | |||||||
Organon & Co. | 147 | 0.23 | % | (357 | ) | |||||||
Pfizer, Inc. | 320 | 1.00 | % | (755 | ) | |||||||
Bristol-Myers Squibb Co. | 184 | 1.02 | % | (1,697 | ) | |||||||
Total Consumer, Non-cyclical | 6,528 | |||||||||||
Consumer, Cyclical | ||||||||||||
Toll Brothers, Inc. | 99 | 1.10 | % | 3,076 | ||||||||
Meritage Homes Corp. | 51 | 0.96 | % | 2,470 | ||||||||
M/I Homes, Inc. | 48 | 0.72 | % | 2,419 | ||||||||
PulteGroup, Inc. | 84 | 0.94 | % | 2,138 | ||||||||
Allison Transmission Holdings, Inc. | 155 | 0.98 | % | 2,082 | ||||||||
DR Horton, Inc. | 58 | 0.95 | % | 1,932 | ||||||||
Brunswick Corp. | 89 | 0.93 | % | 1,812 | ||||||||
MSC Industrial Direct Company, Inc. — Class A | 88 | 0.96 | % | 1,221 | ||||||||
KB Home | 85 | 0.57 | % | 1,176 | ||||||||
Lennar Corp. — Class A | 33 | 0.53 | % | 1,077 | ||||||||
Taylor Morrison Home Corp. — Class A | 91 | 0.53 | % | 993 | ||||||||
NVR, Inc. | 1 | 0.76 | % | 928 | ||||||||
Tri Pointe Homes, Inc. | 86 | 0.33 | % | 652 | ||||||||
Standard Motor Products, Inc. | 153 | 0.66 | % | 617 | ||||||||
PACCAR, Inc. | 45 | 0.48 | % | 602 | ||||||||
Cummins, Inc. | 62 | 1.61 | % | 589 | ||||||||
Patrick Industries, Inc. | 25 | 0.27 | % | 351 | ||||||||
AutoNation, Inc. | 30 | 0.49 | % | 337 | ||||||||
Monarch Casino & Resort, Inc. | 98 | 0.73 | % | 320 | ||||||||
General Motors Co. | 109 | 0.42 | % | 289 | ||||||||
Home Depot, Inc. | 5 | 0.19 | % | 271 | ||||||||
Ethan Allen Interiors, Inc. | 63 | 0.22 | % | 233 | ||||||||
Gentex Corp. | 117 | 0.41 | % | 198 | ||||||||
Golden Entertainment, Inc. | 55 | 0.24 | % | 142 | ||||||||
BorgWarner, Inc. | 73 | 0.28 | % | 104 | ||||||||
Malibu Boats, Inc. — Class A | 45 | 0.27 | % | 63 | ||||||||
Caleres, Inc. | 55 | 0.18 | % | (48 | ) | |||||||
Starbucks Corp. | 89 | 0.92 | % | (151 | ) | |||||||
MasterCraft Boat Holdings, Inc. | 113 | 0.28 | % | (168 | ) | |||||||
Polaris, Inc. | 67 | 0.69 | % | (950 | ) | |||||||
Total Consumer, Cyclical | 24,775 | |||||||||||
Technology | ||||||||||||
Photronics, Inc. | 166 | 0.56 | % | 1,819 | ||||||||
International Business Machines Corp. | 54 | 0.96 | % | 1,069 | ||||||||
QUALCOMM, Inc. | 67 | 1.05 | % | 1,024 | ||||||||
Skyworks Solutions, Inc. | 37 | 0.45 | % | 850 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 163 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
| Shares | Percentage | Value and | |||||||||
Amdocs Ltd. | 102 | 0.97 | % | $ | 639 | |||||||
Dropbox, Inc. — Class A | 252 | 0.80 | % | 508 | ||||||||
Cirrus Logic, Inc. | 78 | 0.70 | % | 494 | ||||||||
Hewlett Packard Enterprise Co. | 288 | 0.53 | % | 403 | ||||||||
Microsoft Corp. | 15 | 0.61 | % | 402 | ||||||||
Bandwidth, Inc. — Class A | 149 | 0.23 | % | 396 | ||||||||
Amkor Technology, Inc. | 74 | 0.27 | % | 362 | ||||||||
Insight Enterprises, Inc. | 24 | 0.46 | % | 278 | ||||||||
Applied Materials, Inc. | 15 | 0.26 | % | 218 | ||||||||
Immersion Corp. | 722 | 0.55 | % | 147 | ||||||||
Genpact Ltd. | 180 | 0.68 | % | (19 | ) | |||||||
NetApp, Inc. | 27 | 0.26 | % | (53 | ) | |||||||
DXC Technology Co. | 73 | 0.18 | % | (62 | ) | |||||||
Veradigm, Inc. | 216 | 0.25 | % | (470 | ) | |||||||
Total Technology | 8,005 | |||||||||||
Utilities | ||||||||||||
Evergy, Inc. | 334 | 1.89 | % | 468 | ||||||||
Public Service Enterprise Group, Inc. | 135 | 0.89 | % | 336 | ||||||||
Atmos Energy Corp. | 75 | 0.94 | % | 302 | ||||||||
PPL Corp. | 326 | 0.96 | % | 205 | ||||||||
Xcel Energy, Inc. | 140 | 0.94 | % | 90 | ||||||||
National Fuel Gas Co. | 168 | 0.91 | % | (729 | ) | |||||||
Total Utilities | 672 | |||||||||||
Energy | ||||||||||||
Marathon Petroleum Corp. | 58 | 0.93 | % | 1,039 | ||||||||
Cheniere Energy, Inc. | 44 | 0.81 | % | 784 | ||||||||
Valero Energy Corp. | 69 | 0.97 | % | 766 | ||||||||
PBF Energy, Inc. — Class A | 93 | 0.44 | % | 245 | ||||||||
SolarEdge Technologies, Inc. | 20 | 0.20 | % | 171 | ||||||||
NOW, Inc. | 169 | 0.21 | % | 131 | ||||||||
EOG Resources, Inc. | 70 | 0.92 | % | (143 | ) | |||||||
CVR Energy, Inc. | 126 | 0.41 | % | (156 | ) | |||||||
Liberty Energy, Inc. — Class A | 220 | 0.43 | % | (429 | ) | |||||||
CNX Resources Corp. | 213 | 0.46 | % | (469 | ) | |||||||
SandRidge Energy, Inc. | 234 | 0.35 | % | (490 | ) | |||||||
Total Energy | 1,449 | |||||||||||
Basic Materials | ||||||||||||
NewMarket Corp. | 16 | 0.95 | % | 3,291 | ||||||||
Sylvamo Corp. | 69 | 0.37 | % | (231 | ) | |||||||
Total Basic Materials | 3,060 | |||||||||||
Government | ||||||||||||
Banco Latinoamericano de Comercio Exterior S.A. — Class E | 202 | 0.54 | % | 532 | ||||||||
Total MS Equity Long Custom Basket | $ | 90,586 | ||||||||||
MS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Utilities | ||||||||||||
AES Corp. | 1,411 | (1.45 | )% | 2,246 | ||||||||
Portland General Electric Co. | 599 | (1.39 | )% | 2,052 | ||||||||
California Water Service Group | 485 | (1.34 | )% | (494 | ) | |||||||
PG&E Corp. | 1,449 | (1.40 | )% | (1,007 | ) | |||||||
Southwest Gas Holdings, Inc. | 415 | (1.41 | )% | (1,582 | ) | |||||||
Eversource Energy | 416 | (1.37 | )% | (2,005 | ) | |||||||
UGI Corp. | 1,114 | (1.46 | )% | (2,147 | ) | |||||||
Total Utilities | (2,937 | ) | ||||||||||
Consumer, Non-cyclical | ||||||||||||
TreeHouse Foods, Inc. | 526 | (1.17 | )% | 3,084 | ||||||||
Avis Budget Group, Inc. | 53 | (0.50 | )% | 939 | ||||||||
Grocery Outlet Holding Corp. | 316 | (0.46 | )% | 717 | ||||||||
Clorox Co. | 126 | (0.96 | )% | 161 | ||||||||
Utz Brands, Inc. | 1,142 | (0.99 | )% | (755 | ) | |||||||
Booz Allen Hamilton Holding Corp. | 100 | (0.68 | )% | (1,051 | ) | |||||||
RB Global, Inc. | 255 | (0.91 | )% | (1,246 | ) | |||||||
ICF International, Inc. | 60 | (0.43 | )% | (1,513 | ) | |||||||
Cintas Corp. | 32 | (1.03 | )% | (1,580 | ) | |||||||
Insmed, Inc. | 435 | (0.72 | )% | (1,842 | ) | |||||||
U-Haul Holding Co. | 140 | (0.54 | )% | (1,854 | ) | |||||||
TransUnion | 222 | (0.82 | )% | (1,919 | ) | |||||||
Neogen Corp. | 1,026 | (1.10 | )% | (2,507 | ) | |||||||
Affirm Holdings, Inc. | 111 | (0.29 | )% | (2,724 | ) | |||||||
Pilgrim’s Pride Corp. | 875 | (1.29 | )% | (3,217 | ) | |||||||
Rollins, Inc. | 573 | (1.34 | )% | (3,420 | ) | |||||||
Equifax, Inc. | 114 | (1.51 | )% | (5,455 | ) | |||||||
Total Consumer, Non-cyclical | (24,182 | ) | ||||||||||
Financial | ||||||||||||
Kennedy-Wilson Holdings, Inc. | 2,118 | (1.40 | )% | 8,116 | ||||||||
Sun Communities, Inc. | 167 | (1.19 | )% | 6,859 | ||||||||
Americold Realty Trust, Inc. | 762 | (1.23 | )% | 2,937 | ||||||||
American Tower Corp. — Class A | 74 | (0.85 | )% | 2,140 | ||||||||
Rexford Industrial Realty, Inc. | 341 | (1.02 | )% | 1,845 | ||||||||
New York Mortgage Trust, Inc. | 1,837 | (0.84 | )% | 1,059 | ||||||||
Raymond James Financial, Inc. | 161 | (0.96 | )% | 626 | ||||||||
UMH Properties, Inc. | 982 | (0.80 | )% | 364 | ||||||||
Ellington Financial, Inc. | 1,231 | (0.84 | )% | 298 | ||||||||
Equinix, Inc. | 26 | (1.12 | )% | 39 | ||||||||
COPT Defense Properties | 200 | (0.27 | )% | (21 | ) | |||||||
Alexander & Baldwin, Inc. | 820 | (0.83 | )% | (166 | ) | |||||||
Veris Residential, Inc. | 654 | (0.55 | )% | (374 | ) | |||||||
164 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
| Shares | Percentage | Value and | |||||||||
Invitation Homes, Inc. | 287 | (0.52 | )% | $ | (605 | ) | ||||||
Rayonier, Inc. | 431 | (0.77 | )% | (936 | ) | |||||||
Apartment Investment and Management Co. — Class A | 1,819 | (0.76 | )% | (1,124 | ) | |||||||
PotlatchDeltic Corp. | 377 | (0.99 | )% | (1,171 | ) | |||||||
Ventas, Inc. | 186 | (0.50 | )% | (1,422 | ) | |||||||
Digital Realty Trust, Inc. | 130 | (0.94 | )% | (1,615 | ) | |||||||
Brighthouse Financial, Inc. | 476 | (1.35 | )% | (1,686 | ) | |||||||
Air Lease Corp. — Class A | 361 | (0.81 | )% | (2,196 | ) | |||||||
BOK Financial Corp. | 333 | (1.52 | )% | (2,396 | ) | |||||||
Carlyle Group, Inc. | 472 | (1.03 | )% | (2,494 | ) | |||||||
TFS Financial Corp. | 1,842 | (1.45 | )% | (2,902 | ) | |||||||
Welltower, Inc. | 246 | (1.19 | )% | (2,913 | ) | |||||||
Citigroup, Inc. | 411 | (1.13 | )% | (3,049 | ) | |||||||
Marcus & Millichap, Inc. | 479 | (1.12 | )% | (3,791 | ) | |||||||
Jones Lang LaSalle, Inc. | 123 | (1.24 | )% | (3,967 | ) | |||||||
Howard Hughes Holdings, Inc. | 292 | (1.34 | )% | (4,867 | ) | |||||||
Popular, Inc. | 330 | (1.45 | )% | (5,010 | ) | |||||||
CBRE Group, Inc. — Class A | 311 | (1.55 | )% | (6,680 | ) | |||||||
PennyMac Financial Services, Inc. | 266 | (1.26 | )% | (6,744 | ) | |||||||
KKR & Company, Inc. — Class A | 338 | (1.50 | )% | (8,718 | ) | |||||||
Total Financial | (40,564 | ) | ||||||||||
Basic Materials | ||||||||||||
Piedmont Lithium, Inc. | 573 | (0.86 | )% | 7,475 | ||||||||
Hecla Mining Co. | 2,563 | (0.66 | )% | 2,682 | ||||||||
Kaiser Aluminum Corp. | 215 | (0.82 | )% | 1,341 | ||||||||
Novagold Resources, Inc. | 3,379 | (0.68 | )% | 1,318 | ||||||||
Compass Minerals International, Inc. | 320 | (0.43 | )% | (218 | ) | |||||||
Tronox Holdings plc — Class A | 725 | (0.55 | )% | (582 | ) | |||||||
ATI, Inc. | 203 | (0.49 | )% | (647 | ) | |||||||
Schnitzer Steel Industries, Inc. — Class A | 279 | (0.45 | )% | (1,043 | ) | |||||||
Linde plc | 62 | (1.36 | )% | (1,301 | ) | |||||||
Element Solutions, Inc. | 781 | (0.97 | )% | (1,713 | ) | |||||||
Celanese Corp. — Class A | 145 | (1.20 | )% | (1,977 | ) | |||||||
Chemours Co. | 476 | (0.80 | )% | (2,574 | ) | |||||||
Ecolab, Inc. | 108 | (1.15 | )% | (2,988 | ) | |||||||
Carpenter Technology Corp. | 166 | (0.63 | )% | (4,070 | ) | |||||||
Stepan Co. | 296 | (1.50 | )% | (5,711 | ) | |||||||
Century Aluminum Co. | 1,721 | (1.12 | )% | (8,536 | ) | |||||||
Total Basic Materials | (18,544 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
Life Time Group Holdings, Inc. | 614 | (0.49 | )% | 771 | ||||||||
Topgolf Callaway Brands Corp. | 1,438 | (1.10 | )% | 414 | ||||||||
Walgreens Boots Alliance, Inc. | 854 | (1.19 | )% | (9 | ) | |||||||
Tesla, Inc. | 22 | (0.29 | )% | (315 | ) | |||||||
