Guggenheim Macro Opportunities Fund NCSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811- 01136

Security Equity Fund
(Exact name of registrant as specified in charter)

805 King Farm Boulevard, Suite 600
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)

Donald C. Cacciapaglia, President

Security Equity Fund
805 King Farm Boulevard, Suite 600
Rockville, Maryland 20850
(Name and address of agent for service)

Registrant's telephone number, including area code: 1-301-296-5100

Date of fiscal year end: September 30

Date of reporting period: March 28, 2013

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. §3507.

Item 1. Reports to Stockholders.

FUNDAMENTAL ALPHA

LARGE CAP CORE FUND

MID CAP VALUE FUND

MID CAP VALUE INSTITUTIONAL FUND

SMALL CAP GROWTH FUND

SMALL CAP VALUE FUND

LARGE CAP CONCENTRATED GROWTH FUND

MSCI EAFE EQUAL WEIGHT FUND

OPPORTUNISTIC

ALPHA OPPORTUNITY FUND

SBE-SEMI-0313x0913

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TABLE OF CONTENTS

Dear shareholder	2

Economic and Market Overview	3

About Shareholders’ Fund Expenses	4

LARGE CAP CORE FUND	7

Mid Cap Value Fund	14

Mid Cap Value Institutional Fund	21

Small Cap Growth Fund	27

Small Cap Value Fund	34

Large Cap Concentrated Growth Fund	41

MSCI EAFE Equal Weight Fund	47

Alpha Opportunity Fund	62

Notes to Financial Statements	72

Other Information	83

Information on Board of Directors and Officers	84

GUGGENHEIM INVESTMENTS Privacy Policies	86

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 28, 2013

Dear Shareholder:

Security Investors, LLC (the “Investment Adviser”) is pleased to present the semiannual shareholder report for eight of our equity funds.

The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC, a global, diversified financial services firm.

Guggenheim Distributors, LLC is the distributor of the Funds. Guggenheim Distributors, LLC is affiliated with Guggenheim Partners and Security Investors, LLC.

This report covers performance of the following Funds for the six-month period ended March 28, 2013, with the name of each Fund followed by its ticker symbol:

– Large Cap Core Fund (SECEX)*

– Mid Cap Value Fund (SEVAX)*

– Mid Cap Value Institutional Fund (SVUIX)

– Small Cap Growth Fund (SSCAX)*

– Small Cap Value Fund (SSUAX)*

– Large Cap Concentrated Growth Fund (SEFAX)*

– MSCI EAFE Equal Weight Fund (SEQAX)*

– Alpha Opportunity Fund (SAOAX)*

An Economic and Market Overview follows this letter.

We are committed to providing innovative investment solutions and appreciate the trust you place in us.

Sincerely,

Donald C. Cacciapaglia

President

April 30, 2013

*Ticker symbol is for A-Class shares.

Read each Fund’s prospectus and summary prospectus (if available) carefully before investing. It contains the Fund’s 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.

There can be no assurance that any investment product will achieve its investment objective(s). There are risks associated with investing, including the entire loss of principal invested. Investing involves market risk. The investment return and principal value of any investment product will fluctuate with changes in market conditions.

2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

Economic and Market Overview

March 28, 2013

Recent economic results have been solid, powered by the monetary accommodation from central banks around the world. The U.S. Federal Reserve has signaled that it is likely to continue with its asset purchase program throughout 2013 in an effort to combat long-term structural unemployment. This, coupled with rebound in the housing market, has provided a tailwind for the economy. The run-up in U.S. equity prices, with some major indices testing or exceeding their all-time highs, has also contributed to heightened expectations about the economy and markets. In the fixed income domain, abundant liquidity and the continuation of open-ended quantitative easing have produced a benign credit environment with low default rates.

Following Congress’ New Year’s reprieve on the Fiscal Cliff, markets turned their attention to the impact of sequestration, as well as ongoing tax and spending debates. Despite some uncertainty created by recent political partisanship in Washington, the U.S. economy seems to be on firm footing: construction spending has been rising; state and local employment has been contributing to GDP, and employment growth has been fairly strong. Investors have benefited from the themes that have dominated the environment since the recovery began: tighter credit spreads, low interest rates, improving employment, modest inflation and sustained economic growth. Moreover, the U.S. economic expansion has withstood recent less-than-favorable Chinese economic data and Europe’s continued growth problems and banking crises in certain periphery countries.

For the six-month period ended March 28, 2013, the Standard & Poor’s 500 (“S&P 500”) Index*, which is generally regarded as an indicator of the broad U.S. stock market, returned 10.19%. Foreign developed markets performed in a comparable manner: the Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index*, which is composed of approximately 1,100 companies in 20 developed countries in Europe and the Pacific Basin, returned 12.04%. The return of the MSCI Emerging Market Index* was 3.87%.

In the bond market, higher quality issues underperformed lower-rated bonds, as investors embraced risk. The return of the Barclays U.S. Aggregate Bond Index*, which is a proxy for the U.S. investment grade bond market, posted a 0.09% return for the period, while the Barclays U.S. High Yield Index* returned 6.28%. Reflecting the Fed’s continuing accommodative monetary policy, interest rates on short-term securities remained at their lowest levels in many years; the return of the Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.05% for the six-month period.

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

*Index Definitions:

The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction cost, fees, or expenses.

Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS.

Barclays U.S. High Yield Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below.

Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada.

MSCI EAFE Equal Weighted Index equally weighs the issuers in the MSCI EAFE Index, which is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The MSCI EAFE Equal Weighted Index is rebalanced quarterly so that each issuer has the same weight on each rebalancing date. The MSCI EAFE Index consists of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom.

MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.

S&P 500 Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or 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 September 30, 2012 and ending March 28, 2013.

The following tables illustrate a Fund’s costs in two ways:

Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth 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 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 a Fund’s expenses, including annual expense ratios for the past five years, 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.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio¹			Return			September 30, 2012		March 28, 2013		Period²
Table 1. Based on actual Fund return³
Large Cap Core Fund
A-Class		1.34	%		8.07	%	$	1,000.00	$	1,080.70	$	6.84
B-Class		2.46	%		7.47	%		1,000.00		1,074.70		12.51
C-Class		2.30	%		7.58	%		1,000.00		1,075.80		11.71
Institutional Class		1.25	%		8.16	%		1,000.00		1,081.60		6.38
Mid Cap Value Fund
A-Class		1.39	%		19.60	%		1,000.00		1,196.00		7.48
B-Class		2.16	%		19.13	%		1,000.00		1,191.30		11.61
C-Class		2.08	%		19.18	%		1,000.00		1,191.80		11.18

Mid Cap Value Institutional Fund		0.99	%		19.64	%		1,000.00		1,196.40		5.33

Small Cap Growth Fund
A-Class		2.27	%		10.65	%		1,000.00		1,106.50		11.73
B-Class		4.15	%		9.58	%		1,000.00		1,095.80		21.33
C-Class		3.05	%		10.27	%		1,000.00		1,102.70		15.73
Institutional Class		1.84	%		10.95	%		1,000.00		1,109.50		9.52
Small Cap Value Fund
A-Class		1.30	%		16.96	%		1,000.00		1,169.60		6.92
C-Class		1.91	%		16.52	%		1,000.00		1,165.20		10.14
Institutional Class		1.05	%		17.15	%		1,000.00		1,171.50		5.59
Large Cap Concentrated Growth Fund
A-Class		1.35	%		3.43	%		1,000.00		1,034.30		6.73
B-Class		2.10	%		3.09	%		1,000.00		1,030.90		10.46
C-Class		2.10	%		2.96	%		1,000.00		1,029.60		10.45
Institutional Class		1.11	%		3.53	%		1,000.00		1,035.30		5.54
MSCI EAFE Equal Weight Fund
A-Class		1.67	%		12.21	%		1,000.00		1,122.10		8.69
B-Class⁴		1.42	%		12.43	%		1,000.00		1,124.30		7.40
C-Class		2.42	%		11.82	%		1,000.00		1,118.20		12.57
Institutional Class		1.43	%		12.41	%		1,000.00		1,124.10		7.45
Alpha Opportunity Fund
A-Class		2.14	%		9.45	%		1,000.00		1,094.50		10.99
B-Class		2.89	%		9.01	%		1,000.00		1,090.10		14.81
C-Class		2.90	%		9.01	%		1,000.00		1,090.10		14.86
Institutional Class		1.90	%		9.50	%		1,000.00		1,095.00		9.76

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio¹			Return			September 30, 2012		March 31, 2013		Period⁵
Table 2. Based on hypothetical 5% return (before expenses)⁶
Large Cap Core Fund
A-Class		1.34	%		5.00	%		$1,000.00		$1,018.25		$6.74
B-Class		2.46	%		5.00	%		1,000.00		1,012.67		12.34
C-Class		2.30	%		5.00	%		1,000.00		1,013.46		11.55
Institutional Class		1.25	%		5.00	%		1,000.00		1,018.70		6.29
Mid Cap Value Fund
A-Class		1.39	%		5.00	%		1,000.00		1,018.00		6.99
B-Class		2.16	%		5.00	%		1,000.00		1,014.16		10.85
C-Class		2.08	%		5.00	%		1,000.00		1,014.56		10.45

Mid Cap Value Institutional Fund		0.99	%		5.00	%		1,000.00		1,020.00		4.99

Small Cap Growth Fund
A-Class		2.27	%		5.00	%		1,000.00		1,013.61		11.40
B-Class		4.15	%		5.00	%		1,000.00		1,004.24		20.74
C-Class		3.05	%		5.00	%		1,000.00		1,009.72		15.28
Institutional Class		1.84	%		5.00	%		1,000.00		1,015.76		9.25
Small Cap Value Fund
A-Class		1.30	%		5.00	%		1,000.00		1,018.45		6.54
C-Class		1.91	%		5.00	%		1,000.00		1,015.41		9.60
Institutional Class		1.05	%		5.00	%		1,000.00		1,019.70		5.29
Large Cap Concentrated Growth Fund
A-Class		1.35	%		5.00	%		1,000.00		1,018.20		6.79
B-Class		2.10	%		5.00	%		1,000.00		1,014.46		10.55
C-Class		2.10	%		5.00	%		1,000.00		1,014.46		10.55
Institutional Class		1.11	%		5.00	%		1,000.00		1,019.40		5.59
MSCI EAFE Equal Weight Fund
A-Class		1.67	%		5.00	%		1,000.00		1,016.60		8.40
B-Class⁴		1.42	%		5.00	%		1,000.00		1,017.85		7.14
C-Class		2.42	%		5.00	%		1,000.00		1,012.86		12.14
Institutional Class		1.43	%		5.00	%		1,000.00		1,017.80		7.19
Alpha Opportunity Fund
A-Class		2.14	%		5.00	%		1,000.00		1,014.26		10.75
B-Class		2.89	%		5.00	%		1,000.00		1,010.52		14.49
C-Class		2.90	%		5.00	%		1,000.00		1,010.47		14.54
Institutional Class		1.90	%		5.00	%		1,000.00		1,015.46		9.59

Annualized and excludes expenses of the underlying funds in which the Funds invest. This ratio represents net expenses, which includes dividends on short sales and prime broker interest expense. Excluding these expenses, the operating expense ratio of the Alpha Opportunity Fund would be 2.11%, 2.86%, 2.86% and 1.86% for the A-Class, B-Class, C-Class and Institutional Class, respectively.