Allegiant Travel Co. — Class A | 103 | (0.45 | )% | (936 | ) | |||||||
Floor & Decor Holdings, Inc. — Class A | 133 | (0.79 | )% | (1,759 | ) | |||||||
Lithia Motors, Inc. — Class A | 41 | (0.72 | )% | (1,854 | ) | |||||||
Shake Shack, Inc. — Class A | 207 | (0.82 | )% | (1,981 | ) | |||||||
CarMax, Inc. | 283 | (1.16 | )% | (3,332 | ) | |||||||
Total Consumer, Cyclical | (9,001 | ) | ||||||||||
Energy | ||||||||||||
NOV, Inc. | 652 | (0.71 | )% | 1,424 | ||||||||
Noble Corporation plc | 195 | (0.50 | )% | 118 | ||||||||
Dril-Quip, Inc. | 396 | (0.49 | )% | (356 | ) | |||||||
Sitio Royalties Corp. — Class A | 348 | (0.44 | )% | (506 | ) | |||||||
TechnipFMC plc | 888 | (0.96 | )% | (764 | ) | |||||||
Valaris Ltd. | 324 | (1.19 | )% | (1,002 | ) | |||||||
Archrock, Inc. | 1,106 | (0.91 | )% | (2,897 | ) | |||||||
Total Energy | (3,983 | ) | ||||||||||
Industrial | ||||||||||||
Knight-Swift Transportation Holdings, Inc. | 185 | (0.57 | )% | (130 | ) | |||||||
Werner Enterprises, Inc. | 225 | (0.51 | )% | (294 | ) | |||||||
RXO, Inc. | 591 | (0.73 | )% | (792 | ) | |||||||
Stericycle, Inc. | 190 | (0.50 | )% | (874 | ) | |||||||
GATX Corp. | 155 | (1.00 | )% | (1,115 | ) | |||||||
Vulcan Materials Co. | 91 | (1.10 | )% | (1,654 | ) | |||||||
Trinity Industries, Inc. | 932 | (1.32 | )% | (3,009 | ) | |||||||
Casella Waste Systems, Inc. — Class A | 293 | (1.34 | )% | (4,186 | ) | |||||||
Boeing Co. | 84 | (1.17 | )% | (5,722 | ) | |||||||
Total Industrial | (17,776 | ) | ||||||||||
Technology | ||||||||||||
KBR, Inc. | 254 | (0.75 | )% | 1,490 | ||||||||
Paycor HCM, Inc. | 961 | (1.11 | )% | 930 | ||||||||
Ceridian HCM Holding, Inc. | 285 | (1.02 | )% | (729 | ) | |||||||
Parsons Corp. | 246 | (0.82 | )% | (1,916 | ) | |||||||
Evolent Health, Inc. — Class A | 567 | (1.00 | )% | (2,673 | ) | |||||||
HashiCorp, Inc. — Class A | 727 | (0.92 | )% | (3,287 | ) | |||||||
Braze, Inc. — Class A | 361 | (1.03 | )% | (3,581 | ) | |||||||
Total Technology | (9,766 | ) | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 165 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
| Shares | Percentage | Value and | |||||||||
Communications | ||||||||||||
DoorDash, Inc. — Class A | 35 | (0.19 | )% | $ | (363 | ) | ||||||
Roku, Inc. | 32 | (0.16 | )% | (434 | ) | |||||||
Total Communications | (797 | ) | ||||||||||
Total MS Equity Short Custom Basket | $ | (127,550 | ) | |||||||||
GS EQUITY LONG CUSTOM BASKET | ||||||||||||
Industrial | ||||||||||||
Boise Cascade Co. | 75 | 1.09 | % | $ | 3,957 | |||||||
Mueller Industries, Inc. | 141 | 0.75 | % | 2,159 | ||||||||
Snap-on, Inc. | 31 | 1.00 | % | 2,084 | ||||||||
Acuity Brands, Inc. | 47 | 1.08 | % | 1,693 | ||||||||
UFP Industries, Inc. | 39 | 0.55 | % | 1,613 | ||||||||
TD SYNNEX Corp. | 84 | 1.01 | % | 1,130 | ||||||||
Terex Corp. | 128 | 0.83 | % | 1,125 | ||||||||
Encore Wire Corp. | 21 | 0.50 | % | 972 | ||||||||
Scorpio Tankers, Inc. | 72 | 0.49 | % | 928 | ||||||||
Apogee Enterprises, Inc. | 158 | 0.95 | % | 921 | ||||||||
Owens Corning | 31 | 0.52 | % | 916 | ||||||||
Donaldson Company, Inc. | 141 | 1.03 | % | 885 | ||||||||
Middleby Corp. | 63 | 1.04 | % | 856 | ||||||||
Builders FirstSource, Inc. | 15 | 0.28 | % | 674 | ||||||||
Teekay Corp. | 793 | 0.64 | % | 674 | ||||||||
Atkore, Inc. | 22 | 0.39 | % | 644 | ||||||||
Teekay Tankers Ltd. — Class A | 63 | 0.35 | % | 618 | ||||||||
Argan, Inc. | 92 | 0.48 | % | 597 | ||||||||
Keysight Technologies, Inc. | 26 | 0.46 | % | 567 | ||||||||
International Seaways, Inc. | 162 | 0.83 | % | 526 | ||||||||
Ardmore Shipping Corp. | 266 | 0.42 | % | 495 | ||||||||
Carlisle Companies, Inc. | 22 | 0.77 | % | 488 | ||||||||
Griffon Corp. | 37 | 0.25 | % | 422 | ||||||||
EnerSys | 36 | 0.41 | % | 342 | ||||||||
Huntington Ingalls Industries, Inc. | 14 | 0.41 | % | 274 | ||||||||
Insteel Industries, Inc. | 49 | 0.21 | % | 255 | ||||||||
Garmin Ltd. | 53 | 0.76 | % | 237 | ||||||||
Brady Corp. — Class A | 110 | 0.72 | % | 183 | ||||||||
AGCO Corp. | 46 | 0.63 | % | 155 | ||||||||
A O Smith Corp. | 26 | 0.24 | % | 141 | ||||||||
Vontier Corp. | 90 | 0.35 | % | 27 | ||||||||
Lindsay Corp. | 20 | 0.29 | % | (200 | ) | |||||||
Total Industrial | 26,358 | |||||||||||
Communications | ||||||||||||
InterDigital, Inc. | 85 | 1.04 | % | 2,266 | ||||||||
IDT Corp. — Class B | 165 | 0.63 | % | 1,720 | ||||||||
AT&T, Inc. | 450 | 0.85 | % | 868 | ||||||||
Yelp, Inc. — Class A | 191 | 1.01 | % | 715 | ||||||||
T-Mobile US, Inc. | 49 | 0.88 | % | 687 | ||||||||
Verizon Communications, Inc. | 196 | 0.83 | % | 614 | ||||||||
Juniper Networks, Inc. | 270 | 0.89 | % | 590 | ||||||||
Meta Platforms, Inc. — Class A | 12 | 0.48 | % | 493 | ||||||||
eBay, Inc. | 107 | 0.52 | % | 485 | ||||||||
Shutterstock, Inc. | 71 | 0.38 | % | 474 | ||||||||
A10 Networks, Inc. | 136 | 0.20 | % | 195 | ||||||||
Cargurus, Inc. | 79 | 0.21 | % | 176 | ||||||||
Cisco Systems, Inc. | 181 | 1.03 | % | 34 | ||||||||
TEGNA, Inc. | 431 | 0.74 | % | 33 | ||||||||
Gogo, Inc. | 256 | 0.29 | % | (100 | ) | |||||||
Ciena Corp. | 67 | 0.34 | % | (123 | ) | |||||||
Spok Holdings, Inc. | 120 | 0.21 | % | (159 | ) | |||||||
VeriSign, Inc. | 38 | 0.88 | % | (166 | ) | |||||||
Fox Corp. — Class A | 312 | 1.04 | % | (330 | ) | |||||||
Ooma, Inc. | 321 | 0.39 | % | (379 | ) | |||||||
Total Communications | 8,093 | |||||||||||
Financial | ||||||||||||
MGIC Investment Corp. | 486 | 1.04 | % | 2,390 | ||||||||
Ambac Financial Group, Inc. | 583 | 1.08 | % | 1,986 | ||||||||
Essent Group Ltd. | 175 | 1.04 | % | 1,576 | ||||||||
SouthState Corp. | 52 | 0.49 | % | 978 | ||||||||
International Bancshares Corp. | 92 | 0.56 | % | 907 | ||||||||
Walker & Dunlop, Inc. | 41 | 0.51 | % | 801 | ||||||||
Radian Group, Inc. | 320 | 1.03 | % | 783 | ||||||||
Preferred Bank/Los Angeles CA | 26 | 0.21 | % | 699 | ||||||||
Interactive Brokers Group, Inc. — Class A | 73 | 0.68 | % | 285 | ||||||||
Jackson Financial, Inc. — Class A | 95 | 0.55 | % | 268 | ||||||||
Affiliated Managers Group, Inc. | 15 | 0.25 | % | 211 | ||||||||
Enact Holdings, Inc. | 155 | 0.50 | % | 153 | ||||||||
Mr Cooper Group, Inc. | 58 | 0.42 | % | 122 | ||||||||
Equity Commonwealth | 452 | 0.97 | % | 7 | ||||||||
Total Financial | 11,166 | |||||||||||
Consumer, Non-cyclical | ||||||||||||
Perdoceo Education Corp. | 258 | 0.51 | % | 1,813 | ||||||||
Innoviva, Inc. | 431 | 0.78 | % | 1,709 | ||||||||
Exelixis, Inc. | 229 | 0.62 | % | 1,535 | ||||||||
Viatris, Inc. | 904 | 1.10 | % | 1,086 | ||||||||
Dynavax Technologies Corp. | 315 | 0.49 | % | 661 | ||||||||
Premier, Inc. — Class A | 282 | 0.71 | % | 546 | ||||||||
Biogen, Inc. | 21 | 0.61 | % | 469 | ||||||||
Merck & Company, Inc. | 82 | 1.00 | % | 468 | ||||||||
Gilead Sciences, Inc. | 111 | 1.01 | % | 360 | ||||||||
Alarm.com Holdings, Inc. | 31 | 0.22 | % | 236 | ||||||||
Neurocrine Biosciences, Inc. | 15 | 0.22 | % | 231 | ||||||||
Molina Healthcare, Inc. | 8 | 0.32 | % | 215 | ||||||||
Centene Corp. | 35 | 0.29 | % | 193 | ||||||||
166 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
| Shares | Percentage | Value and | |||||||||
Ingredion, Inc. | 81 | 0.99 | % | $ | 184 | |||||||
Alkermes plc | 67 | 0.21 | % | 166 | ||||||||
Hologic, Inc. | 122 | 0.98 | % | 136 | ||||||||
Baxter International, Inc. | 66 | 0.29 | % | 118 | ||||||||
PayPal Holdings, Inc. | 48 | 0.33 | % | 103 | ||||||||
Thermo Fisher Scientific, Inc. | 3 | 0.18 | % | 101 | ||||||||
Supernus Pharmaceuticals, Inc. | 62 | 0.20 | % | 57 | ||||||||
Humana, Inc. | 6 | 0.31 | % | (72 | ) | |||||||
United Therapeutics Corp. | 24 | 0.59 | % | (76 | ) | |||||||
Cross Country Healthcare, Inc. | 106 | 0.27 | % | (111 | ) | |||||||
Johnson & Johnson | 54 | 0.95 | % | (122 | ) | |||||||
Halozyme Therapeutics, Inc. | 43 | 0.18 | % | (135 | ) | |||||||
Royalty Pharma plc — Class A | 156 | 0.49 | % | (218 | ) | |||||||
Incyte Corp. | 156 | 1.10 | % | (258 | ) | |||||||
Organon & Co. | 147 | 0.24 | % | (367 | ) | |||||||
Pfizer, Inc. | 320 | 1.03 | % | (758 | ) | |||||||
Bristol-Myers Squibb Co. | 184 | 1.06 | % | (1,695 | ) | |||||||
Total Consumer, Non-cyclical | 6,575 | |||||||||||
Consumer, Cyclical | ||||||||||||
Toll Brothers, Inc. | 99 | 1.14 | % | 3,096 | ||||||||
Meritage Homes Corp. | 51 | 1.00 | % | 2,472 | ||||||||
M/I Homes, Inc. | 48 | 0.74 | % | 2,427 | ||||||||
PulteGroup, Inc. | 84 | 0.97 | % | 2,148 | ||||||||
Allison Transmission Holdings, Inc. | 155 | 1.01 | % | 2,080 | ||||||||
DR Horton, Inc. | 58 | 0.99 | % | 1,932 | ||||||||
Brunswick Corp. | 89 | 0.97 | % | 1,819 | ||||||||
MSC Industrial Direct Company, Inc. — Class A | 88 | 1.00 | % | 1,219 | ||||||||
KB Home | 85 | 0.60 | % | 1,164 | ||||||||
Lennar Corp. — Class A | 33 | 0.55 | % | 1,092 | ||||||||
Taylor Morrison Home Corp. — Class A | 91 | 0.54 | % | 994 | ||||||||
NVR, Inc. | 1 | 0.79 | % | 933 | ||||||||
Tri Pointe Homes, Inc. | 86 | 0.34 | % | 658 | ||||||||
Standard Motor Products, Inc. | 153 | 0.68 | % | 612 | ||||||||
PACCAR, Inc. | 45 | 0.49 | % | 600 | ||||||||
Patrick Industries, Inc. | 25 | 0.28 | % | 353 | ||||||||
AutoNation, Inc. | 30 | 0.51 | % | 339 | ||||||||
Monarch Casino & Resort, Inc. | 98 | 0.76 | % | 313 | ||||||||
General Motors Co. | 109 | 0.44 | % | 290 | ||||||||
Home Depot, Inc. | 5 | 0.19 | % | 272 | ||||||||
Ethan Allen Interiors, Inc. | 63 | 0.23 | % | 228 | ||||||||
Gentex Corp. | 117 | 0.43 | % | 195 | ||||||||
Golden Entertainment, Inc. | 55 | 0.25 | % | 144 | ||||||||
BorgWarner, Inc. | 73 | 0.29 | % | 103 | ||||||||
Malibu Boats, Inc. — Class A | 45 | 0.28 | % | 57 | ||||||||
Caleres, Inc. | 55 | 0.19 | % | (41 | ) | |||||||
Starbucks Corp. | 89 | 0.96 | % | (155 | ) | |||||||
MasterCraft Boat Holdings, Inc. | 113 | 0.29 | % | (173 | ) | |||||||
Polaris, Inc. | 67 | 0.71 | % | (952 | ) | |||||||
Total Consumer, Cyclical | 24,219 | |||||||||||
Technology | ||||||||||||
Photronics, Inc. | 166 | 0.58 | % | 1,824 | ||||||||
International Business Machines Corp. | 54 | 0.99 | % | 1,066 | ||||||||