Expenses are equal to the Fundʼs annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 179/365 (to reflect the one-half year period).

Actual cumulative return at net asset value for the period September 30, 2012 to March 28, 2013.

⁴

B-Class shares did not charge 12b-1 fees during the period.

⁵

Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average amount value over the period, multiplied by 182/365 (to reflect the one-half year period).

⁶

Hypothetical return for the period September 30, 2012 to March 31, 2013.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited)

March 28, 2013

LARGE CAP CORE Fund

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class		September 10, 1962
B-Class		October 19, 1993
C-Class		January 29, 1999
Institutional Class		March 1, 2012

Ten Largest Holdings (% of Total Net Assets)
Apple, Inc.	3.2	%
United Technologies Corp.	2.7	%
JPMorgan Chase & Co.	2.2	%
Health Care Select Sector SPDR Fund	2.1	%
Covidien plc	2.0	%
Google, Inc. — Class A	2.0	%
Chevron Corp.	1.9	%
Coca-Cola Co.	1.9	%
Wells Fargo & Co.	1.9	%
Aetna, Inc.	1.9	%
Top Ten Total	21.8	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

SCHEDULE OF INVESTMENTS (Unaudited)	March 28, 2013
large cap core fund

	Shares		Value

COMMON STOCKS^† - 92.2%

Information Technology - 18.7%
Apple, Inc.		12,920	$	5,718,779
Google, Inc. — Class A*		4,435		3,521,523
International Business Machines Corp.		14,200		3,028,860
eBay, Inc.*		54,050		2,930,591
QUALCOMM, Inc.		42,200		2,825,290
Computer Sciences Corp.		51,610		2,540,760
Oracle Corp.		77,600		2,509,584
TE Connectivity Ltd.		49,760		2,086,437
Cisco Systems, Inc.		86,900		1,817,079
Cognizant Technology Solutions
Corp. — Class A*		23,650		1,811,827
Juniper Networks, Inc.*		87,300		1,618,542
Hewlett-Packard Co.		63,816		1,521,373
NetApp, Inc.*		19,090		652,114
Euronet Worldwide, Inc.*		22,984		605,399
Mercury Systems, Inc.*		19,190		141,430
Total Information Technology				33,329,588
Consumer Discretionary - 14.8%
Walt Disney Co.		52,456		2,979,501
TJX Companies, Inc.		63,000		2,945,250
Starbucks Corp.		51,050		2,907,808
Priceline.com, Inc.*		4,080		2,806,754
Home Depot, Inc.		37,300		2,602,794
Comcast Corp. — Class A		57,100		2,398,771
Wynn Resorts Ltd.		19,150		2,396,814
Time Warner, Inc.		39,906		2,299,384
BorgWarner, Inc.*		28,400		2,196,456
Lowe’s Companies, Inc.		43,240		1,639,661
DeVry, Inc.		24,100		765,175
Harman International Industries, Inc.		12,119		540,871
Total Consumer Discretionary				26,479,239
Financials - 12.5%
JPMorgan Chase & Co.		84,220		3,997,082
Wells Fargo & Co.		89,778		3,320,888
Aon plc		39,190		2,410,185
American International Group, Inc.*		57,959		2,249,968
Berkshire Hathaway, Inc. — Class A*		13		2,031,640
Allstate Corp.		40,300		1,977,521
U.S. Bancorp		47,756		1,620,361
BB&T Corp.		42,012		1,318,757
State Street Corp.		21,680		1,281,071
Reinsurance Group of America,
Inc. — Class A		17,880		1,066,900
CME Group, Inc. — Class A		10,390		637,842
Citigroup, Inc.		10,510		464,962
Total Financials				22,377,177
Industrials - 12.1%
United Technologies Corp.		51,550		4,816,316
Boeing Co.		30,948		2,656,886
URS Corp.		51,810		2,456,312
Cummins, Inc.		20,200		2,339,362
Emerson Electric Co.		41,350		2,310,225
Republic Services, Inc. — Class A		61,700		2,036,100
Equifax, Inc.		29,280		1,686,235
Parker Hannifin Corp.		18,209		1,667,580
Quanta Services, Inc.*		58,120		1,661,070
Total Industrials				21,630,086
Energy - 11.0%
Chevron Corp.		28,940		3,438,651
Schlumberger Ltd.		32,550		2,437,670
McDermott International, Inc.*		183,588		2,017,632
EOG Resources, Inc.		15,050		1,927,454
Apache Corp.		22,115		1,706,393
Halliburton Co.		39,400		1,592,154
Exxon Mobil Corp.		14,240		1,283,166
Whiting Petroleum Corp.*		21,997		1,118,327
Phillips 66		12,640		884,421
ConocoPhillips		14,400		865,440
Williams Companies, Inc.		22,490		842,475
Marathon Oil Corp.		24,680		832,210
Chesapeake Energy Corp.		35,400		722,514
Total Energy				19,668,507
Consumer Staples - 10.1%
Coca-Cola Co.		82,300		3,328,212
Procter & Gamble Co.		42,650		3,286,609
Estee Lauder Companies, Inc. — Class A		44,200		2,830,126
CVS Caremark Corp.		45,880		2,522,941
Walgreen Co.		45,700		2,178,976
Wal-Mart Stores, Inc.		25,490		1,907,417
Mondelez International, Inc. — Class A		43,100		1,319,291
Kraft Foods Group, Inc.		14,366		740,280
Total Consumer Staples				18,113,852
Health Care - 8.2%
Covidien plc		52,390		3,554,137
Aetna, Inc.		64,790		3,312,065
Gilead Sciences, Inc.*		51,560		2,522,831
Abbott Laboratories		56,950		2,011,474
Forest Laboratories, Inc.*		33,800		1,285,752
UnitedHealth Group, Inc.		20,700		1,184,247
Teva Pharmaceutical Industries Ltd. ADR		21,420		849,946
Total Health Care				14,720,452
Materials - 3.0%
Praxair, Inc.		20,900		2,331,186
Dow Chemical Co.		66,030		2,102,395
Coeur d’Alene Mines Corp.*		50,700		956,202
Total Materials				5,389,783
Utilities - 1.5%
Edison International		52,680		2,650,858
Telecommunication Services - 0.3%
Windstream Corp.		75,500		600,225
Total Common Stocks
(Cost $136,891,324)				164,959,767

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 28, 2013
large cap core fund

	Shares		Value

EXCHANGE TRADED FUNDS^† - 3.9%
Health Care Select Sector SPDR Fund		81,250	$	3,733,437
Financial Select Sector SPDR Fund		180,850		3,289,662
Total Exchange Traded Funds
(Cost $6,087,875)				7,023,099
Total Investments - 96.1%
(Cost $142,979,199)			$	171,982,866
Other Assets & Liabilities, net - 3.9%				6,878,489
Total Net Assets - 100.0%			$	178,861,355

Non-income producing security.

^†

Value determined based on Level 1 inputs — See Note 4.

ADR — American Depositary Receipt

plc — Public Limited Company

See Notes to Financial Statements.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

large cap core fund

STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
March 28, 2013

Assets:
Investments, at value
(cost $142,979,199)	$	171,982,866
Cash		7,434,663
Prepaid expenses		30,979
Receivables:
Securities sold		5,354,003
Dividends		182,816
Fund shares sold		9,917
Total assets		184,995,244
Liabilities:
payable for:
Securities purchased		5,843,980
Management fees		113,069
Fund shares redeemed		55,376
Distribution and service fees		41,455
Fund accounting/administration fees		14,322
Transfer agent/maintenance fees		12,882
Directors’ fees*		3,868
Miscellaneous		48,937
Total liabilities		6,133,889
Net assets	$	178,861,355
Net assets consist of:
Paid in capital	$	154,801,368
Undistributed net investment income		251,818
Accumulated net realized loss on investments		(5,195,498	)
Net unrealized appreciation on investments		29,003,667
Net assets	$	178,861,355
A-Class:
Net assets	$	172,868,145
Capital shares outstanding		7,553,779
Net asset value per share	$	22.88
Maximum offering price per share
(Net asset value divided by 95.25%)	$	24.02
B-Class:
Net assets	$	4,220,464
Capital shares outstanding		229,235
Net asset value per share	$	18.41
C-Class:
Net assets	$	1,748,485
Capital shares outstanding		87,382
Net asset value per share	$	20.01
Institutional Class:
Net assets	$	24,261
Capital shares outstanding		1,062
Net asset value per share	$	22.85

STATEMENT OF
OPERATIONS (Unaudited)
Period Ended March 28, 2013

Investment Income:
Dividends	$	1,746,686
Interest		490
Total investment income		1,747,176

Expenses:
Management fees		648,852
Transfer agent/maintenance fees:
A-Class		133,678
B-Class		11,428
C-Class		2,947
Institutional class		18
Distribution and service fees:
A-Class		208,910
B-Class		21,412
C-Class		8,018
Fund accounting/administration fees		82,187
Tax expense		8,201
Directors’ fees*		8,190
Custodian fees		3,861
Miscellaneous		58,622
Total expenses		1,196,324
Net investment income		550,852

Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		7,927,103
Net realized gain		7,927,103
Net change in unrealized appreciation (depreciation) on:
Investments		4,988,300
Net change in unrealized appreciation (depreciation)		4,988,300
Net realized and unrealized gain		12,915,403
Net increase in net assets resulting from operations	$	13,466,255

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

10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

See Notes to Financial Statements.

large cap core fund

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	March 28,			Year Ended
	2013			September 30,
	(Unaudited)			2012
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	550,852		$	502,602
Net realized gain on investments		7,927,103			5,641,857
Net change in unrealized appreciation (depreciation) on investments		4,988,300			36,158,986
Net increase in net assets resulting from operations		13,466,255			42,303,445

Distributions to shareholders from:
Net investment income
A-Class		(616,535	)		(200,274	)
Institutional Class		(73	)		—	^a
Total distributions to shareholders		(616,608	)		(200,274	)

Capital share transactions:
Proceeds from sale of shares
A-Class		1,574,937			3,926,067
B-Class		83,925			147,411
C-Class		171,190			118,320
Institutional Class		12,579			10,000	^a
Distributions reinvested
A-Class		571,200			187,685
Institutional Class		73			_—	^a
Cost of shares redeemed
A-Class		(13,620,376	)		(28,967,385	)
B-Class		(876,165	)		(1,734,071	)
C-Class		(206,448	)		(443,550	)
Institutional Class		—			—	^a
Net decrease from capital share transactions		(12,289,085	)		(26,755,523	)
Net increase in net assets		560,562			15,347,648

Net assets:
Beginning of period		178,300,793			162,953,145
End of period	$	178,861,355		$	178,300,793
Undistributed net investment income at end of period	$	251,818		$	317,574

Capital share activity:
Shares sold
A-Class		72,799			200,433
B-Class		4,807			9,082
C-Class		8,842			7,018
Institutional Class		578			480	^a
Shares issued from reinvestment of distributions
A-Class		27,448			10,201
Institutional Class		4			—	^a
Shares redeemed
A-Class		(635,001	)		(1,425,434	)
B-Class		(50,774	)		(108,033	)
C-Class		(11,198	)		(25,344	)
Institutional Class		—			—	^a
Net decrease in shares		(582,495	)		(1,331,597	)

^a Since the commencement of operations: March 1, 2012.

See Notes to Financial Statements.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11

large cap core fund

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
A-Class	2013^a			2012			2011^f			2010^f			2009^f			2008^f
Per Share Data
Net asset value, beginning of period	$	21.25		$	16.79		$	17.56		$	16.20		$	17.04		$	27.36
Income (loss) from investment operations:
Net investment income^b		.07			.06			.01			.04			.04			.04
Net gain (loss) on investments (realized and unrealized)		1.64			4.42			(.74	)		1.32			(.80	)		(6.44	)
Total from investment operations		1.71			4.48			(.73	)		1.36			(.76	)		(6.40	)
Less distributions from:
Net investment income		(.08	)		(.02	)		(.04	)		—			(.04	)		—
Net realized gains		—			—			—			—			—			(3.88	)
Return of capital		—			—			—			—			(.04	)		(.04	)
Total distributions		(.08	)		(.02	)		(.04	)		—			(.08	)		(3.92	)
Net asset value, end of period	$	22.88		$	21.25		$	16.79		$	17.56		$	16.20		$	17.04

Total Return^c		8.07	%		26.71	%		(4.11	%)		8.40	%		(4.32	%)		(26.12	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	172,868		$	171,907		$	156,232		$	174,371		$	175,404		$	205,908
Ratios to average net assets:
Net investment income		0.67	%		0.32	%		0.06	%		0.31	%		0.28	%		0.15	%
Total expenses^d		1.34	%		1.36	%		1.35	%		1.43	%		1.49	%		1.36	%
Portfolio turnover rate		49	%		101	%		92	%		100	%		69	%		111	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
B-Class	2013^a			2012			2011^f			2010^f			2009^f			2008^f
Per Share Data
Net asset value, beginning of period	$	17.13		$	13.69		$	14.40		$	13.36		$	14.12		$	23.56
Income (loss) from investment operations:
Net investment loss^b		(.04	)		(.15	)		(.11	)		(.08	)		(.04	)		(.12	)
Net gain (loss) on investments (realized and unrealized)		1.32			3.59			(.60	)		1.12			(.68	)		(5.40	)
Total from investment operations		1.28			3.44			(.71	)		1.04			(.72	)		(5.52	)
Less distributions from:
Net realized gains		—			—			—			—			—			(3.88	)
Return of capital		—			—			—			—			(.04	)		(.04	)
Total distributions		—			—			—			—			(.04	)		(3.92	)
Net asset value, end of period	$	18.41		$	17.13		$	13.69		$	14.40		$	13.36		$	14.12

Total Return^c		7.47	%		25.13	%		(4.93	%)		7.78	%		(4.96	%)		(26.69	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,220		$	4,714		$	5,121		$	6,817		$	7,784		$	10,621
Ratios to average net assets:
Net investment loss		(0.45	%)		(0.92	%)		(0.70	%)		(0.48	%)		(0.46	%)		(0.61	%)
Total expenses^d		2.46	%		2.59	%		2.10	%		2.17	%		2.24	%		2.11	%
Portfolio turnover rate		49	%		101	%		92	%		100	%		69	%		111	%

12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

See Notes to Financial Statements.

large cap core fund

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2013^a			2012			2011^f			2010^f			2009^f			2008^f
Per Share Data
Net asset value, beginning of period	$	18.60		$	14.81		$	15.56		$	14.48		$	15.24		$	25.12
Income (loss) from investment operations:
Net investment loss^b		(.03	)		(.10	)		(.12	)		(.08	)		(.04	)		(.12	)
Net gain (loss) on investments (realized and unrealized)		1.44			3.89			(.63	)		1.16			(.68	)		(5.84	)
Total from investment operations		1.41			3.79			(.75	)		1.08			(.72	)		(5.96	)
Less distributions from:
Net realized gains		—			—			—			—			—			(3.88	)
Return of capital		—			—			—			—			(.04	)		(.04	)
Total distributions		—			—			—			—			(.04	)		(3.92	)
Net asset value, end of period	$	20.01		$	18.60		$	14.81		$	15.56		$	14.48		$	15.24

Total Return^c		7.58	%		25.59	%		(4.82	%)		7.46	%		(4.60	%)		(26.79	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,748		$	1,669		$	1,600		$	2,158		$	2,244		$	2,915
Ratios to average net assets:
Net investment loss		(0.29	%)		(0.55	%)		(0.70	%)		(0.44	%)		(0.47	%)		(0.60	%)
Total expenses^d		2.30	%		2.22	%		2.10	%		2.18	%		2.24	%		2.11	%
Portfolio turnover rate		49	%		101	%		92	%		100	%		69	%		111	%

	Period Ended			Period Ended
	March 28,			September 30,
Institutional Class	2013^a			2012^e
Per Share Data
Net asset value, beginning of period	$	21.28		$	20.84
Income (loss) from investment operations:
Net investment income^b		.08			.07
Net gain on investments (realized and unrealized)		1.64			.37
Total from investment operations		1.72			.44
Less distributions from:
Net investment income		(.15	)		—
Total distributions		(.15	)		—
Net asset value, end of period	$	22.85		$	21.28

Total Return^c		8.16	%		2.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	24		$	10
Ratios to average net assets:
Net investment income		0.78	%		0.59	%
Total expenses^d		1.25	%		1.12	%
Portfolio turnover rate		49	%		101	%

Unaudited figures for the period ended March 28, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

Net investment income (loss) per share was computed using average shares outstanding throughout the period.

Total return does not reflect the impact of any applicable sales charges and has not been annualized.

Does not include expenses of the underlying funds in which the Fund invests.

Since commencement of operations: March 1, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. The portfolio turn-over rate stated is for the entire fiscal year of the Fund, not since commencement of operations of the Class.

Per share amounts for years ended September 30, 2008 – September 30, 2010 and the period October 1, 2010 through April 8, 2011 have been restated to reflect a 1:4 reverse share split effective April 8, 2011.

See Notes to Financial Statements.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13

FUND PROFILE (Unaudited)

March 28, 2013

MID CAP VALUE FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class		May 1, 1997
B-Class		May 1, 1997
C-Class		January 29, 1999

Ten Largest Holdings (% of Total Net Assets)
Hanover Insurance Group, Inc.	4.4	%
Computer Sciences Corp.	3.4	%
Cree, Inc.	2.8	%
Owens-Illinois, Inc.	2.5	%
WR Berkley Corp.	2.4	%
Covanta Holding Corp.	2.3	%
Reinsurance Group of America, Inc. — Class A	2.2	%
American Financial Group, Inc.	2.2	%
Quanta Services, Inc.	2.1	%
URS Corp.	2.0	%
Top Ten Total	26.3	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 28, 2013
MID CAP VALUE FUND