QUALCOMM, Inc. | 67 | 1.09 | % | 1,017 | ||||||||
Skyworks Solutions, Inc. | 37 | 0.47 | % | 856 | ||||||||
Amdocs Ltd. | 102 | 1.01 | % | 639 | ||||||||
Cirrus Logic, Inc. | 78 | 0.73 | % | 508 | ||||||||
Dropbox, Inc. — Class A | 252 | 0.83 | % | 504 | ||||||||
Hewlett Packard Enterprise Co. | 288 | 0.55 | % | 407 | ||||||||
Bandwidth, Inc. — Class A | 149 | 0.24 | % | 403 | ||||||||
Microsoft Corp. | 15 | 0.63 | % | 402 | ||||||||
Amkor Technology, Inc. | 74 | 0.28 | % | 366 | ||||||||
Insight Enterprises, Inc. | 24 | 0.48 | % | 276 | ||||||||
Applied Materials, Inc. | 15 | 0.27 | % | 219 | ||||||||
Immersion Corp. | 722 | 0.57 | % | 141 | ||||||||
Genpact Ltd. | 180 | 0.70 | % | (44 | ) | |||||||
NetApp, Inc. | 27 | 0.27 | % | (54 | ) | |||||||
DXC Technology Co. | 73 | 0.19 | % | (63 | ) | |||||||
Veradigm, Inc. | 216 | 0.25 | % | (473 | ) | |||||||
Total Technology | 7,994 | |||||||||||
Utilities | ||||||||||||
Public Service Enterprise Group, Inc. | 135 | 0.93 | % | 351 | ||||||||
Atmos Energy Corp. | 75 | 0.98 | % | 312 | ||||||||
PPL Corp. | 326 | 0.99 | % | 194 | ||||||||
Xcel Energy, Inc. | 140 | 0.97 | % | 86 | ||||||||
National Fuel Gas Co. | 168 | 0.95 | % | (730 | ) | |||||||
Total Utilities | 213 | |||||||||||
Energy | ||||||||||||
Marathon Petroleum Corp. | 58 | 0.97 | % | 1,041 | ||||||||
Cheniere Energy, Inc. | 44 | 0.84 | % | 780 | ||||||||
Valero Energy Corp. | 69 | 1.01 | % | 765 | ||||||||
PBF Energy, Inc. — Class A | 93 | 0.46 | % | 241 | ||||||||
SolarEdge Technologies, Inc. | 20 | 0.21 | % | 172 | ||||||||
NOW, Inc. | 169 | 0.21 | % | 137 | ||||||||
EOG Resources, Inc. | 70 | 0.95 | % | (149 | ) | |||||||
CVR Energy, Inc. | 126 | 0.43 | % | (162 | ) | |||||||
Liberty Energy, Inc. — Class A | 220 | 0.45 | % | (430 | ) | |||||||
CNX Resources Corp. | 213 | 0.48 | % | (478 | ) | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 167 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
| Shares | Percentage | Value and | |||||||||
SandRidge Energy, Inc. | 234 | 0.36 | % | $ | (489 | ) | ||||||
Total Energy | 1,428 | |||||||||||
Basic Materials | ||||||||||||
NewMarket Corp. | 16 | 0.98 | % | 3,304 | ||||||||
Sylvamo Corp. | 69 | 0.38 | % | (206 | ) | |||||||
Total Basic Materials | 3,098 | |||||||||||
Government | ||||||||||||
Banco Latinoamericano de Comercio Exterior S.A. — Class E | 186 | 0.52 | % | 498 | ||||||||
Total GS Equity Long Custom Basket | $ | 89,642 | ||||||||||
GS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Utilities | ||||||||||||
AES Corp. | 1,411 | (1.45 | )% | $ | 2,406 | |||||||
Portland General Electric Co. | 599 | (1.39 | )% | 2,056 | ||||||||
California Water Service Group | 485 | (1.34 | )% | (510 | ) | |||||||
PG&E Corp. | 1,449 | (1.40 | )% | (988 | ) | |||||||
Southwest Gas Holdings, Inc. | 415 | (1.41 | )% | (1,612 | ) | |||||||
Eversource Energy | 416 | (1.37 | )% | (2,089 | ) | |||||||
UGI Corp. | 1,114 | (1.46 | )% | (2,285 | ) | |||||||
Total Utilities | (3,022 | ) | ||||||||||
Consumer, Non-cyclical | ||||||||||||
TreeHouse Foods, Inc. | 526 | (1.18 | )% | 3,024 | ||||||||
Avis Budget Group, Inc. | 53 | (0.50 | )% | 972 | ||||||||
Grocery Outlet Holding Corp. | 316 | (0.46 | )% | 735 | ||||||||
Clorox Co. | 126 | (0.96 | )% | 145 | ||||||||
Utz Brands, Inc. | 1,142 | (0.99 | )% | (743 | ) | |||||||
Booz Allen Hamilton Holding Corp. | 100 | (0.68 | )% | (1,042 | ) | |||||||
RB Global, Inc. | 255 | (0.91 | )% | (1,271 | ) | |||||||
ICF International, Inc. | 60 | (0.43 | )% | (1,520 | ) | |||||||
Cintas Corp. | 32 | (1.03 | )% | (1,567 | ) | |||||||
U-Haul Holding Co. | 140 | (0.54 | )% | (1,850 | ) | |||||||
Insmed, Inc. | 435 | (0.72 | )% | (1,852 | ) | |||||||
TransUnion | 222 | (0.82 | )% | (1,928 | ) | |||||||
Neogen Corp. | 1,026 | (1.10 | )% | (2,579 | ) | |||||||
Affirm Holdings, Inc. | 111 | (0.29 | )% | (2,730 | ) | |||||||
Pilgrim’s Pride Corp. | 875 | (1.29 | )% | (3,220 | ) | |||||||
Rollins, Inc. | 573 | (1.34 | )% | (3,379 | ) | |||||||
Equifax, Inc. | 114 | (1.51 | )% | (5,389 | ) | |||||||
Total Consumer, Non-cyclical | (24,194 | ) | ||||||||||
Financial | ||||||||||||
Kennedy-Wilson Holdings, Inc. | 2,118 | (1.40 | )% | 8,022 | ||||||||
Sun Communities, Inc. | 167 | (1.19 | )% | 6,830 | ||||||||
Americold Realty Trust, Inc. | 762 | (1.23 | )% | 2,895 | ||||||||
American Tower Corp. — Class A | 74 | (0.85 | )% | 2,154 | ||||||||
Rexford Industrial Realty, Inc. | 341 | (1.02 | )% | 1,801 | ||||||||
New York Mortgage Trust, Inc. | 1,837 | (0.84 | )% | 1,037 | ||||||||
Raymond James Financial, Inc. | 161 | (0.96 | )% | 599 | ||||||||
UMH Properties, Inc. | 982 | (0.80 | )% | 377 | ||||||||
Ellington Financial, Inc. | 1,231 | (0.84 | )% | 299 | ||||||||
Equinix, Inc. | 26 | (1.12 | )% | 21 | ||||||||
COPT Defense Properties | 200 | (0.27 | )% | (18 | ) | |||||||
Alexander & Baldwin, Inc. | 820 | (0.83 | )% | (175 | ) | |||||||
Veris Residential, Inc. | 654 | (0.55 | )% | (398 | ) | |||||||
Invitation Homes, Inc. | 287 | (0.52 | )% | (602 | ) | |||||||
Rayonier, Inc. | 431 | (0.77 | )% | (965 | ) | |||||||
Apartment Investment and Management Co. — Class A | 1,819 | (0.76 | )% | (1,143 | ) | |||||||
PotlatchDeltic Corp. | 377 | (0.99 | )% | (1,180 | ) | |||||||
Ventas, Inc. | 186 | (0.50 | )% | (1,467 | ) | |||||||
Digital Realty Trust, Inc. | 130 | (0.94 | )% | (1,627 | ) | |||||||
Brighthouse Financial, Inc. | 476 | (1.35 | )% | (1,735 | ) | |||||||
Air Lease Corp. — Class A | 361 | (0.81 | )% | (2,198 | ) | |||||||
BOK Financial Corp. | 333 | (1.52 | )% | (2,404 | ) | |||||||
Carlyle Group, Inc. | 472 | (1.03 | )% | (2,556 | ) | |||||||
TFS Financial Corp. | 1,842 | (1.45 | )% | (2,925 | ) | |||||||
Welltower, Inc. | 246 | (1.19 | )% | (2,926 | ) | |||||||
Citigroup, Inc. | 411 | (1.13 | )% | (3,055 | ) | |||||||
Marcus & Millichap, Inc. | 479 | (1.12 | )% | (3,807 | ) | |||||||
Jones Lang LaSalle, Inc. | 123 | (1.24 | )% | (3,986 | ) | |||||||
Howard Hughes Holdings, Inc. | 292 | (1.34 | )% | (4,847 | ) | |||||||
Popular, Inc. | 330 | (1.45 | )% | (5,058 | ) | |||||||
CBRE Group, Inc. — Class A | 311 | (1.55 | )% | (6,683 | ) | |||||||
PennyMac Financial Services, Inc. | 266 | (1.26 | )% | (6,757 | ) | |||||||
KKR & Company, Inc. — Class A | 338 | (1.50 | )% | (8,719 | ) | |||||||
Total Financial | (41,196 | ) | ||||||||||
Basic Materials | ||||||||||||
Piedmont Lithium, Inc. | 573 | (0.86 | )% | 7,423 | ||||||||
Hecla Mining Co. | 2,563 | (0.66 | )% | 2,695 | ||||||||
Kaiser Aluminum Corp. | 215 | (0.82 | )% | 1,341 | ||||||||
Novagold Resources, Inc. | 3,379 | (0.68 | )% | 1,306 | ||||||||
Compass Minerals International, Inc. | 320 | (0.43 | )% | (265 | ) | |||||||
Tronox Holdings plc — Class A | 725 | (0.55 | )% | (614 | ) | |||||||
ATI, Inc. | 203 | (0.49 | )% | (627 | ) | |||||||
Schnitzer Steel Industries, Inc. — Class A | 279 | (0.45 | )% | (1,044 | ) | |||||||
168 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
| Shares | Percentage | Value and | |||||||||
Linde plc | 62 | (1.36 | )% | $ | (1,283 | ) | ||||||
Element Solutions, Inc. | 781 | (0.97 | )% | (1,714 | ) | |||||||
Celanese Corp. — Class A | 145 | (1.20 | )% | (1,993 | ) | |||||||
Chemours Co. | 476 | (0.80 | )% | (2,563 | ) | |||||||
Ecolab, Inc. | 108 | (1.15 | )% | (3,002 | ) | |||||||
Carpenter Technology Corp. | 166 | (0.63 | )% | (4,073 | ) | |||||||
Stepan Co. | 296 | (1.50 | )% | (5,709 | ) | |||||||
Century Aluminum Co. | 1,721 | (1.12 | )% | (8,608 | ) | |||||||
Total Basic Materials | (18,730 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
Life Time Group Holdings, Inc. | 614 | (0.49 | )% | 746 | ||||||||
Topgolf Callaway Brands Corp. | 1,438 | (1.10 | )% | 331 | ||||||||
Walgreens Boots Alliance, Inc. | 854 | (1.19 | )% | 13 | ||||||||
Tesla, Inc. | 22 | (0.29 | )% | (321 | ) | |||||||
Allegiant Travel Co. — Class A | 103 | (0.45 | )% | (975 | ) | |||||||
Floor & Decor Holdings, Inc. — Class A | 133 | (0.79 | )% | (1,660 | ) | |||||||
Lithia Motors, Inc. — Class A | 41 | (0.72 | )% | (1,850 | ) | |||||||
Shake Shack, Inc. — Class A | 207 | (0.82 | )% | (2,000 | ) | |||||||
CarMax, Inc. | 283 | (1.16 | )% | (3,353 | ) | |||||||
Total Consumer, Cyclical | (9,069 | ) | ||||||||||
Energy | ||||||||||||
NOV, Inc. | 652 | (0.71 | )% | 1,434 | ||||||||
Noble Corporation plc | 195 | (0.50 | )% | 112 | ||||||||
Dril-Quip, Inc. | 396 | (0.49 | )% | (355 | ) | |||||||
Sitio Royalties Corp. — Class A | 348 | (0.44 | )% | (532 | ) | |||||||
TechnipFMC plc | 888 | (0.96 | )% | (756 | ) | |||||||
Valaris Ltd. | 324 | (1.19 | )% | (1,001 | ) | |||||||
Archrock, Inc. | 1,106 | (0.91 | )% | (2,929 | ) | |||||||
Total Energy | (4,027 | ) | ||||||||||
Industrial | ||||||||||||
Knight-Swift Transportation Holdings, Inc. | 185 | (0.57 | )% | (140 | ) | |||||||
Werner Enterprises, Inc. | 225 | (0.51 | )% | (287 | ) | |||||||
RXO, Inc. | 591 | (0.73 | )% | (850 | ) | |||||||
Stericycle, Inc. | 190 | (0.50 | )% | (902 | ) | |||||||
GATX Corp. | 155 | (1.00 | )% | (1,138 | ) | |||||||
Vulcan Materials Co. | 91 | (1.10 | )% | (1,620 | ) | |||||||
Trinity Industries, Inc. | 932 | (1.32 | )% | (2,985 | ) | |||||||
Casella Waste Systems, Inc. — Class A | 293 | (1.34 | )% | (4,180 | ) | |||||||
Boeing Co. | 84 | (1.17 | )% | (5,710 | ) | |||||||
Total Industrial | (17,812 | ) | ||||||||||
Technology | ||||||||||||
KBR, Inc. | 254 | (0.75 | )% | 1,499 | ||||||||
Paycor HCM, Inc. | 961 | (1.11 | )% | 912 | ||||||||
Ceridian HCM Holding, Inc. | 285 | (1.02 | )% | (769 | ) | |||||||
Parsons Corp. | 246 | (0.82 | )% | (1,914 | ) | |||||||
Evolent Health, Inc. — Class A | 567 | (1.00 | )% | (2,671 | ) | |||||||
HashiCorp, Inc. — Class A | 727 | (0.92 | )% | (3,354 | ) | |||||||
Braze, Inc. — Class A | 361 | (1.03 | )% | (3,569 | ) | |||||||
Total Technology | (9,866 | ) | ||||||||||
Communications | ||||||||||||
DoorDash, Inc. — Class A | 35 | (0.18 | )% | (360 | ) | |||||||
Roku, Inc. | 32 | (0.16 | )% | (441 | ) | |||||||
Total Communications | �� | (801 | ) | |||||||||