	Shares			Value

COMMON STOCKS^† - 99.1%

Financials - 27.0%
Hanover Insurance Group, Inc.¹		1,078,640		$	53,586,836
WR Berkley Corp.		666,110			29,555,301
Reinsurance Group of America,
Inc. — Class A		454,574			27,124,430
American Financial Group, Inc.		552,000			26,153,760
Alleghany Corp.*		56,390			22,325,929
Northern Trust Corp.		352,130			19,212,213
RenaissanceRe Holdings Ltd.		167,200			15,380,728
Endurance Specialty Holdings Ltd.		309,400			14,792,414
Ocwen Financial Corp.*		388,684			14,738,897
Lexington Realty Trust		1,130,480			13,339,664
Huntington Bancshares, Inc.		1,539,620			11,377,791
Employers Holdings, Inc.		451,320			10,583,454
Home Loan Servicing Solutions Ltd.		423,227			9,873,886
Zions Bancorporation		288,250			7,203,368
Redwood Trust, Inc.		289,617			6,713,322
SVB Financial Group*		94,420			6,698,155
City National Corp.		111,290			6,556,094
Citizens Republic Bancorp, Inc.*		272,170			6,137,434
First Midwest Bancorp, Inc.		460,198			6,111,429
Wintrust Financial Corp.		152,840			5,661,194
Investors Real Estate Trust		562,530			5,552,171
First Niagara Financial Group, Inc.		612,990			5,431,091
BancorpSouth, Inc.		185,110			3,017,293
Total Financials					327,126,854
Industrials - 17.3%
Covanta Holding Corp.		1,412,060			28,453,009
Quanta Services, Inc.*		871,720			24,913,759
URS Corp.		510,500			24,202,805
Aegion Corp. — Class A*		934,656			21,637,286
Navigant Consulting, Inc.*		1,528,150			20,079,891
General Cable Corp.*		494,721			18,121,630
Orbital Sciences Corp.*		984,140			16,425,297
ICF International, Inc.*		422,370			11,488,464
Saia, Inc.*		301,573			10,907,895
United Stationers, Inc.		176,492			6,821,416
DigitalGlobe, Inc.*		235,553			6,809,837
Babcock & Wilcox Co.		215,496			6,122,241
Equifax, Inc.		106,240			6,118,362
DryShips, Inc.*		2,764,010			5,638,580
Atlas Air Worldwide Holdings, Inc.*		28,257			1,151,755
Towers Watson & Co. — Class A		15,375			1,065,795
Thermoenergy Corp.*		2,701,839			134,822
Total Industrials					210,092,844
Information Technology - 12.5%
Computer Sciences Corp.		829,420			40,832,347
Cree, Inc.*^,1		618,600			33,843,606
IXYS Corp.⁴		2,136,329			20,487,395
RF Micro Devices, Inc.*		2,464,500			13,111,140
Global Payments, Inc.		257,220			12,773,545
Maxwell Technologies, Inc.*^,4		1,704,971			9,189,794
Semtech Corp.*		222,670			7,880,291
Power-One, Inc.*		1,610,009			6,681,537
Symmetricom, Inc.*		938,871			4,262,474
Euronet Worldwide, Inc.*		105,635			2,782,426
Total Information Technology					151,844,555
Consumer Discretionary - 9.7%
Cabela’s, Inc.*^,1		316,150			19,215,597
Chico’s FAS, Inc.		996,820			16,746,576
Brown Shoe Company, Inc.		992,755			15,884,080
Jones Group, Inc.		871,123			11,080,684
Maidenform Brands, Inc.*		631,550			11,071,072
Jack in the Box, Inc.*		311,780			10,784,470
Scholastic Corp.		361,060			9,622,249
DeVry, Inc.		279,210			8,864,918
Guess?, Inc.		343,808			8,536,753
Gentex Corp.		313,640			6,275,936
Total Consumer Discretionary					118,082,335
Energy - 9.2%
McDermott International, Inc.*		1,612,053			17,716,462
Whiting Petroleum Corp.*		317,962			16,165,189
Goodrich Petroleum Corp.*		997,659			15,613,363
SandRidge Energy, Inc.*		2,806,090	��		14,788,094
Resolute Energy Corp.*		1,159,390			13,344,579
Oasis Petroleum, Inc.*		311,513			11,859,300
Gulfport Energy Corp.*		202,881			9,298,036
Superior Energy Services, Inc.*		261,940			6,802,582
Sanchez Energy Corp.*		322,175			6,417,726
Total Energy					112,005,331
Materials - 9.2%
Owens-Illinois, Inc.*		1,148,180			30,598,997
Sonoco Products Co.		576,950			20,187,481
Coeur d’Alene Mines Corp.*		876,140			16,524,000
Allied Nevada Gold Corp.*		838,450			13,800,887
Landec Corp.*		867,563			12,553,636
Zoltek Companies, Inc.*		955,626			11,419,731
Globe Specialty Metals, Inc.		425,030			5,916,418
Total Materials					111,001,150
Health Care - 5.3%
Hologic, Inc.*		592,511			13,390,749
Universal Health Services,
Inc. — Class B		194,520			12,423,992
MEDNAX, Inc.*		134,271			12,034,710
Forest Laboratories, Inc.*		280,790			10,681,252
Kindred Healthcare, Inc.*		782,716			8,241,999
Alere, Inc.*		271,274			6,925,625
Total Health Care					63,698,327

See Notes to Financial Statements.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 28, 2013
MID CAP VALUE FUND

	Shares		Value

Utilities - 4.8%
Black Hills Corp.		363,140	$	15,992,686
UGI Corp.		345,592		13,267,277
Pepco Holdings, Inc.		592,020		12,669,228
Great Plains Energy, Inc.		406,127		9,418,085
MDU Resources Group, Inc.		283,058		7,073,619
Total Utilities				58,420,895
Consumer Staples - 4.1%
Bunge Ltd.		236,959		17,494,683
Hormel Foods Corp.		392,400		16,213,968
Darling International, Inc.*		575,424		10,334,615
JM Smucker Co.		61,580		6,106,273
Total Consumer Staples				50,149,539
Total Common Stocks
(Cost $957,401,543)				1,202,421,830
CONVERTIBLE PREFERRED STOCKS^††† - 0.0%
Thermoenergy Corp.*^,2,3		858,334		107,772
Total Convertible Preferred Stocks
(Cost $819,654)				107,772

	Face
	Amount
CONVERTIBLE BONDS^†† - 0.5%
Industrials - 0.5%
DryShips, Inc.
5.00% due 12/01/14	$	7,525,000	6,485,609
Total Convertible Bonds
(Cost $6,335,045)			6,485,609
Total Long Investments - 99.6%
(Cost $964,556,242)			1,209,015,211

	Contracts		Value

OPTIONS WRITTEN^† - 0.0%
Call Options on:
Cree, Inc.
Expiring May 2013 with
strike price of $60.00		455	$	(93,275	)
Cabela’s Inc.
Expiring June 2013 with
strike price of $65.00		1,050		(220,500	)
Total Call Options				(313,775	)
Put Options on:
DeVry, Inc.
Expiring May 2013
with strike price of $25.00		842		(8,420	)
Allied Nevada Gold Corp.
Expiring June 2013
with strike price of $15.00		2,174		(152,180	)
Total Put Options				(160,600	)
Total Options Written
(Premiums received $684,167)				(474,375	)
Other Assets & Liabilities, net - 0.4%				4,365,322
Total Net Assets - 100.0%			$	1,212,906,158

Non-income producing security.

^†

Value determined based on Level 1 inputs — See Note 4.

^††

Value determined based on Level 2 inputs — See Note 4.

^†††

Value determined based on Level 3 inputs — See Note 4.

All or a portion of this security is pledged as collateral for open options written at March 28, 2013.

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.

Illiquid security.

⁴

Affiliated issuers — See Note 10.

16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

See Notes to Financial Statements.

MID CAP VALUE FUND

STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
March 28, 2013

Assets:
Investments in unaffiliated issuers, at value
(cost $926,853,860)	$	1,179,338,022
Investments in affiliated issuers, at value
(cost $37,702,382)		29,677,189
Total investments
(cost $964,556,242)		1,209,015,211
Cash		2,201,230
Prepaid expenses		57,419
Receivables:
Securities sold		8,237,444
Fund shares sold		1,338,741
Dividends		1,333,866
Interest		125,072
Total assets		1,222,308,983
Liabilities:
Options written, at value
(premiums received $684,167)		474,375
Payable for:
Securities purchased		4,074,962
Fund shares redeemed		2,939,990
Management fees		805,802
Distribution and service fees		398,126
Fund accounting/administration fees		96,688
Transfer agent/maintenance fees		87,808
Directors’ fees*		110
Miscellaneous		524,964
Total liabilities		9,402,825
Net assets	$	1,212,906,158
Net assets consist of:
Paid in capital	$	934,201,729
Accumulated net investment loss		(3,454,205	)
Accumulated net realized gain on investments		37,489,873
Net unrealized appreciation on investments		244,668,761
Net assets	$	1,212,906,158
A-Class:
Net assets	$	984,310,907
Capital shares outstanding		27,811,584
Net asset value per share	$	35.39
Maximum offering price per share
(Net asset value divided by 95.25%)	$	37.15
B-Class:
Net assets	$	22,592,111
Capital shares outstanding		783,937
Net asset value per share	$	28.82
C-Class:
Net assets	$	206,003,140
Capital shares outstanding		6,886,191
Net asset value per share	$	29.92

STATEMENT OF
OPERATIONS (Unaudited)
Period Ended March 28, 2013

Investment Income:
Dividends from unaffiliated issuers	$	7,458,364
Dividends from affiliated issuers		128,180
Interest		720,811
Total investment income		8,307,355

Expenses:
Management fees		4,457,758
Transfer agent/maintenance fees		��
A-Class		896,455
B-Class		25,578
C-Class		136,410
Distribution and service fees:
A-Class		1,136,093
B-Class		113,569
C-Class		953,780
Fund accounting/administration fees		533,107
Directors’ fees*		36,306
Custodian fees		20,431
Miscellaneous		242,505
Total expenses		8,551,992
Net investment loss		(244,637	)

Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		61,557,303
Options written		394,945
Net realized gain		61,952,248
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		145,427,885
Investments in affiliated issuers		(5,251,370	)
Options written		273,518
Net change in unrealized appreciation (depreciation)		140,450,033
Net realized and unrealized gain		202,402,281
Net increase in net assets resulting from operations	$	202,157,644

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

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17

MID CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	March 28,			Year Ended
	2013			September 30,
	(Unaudited)			2012
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(244,637	)	$	(4,309,556	)
Net realized gain on investments		61,952,248			111,200,171
Net change in unrealized appreciation (depreciation) on investments		140,450,033			158,502,504
Net increase in net assets resulting from operations		202,157,644			265,393,119

Distributions to shareholders from:
Net realized gains
A-Class		(92,674,750	)		(19,357,542	)
B-Class		(2,844,203	)		(613,604	)
C-Class		(22,741,115	)		(4,226,845	)
Total distributions to shareholders		(118,260,068	)		(24,197,991	)

Capital share transactions:
Proceeds from sale of shares
A-Class		81,597,401			171,642,951
B-Class		81,635			205,712
C-Class		12,605,760			16,672,547
Distributions reinvested
A-Class		83,496,316			16,566,240
B-Class		2,720,726			589,906
C-Class		16,692,864			3,099,583
Cost of shares redeemed
A-Class		(155,790,757	)		(457,393,244	)
B-Class		(5,083,959	)		(10,129,746	)
C-Class		(25,528,691	)		(54,403,876	)
Net increase (decrease) from capital share transactions		10,791,295			(313,149,927	)
Net increase (decrease) in net assets		94,688,871			(71,954,799	)

Net assets:
Beginning of period		1,118,217,287			1,190,172,086
End of period	$	1,212,906,158		$	1,118,217,287
Accumulated net investment loss at end of period	$	(3,454,205	)	$	(3,209,568	)

Capital share activity:
Shares sold
A-Class		2,479,191			5,549,566
B-Class		3,171			7,545
C-Class		462,260			619,563
Shares issued from reinvestment of distributions
A-Class		2,764,774			573,427
B-Class		110,419			24,226
C-Class		652,575			123,440
Shares redeemed
A-Class		(4,758,106	)		(14,678,321	)
B-Class		(188,211	)		(389,584	)
C-Class		(923,520	)		(2,017,676	)
Net increase (decrease) in shares		602,553			(10,187,814	)

18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

See Notes to Financial Statements.

MID CAP VALUE FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
A-Class	2013^a			2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	33.05		$	27.13		$	29.55		$	26.58		$	28.41		$	40.79
Income (loss) from investment operations:
Net investment income (loss)^b		.01			(.07	)		(.03	)		.11			.08			.25
Net gain (loss) on investments (realized and unrealized)		5.86			6.54			(2.31	)		2.90			.82			(4.77	)
Total from investment operations		5.87			6.47			(2.34	)		3.01			.90			(4.52	)
Less distributions from:
Net investment income		—			—			(.08	)		(.04	)		(.14	)		(.14	)
Net realized gains		(3.53	)		(.55	)		—			—			(2.59	)		(7.72	)
Total distributions		(3.53	)		(.55	)		(.08	)		(.04	)		(2.73	)		(7.86	)
Net asset value, end of period	$	35.39		$	33.05		$	27.13		$	29.55		$	26.58		$	28.41

Total Return^c		19.60	%		24.13	%		(7.98	%)		11.32	%		6.90	%		(12.48	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	984,311		$	903,221		$	973,467		$	1,056,655		$	781,883		$	656,044
Ratios to average net assets:
Net investment income (loss)		0.09	%		(0.22	%)		(0.10	%)		0.38	%		0.40	%		0.79	%
Total expenses		1.39	%		1.46	%		1.32	%		1.37	%		1.48	%		1.37	%
Portfolio turnover rate		13	%		19	%		28	%		23	%		31	%		68	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
B-Class	2013^a			2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	27.66		$	22.99		$	25.17		$	22.78		$	24.83		$	36.78
Income (loss) from investment operations:
Net investment loss^b		(.09	)		(.29	)		(.24	)		(.09	)		(.06	)		(—	)^d
Net gain (loss) on investments (realized and unrealized)		4.78			5.51			(1.94	)		2.48			.60			(4.23	)
Total from investment operations		4.69			5.22			(2.18	)		2.39			.54			(4.23	)
Less distributions from:
Net realized gains		(3.53	)		(.55	)		—			—			(2.59	)		(7.72	)
Total distributions		(3.53	)		(.55	)		—			—			(2.59	)		(7.72	)
Net asset value, end of period	$	28.82		$	27.66		$	22.99		$	25.17		$	22.78		$	24.83

Total Return^c		19.13	%		23.02	%		(8.66	%)		10.49	%		6.17	%		(13.14	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	22,592		$	23,747		$	27,960		$	42,321		$	58,221		$	66,641
Ratios to average net assets:
Net investment loss		(0.69	%)		(1.09	%)		(0.86	%)		(0.40	%)		(0.34	%)		(0.01	%)
Total expenses		2.16	%		2.33	%		2.07	%		2.12	%		2.23	%		2.12	%
Portfolio turnover rate		13	%		19	%		28	%		23	%		31	%		68	%

See Notes to Financial Statements.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19

MID CAP VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2013^a			2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	28.57		$	23.68		$	25.93		$	23.47		$	25.49		$	37.54
Income (loss) from investment operations:
Net investment loss^b		(.08	)		(.25	)		(.24	)		(.09	)		(.07	)		(—	)^d
Net gain (loss) on investments (realized and unrealized)		4.96			5.69			(2.01	)		2.55			.64			(4.33	)
Total from investment operations		4.88			5.44			(2.25	)		2.46			.57			(4.33	)
Less distributions from:
Net realized gains		(3.53	)		(.55	)		—			—			(2.59	)		(7.72	)
Total distributions		(3.53	)		(.55	)		—			—			(2.59	)		(7.72	)
Net asset value, end of period	$	29.92		$	28.57		$	23.68		$	25.93		$	23.47		$	25.49

Total Return^c		19.18	%		23.28	%		(8.68	%)		10.48	%		6.13	%		(13.15	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	206,003		$	191,249		$	188,745		$	193,986		$	139,121		$	113,192
Ratios to average net assets:
Net investment loss		(0.60	%)		(0.92	%)		(0.85	%)		(0.37	%)		(0.35	%)		(0.01	%)
Total expenses		2.08	%		2.16	%		2.07	%		2.12	%		2.22	%		2.12	%
Portfolio turnover rate		13	%		19	%		28	%		23	%		31	%		68	%

Unaudited figures for the period ended March 28, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

Net investment income (loss) per share was computed using average shares outstanding throughout the period.

Total return does not reflect the impact of any applicable sales charges and has not been annualized.

Net investment loss is less than $0.01 per share.

20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

See Notes to Financial Statements.

FUND PROFILE (Unaudited)

March 28, 2013

MID CAP VALUE INSTITUTIONAL FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Date:

July 11, 2008

Ten Largest Holdings (% of Total Net Assets)
Hanover Insurance Group, Inc.	4.4	%
Computer Sciences Corp.	3.2	%
Cree, Inc.	2.8	%
Owens-Illinois, Inc.	2.5	%
WR Berkley Corp.	2.4	%
Covanta Holding Corp.	2.4	%
American Financial Group, Inc.	2.3	%
Reinsurance Group of America, Inc. — Class A	2.2	%
Quanta Services, Inc.	2.1	%
URS Corp.	2.0	%
Top Ten Total	26.3	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21

SCHEDULE OF INVESTMENTS (Unaudited)	March 28, 2013
MID CAP VALUE INSTITUTIONAL FUND

	Shares		Value

COMMON STOCKS^† - 98.6%
��
Financials - 26.8%
Hanover Insurance Group, Inc.¹		472,263	$	23,462,025
WR Berkley Corp.		289,530		12,846,446
American Financial Group, Inc.		257,940		12,221,197
Reinsurance Group of
America, Inc. — Class A		201,193		12,005,187
Alleghany Corp.*		26,538		10,506,925
Northern Trust Corp.		155,120		8,463,347
Endurance Specialty Holdings Ltd.		137,230		6,560,966
RenaissanceRe Holdings Ltd.		70,560		6,490,814
Ocwen Financial Corp.*		167,858		6,365,175
Lexington Realty Trust		473,740		5,590,132
Huntington Bancshares, Inc.		690,090		5,099,766
Employers Holdings, Inc.		203,674		4,776,155
Home Loan Servicing Solutions Ltd.		186,220		4,344,513
Zions Bancorporation		126,980		3,173,230
SVB Financial Group*		41,590		2,950,395
City National Corp.		49,030		2,888,357
Citizens Republic Bancorp, Inc.*		119,880		2,703,294
First Midwest Bancorp, Inc.		202,729		2,692,241
Wintrust Financial Corp.		67,330		2,493,903
First Niagara Financial Group, Inc.		272,040		2,410,274
Redwood Trust, Inc.		102,770		2,382,209
Investors Real Estate Trust		224,810		2,218,875
BancorpSouth, Inc.		82,000		1,336,600
Bimini Capital Management,
Inc. — Class A*		231,762		76,481
Total Financials				144,058,507
Industrials - 17.1%
Covanta Holding Corp.		632,910		12,753,137
Quanta Services, Inc.*		403,680		11,537,175
URS Corp.		226,467		10,736,800
Aegion Corp. — Class A*		410,115		9,494,162
Navigant Consulting, Inc.*		677,970		8,908,526
General Cable Corp.*		223,614		8,190,981
Orbital Sciences Corp.*		425,898		7,108,238
Saia, Inc.*		133,968		4,845,623
ICF International, Inc.*		169,633		4,614,018
DigitalGlobe, Inc.*		102,541		2,964,460
Equifax, Inc.		47,460		2,733,221
Babcock & Wilcox Co.		96,135		2,731,195
United Stationers, Inc.		68,416		2,644,278
DryShips, Inc.*		1,064,081		2,170,725
Towers Watson & Co. — Class A		6,915		479,348
Total Industrials				91,911,887
Information Technology - 12.3%
Computer Sciences Corp.		353,830		17,419,051
Cree, Inc.*^,1		277,730		15,194,608
IXYS Corp.		938,399		8,999,246
RF Micro Devices, Inc.*		1,093,730		5,818,644
Global Payments, Inc.		111,700		5,547,022
Maxwell Technologies, Inc.*		745,841		4,020,083
Semtech Corp.*		97,250		3,441,678
Power-One, Inc.*		711,585		2,953,078
Symmetricom, Inc.*		418,141		1,898,360
Euronet Worldwide, Inc.*		45,610		1,201,367
Total Information Technology				66,493,137
Consumer Discretionary - 9.7%
Cabela’s, Inc.*^,1		141,040		8,572,411
Brown Shoe Company, Inc.		465,048		7,440,768
Chico’s FAS, Inc.		442,290		7,430,472
Jones Group, Inc.		384,334		4,888,729
Jack in the Box, Inc.*		139,660		4,830,839
Maidenform Brands, Inc.*		269,927		4,731,820
Scholastic Corp.		151,870		4,047,336
DeVry, Inc.		120,643		3,830,415
Guess?, Inc.		150,891		3,746,624
Gentex Corp.		136,330		2,727,963
HydroGen Corp.*^,5		1,265,700		15,695
Total Consumer Discretionary				52,263,072
Energy - 9.0%
McDermott International, Inc.*		718,021		7,891,050
Whiting Petroleum Corp.*		140,681		7,152,222
Goodrich Petroleum Corp.*		423,472		6,627,337
SandRidge Energy, Inc.*		1,145,051		6,034,419
Resolute Energy Corp.*		505,020		5,812,780
Oasis Petroleum, Inc.*		137,717		5,242,886
Gulfport Energy Corp.*		91,232		4,181,163
Superior Energy Services, Inc.*		113,050		2,935,909
Sanchez Energy Corp.*		131,221		2,613,922
Total Energy				48,491,688
Materials - 8.7%
Owens-Illinois, Inc.*		509,260		13,571,779
Coeur d’Alene Mines Corp.*		399,680		7,537,965
Sonoco Products Co.		197,286		6,903,037
Allied Nevada Gold Corp.*		371,010		6,106,825
Landec Corp.*		370,000		5,353,900
Zoltek Companies, Inc.*		392,264		4,687,555
Globe Specialty Metals, Inc.		177,120		2,465,510
Total Materials				46,626,571
Utilities - 5.2%
Black Hills Corp.		162,769		7,168,347
Great Plains Energy, Inc.		291,565		6,761,392
UGI Corp.		147,660		5,668,667
Pepco Holdings, Inc.		259,690		5,557,366
MDU Resources Group, Inc.		124,307		3,106,432
Total Utilities				28,262,204
Health Care - 5.2%
Universal Health Services,
Inc. — Class B		96,770		6,180,701
Hologic, Inc.*		244,402		5,523,485
MEDNAX, Inc.*		59,583		5,340,424
Forest Laboratories, Inc.*		126,000		4,793,040
Kindred Healthcare, Inc.*		304,621		3,207,659
Alere, Inc.*		117,799		3,007,408
Total Health Care				28,052,717