Total GS Equity Short Custom Basket | $ | (128,717 | ) | |||||||||
* | 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 equity custom basket swap collateral at December 31, 2023. |
2 | Rate indicated is the 7-day yield as of December 31, 2023. |
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 ANNUAL REPORT | 169 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 3,519,288 | $ | — | $ | — | $ | 3,519,288 | ||||||||
Money Market Fund | 139,354 | — | — | 139,354 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 180,228 | — | 180,228 | ||||||||||||
Total Assets | $ | 3,658,642 | $ | 180,228 | $ | — | $ | 3,838,870 | ||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Custom Basket Swap Agreements** | $ | — | $ | 256,267 | $ | — | $ | 256,267 | ||||||||
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
170 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: | ||||
Investments, at value (cost $3,360,021) | $ | 3,658,642 | ||
Unrealized appreciation on OTC swap agreements | 180,228 | |||
Cash | 540 | |||
Prepaid expenses | 2,170 | |||
Receivables: | ||||
Investment Adviser | 11,400 | |||
Dividends | 3,017 | |||
Interest | 663 | |||
Total assets | 3,856,660 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 256,267 | |||
Payable for: | ||||
Swap settlement | 75,445 | |||
Professional fees | 28,966 | |||
Transfer agent/maintenance fees | 2,002 | |||
Fund accounting/administration fees | 1,874 | |||
Trustees’ fees* | 929 | |||
Distribution and service fees | 740 | |||
Fund shares redeemed | 96 | |||
Miscellaneous | 660 | |||
Total liabilities | 366,979 | |||
Net assets | $ | 3,489,681 | ||
Net assets consist of: | ||||
Paid in capital | $ | 4,572,854 | ||
Total distributable earnings (loss) | (1,083,173 | ) | ||
Net assets | $ | 3,489,681 | ||
Capital shares outstanding | 211,018 | |||
Net asset value per share | $ | 16.54 | ||
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: | ||||
Dividends | $ | 71,152 | ||
Interest | 5,157 | |||
Total investment income | 76,309 | |||
Expenses: | ||||
Management fees | 32,397 | |||
Transfer agent/maintenance fees | 25,060 | |||
Professional fees | 40,948 | |||
Custodian fees | 15,983 | |||
Trustees’ fees* | 13,636 | |||
Fund accounting/administration fees | 10,457 | |||
Distribution and service fees | 9,024 | |||
Line of credit fees | 137 | |||
Miscellaneous | 12,204 | |||
Total expenses | 159,846 | |||
Less: | ||||
Expenses reimbursed by Adviser | (55,198 | ) | ||
Expenses waived by Adviser | (33,257 | ) | ||
Total waived/reimbursed expenses | (88,455 | ) | ||
Net expenses | 71,391 | |||
Net investment income | 4,918 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 129,659 | |||
Swap agreements | 98,053 | |||
Net realized gain | 227,712 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 330,104 | |||
Swap agreements | (271,006 | ) | ||
Net change in unrealized appreciation (depreciation) | 59,098 | |||
Net realized and unrealized gain | 286,810 | |||
Net increase in net assets resulting from operations | $ | 291,728 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 171 |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 4,918 | $ | 4,641 | ||||
Net realized gain (loss) on investments | 227,712 | (198,326 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 59,098 | (181,809 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 291,728 | (375,494 | ) | |||||
Distributions to shareholders | (4,183 | ) | (15,376 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 68,066 | 107,955 | ||||||
Distributions reinvested | 4,183 | 15,376 | ||||||
Cost of shares redeemed | (521,279 | ) | (576,477 | ) | ||||
Net decrease from capital share transactions | (449,030 | ) | (453,146 | ) | ||||
Net decrease in net assets | (161,485 | ) | (844,016 | ) | ||||
Net assets: | ||||||||
Beginning of year | 3,651,166 | 4,495,182 | ||||||
End of year | $ | 3,489,681 | $ | 3,651,166 | ||||
Capital share activity: | ||||||||
Shares sold | 4,319 | 6,933 | ||||||
Shares issued from reinvestment of distributions | 264 | 988 | ||||||
Shares redeemed | (32,599 | ) | (37,088 | ) | ||||
Net decrease in shares | (28,016 | ) | (29,167 | ) | ||||
172 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SERIES Z (ALPHA OPPORTUNITY SERIES) |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.27 | $ | 16.76 | $ | 14.83 | $ | 14.87 | $ | 15.27 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .02 | .02 | .06 | .06 | .07 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.27 | (1.45 | ) | 1.97 | (.01 | ) | (.45 | ) | ||||||||||||
Total from investment operations | 1.29 | (1.43 | ) | 2.03 | .05 | (.38 | ) | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.02 | ) | (.06 | ) | (.10 | ) | (.09 | ) | (.02 | ) | ||||||||||
Total distributions | (.02 | ) | (.06 | ) | (.10 | ) | (.09 | ) | (.02 | ) | ||||||||||
Net asset value, end of period | $ | 16.54 | $ | 15.27 | $ | 16.76 | $ | 14.83 | $ | 14.87 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 8.38 | % | (8.53 | %) | 13.81 | % | 0.27 | % | (2.45 | %) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,490 | $ | 3,651 | $ | 4,495 | $ | 4,535 | $ | 6,229 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.14 | % | 0.12 | % | 0.35 | % | 0.41 | % | 0.44 | % | ||||||||||
Total expensesc | 4.44 | % | 4.43 | % | 4.58 | % | 3.98 | % | 3.52 | % | ||||||||||
Net expensesd,e | 1.98 | % | 1.99 | % | 2.01 | % | 2.01 | % | 2.00 | % | ||||||||||
Portfolio turnover rate | 319 | % | 294 | % | 204 | % | 171 | % | 172 | % | ||||||||||
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
1.98% | 1.99% | 2.00% | 2.00% | 2.00% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 173 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Variable Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “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 December 31, 2023, the Trust consisted of fourteen funds.The Trust offers shares of the funds to insurance companies for their variable annunity and variable life insurance contracts.
This report covers the following funds (collectively, the “Funds”):
Fund Name | Investment |
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 (“SI” or the “Adviser”) and Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”), which operates under the name Guggenheim Investments (“GI”), provide advisory services. GPIM provides advisory services to Series F (Floating Rate Strategies Series) and SI provides advisory services to the remaining Funds covered in this report. Guggenheim Funds Distributors, LLC (“GFD”) serves as the distributor 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 Rule 2a-5 under the 1940 Act, the Board designated the Adviser as the respective valuation designee to perform fair valuation determinations for each Fund with respect to all Fund investments and/or other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (“Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4 under the 1940 Act. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining fair value of the Funds’ securities and/or other assets. The Valuation Procedures and Valuation Designee Procedures permit the Funds to use a variety of valuation methodologies in connection with valuing the Funds’ investments. The methodology used for a specific type of investment may vary based on available market data or other relevant considerations. As a general matter, valuing securities and assets accurately is difficult and can be based on inputs and assumptions, which may not always be accurate.
In general, portfolio securities and assets of a Fund will be valued on the basis of readily available market quotations at their current market value. With respect to portfolio securities and assets of a Fund for which market quotations are not readily available, or deemed unreliable by the Adviser, the Fund will fair value those securities and assets in good faith in accordance with the Valuation Procedures and Valuation Designee Procedures. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value.” Fair value represents a good faith approximation of the value of a security. Fair value determinations may be based on limited inputs and involve the consideration of a number of subjective factors, an analysis of applicable facts and circumstances, and the exercise of judgment. 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
174 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
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. As a result, it is possible that the fair value for a security determined in good faith in accordance with the Valuation Procedures and Valuation Designee Procedures may differ from valuations for the same security determined by other funds using their own valuation procedures. Although the Valuation Procedures and Valuation Designee Procedures are designed to value a portfolio security or asset at the price a Fund may reasonably expect to receive upon its sale in an orderly transaction, there can be no assurance that any fair value determination thereunder would, in fact, approximate the amount that a Fund could reasonably expect to receive upon the sale of the portfolio security or asset.
U.S. Government securities are valued by independent third party pricing services, the last traded fill price, or at the reported bid price at the close of business on the valuation date.
Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that are obtained from independent third party pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent third party pricing service.
CLOs, CDOs, MBS, ABS, and other structured finance securities are generally valued using an independent third party pricing service.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
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 are generally valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. ETFs and closed-end investment companies are generally valued at the last quoted sale price.
Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
Futures contracts are valued as of 4:00 p.m. 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 valued on the basis of the last sale price on the primary exchange on which the swap is traded. The values of other swap agreements entered into by a Fund are generally valued using an evaluated price provided by an independent third party pricing service.
Typically, loans are valued using information provided by independent third party pricing services that uses broker quotes, among other inputs. If the independent third party pricing service cannot or does not provide a valuation for a particular loan, or deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Adviser.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. E.T. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, American Depositary Receipts (“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 and Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third-party pricing vendor in valuing foreign securities.
A Fund may also fair value securities and assets when a significant event is deemed to have occurred after the time of a market quotation including for securities and assets traded on foreign markets and securities and assets for which market quotations are provided by independent third party pricing services as of a
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time that is prior to the time when the Funds determine their NAV. There can be no assurance in each case that significant events will be identified.
Valuations of the Funds’ securities and other assets are supplied primarily by independent third party pricing services pursuant to the processes set forth in the Valuation Designee Procedures. Valuations provided by the independent third party pricing services are generally based on methods designed to approximate the amount that a Fund could reasonably expect to receive upon the sale of the portfolio security or asset. When providing valuations to the Funds, independent third party pricing services use various inputs, methods, models and assumptions, which may include information provided by broker-dealers and other market makers. Independent third party pricing services face the same challenges as the Funds in valuing securities and assets and may rely on limited available information. If the independent third party pricing service cannot or does not provide a valuation for a particular investment, or such valuation is deemed unreliable, such investment is fair valued by the Adviser. A Fund may also use third party service providers to model certain securities to determine fair market value. While a Fund’s use of fair valuation is intended to result in calculation of NAV that fairly reflects values of the Fund’s portfolio securities as of the time of pricing, a Fund cannot guarantee that any fair valuation will, in fact, approximate the amount the Fund would actually realize upon the sale of the securities in question.
Quotes from broker-dealers (i.e., prices provided by a broker-dealer or other market participant, which may or may not be committed to trade at that price), adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value a Fund’s securities and assets. Quotes from broker-dealers and vendor prices based on broker quotes can vary in terms of depth (e.g., provided by a single broker-dealer) and frequency (e.g., provided on a daily, weekly, or monthly basis, or any other regular or irregular interval). Although quotes from broker-dealers and vendor prices based on broker quotes are typically received from established market participants, a Fund may not have the transparency to view the underlying inputs which support such quotes. Significant changes in a quote from a broker-dealer would generally result in significant changes in the fair value of the security.
(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.
Inflation-Indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these securities is generally fixed at issuance at a rate lower than bonds which are not inflation-indexed. Over the life of an inflation-indexed bond however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recognized as a component of Interest on the Funds’ Statements of Operations, even though principal is not received until maturity.
(c) Senior Floating Rate Interests and Loan Investments
Senior floating rate interests in which the Trust invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, (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. Recently, 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
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NOTES TO FINANCIAL STATEMENTS (continued) |
such interests or securities in connection with such transactions prior to the date the Funds actually take delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Funds will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.
(e) Short Sales
When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(f) Options
Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.
When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
The Fund may purchase and write swaptions primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.
(g) Futures Contracts
Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(h) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(i) 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
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NOTES TO FINANCIAL STATEMENTS (continued) |
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) 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, geopolitical 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.
(k) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of December 31, 2023, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(l) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.
The Funds may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Funds and included in interest income on the Funds’ Statements of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Funds’ Statements of Operations at the end of the commitment period.
(m) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all distributions of a Fund will automatically be reinvested without charge in additional shares of the same Fund. Distributions are recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.
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NOTES TO FINANCIAL STATEMENTS (continued) |
(n) Expenses
Expenses directly attributable to a Fund are charged directly to the Fund. Other expenses common to various funds within the fund complex are generally allocated amongst such funds on the basis of average net assets.
(o) Earnings Credits
Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Funds’ Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended December 31, 2023, are disclosed in the Funds’ Statements of Operations.
(p) Cash
The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 5.33% at December 31, 2023.
(q) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
(r) Special Purpose Acquisition Companies
The Funds may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Funds invest will complete an acquisition or that any acquisitions that are completed will be profitable.
Note 2 – Financial Instruments and Derivatives
As part of their investment strategies, the Funds may utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Funds’ Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign
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NOTES TO FINANCIAL STATEMENTS (continued) |
currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize derivatives for the following purposes:
Duration: the use of an instrument to manage the interest rate risk of a portfolio.
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Speculation: the use of an instrument to express macro-economic and other investment views.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
Options Purchased and Written
A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
The following table represents the Funds’ use and volume of call/put options purchased on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Call | Put | ||||||
Series E (Total Return Bond Series) | Duration, Hedge, Income | $ | 21,658,333 | $ | 1,421,269 | ||||
The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.
The following table represents the Funds’ use and volume of call/put options written on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Call | Put | ||||||
Series E (Total Return Bond Series) | Hedge, Income | $ | — | $ | 2,640,833 | ||||
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NOTES TO FINANCIAL STATEMENTS (continued) |
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 Funds’ Statements of Assets and Liabilities; securities held as collateral are noted on the Funds’ 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 | $ | 6,466,315 | $ | — | ||||
Series D (World Equity Income Series) | Hedge | — | 6,463,625 | ||||||
Series E (Total Return Bond Series) | Duration, Hedge | 3,796,380 | — | ||||||
Series J (StylePlus—Mid Growth Series) | Index exposure | 5,103,455 | — | ||||||
Series N (Managed Asset Allocation Series) | Index Exposure, Speculation | 5,746,082 | 1,229,356 | ||||||
Series X (StylePlus—Small Growth Series) | Index exposure | 634,169 | — | ||||||
Series Y (StylePlus—Large Growth Series) | Index exposure | 1,042,524 | — | ||||||
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 other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return or custom basket swaps, a Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.
The following table represents the Funds’ use and volume of total return swaps on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Series A (StylePlus—Large Core Series) | Index exposure | $ | 162,371,888 | $ | — | ||||
Series E (Total Return Bond Series) | Hedge, Index Exposure | 93,636 | 51,765 | ||||||
Series J (StylePlus—Mid Growth Series) | Index exposure | 122,305,856 | — | ||||||
Series X (StylePlus—Small Growth Series) | Index exposure | 18,734,909 | — | ||||||
Series Y (StylePlus—Large Growth Series) | Index exposure | 33,920,787 | — | ||||||
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The following table represents the Funds’ use and volume of custom basket swaps on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Series Z (Alpha Opportunity Series) | Hedge, Leverage | $ | 1,724,049 | $ | 3,644,483 | ||||
Interest rate swaps involve the exchange by the Funds with another party for their respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.
The following table represents the Funds’ use and volume of interest rate swaps on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Pay Floating Rate | Receive Floating Rate | ||||||
Series E (Total Return Bond Series) | Duration, Income | $ | 14,692,250 | $ | — | ||||
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.
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 | $ | — | $ | 2,698,333 | ||||
182 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the 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 | $ | — | $ | 575,482 | ||||
Series F (Floating Rate Strategies Series) | Hedge | — | 447,820 | ||||||
Series P (High Yield Series) | Hedge | — | 580,610 | ||||||
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 December 31, 2023:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Currency/Equity/Interest rate futures contracts | Variation margin on futures contracts | Variation margin on futures contracts |
Currency forward contracts | — | Unrealized depreciation on forward foreign currency exchange contracts |
Credit/Equity/Interest rate on swap agreements | Unamortized upfront premiums paid on credit default swap agreements Unrealized appreciation on OTC swap agreements Unamortized upfront premiums paid on interest rate swap agreements Variation margin on credit default swap agreements | Unamortized upfront premiums received on credit default swap agreements Unrealized depreciation on OTC swap agreements Variation margin on interest rate swap agreements |
Interest rate option contracts | Investments in unaffiliated issuers, at value | — |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 183 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at December 31, 2023:
Asset Derivative Investments Value | ||||||||||||||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Swaps | Swaps | Forward | Options | Total | |||||||||||||||||||||||||||
Series A (StylePlus—Large Core Series) | $ | 141,598 | $ | 18,411,216 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 18,552,814 | ||||||||||||||||||
Series E (Total Return Bond Series) | — | 8,652 | — | 109,629 | — | 1,019,971 | — | 16,566 | 1,154,818 | |||||||||||||||||||||||||||
Series J (StylePlus—Mid Growth Series) | 220,779 | 17,377,099 | — | — | — | — | — | — | 17,597,878 | |||||||||||||||||||||||||||
Series N (Managed Asset Allocation Series) | 201,824 | — | — | 36,015 | — | — | — | — | 237,839 | |||||||||||||||||||||||||||
Series X (StylePlus—Small Growth Series) | 48,742 | 2,133,893 | — | — | — | — | — | — | 2,182,635 | |||||||||||||||||||||||||||
Series Y (StylePlus—Large Growth Series) | 14,160 | 4,776,102 | — | — | — | — | — | — | 4,790,262 | |||||||||||||||||||||||||||
Series Z (Alpha Opportunity Series) | — | 180,228 | — | — | — | — | — | — | 180,228 | |||||||||||||||||||||||||||
Liability Derivative Investments Value | ||||||||||||||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Swaps | Swaps | Forward | Options | Total | |||||||||||||||||||||||||||
Series E (Total Return Bond Series) | $ | — | $ | — | $ | — | $ | — | $ | 94,522 | $ | 176,739 | $ | 5,580 | $ | — | $ | 276,841 | ||||||||||||||||||
Series F (Floating Rate Strategies Series) | — | — | — | — | — | — | 10,288 | — | 10,288 | |||||||||||||||||||||||||||
Series N (Managed Asset Allocation Series) | 3,581 | — | 3,087 | — | — | — | — | — | 6,668 | |||||||||||||||||||||||||||
Series P (High Yield Series) | — | — | — | — | — | — | 11,148 | — | 11,148 | |||||||||||||||||||||||||||
Series Z (Alpha Opportunity Series) | — | 256,267 | — | — | — | — | — | — | 256,267 | |||||||||||||||||||||||||||
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedules of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Funds’ Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended December 31, 2023:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Currency/Equity/Interest rate futures contracts | Net realized gain (loss) on futures contracts Net change in unrealized appreciation (depreciation) on futures contracts |
Currency forward contracts | Net realized gain (loss) on forward foreign currency exchange contracts Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts |
Equity/Interest rate option contracts | Net realized gain (loss) on options purchased Net change in unrealized appreciation (depreciation) on options purchased Net realized gain (loss) on options written |
Credit/Equity/Interest rate swap agreements | Net realized gain (loss) on swap agreements Net change in unrealized appreciation (depreciation) on swap agreements |
184 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Funds’ Statements of Operations categorized by primary risk exposure for the year ended December 31, 2023:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Swaps | Swaps | Options | Options | Options | Forward | Options | Options | Total | |||||||||||||||||||||||||||||||||||||||
Series A (StylePlus—Large Core Series) | $ | 591,006 | $ | 13,558,607 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 14,149,613 | ||||||||||||||||||||||||||
Series D (World Equity Income Series) | — | — | 416,656 | — | — | — | — | — | — | — | — | — | 416,656 | |||||||||||||||||||||||||||||||||||||||
Series E (Total Return Bond Series) | — | 1,052 | — | 50,435 | (109,427 | ) | (70,635 | ) | 17,500 | (38,120 | ) | (5,587 | ) | (2,396 | ) | (45,416 | ) | (128,014 | ) | (330,608 | ) | |||||||||||||||||||||||||||||||
Series F (Floating Rate Strategies Series) | — | — | — | — | — | — | — | — | — | 2,547 | — | — | 2,547 | |||||||||||||||||||||||||||||||||||||||
Series J (StylePlus—Mid Growth Series) | 284,266 | 7,760,090 | — | — | — | — | — | — | — | — | — | — | 8,044,356 | |||||||||||||||||||||||||||||||||||||||
Series N (Managed Asset Allocation Series) | 11,938 | — | 42,231 | (45,454 | ) | — | — | — | — | — | — | — | — | 8,715 | ||||||||||||||||||||||||||||||||||||||
Series P (High Yield Series) | — | — | — | — | — | — | — | — | — | (957 | ) | — | — | (957 | ) | |||||||||||||||||||||||||||||||||||||
Series X (StylePlus—Small Growth Series) | (17,457 | ) | 602,718 | — | — | — | — | — | — | — | — | — | — | 585,261 | ||||||||||||||||||||||||||||||||||||||
Series Y (StylePlus—Large Growth Series) | 47,715 | 5,858,008 | — | — | — | — | — | — | — | — | — | — | 5,905,723 | |||||||||||||||||||||||||||||||||||||||
Series Z (Alpha Opportunity Series) | — | 98,053 | — | — | — | — | — | — | — | — | — | — | 98,053 | |||||||||||||||||||||||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||||||||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Swaps | Swaps | Options | Options | Forward | Options | Options | Total | ||||||||||||||||||||||||||||||||||||
Series A (StylePlus—Large Core Series) | $ | 234,478 | $ | 16,209,583 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 16,444,061 | ||||||||||||||||||||||||
Series E (Total Return Bond Series) | — | 8,652 | — | 132,006 | 1,236,384 | (94,523 | ) | — | — | (19,515 | ) | (28,989 | ) | — | 1,234,015 | |||||||||||||||||||||||||||||||||
Series F (Floating Rate Strategies Series) | — | — | — | — | — | — | — | — | (7,692 | ) | — | — | (7,692 | ) | ||||||||||||||||||||||||||||||||||
Series J (StylePlus—Mid Growth Series) | 376,869 | 15,268,042 | — | — | — | — | — | — | — | — | — | 15,644,911 | ||||||||||||||||||||||||||||||||||||
Series N (Managed Asset Allocation Series) | 250,808 | — | 2,640 | 38,936 | — | — | — | — | — | — | — | 292,384 | ||||||||||||||||||||||||||||||||||||
Series P (High Yield Series) | — | — | — | — | — | — | — | — | (16,209 | ) | — | — | (16,209 | ) | ||||||||||||||||||||||||||||||||||
Series X (StylePlus—Small Growth Series) | 75,705 | 1,678,008 | — | — | — | — | — | — | — | — | — | 1,753,713 | ||||||||||||||||||||||||||||||||||||
Series Y (StylePlus—Large Growth Series) | 79,151 | 4,243,515 | — | — | — | — | — | — | — | — | — | 4,322,666 | ||||||||||||||||||||||||||||||||||||
Series Z (Alpha Opportunity Series) | — | (271,006 | ) | — | — | — | — | — | — | — | — | — | (271,006 | ) | ||||||||||||||||||||||||||||||||||
In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 185 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions rated/identified as investment grade or better. The Trust monitors the counterparty credit risk associated with each such financial institution.