22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 28, 2013
MID CAP VALUE INSTITUTIONAL FUND

	Shares		Value

Consumer Staples - 4.6%
Hormel Foods Corp.		208,720	$	8,624,311
Bunge Ltd.		105,908		7,819,188
Darling International, Inc.*		255,592		4,590,432
JM Smucker Co.		39,570		3,923,761
Total Consumer Staples				24,957,692
Total Common Stocks
(Cost $430,746,565)				531,117,475
CONVERTIBLE PREFERRED STOCKS^††† - 0.0%
Thermoenergy Corp.*^,2,4		793,750		99,663
Total Convertible Preferred Stocks
(Cost $757,980)				99,663

	Face Amount
CONVERTIBLE BONDS^†† - 0.7%
Industrials - 0.7%
DryShips, Inc.
5.00% due 12/01/14	$	4,225,000		3,641,422
Total Convertible Bonds
(Cost $3,524,173)				3,641,422
REPURCHASE AGREEMENT^††,3 - 1.7%
UMB Financial Corp.
issued 03/28/13 at 0.02%
due 04/01/13		9,185,000		9,185,000
Total Repurchase Agreement
(Cost $9,185,000)				9,185,000
Total Long Investments - 101.0%
(Cost $444,213,718)			$	544,043,560

	Contracts		Value

OPTIONS WRITTEN^† - 0.0%
Call Options on:
Cree, Inc.
Expiring May 2013 with
strike price of $60.00		205	$	(42,025	)
Cabela’s Inc.
Expiring June 2013 with
strike price of $65.00		470		(98,700	)
Total Call Options				(140,725	)
Put Options on:
DeVry, Inc.
Expiring May 2013 with
strike price of $25.00		371		(3,710	)
Allied Nevada Gold Corp.
Expiring June 2013 with
strike price of $15.00		978		(68,460	)
Total Put Options				(72,170	)
Total Options Written
(Premiums received $305,072)			$	(212,895	)
Other Assets & Liabilities, net - (1.0)%				(5,135,200	)
Total Net Assets - 100.0%			$	538,695,465

Non-income producing security.

	^†	Value determined based on Level 1 inputs — See Note 4.
	^††	Value determined based on Level 2 inputs — See Note 4.

^†††

Value determined based on Level 3 inputs — See Note 4.

All or a portion of this security is pledged as collateral for open options written at March 28, 2013.

Repurchase Agreement — See Note 5.

⁴

Illiquid security.

⁵

Affiliated issuers — See Note 10.

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23

MID CAP VALUE INSTITUTIONAL FUND

STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
March 28, 2013

Assets:
Investments in unaffiliated issuers, at value
(cost $435,026,187)	$	534,842,865
Investments in affiliated issuers, at value
(cost $2,531)		15,695
Repurchase agreements, at value
(cost $9,185,000)		9,185,000
Total investments
(cost $444,213,718)		544,043,560
Cash		249,208
Prepaid expenses		21,095
Receivables:
Securities sold		3,279,184
Fund shares sold		773,792
Dividends		578,062
Interest		70,244
Total assets		549,015,145
Liabilities:
Options written, at value
(premiums received $305,072)		212,895
Payable for:
Fund shares redeemed		7,818,988
Securities purchased		1,848,642
Management fees		340,310
Fund accounting/administration fees		43,106
Transfer agent/maintenance fees		14,392
Directors’ fees*		223
Miscellaneous		41,124
Total liabilities		10,319,680
Net assets	$	538,695,465
Net assets consist of:
Paid in capital	$	420,291,427
Undistributed net investment income		1,324,750
Accumulated net realized gain on investments		17,157,269
Net unrealized appreciation on investments		99,922,019
Net assets	$	538,695,465
Capital shares outstanding		44,354,630
Net asset value per share	$	12.15

STATEMENT OF
OPERATIONS (Unaudited)
Period Ended March 28, 2013

Investment Income:
Dividends	$	3,314,997
Interest		459,115
Total investment income		3,774,112
Expenses:
Management fees		1,862,687
Transfer agent/maintenance fees		216,123
Fund accounting/administration fees		235,938
Directors’ fees*		16,077
Custodian fees		9,537
Miscellaneous		109,000
Total expenses		2,449,362
Net investment income		1,324,750
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		25,047,067
Options written		187,486
Net realized gain		25,234,553
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		63,758,086
Investments in affiliated issuers		507
Options written		122,941
Net change in unrealized appreciation (depreciation)		63,881,534
Net realized and unrealized gain		89,116,087
Net increase in net assets resulting from operations	$	90,440,837

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

24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

MID CAP VALUE INSTITUTIONAL FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	March 28,			Year Ended
	2013			September 30,
	(Unaudited)			2012
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	1,324,750		$	1,542,702
Net realized gain on investments		25,234,553			40,470,116
Net change in unrealized appreciation (depreciation) on investments		63,881,534			72,481,047
Net increase in net assets resulting from operations		90,440,837			114,493,865

Distributions to shareholders from:
Net investment income		(1,542,680	)		(1,977,527	)
Net realized gains		(46,688,296	)		(44,425,740	)
Total distributions to shareholders		(48,230,976	)		(46,403,267	)

Capital share transactions:
Proceeds from sale of shares		72,762,863			168,213,889
Distributions reinvested		27,245,300			20,469,550
Cost of shares redeemed		(94,263,273	)		(238,299,328	)
Net increase (decrease) from capital share transactions		5,744,890			(49,615,889	)
Net increase in net assets		47,954,751			18,474,709

Net assets:
Beginning of period		490,740,714			472,266,005
End of period	$	538,695,465		$	490,740,714
Undistributed net investment income at end of period	$	1,324,750		$	1,542,680

Capital share activity:
Shares sold		6,581,143			16,021,148
Shares issued from reinvestment of distributions		2,629,855			2,088,722
Shares redeemed		(8,339,867	)		(21,974,810	)
Net increase (decrease) in shares		871,131			(3,864,940	)

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25

MID CAP VALUE INSTITUTIONAL FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
Institutional Class	2013^a			2012			2011			2010			2009			2008^b
Per Share Data
Net asset value, beginning of period	$	11.29		$	9.97		$	11.34		$	10.49		$	10.68		$	10.00
Income (loss) from investment operations:
Net investment income^c		.03			.03			.04			.08			.08			.04
Net gain (loss) on investments
(realized and unrealized)		1.99			2.30			(.87	)		1.13			.27			.64
Total from investment operations		2.02			2.33			(.83	)		1.21			.35			.68
Less distributions from:
Net investment income		(.04	)		(.04	)		(.06	)		(.01	)		(.06	)		—
Net realized gains		(1.12	)		(.97	)		(.48	)		(.35	)		(.48	)		—
Total distributions		(1.16	)		(1.01	)		(.54	)		(.36	)		(.54	)		—
Net asset value, end of period	$	12.15		$	11.29		$	9.97		$	11.34		$	10.49		$	10.68

Total Return^d		19.64	%		24.96	%		(8.05	%)		11.76	%		5.30	%		6.80	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	538,695		$	490,741		$	472,266		$	514,447		$	317,455		$	17,436
Ratios to average net assets:
Net investment income		0.53	%		0.30	%		0.34	%		0.78	%		0.82	%		1.81	%
Total expenses		0.99	%		1.01	%		0.98	%		0.95	%		0.98	%		1.19	%
Net expenses^e		0.99	%		0.98	%		0.90	%		0.90	%		0.91	%		1.10	%
Portfolio turnover rate		14	%		33	%		38	%		20	%		76	%		63	%

Unaudited figures for the period ended March 28, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

Since commencement of operations: July 11, 2008. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

Net investment income per share was computed using average shares outstanding throughout the period.

Not annualized.

Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

FUND PROFILE (Unaudited)

March 28, 2013

SMALL CAP GROWTH FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class			October 15, 1997
B-Class			October 15, 1997
C-Class			January 29, 1999
Institutional Class			March 1, 2012

Ten Largest Holdings (% of Total Net Assets)
iShares Russell 2000 Growth Index Fund	8.3	%
PowerShares S&P SmallCap Health Care Portfolio	4.0	%
Triumph Group, Inc.	2.2	%
B/E Aerospace, Inc.	1.8	%
Jarden Corp.	1.7	%
NorthWestern Corp.	1.6	%
Vail Resorts, Inc.	1.6	%
IBERIABANK Corp.	1.6	%
athenahealth, Inc.	1.5	%
Hanesbrands, Inc.	1.5	%
Top Ten Total	25.8	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27