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Funds may incur transaction costs in connection with conversions between various currencies. The Funds may, but are 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.
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 Funds’ 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.
186 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Funds’ 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 | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Series A (StylePlus—Large Core Series) | Swap equity contracts | $ | 18,411,216 | $ | — | $ | 18,411,216 | $ | — | $ | (16,650,000 | ) | $ | 1,761,216 | |||||||||||
Series E (Total Return Bond Series) | Swap equity contracts | 8,652 | — | 8,652 | (6,213 | ) | — | 2,439 | |||||||||||||||||
Options purchased | 16,566 | — | 16,566 | (5,580 | ) | — | 10,986 | ||||||||||||||||||
Series J (StylePlus—Mid Growth Series) | Swap equity contracts | 17,377,099 | — | 17,377,099 | — | (16,400,000 | ) | 977,099 | |||||||||||||||||
Series X (StylePlus—Small Growth Series) | Swap equity contracts | 2,133,893 | — | 2,133,893 | — | (2,133,893 | ) | — | |||||||||||||||||
Series Y (StylePlus—Large Growth Series) | Swap equity contracts | 4,776,102 | — | 4,776,102 | — | (4,280,000 | ) | 496,102 | |||||||||||||||||
Series Z (Alpha Opportunity Series) | Custom basket swap agreements | 180,228 | — | 180,228 | (180,228 | ) | — | — | |||||||||||||||||
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Series E (Total Return Bond Series) | Forward foreign currency exchange contracts | $ | 5,580 | $ | — | $ | 5,580 | $ | (5,580 | ) | $ | — | $ | — | |||||||||||
Swap credit contracts | 7,820 | — | 7,820 | (6,213 | ) | — | 1,607 | ||||||||||||||||||
Series F (Floating Rate Strategies Series) | Forward foreign currency exchange contracts | 10,288 | — | 10,288 | — | — | 10,288 | ||||||||||||||||||
Series P (High Yield Series) | Forward foreign currency exchange contracts | 11,148 | — | 11,148 | — | — | 11,148 | ||||||||||||||||||
Series Z (Alpha Opportunity Series) | Custom basket swap agreements | 256,267 | — | 256,267 | (256,267 | ) | — | — | |||||||||||||||||
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 187 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of December 31, 2023.
Fund | Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
Series A (StylePlus—Large Core Series) | Morgan Stanley Capital Services LLC | Futures contracts | $ | 246,000 | $ | — | ||||
| Wells Fargo Bank, N.A. | Total return swap agreements | — | 16,650,000 | ||||||
Series A (StylePlus—Large Core Series) Total |
|
| 246,000 | 16,650,000 | ||||||
Series E (Total Return Bond Series) | BofA Securities, Inc. | Interest rate swap agreements | 155,522 | — | ||||||
BofA Securities, Inc. | Credit default swap agreements | 8,794 | — | |||||||
| BofA Securities, Inc. | Futures contracts | 57,000 | — | ||||||
Series E (Total Return Bond Series) Total |
|
| 221,316 | — | ||||||
Series J (StylePlus—Mid Growth Series) | Morgan Stanley Capital Services LLC | Futures contacts | 288,800 | — | ||||||
| Wells Fargo Bank, N.A. | Total return swap agreements | — | 16,400,000 | ||||||
Series J (StylePlus—Mid Growth Series) Total |
|
| 288,800 | 16,400,000 | ||||||
Series N (Managed Asset Allocation Series) | Goldman Sachs International | Futures contracts | 10,880 | — | ||||||
Series X (StylePlus—Small Growth Series) | Morgan Stanley Capital Services LLC | Futures contracts | 60,000 | — | ||||||
| Wells Fargo Bank, N.A. | Total return swap agreements | — | 2,270,000 | ||||||
Series X (StylePlus—Small Growth Series) Total |
|
| 60,000 | 2,270,000 | ||||||
Series Y (StylePlus—Large Growth Series) | Morgan Stanley Capital Services LLC | Futures contracts | 25,000 | — | ||||||
| Wells Fargo Bank, N.A. | Total return swap agreements | — | 4,280,000 | ||||||
Series Y (StylePlus—Large Growth Series) Total |
|
| 25,000 | 4,280,000 | ||||||
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | unadjusted quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
188 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Pricing service providers are used to value a majority of the Funds’ investments. When values are not available from a pricing service provider, 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 pricing service provider based on a single daily or monthly broker quote.
The inputs or methodologies selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees | |||
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 F 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 separate 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.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 189 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Contractual expense limitation agreements for the following Funds provide that the total expenses be limited to a percentage of average net assets for the Funds, exclusive of brokerage costs, dividends 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 | Contract | |||||||||
Series A (StylePlus—Large Core Series) | 0.91 | % | 05/01/17 | 05/01/25 | ||||||||
Series B (Large Cap Value Series) | 0.80 | % | 05/01/17 | 05/01/25 | ||||||||
Series D (World Equity Income Series) | 0.90 | % | 05/01/17 | 05/01/25 | ||||||||
Series E (Total Return Bond Series) | 0.81 | % | 11/30/12 | 05/01/25 | ||||||||
Series F (Floating Rate Strategies Series) | 1.15 | % | 04/22/13 | 05/01/25 | ||||||||
Series J (StylePlus—Mid Growth Series) | 0.94 | % | 05/01/17 | 05/01/25 | ||||||||
Series O (All Cap Value Series) | 0.88 | % | 05/01/17 | 05/01/25 | ||||||||
Series P (High Yield Series) | 1.07 | % | 10/20/14 | 05/01/25 | ||||||||
Series Q (Small Cap Value Series) | 1.14 | % | 05/01/17 | 05/01/25 | ||||||||
Series V (Mid Cap Value Series) | 0.91 | % | 05/01/17 | 05/01/25 | ||||||||
Series X (StylePlus—Small Growth Series) | 1.06 | % | 05/01/17 | 05/01/25 | ||||||||
Series Y (StylePlus—Large Growth Series) | 0.93 | % | 05/01/17 | 05/01/25 | ||||||||
Series Z (Alpha Opportunity Series) | 2.00 | % | 05/31/17 | 05/01/25 | ||||||||
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 December 31, 2023, 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 | 2024 | 2025 | 2026 | Total | ||||||||||||
Series A (StylePlus - Large Core Series) | $ | 578,663 | $ | 468,020 | $ | 454,885 | $ | 1,501,568 | ||||||||
Series B (Large Cap Value Series) | 555,924 | 510,071 | 442,921 | 1,508,916 | ||||||||||||
Series D (World Equity Income Series) | 347,403 | 248,699 | 266,381 | 862,483 | ||||||||||||
Series E (Total Return Bond Series) | 72,779 | 23,524 | 21,638 | 117,941 | ||||||||||||
Series F (Floating Rate Strategies Series) | 76,984 | 45,284 | 36,293 | 158,561 | ||||||||||||
Series J (StylePlus—Mid Growth Series) | 434,128 | 323,149 | 320,330 | 1,077,607 | ||||||||||||
Series O (All Cap Value Series) | 268,200 | 231,664 | 231,701 | 731,565 | ||||||||||||
Series P (High Yield Series) | 90,246 | 69,351 | 72,179 | 231,776 | ||||||||||||
Series Q (Small Cap Value Series) | 58,292 | 49,991 | 52,236 | 160,519 | ||||||||||||
Series V (SMid Cap Value Series) | 452,499 | 380,378 | 377,732 | 1,210,609 | ||||||||||||
Series X (StylePlus - Small Growth Series) | 130,621 | 101,526 | 106,422 | 338,569 | ||||||||||||
Series Y (StylePlus - Large Growth Series) | 141,551 | 112,263 | 117,237 | 371,051 | ||||||||||||
Series Z (Alpha Opportunity Series) | 116,608 | 94,632 | 87,340 | 298,580 | ||||||||||||
For the year ended December 31, 2023, 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 year ended December 31, 2023, the following Funds waived fees related to investments in affiliated funds:
Fund | Amount Waived | |||
Series A (StylePlus—Large Core Series) | $ | 66,991 | ||
Series E (Total Return Bond Series) | 30,190 | |||
Series J (StylePlus—Mid Growth Series) | 6,990 | |||
Series N (Managed Asset Allocation Series) | 2,426 | |||
Series X (StylePlus—Small Growth Series) | 745 | |||
Series Y (StylePlus—Large Growth Series) | 9,671 | |||
190 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended December 31, 2023 was as follows:
Fund | Ordinary | Long-Term | Total | |||||||||
Series A (StylePlus—Large Core Series) | $ | 3,382,567 | $ | — | $ | 3,382,567 | ||||||
Series B (Large Cap Value Series) | 4,391,033 | 18,842,374 | 23,233,407 | |||||||||
Series D (World Equity Income Series) | 2,923,384 | — | 2,923,384 | |||||||||
Series E (Total Return Bond Series) | 5,275,065 | — | 5,275,065 | |||||||||
Series F (Floating Rate Strategies Series) | 1,925,766 | — | 1,925,766 | |||||||||
Series J (StylePlus—Mid Growth Series) | 2,254,596 | — | 2,254,596 | |||||||||
Series N (Managed Asset Allocation Series) | 454,353 | 278,651 | 733,004 | |||||||||
Series O (All Cap Value Series) | 1,921,683 | 7,227,915 | 9,149,598 | |||||||||
Series P (High Yield Series) | 1,782,949 | — | 1,782,949 | |||||||||
Series Q (Small Cap Value Series) | 983,221 | 3,714,694 | 4,697,915 | |||||||||
Series V (SMid Cap Value Series) | 2,722,940 | 10,931,977 | 13,654,917 | |||||||||
Series X (StylePlus—Small Growth Series) | 356,250 | — | 356,250 | |||||||||
Series Y (StylePlus—Large Growth Series) | 586,749 | — | 586,749 | |||||||||
Series Z (Alpha Opportunity Series) | 4,183 | — | 4,183 | |||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 191 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended December 31, 2022 was as follows:
Fund | Ordinary | Long-Term | Total | |||||||||
Series A (StylePlus—Large Core Series) | $ | 58,472,857 | $ | 255,841 | $ | 58,728,698 | ||||||
Series B (Large Cap Value Series) | 4,798,469 | 18,054,554 | 22,853,023 | |||||||||
Series D (World Equity Income Series) | 20,247,249 | 6,913,025 | 27,160,274 | |||||||||
Series E (Total Return Bond Series) | 4,733,547 | — | 4,733,547 | |||||||||
Series F (Floating Rate Strategies Series) | 1,070,948 | — | 1,070,948 | |||||||||
Series J (StylePlus—Mid Growth Series) | 43,841,105 | — | 43,841,105 | |||||||||
Series N (Managed Asset Allocation Series) | 646,522 | 3,402,931 | 4,049,453 | |||||||||
Series O (All Cap Value Series) | 2,554,745 | 8,821,523 | 11,376,268 | |||||||||
Series P (High Yield Series) | 2,232,635 | — | 2,232,635 | |||||||||
Series Q (Small Cap Value Series) | 1,548,297 | 2,236,822 | 3,785,119 | |||||||||
Series V (SMid Cap Value Series) | 5,184,491 | 14,849,902 | 20,034,393 | |||||||||
Series X (StylePlus—Small Growth Series) | 8,871,970 | 80,941 | 8,952,911 | |||||||||
Series Y (StylePlus—Large Growth Series) | 10,472,266 | — | 10,472,266 | |||||||||
Series Z (Alpha Opportunity Series) | 15,376 | — | 15,376 | |||||||||
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of December 31, 2023 were as follows:
Fund | Undistributed | Undistributed | Net Unrealized | Accumulated | Total | |||||||||||||||
Series A (StylePlus—Large Core Series) | $ | 7,520,216 | $ | — | $ | 22,710,893 | $ | (10,102,748 | ) | $ | 20,128,361 | |||||||||
Series B (Large Cap Value Series) | 3,906,246 | 14,002,270 | 36,212,519 | — | 54,121,035 | |||||||||||||||
Series D (World Equity Income Series) | 3,104,131 | — | 9,612,823 | (718,474 | ) | 11,998,480 | ||||||||||||||
Series E (Total Return Bond Series) | 6,087,264 | — | (11,544,716 | ) | (14,885,360 | ) | (20,342,812 | ) | ||||||||||||
Series F (Floating Rate Strategies Series) | 4,453,819 | — | (885,718 | ) | (4,447,049 | ) | (878,948 | ) | ||||||||||||
Series J (StylePlus—Mid Growth Series) | 5,213,345 | — | 20,156,220 | (38,227,746 | ) | (12,858,181 | ) | |||||||||||||
Series N (Managed Asset Allocation Series) | 812,120 | 1,494,532 | 6,875,220 | — | 9,181,872 | |||||||||||||||
Series O (All Cap Value Series) | 1,507,486 | 4,782,062 | 17,076,351 | — | 23,365,899 | |||||||||||||||
Series P (High Yield Series) | 1,935,296 | — | (3,174,767 | ) | (9,324,348 | ) | (10,563,819 | ) | ||||||||||||
Series Q (Small Cap Value Series) | 1,047,818 | 2,226,654 | 7,545,238 | — | 10,819,710 | |||||||||||||||
Series V (SMid Cap Value Series) | 2,053,514 | 4,187,924 | 26,359,167 | — | 32,600,605 | |||||||||||||||
Series X (StylePlus—Small Growth Series) | 788,711 | — | 2,818,042 | (7,994,427 | ) | (4,387,674 | ) | |||||||||||||
Series Y (StylePlus—Large Growth Series) | 1,441,067 | — | 5,812,084 | (3,580,386 | ) | 3,672,765 | ||||||||||||||
Series Z (Alpha Opportunity Series) | 6,756 | — | 201,474 | (1,291,403 | ) | (1,083,173 | ) | |||||||||||||
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of December 31, 2023, capital loss carryforwards for the Funds were as follows:
Unlimited | ||||||||||||
Fund | Short-Term | Long-Term | Total | |||||||||
Series A (StylePlus—Large Core Series) | $ | (10,102,748 | ) | $ | — | $ | (10,102,748 | ) | ||||
Series D (World Equity Income Series) | (718,474 | ) | — | (718,474 | ) | |||||||
Series E (Total Return Bond Series) | (5,614,674 | ) | (9,270,686 | ) | (14,885,360 | ) | ||||||
Series F (Floating Rate Strategies Series) | (716,153 | ) | (3,730,896 | ) | (4,447,049 | ) | ||||||
Series J (StylePlus—Mid Growth Series) | (37,738,512 | ) | (489,234 | ) | (38,227,746 | ) | ||||||
Series P (High Yield Series) | (171,237 | ) | (9,153,111 | ) | (9,324,348 | ) | ||||||
Series X (StylePlus—Small Growth Series) | — | (7,994,427 | ) | (7,994,427 | ) | |||||||
Series Y (StylePlus—Large Growth Series) | (3,580,386 | ) | — | (3,580,386 | ) | |||||||
Series Z (Alpha Opportunity Series) | (1,284,487 | ) | (6,916 | ) | (1,291,403 | ) | ||||||
192 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
For the year ended December 31, 2023, the following capital loss carryforward amounts were utilized:
Fund | Utilized | |||
Series A (StylePlus—Large Core Series) | $ | 16,162,789 | ||
Series D (World Equity Income Series) | 1,069,014 | |||
Series J (StylePlus—Mid Growth Series) | 10,400,283 | |||
Series X (StylePlus—Small Growth Series) | 872,521 | |||
Series Y (StylePlus—Large Growth Series) | 6,070,772 | |||
Series Z (Alpha Opportunity Series) | 213,682 | |||
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, partnerships, and swap agreements, foreign currency gains and losses, losses deferred due to wash sales, distributions in connection with redemption of fund shares, return of capital distributions received, income accruals on certain investments, income recharacterization from certain investments, and the “mark-to-market,” recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization and the “mark-to-market” of certain derivatives. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of December 31, 2023 for permanent book/tax differences:
Fund | Paid In | Total | ||||||
Series B (Large Cap Value Series) | $ | 3,360,987 | $ | (3,360,987 | ) | |||
Series N (Managed Asset Allocation Series) | 188,564 | (188,564 | ) | |||||
Series O (All Cap Value Series) | 1,016,008 | (1,016,008 | ) | |||||
Series Q (Small Cap Value Series) | 864,032 | (864,032 | ) | |||||
Series V (SMid Cap Value Series) | 1,299,092 | (1,299,092 | ) | |||||
At December 31, 2023, 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 | Tax | Tax | Net Tax | ||||||||||||
Series A (StylePlus—Large Core Series) | $ | 223,975,304 | $ | 25,232,332 | $ | (2,521,439 | ) | $ | 22,710,893 | |||||||
Series B (Large Cap Value Series) | 163,379,972 | 42,800,093 | (6,587,574 | ) | 36,212,519 | |||||||||||
Series D (World Equity Income Series) | 103,058,997 | 11,358,690 | (1,743,397 | ) | 9,615,293 | |||||||||||
Series E (Total Return Bond Series) | 167,056,171 | 2,221,478 | (13,765,852 | ) | (11,544,374 | ) | ||||||||||
Series F (Floating Rate Strategies Series) | 63,328,588 | 369,903 | (1,256,086 | ) | (886,183 | ) | ||||||||||
Series J (StylePlus—Mid Growth Series) | 171,252,204 | 21,797,455 | (1,641,235 | ) | 20,156,220 | |||||||||||
Series N (Managed Asset Allocation Series) | 28,533,091 | 8,350,198 | (1,474,964 | ) | 6,875,234 | |||||||||||
Series O (All Cap Value Series) | 76,279,205 | 19,910,154 | (2,833,803 | ) | 17,076,351 | |||||||||||
Series P (High Yield Series) | 36,432,639 | 537,569 | (3,712,433 | ) | (3,174,864 | ) | ||||||||||
Series Q (Small Cap Value Series) | 54,471,750 | 11,343,377 | (3,798,139 | ) | 7,545,238 | |||||||||||
Series V (SMid Cap Value Series) | 134,252,265 | 33,845,115 | (7,485,948 | ) | 26,359,167 | |||||||||||
Series X (StylePlus—Small Growth Series) | 26,317,008 | 3,161,662 | (343,620 | ) | 2,818,042 | |||||||||||
Series Y (StylePlus—Large Growth Series) | 47,750,437 | 6,276,930 | (464,846 | ) | 5,812,084 | |||||||||||
Series Z (Alpha Opportunity Series) | 3,381,129 | 505,873 | (304,399 | ) | 201,474 | |||||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 193 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 7 – Securities Transactions
For the year ended December 31, 2023, 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) | $ | 116,165,145 | $ | 105,119,605 | ||||
Series B (Large Cap Value Series) | 43,735,806 | 65,697,155 | ||||||
Series D (World Equity Income Series) | 194,312,988 | 204,840,729 | ||||||
Series E (Total Return Bond Series) | 76,573,992 | 69,122,438 | ||||||
Series F (Floating Rate Strategies Series) | 44,005,114 | 34,922,276 | ||||||
Series J (StylePlus—Mid Growth Series) | 115,923,632 | 99,999,964 | ||||||
Series N (Managed Asset Allocation Series) | 2,300,164 | 5,434,356 | ||||||
Series O (All Cap Value Series) | 21,981,873 | 29,150,668 | ||||||
Series P (High Yield Series) | 11,834,987 | 13,177,024 | ||||||
Series Q (Small Cap Value Series) | 15,088,161 | 21,650,374 | ||||||
Series V (SMid Cap Value Series) | 44,041,047 | 58,893,279 | ||||||
Series X (StylePlus—Small Growth Series) | 19,830,494 | 19,464,332 | ||||||
Series Y (StylePlus—Large Growth Series) | 30,356,097 | 23,487,659 | ||||||
Series Z (Alpha Opportunity Series) | 10,834,271 | 11,197,865 | ||||||
For the year ended December 31, 2023, the cost of purchases and proceeds from sales of government securities were as follows:
Fund | Purchases | Sales | ||||||
Series E (Total Return Bond Series) | $ | 76,307,350 | $ | 62,154,306 | ||||
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended December 31, 2023, the Funds did not engage in purchases and sales of securities pursuant to Rule 17a-7 of the 1940 Act.
Note 8 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of December 31, 2023. The Funds are obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of December 31, 2023, were as follows:
Fund | Borrower | Maturity Date | Face Amount | Value | |||||||||
Series E (Total Return Bond Series) | |||||||||||||
Higginbotham Insurance Agency, Inc. | 11/25/28 | $ | 42,828 | $ | 399 | ||||||||
Lightning A | 03/01/37 | 179,007 | — | ||||||||||
Thunderbird A | 03/01/37 | 175,660 | — | ||||||||||
| $ | 397,495 | $ | 399 | ||||||||||
194 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 9 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Fund | Restricted Securities | Acquisition Date | Cost | Value | |||||||||
Series E (Total Return Bond Series) | |||||||||||||
Copper River CLO Ltd. | |||||||||||||
2007-1A INC, due 01/20/211 | 05/09/14 | $ | — | $ | 60 | ||||||||
LSTAR Securities Investment Ltd. | |||||||||||||
2021-1 8.26% (1 Month Term SOFR + 2.91%, Rate Floor: 1.80%) due 02/01/262 | 02/04/21 | 214,942 | 210,743 | ||||||||||
Towd Point Revolving Trust | |||||||||||||
| 4.83% due 09/25/64 | 03/17/22 | 499,999 | 493,750 | |||||||||
| 714,941 | 704,553 | ||||||||||||
Series P (High Yield Series) | |||||||||||||
Mirabela Nickel Ltd. | |||||||||||||
| due 06/24/193 | 12/31/13 | 353,909 | 1,950 | |||||||||
1 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
2 | Variable rate security. Rate indicated is the rate effective at December 31, 2023. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | Security is in default of interest and/or principal obligations. |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured a 364-day committed, $1,150,000,000 line of credit from Citibank, N.A., which was in place through September 29, 2023, at which time a new line of credit was entered into in the amount of $1,165,000,000. The Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Funds’ Statements of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended December 31, 2023.
Note 11 – Reverse Repurchase Agreements
Each of the Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.
For the year ended December 31, 2023, the following Funds entered into reverse repurchase agreements:
Fund | Number of Days | Balance at | Average Balance | Average Interest Rate | ||||||||||||
Series E (Total Return Bond Series) | 213 | $ | 4,549,375 | $ | 8,672,235 | 5.13 | % | |||||||||
Series P (High Yield Series) | 365 | 238,161 | 262,643 | 3.20 | % | |||||||||||
THE GUGGENHEIM FUNDS ANNUAL REPORT | 195 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Funds’ Statements of Assets and Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net Amount | ||||||||||||||||||
Series E (Total Return Bond Series) | Reverse repurchase agreements | $ | 4,549,375 | $ | — | $ | 4,549,375 | $ | (4,549,375 | ) | $ | — | $ | — | |||||||||||
Series P (High Yield Series) | Reverse repurchase agreements | 238,161 | — | 238,161 | (238,161 | ) | — | — | |||||||||||||||||
As of December 30, 2023, the Series E (Total Return Bond Series) Fund and Series P (High Yield Series) Fund had $4,549,375 and $238,161, respectively, in reverse repurchase agreements outstanding with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:
Fund | Counterparty | Interest Rate | Maturity Date | Face Value | |||
Series E (Total Return Bond Series) | J.P. Morgan Securities LLC | 5.73%* | Open Maturity | $ | 4,549,375 | ||
Series P (High Yield Series) | Goldman Sachs & Co. LLC | 3.25%* | Open Maturity | 238,161 |
* | The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set of reference rate and spread. Rate indicated is the rate effective at December 31, 2023. |
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 | Total | |||||||
Series E (Total Return Bond Series) | Federal Agency Notes | $ | — | $ | 4,549,375 | $ | 4,549,375 | ||||
Gross amount of recognized liabilities for reverse repurchase agreements |
| $ | 4,549,375 | $ | 4,549,375 | ||||||
Series P (High Yield Series) | Corporate Bonds | $ | — | $ | 238,161 | $ | 238,161 | ||||
Gross amount of recognized liabilities for reverse repurchase agreements |
| $ | — | $ | 238,161 | $ | 238,161 | ||||
Note 12 – Market Risks
The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which may change at any time based on changes in monetary policies and various market and other economic conditions), changes in inflation rates or expectations about inflation rates, adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the ongoing Russia-Ukraine conflict and its collateral economic and other effects, including, but not limited to, sanctions and other international trade barriers) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country, geographic region or industry could adversely affect the value, yield and return of the investments held by the Funds in a different country, geographic region, economy, industry or market because of the increasingly interconnected
196 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded) |
global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.