SCHEDULE OF INVESTMENTS (Unaudited)	March 28, 2013
SMALL CAP GROWTH FUND

	Shares		Value

COMMON STOCKS^† - 83.6%

Consumer Discretionary - 17.7%
Jarden Corp.*		5,273	$	225,927
Vail Resorts, Inc.		3,525		219,678
Hanesbrands, Inc.*		4,640		211,397
Oxford Industries, Inc.		3,865		205,231
Pier 1 Imports, Inc.		7,900		181,700
MDC Partners, Inc. — Class A		10,900		176,253
Penn National Gaming, Inc.*		3,075		167,372
Monro Muffler Brake, Inc.		4,075		161,818
Imax Corp.*		5,700		152,361
Pinnacle Entertainment, Inc.*		9,814		143,481
Lennar Corp. — Class A		2,975		123,403
G-III Apparel Group Ltd.*		2,850		114,314
Ulta Salon Cosmetics & Fragrance, Inc.*		1,310		106,333
Ignite Restaurant Group, Inc.*		6,550		96,154
SodaStream International Ltd.*		1,275		63,291
HomeAway, Inc.*		1,400		45,500
Select Comfort Corp.*		1,310		25,899
Total Consumer Discretionary				2,420,112
Information Technology - 16.7%
Alliance Data Systems Corp.*		1,305		211,266
Cavium, Inc.*		5,100		197,931
IAC/InterActiveCorp		3,787		169,203
Cadence Design Systems, Inc.*		12,120		168,831
Informatica Corp.*		4,850		167,179
Aruba Networks, Inc.*		6,250		154,624
Nuance Communications, Inc.*		7,275		146,810
FEI Co.		2,150		138,782
Nanometrics, Inc.*		9,565		138,023
Lattice Semiconductor Corp.*		22,600		123,170
Sourcefire, Inc.*		1,950		115,499
Harmonic, Inc.*		19,300		111,747
Aspen Technology, Inc.*		2,850		92,027
Ciena Corp.*		5,450		87,255
SYNNEX Corp.*		1,760		65,120
Rofin-Sinar Technologies, Inc.*		2,110		57,160
Riverbed Technology, Inc.*		3,683		54,914
QLIK Technologies, Inc.*		1,949		50,343
Pactera Technology International Ltd. ADR*		5,600		35,952
Total Information Technology				2,285,836
Health Care - 14.8%
athenahealth, Inc.*		2,180		211,547
Cooper Companies, Inc.		1,875		202,275
Endologix, Inc.*		9,400		151,810
Cepheid, Inc.*		3,705		142,160
Haemonetics Corp.*		3,370		140,394
Health Management Associates,
Inc. — Class A*		10,270		132,175
BioMarin Pharmaceutical, Inc.*		2,050		127,633
Acorda Therapeutics, Inc.*		3,750		120,113
Hologic, Inc.*		4,370		98,761
Pharmacyclics, Inc.*		1,050		84,431
Auxilium Pharmaceuticals, Inc.*		4,565		78,883
Exact Sciences Corp.*		7,850		76,930
Incyte Corporation Ltd.*		3,100		72,571
HeartWare International, Inc.*		750		66,323
HMS Holdings Corp.*		2,075		56,336
AngioDynamics, Inc.*		4,760		54,407
Ariad Pharmaceuticals, Inc.*		2,700		48,843
Questcor Pharmaceuticals, Inc.		1,150		37,421
NxStage Medical, Inc.*		2,950		33,276
CardioNet, Inc.*		12,550		30,497
Halozyme Therapeutics, Inc.*		5,240		30,235
Achillion Pharmaceuticals, Inc.*		3,200		27,968
Total Health Care				2,024,989
Industrials - 13.3%
Triumph Group, Inc.		3,890		305,364
B/E Aerospace, Inc.*		4,050		244,175
AECOM Technology Corp.*		6,260		205,328
Kansas City Southern		1,765		195,739
Hexcel Corp.*		5,100		147,951
Crane Co.		2,339		130,656
IDEX Corp.		2,258		120,622
Regal-Beloit Corp.		1,390		113,369
Colfax Corp.*		2,000		93,080
Acuity Brands, Inc.		1,275		88,421
Wabtec Corp.		790		80,667
Beacon Roofing Supply, Inc.*		1,900		73,454
PMFG, Inc.*		2,775		17,122
Total Industrials				1,815,948
Materials - 5.7%
Ashland, Inc.		2,400		178,320
Kaiser Aluminum Corp.		2,645		170,999
Cytec Industries, Inc.		1,973		146,160
Albemarle Corp.		2,012		125,790
HB Fuller Co.		2,380		93,010
Silgan Holdings, Inc.		1,470		69,458
Total Materials				783,737
Energy - 5.4%
Dresser-Rand Group, Inc.*		2,650		163,398
Superior Energy Services, Inc.*		6,080		157,898
Oil States International, Inc.*		1,565		127,657
McDermott International, Inc.*		10,750		118,143
Energy XXI Bermuda Ltd.		3,858		105,015
Stone Energy Corp.*		3,000		65,250
Total Energy				737,361
Financials - 5.4%
IBERIABANK Corp.		4,245		212,335
HCC Insurance Holdings, Inc.		4,550		191,237
Amtrust Financial Services, Inc.		4,005		138,773
Texas Capital Bancshares, Inc.*		2,900		117,305
Stifel Financial Corp.*		2,203		76,378
Total Financials				736,028

28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 28, 2013
SMALL CAP GROWTH FUND

	Shares		Value

Consumer Staples - 2.1%
J&J Snack Foods Corp.		1,375	$	105,724
Annie’s, Inc.*		2,450		93,737
Boulder Brands, Inc.*		9,000		80,820
Total Consumer Staples				280,281
Utilities - 1.6%
NorthWestern Corp.		5,525		220,227
Telecommunication Services - 0.9%
SBA Communications Corp. — Class A*		1,790		128,916
Total Common Stocks
(Cost $8,935,747)				11,433,435
EXCHANGE TRADED FUNDS^† - 12.3%
iShares Russell 2000 Growth Index Fund		10,500		1,131,375
PowerShares S&P SmallCap
Health Care Portfolio		13,570		544,293
Total Exchange Traded Funds
(Cost $1,425,545)				1,675,668
Total Investments - 95.9%
(Cost $10,361,292)			$	13,109,103
Other Assets & Liabilities, net - 4.1%				560,759
Total Net Assets - 100.0%			$	13,669,862

Non-income producing security.

^†

Value determined based on Level 1 inputs — See Note 4.
ADR — American Depositary Receipt

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29

SMALL CAP GROWTH FUND

STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
March 28, 2013

Assets:
Investments, at value
(cost $10,361,292)	$	13,109,103
Cash		433,070
Prepaid expenses		27,618
Receivables:
Securities sold		255,217
Dividends		7,349
Fund shares sold		2,008
Total assets		13,834,365
Liabilities:
Payable for:
Securities purchased		97,972
Fund shares redeemed		30,593
Management fees		10,132
Distribution and service fees		4,585
Transfer agent/maintenance fees		4,221
Fund accounting/administration fees		2,123
Directors’ fees*		150
Miscellaneous		14,727
Total liabilities		164,503
Net assets	$	13,669,862
Net assets consist of:
Paid in capital	$	12,587,739
Accumulated net investment loss		(341,739	)
Accumulated net realized loss on investments		(1,323,949	)
Net unrealized appreciation on investments		2,747,811
Net assets	$	13,669,862
A-Class:
Net assets	$	11,169,416
Capital shares outstanding		659,220
Net asset value per share	$	16.94
Maximum offering price per share
(Net asset value divided by 95.25%)	$	17.78
B-Class:
Net assets	$	918,845
Capital shares outstanding		63,260
Net asset value per share	$	14.52
C-Class:
Net assets	$	1,570,748
Capital shares outstanding		104,527
Net asset value per share	$	15.03
Institutional Class:
Net assets	$	10,853
Capital shares outstanding		638
Net asset value per share	$	17.02

STATEMENT OF
OPERATIONS (Unaudited)
Period Ended March 28, 2013

Investment Income:
Dividends (net of foreign withholding tax of $906)	$	43,961
Interest		24
Total investment income		43,985
Expenses:
Management fees		56,300
Transfer agent/maintenance fees
A-Class		19,184
B-Class		6,903
C-Class		3,213
Institutional Class		9
Distribution and service fees:
A-Class		13,365
B-Class		4,599
C-Class		8,126
Fund accounting/administration fees		12,541
Registration fees		28,392
Custodian fees		1,921
Directors’ fees*		578
Miscellaneous		10,205
Total expenses		165,336
Net investment loss		(121,351	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		951,831
Net realized gain		951,831
Net change in unrealized appreciation (depreciation) on:
Investments		525,156
Net change in unrealized appreciation (depreciation)		525,156
Net realized and unrealized gain		1,476,987
Net increase in net assets resulting from operations	$	1,355,636

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

30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

SMALL CAP GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	March 28,			Year Ended
	2013			September 30,
	(Unaudited)			2012

Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(121,351	)	$	(288,638	)
Net realized gain on investments		951,831			1,842,282
Net change in unrealized appreciation (depreciation) on investments		525,156			2,071,742
Net increase in net assets resulting from operations		1,355,636			3,625,386

Capital share transactions:
Proceeds from sale of shares
A-Class		1,148,809			3,720,971
B-Class		7,473			35,286
C-Class		30,718			609,027
Institutional Class		—			10,000	^a
Cost of shares redeemed
A-Class		(1,459,918	)		(6,712,367	)
B-Class		(182,086	)		(588,637	)
C-Class		(412,539	)		(459,526	)
Institutional Class		—			—	^a
Net decrease from capital share transactions		(867,543	)		(3,385,246	)
Net increase in net assets		488,093			240,140

Net assets:
Beginning of period		13,181,769			12,941,629
End of period	$	13,669,862		$	13,181,769
Accumulated net investment loss at end of period	$	(341,739	)	$	(220,388	)

Capital share activity:
Shares sold
A-Class		73,864			255,712
B-Class		548			2,907
C-Class		2,185			47,790
Institutional Class		—			638	^a
Shares redeemed
A-Class		(91,185	)		(452,150	)
B-Class		(13,694	)		(47,023	)
C-Class		(30,030	)		(35,644	)
Institutional Class		—			—	^a
Net decrease in shares		(58,312	)		(227,770	)

^a Since commencement of operations: March 1, 2012.

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31

SMALL CAP GROWTH FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
A-Class	2013^a			2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	15.31		$	11.91		$	12.25		$	10.56		$	11.43		$	18.53
Income (loss) from investment operations:
Net investment loss^b		(.12	)		(.24	)		(.24	)		(.18	)		(.18	)		(.24	)
Net gain (loss) on investments
(realized and unrealized)		1.75			3.64			(.10	)		1.87			(.63	)		(5.55	)
Total from investment operations		1.63			3.40			(.34	)		1.69			(.81	)		(5.79	)
Less distributions from:
Net realized gains		—			—			—			—			(.06	)		(1.31	)
Total distributions		—			—			—			—			(.06	)		(1.31	)
Net asset value, end of period	$	16.94		$	15.31		$	11.91		$	12.25		$	10.56		$	11.43

Total Return^c		10.65	%		28.55	%		(2.78	%)		16.00	%		(6.89	%)		(33.25	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,169		$	10,356		$	10,396		$	11,847		$	9,966		$	12,414
Ratios to average net assets:
Net investment loss		(1.60	%)		(1.68	%)		(1.68	%)		(1.55	%)		(2.04	%)		(1.59	%)
Total expenses^d		2.27	%		2.19	%		2.11	%		2.26	%		2.67	%		1.98	%
Net expenses^e		2.27	%		2.19	%		2.11	%		2.26	%		2.60	%		1.98	%
Portfolio turnover rate		43	%		82	%		101	%		112	%		200	%		169	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
B-Class	2013^a			2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	13.25		$	10.47		$	10.85		$	9.43		$	10.28		$	16.92
Income (loss) from investment operations:
Net investment loss^b		(.23	)		(.42	)		(.30	)		(.23	)		(.21	)		(.32	)
Net gain (loss) on investments
(realized and unrealized)		1.50			3.20			(.08	)		1.65			(.58	)		(5.01	)
Total from investment operations		1.27			2.78			(.38	)		1.42			(.79	)		(5.33	)
Less distributions from:
Net realized gains		—			—			—			—			(.06	)		(1.31	)
Total distributions		—			—			—			—			(.06	)		(1.31	)
Net asset value, end of period	$	14.52		$	13.25		$	10.47		$	10.85		$	9.43		$	10.28