Note 13 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements are issued and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 197 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim Variable Funds Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Guggenheim Variable Funds Trust (the “Trust”) (comprising Series A (Style Plus—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 (Style Plus—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), Series X (Style Plus—Small Growth Series), Series Y (Style Plus—Large Growth Series) and Series Z (Alpha Opportunity Series) (collectively referred to as the “Funds”)), including the schedules of investments, as of December 31, 2023, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds constituting Guggenheim Variable Funds Trust at December 31, 2023, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
February 27, 2024
198 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.
The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ended December 31, 2023, the following Funds had the corresponding percentages qualify for the dividends received deduction for corporations.
Fund | Dividend | |||
Series A (StylePlus—Large Core Series) | 17.90 | % | ||
Series B (Large Cap Value Series) | 100.00 | % | ||
Series D (World Equity Income Series) | 62.35 | % | ||
Series E (Total Return Bond Series) | 2.83 | % | ||
Series J (StylePlus—Mid Growth Series) | 11.89 | % | ||
Series N (Managed Asset Allocation Series) | 41.70 | % | ||
Series O (All Cap Value Series) | 100.00 | % | ||
Series P (High Yield Series) | 1.57 | % | ||
Series Q (Small Cap Value Series) | 100.00 | % | ||
Series V (SMid Cap Value Series) | 100.00 | % | ||
Series X (StylePlus—Small Growth Series) | 24.01 | % | ||
Series Y (StylePlus—Large Growth Series) | 13.14 | % | ||
Series Z (Alpha Opportunity Series) | 100.00 | % | ||
With respect to the taxable year ended December 31, 2023, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | From long-term | From long-term capital | ||||||
Series B (Large Cap Value Series) | $ | 18,842,374 | $ | 3,360,987 | ||||
Series N (Managed Asset Allocation Series) | 278,651 | 188,564 | ||||||
Series O (All Cap Value Series) | 7,227,915 | 1,006,293 | ||||||
Series Q (Small Cap Value Series) | 3,714,694 | 838,594 | ||||||
Series V (SMid Cap Value Series) | 10,931,977 | 1,247,216 | ||||||
Delivery of Shareholder Reports
Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from the insurance company that offers your contract or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website address to access the report. You may elect to receive paper copies of all future shareholder reports 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 may apply to all portfolio companies available under your contract.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 199 |
OTHER INFORMATION (Unaudited)(concluded) |
Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds
Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds’ voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
200 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Funds’ 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* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee) | Current: Private Investor (2001-present). | 153 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present).
Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). | 152 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 201 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee) | Current: President, Global Trends Investments (registered investment adviser) (1996-present); Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (index provider) (2021-present); Vice Chairman, VettaFi (financial advisor content, research and digital distribution provider) (2022-present). | 152 | Current: The 2023 ETF Series Trust (4) (2023-present); The 2023 ETF Series Trust II (1); US Global Investors, Inc. (GROW) (1995-present). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (law firm) (2016-present). | 153 | Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); Endeavor Health (2012-present). |
202 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee) | Current: Retired. | 152 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (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). | 152 | Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 203 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE |
|
|
|
| |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee) | 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). | 152 | Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves during the lifetime of the Trust or until he or she dies, resigns, has reached the mandatory retirement age, is declared incompetent by a court of appropriate jurisdiction, is removed or until his or her successor is duly elected and qualified, subject to the Trust’s Independent Trustees Retirement Policy and the Trust’s organizational documents. Time served may include time served in the respective position for certain predecessor entities of the Trust. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Adviser and/or the parent of the Adviser. |
204 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present); Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). |
James Howley (1972) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). |
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 Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present); Senior Managing Director, Guggenheim Funds Distributors, LLC (2014-present). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 205 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
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). |
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). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
* | 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, or until his or her earlier death, inability to serve, resignation or removal. Time served may include time served in the respective position for certain predecessor entities of the Trust. |
206 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 207 |
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.
208 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 209 |
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| Item 2. | Code of Ethics. |
The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the code of ethics during the period covered by this report. The code of ethics is filed as an exhibit to this Form N-CSR.
| Item 3. | Audit Committee Financial Expert. |
The registrant's Board of Trustees has determined that it has at least one audit committee financial expert serving on its audit committee (the “Audit Committee”), Sandra G. Sponem. Ms. Sponem is “independent,” meaning that she is not an “interested person” of the registrant (as that term is defined in Section 2(a)(19) of the Investment Company Act) and she does not accept any consulting, advisory, or other compensatory fee from the registrant (except in her capacity as a Board or committee member).
(Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the Audit Committee and Board of Trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the Audit Committee or Board of Trustees.)
| Item 4. | Principal Accountant Fees and Services. |
(a) Audit Fees. The aggregate Audit Fees billed by the registrant’s principal accountant for professional services rendered for the audit of the annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the fiscal years ended December 31, 2023 and December 31, 2022 were $345,583 and $345,583, respectively.
(b) Audit-Related Fees. The aggregate Audit-Related Fees billed by the registrant’s principal accountant for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item for the fiscal years ended December 31, 2023 and December 31, 2022 were $0 and $0, respectively.
The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor to the registrant’s investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant (“Service Affiliates”) which required pre-approval by the Audit Committee which related to the review of the transfer agent function for the fiscal years ended December 31, 2023 and December 31, 2022 were $0 and $0, respectively.
(c) Tax Fees. The aggregate Tax Fees billed by the registrant’s principal accountant for professional services rendered for tax compliance, tax advice, and tax planning, including preparation of tax returns and distribution assistance, for the fiscal years ended December 31, 2023 and December 31, 2022 were $91,005 and $95,548, respectively. These services consisted of [(i) preparation of U.S. federal, state and excise tax returns; (ii) U.S. federal and state tax planning, advice and assistance regarding statutory, regulatory or administrative developments, (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired and (iv) review of U.S. federal excise distribution calculations].
(d) All Other Fees. The aggregate All Other Fees billed by the registrant’s principal accountant for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item, for the fiscal years ended December 31, 2023 and December 31, 2022 were $0 and $0, respectively.
(e) Audit Committee Pre-Approval Policies and Procedures.
(1) Audit Committee pre-approval policies and procedures:
To fulfill its responsibilities and duties the Audit Committee (the “Committee”) shall:
| 1. | Pre-Approval Policy (Trusts). Pre-approve any engagement of the independent auditors to provide any services, other than “prohibited non-audit services,” to the Trust, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under Rule 2-01 of Regulation S-X). |
| (a) | The categories of services to be reviewed and considered for pre-approval include those services set forth under Section II.A.1. of the Background and Definitions for Audit Committee Charter (collectively, “Identified Services”). |
| (b) | The Committee has pre-approved Identified Services for which the estimated fees are less than $25,000. |
| (c) | For Identified Services with estimated fees of $25,000 or more, but less than $50,000, the Chair or any member of the Committee designated by the Chair is hereby authorized to pre-approve such Identified Services on behalf of the Committee. |
| (d) | For Identified Services with estimated fees of $50,000 or more, such Identified Services require pre-approval by the Committee. |
| (e) | All requests for Identified Services to be provided by the independent auditor that were pre-approved by the Committee shall be submitted to the Chief Accounting Officer (“CAO”) of the Trust by the independent auditor using the pre-approval request form. The Trust’s CAO will determine whether such services are included within the list of services that have received the general pre-approval of the Committee. |
| (f) | The independent auditors or the CAO of the Trust (or an officer of the Trust who reports to the CAO) shall report to the Committee at each of its regular scheduled meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category of Identified Services under which pre-approval was obtained). |
| 2. | Pre-Approval Policy (Adviser or Any Control Affiliate). Pre-approve any engagement of the independent auditors, including the fees and other compensation to be paid to the independent auditors, to provide any non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust), if the engagement relates directly to the operations or financial reporting of the Trust (unless an exception is available under Rule 2-01 of Regulation S-X). |
| (a) | The Chair or any member of the Committee designated by the Chair may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next regularly scheduled Committee meeting. |
| (b) | For non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are $25,000 or more, such services require pre-approval by the Committee. |
| a. | Pre-Approval Requirements |
| i. | Categories of Services to be Reviewed and Considered for Pre-Approval |
| 1. | Audit Services |
| a. | Annual financial statement audits |
| b. | Seed audits (related to new product filings, as required) |
| c. | SEC and regulatory filings and consents |
| 2. | Audit-Related Services |
| a. | Accounting consultations |
| b. | Fund merger/reorganization support services |
| c. | Other accounting related matters |
| d. | Agreed upon procedures reports |
| e. | Attestation reports |
| f. | Other internal control reports |
| 3. | Tax Services |
| a. | Recurring tax services: |
| i. | Preparation of Federal and state income tax returns, including extensions |
| ii. | Preparation of calculations of taxable income, including fiscal year tax designations |
| iii. | Preparation of annual Federal excise tax returns (if applicable) |
| iv. | Preparation of calendar year excise distribution calculations |
| v. | Calculation of tax equalization on an as-needed basis |
| vi. | Preparation of monthly/quarterly estimates of tax undistributed position for closed-end funds |
| vii. | Preparation of the estimated excise distribution calculations on an as-needed basis |
| viii. | Preparation of calendar year shareholder reporting designations on Form 1099 |
| ix. | Preparation of quarterly Federal, state and local and franchise tax estimated tax payments on an as-needed basis |
| x. | Preparation of state apportionment calculations to properly allocate Fund taxable income among the states for state tax filing purposes |
| xi. | Assistance with management’s identification of passive foreign investment companies (PFICs) for tax purposes |
| b. | Permissible non-recurring tax services upon request: |
| i. | Assistance with determining ownership changes which impact a Fund’s utilization of loss carryforwards |
| ii. | Assistance with corporate actions and tax treatment of complex securities and structured products |
| iii. | Assistance with IRS ruling requests and calculation of deficiency dividends |
| iv. | Conduct training sessions for the Adviser’s internal tax resources |
| v. | Assistance with Federal, state, local and international tax planning and advice regarding the tax consequences of proposed or actual transactions |
| vi. | Tax services related to amendments to Federal, state and local returns and sales and use tax compliance |
| vii. | RIC qualification reviews |
| viii. | Tax distribution analysis and planning |
| ix. | Tax authority examination services |
| x. | Tax appeals support services |
| xi. | Tax accounting methods studies |
| xii. | Fund merger, reorganization and liquidation support services |
| xiii. | Tax compliance, planning and advice services and related projects |
| xiv. | Assistance with out of state residency status |
| xv. | Provision of tax compliance services in India for Funds with direct investments in India |
| B. | Pre-Approval Not Required |
Under Section 10A(h)(i)(1)(B) of the Exchange Act and Rule 2-01 under Regulation S-X (Section (c)(7)), pre-approval of non-audit services for the Trust pursuant to Section V.B.2 is not required, if:
1. the aggregate amount of all non-audit services provided to the Trust is no more than 5% of the total fees paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided;
2. the services were not recognized by Trust management at the time of the engagement as non-audit services; and
3. such services are promptly brought to the attention of the Audit Committee by Trust management and the Committee approves them (which may be by delegation) prior to the completion of the audit.
Under Section 10A(h)(i)(1)(B) of the Exchange Act and Rule 2-01 under Regulation S-X (Section (c)(7)), pre-approval of non-audit services for the Adviser (or any affiliate of the Adviser providing ongoing services to the Trust) pursuant to Section V.B.3 is not required, if:
1. the aggregate amount of all non-audit services provided is no more than 5% of the total fees paid to the Trust’s independent auditors by the Trust, the Adviser and any “control affiliate” of the Adviser providing ongoing services to the Trust during the fiscal year in which the non-audit services are provided;
2. the services were not recognized by Trust management at the time of the engagement as non-audit services; and
3. such services are promptly brought to the attention of the Audit Committee by Trust management and the Committee approves them (which may be by delegation) prior to the completion of the audit.
(2) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) Non-Audit Fees. The aggregate non-audit fees billed by the registrant’s accountant for the most recent fiscal year and the preceding fiscal year for services rendered to the registrant, the investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant were $91,005 and $95,548, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant.
(h) Auditor Independence. The registrant’s Audit Committee was provided with information relating to the provision of non-audit services by Ernst & Young, LLP to the registrant’s investment adviser (not including any sub adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved by the Audit Committee so that a determination could be made whether the provision of such services is compatible with maintaining Ernst & Young, LLP’s independence.
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
| Item 6. | Investments. |
(a) The Schedule of Investments is included under Item 1 of this Form.
(b) Not applicable.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Managers of Closed-end Management Investment Companies |
Not applicable
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board.
There have been no changes to the procedures by which shareholders may recommend nominees to the registrant’s board.
| Item 11. | Controls and Procedures. |
(a) The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation as required by Rule 30a-3(b) under the Investment Company Act, that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that have materially affected, or are 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. | Recovery of Erroneously Awarded Compensation. |
(a) Not applicable.
(b) Not applicable.
| Item 14. | Exhibits. |
(a)(1) The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.
(a)(3) Not applicable.
(a)(4) Not applicable.
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 | March 7, 2024 |
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 | March 7, 2024 | |
| By (Signature and Title)* | /s/ James Howley | |
| James Howley, Chief Financial Officer, Chief Accounting Officer and Treasurer | ||
| Date | March 7, 2024 |
| * | Print the name and title of each signing officer under his or her signature. |