Total Return^c		9.58	%		26.43	%		(3.41	%)		15.06	%		(7.47	%)		(33.72	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	919		$	1,012		$	1,262		$	1,419		$	1,766		$	2,675
Ratios to average net assets:
Net investment loss		(3.49	%)		(3.30	%)		(2.44	%)		(2.30	%)		(2.77	%)		(2.42	%)
Total expenses^d		4.15	%		3.80	%		2.87	%		3.02	%		3.41	%		2.82	%
Net expenses^e		4.15	%		3.80	%		2.87	%		3.02	%		3.33	%		2.82	%
Portfolio turnover rate		43	%		82	%		101	%		112	%		200	%		169	%

32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

SMALL CAP GROWTH FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2013^a			2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	13.63		$	10.68		$	11.06		$	9.61		$	10.48		$	17.23
Income (loss) from investment operations:
Net investment loss^b		(.16	)		(.31	)		(.31	)		(.24	)		(.22	)		(.33	)
Net gain (loss) on investments
(realized and unrealized)		1.56			3.26			(.07	)		1.69			(.59	)		(5.11	)
Total from investment operations		1.40			2.95			(.38	)		1.45			(.81	)		(5.44	)
Less distributions from:
Net realized gains		—			—			—			—			(.06	)		(1.31	)
Total distributions		—			—			—			—			(.06	)		(1.31	)
Net asset value, end of period	$	15.03		$	13.63		$	10.68		$	11.06		$	9.61		$	10.48

Total Return^c		10.27	%		27.62	%		(3.44	%)		15.09	%		(7.51	%)		(33.76	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,571		$	1,804		$	1,284		$	1,499		$	1,518		$	2,318
Ratios to average net assets:
Net investment loss		(2.38	%)		(2.41	%)		(2.43	%)		(2.31	%)		(2.77	%)		(2.43	%)
Total expenses^d		3.05	%		2.93	%		2.86	%		3.02	%		3.40	%		2.83	%
Net expenses^e		3.05	%		2.93	%		2.86	%		3.02	%		3.33	%		2.83	%
Portfolio turnover rate		43	%		82	%		101	%		112	%		200	%		169	%

	Period Ended			Period Ended
	March 28,			September 30,
Institutional Class	2013^a			2012^f
Per Share Data
Net asset value, beginning of period	$	15.34		$	15.68
Income (loss) from investment operations:
Net investment loss^b		(.09	)		(.11	)
Net gain (loss) on investments
(realized and unrealized)		1.77			(.23	)
Total from investment operations		1.68			(.34	)
Net asset value, end of period	$	17.02		$	15.34

Total Return^c		10.95	%		(2.17	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11		$	10
Ratios to average net assets:
Net investment loss		(1.18	%)		(1.26	%)
Total expenses^d		1.84	%		1.79	%
Portfolio turnover rate		43	%		82	%

Unaudited figures for the period ended March 28, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

Net investment loss per share was computed using average shares outstanding throughout the period.

Total return does not reflect the impact of any applicable sales charges and has not been annualized.

Does not include expenses of the underlying funds in which the Fund invests.

Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

Since commencement of operations: March 1, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. The portfolio turnover rate stated is for the entire fiscal year of the Fund, not since commencement of operations of the Class.

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33

FUND PROFILE (Unaudited)

March 28, 2013

SMALL CAP VALUE FUND

OBJECTIVE: Seeks long-term capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class			July 11, 2008
C-Class			July 11, 2008
Institutional Class			July 11, 2008

Ten Largest Holdings (% of Total Net Assets)
Hanover Insurance Group, Inc.	3.9	%
Cree, Inc.	2.6	%
Reinsurance Group of America,
Inc. — Class A	2.1	%
Covanta Holding Corp.	2.1	%
Home Loan Servicing Solutions Ltd.	2.1	%
UGI Corp.	1.8	%
Redwood Trust, Inc.	1.6	%
Endurance Specialty Holdings Ltd.	1.6	%
International Speedway Corp. —
Class A	1.5	%
Cabela’s, Inc.	1.5	%
Top Ten Total	20.8	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 28, 2013
SMALL CAP VALUE FUND

	Shares		Value

COMMON STOCKS^† - 95.5%

Financials - 22.9%
Hanover Insurance Group, Inc.¹		30,950	$	1,537,595
Reinsurance Group of America,
Inc. — Class A		13,700		817,479
Home Loan Servicing Solutions Ltd.		34,600		807,218
Redwood Trust, Inc.		27,903		646,792
Endurance Specialty Holdings Ltd.		13,214		631,761
Horace Mann Educators Corp.		25,390		529,382
Bancorp, Inc.*		35,490		491,537
Ocwen Financial Corp.*		11,921		452,044
1st Source Corp.		17,950		425,415
PrivateBancorp, Inc. — Class A		20,586		389,281
Safeguard Scientifics, Inc.*		21,260		335,908
Employers Holdings, Inc.		14,236		333,834
AMERISAFE, Inc.		8,835		313,996
Lexington Realty Trust		26,397		311,485
Navigators Group, Inc.*		4,800		282,000
Solar Senior Capital Ltd.		13,556		260,275
Berkshire Hills Bancorp, Inc.		7,600		194,104
BancFirst Corp.		4,224		176,141
BancorpSouth, Inc.		5,760		93,888
Total Financials				9,030,135
Industrials - 20.4%
Covanta Holding Corp.		40,390		813,858
Aegion Corp. — Class A*		24,753		573,032
General Cable Corp.*		14,446		529,157
ICF International, Inc.*		19,257		523,790
EnergySolutions, Inc.*		135,565		508,369
Navigant Consulting, Inc.*		37,500		492,750
Orbital Sciences Corp.*		26,774		446,859
Powell Industries, Inc.*		8,107		426,185
Dynamic Materials Corp.		22,792		396,581
Sterling Construction Company, Inc.*		36,138		393,543
KEYW Holding Corp.*		23,595		380,587
Celadon Group, Inc.		17,782		370,933
Energy Recovery, Inc.*		96,450		356,865
Saia, Inc.*		9,528		344,628
Great Lakes Dredge & Dock Corp.		40,595		273,204
PMFG, Inc.*		40,660		250,872
Vitran Corporation, Inc. — Class A*		40,920		250,430
DigitalGlobe, Inc.*		7,129		206,099
Global Power Equipment Group, Inc.		10,630		187,301
DryShips, Inc.*		72,889		148,694
Marten Transport Ltd.		7,180		144,533
Total Industrials				8,018,270
Information Technology - 15.8%
Cree, Inc.*^,1		18,820		1,029,641
Insight Enterprises, Inc.*		27,924		575,793
Global Cash Access Holdings, Inc.*		78,950		556,598
Carbonite, Inc.*		46,390		507,971
IXYS Corp.		48,650		466,554
RF Micro Devices, Inc.*		78,810		419,269
Global Payments, Inc.		8,030		398,770
Maxwell Technologies, Inc.*		64,589		348,135
Digi International, Inc.*		38,547		344,225
Silicon Graphics International Corp.*		22,380		307,725
Spansion, Inc. — Class A*		22,860		294,208
Semtech Corp.*		6,590		233,220
Multi-Fineline Electronix, Inc.*		14,240		219,723
Power-One, Inc.*		46,143		191,493
Mercury Systems, Inc.*		17,830		131,407
Symmetricom, Inc.*		24,280		110,231
Euronet Worldwide, Inc.*		3,236		85,236
Total Information Technology				6,220,199
Consumer Discretionary - 12.3%
International Speedway Corp. — Class A		17,991		587,946
Cabela’s, Inc.*^,1		9,530		579,233
Brown Shoe Company, Inc.		31,674		506,784
Chico’s FAS, Inc.		30,030		504,504
iRobot Corp.*		18,718		480,304
Maidenform Brands, Inc.*		26,830		470,330
DeVry, Inc.		13,850		439,738
Jones Group, Inc.		24,596		312,861
Scholastic Corp.		10,382		276,680
Guess?, Inc.		10,729		266,401
Coldwater Creek, Inc.*		75,300		237,948
Gentex Corp.		9,750		195,098
Total Consumer Discretionary				4,857,827
Energy - 8.7%
Clayton Williams Energy, Inc.*		12,867		562,674
Abraxas Petroleum Corp.*		239,310		552,806
Goodrich Petroleum Corp.*		32,902		514,916
PDC Energy, Inc.*		9,439		467,891
Resolute Energy Corp.*		36,700		422,417
Oasis Petroleum, Inc.*		9,813		373,581
Gulfport Energy Corp.*		6,300		288,729
Sanchez Energy Corp.*		11,367		226,431
Total Energy				3,409,445
Materials - 5.4%
Zoltek Companies, Inc.*		45,880		548,266
Coeur d’Alene Mines Corp.*		27,680		522,045
Landec Corp.*		31,916		461,825
Allied Nevada Gold Corp.*		26,420		434,873
Globe Specialty Metals, Inc.		11,760		163,699
Total Materials				2,130,708
Utilities - 4.6%
UGI Corp.		18,700		717,893
Black Hills Corp.		11,301		497,696
South Jersey Industries, Inc.		6,790		377,456
MDU Resources Group, Inc.		8,613		215,239
Total Utilities				1,808,284
Health Care - 3.5%
Greatbatch, Inc.*		15,388		459,639
Invacare Corp.		25,830		337,082
Kindred Healthcare, Inc.*		20,736		218,350
Alere, Inc.*		8,464		216,086
Horizon Pharma, Inc.*		57,000		154,470
Total Health Care				1,385,627

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 28, 2013
SMALL CAP VALUE FUND

	Shares		Value

Consumer Staples - 1.9%
Central Garden and Pet Co. — Class A*		45,235	$	371,832
Darling International, Inc.*		17,647		316,940
Central Garden and Pet Co.*		5,428		46,789
Total Consumer Staples				735,561
Total Common Stocks
(Cost $31,246,822)				37,596,056
CONVERTIBLE PREFERRED STOCKS^††† - 0.0%
Thermoenergy Corp.*^,2,3		6,250		785
Total Convertible Preferred Stocks
(Cost $5,968)				785
WARRANTS^†† - 0.0%
Horizon Pharma, Inc.
$4.58, 09/20/17*		28,500		6,270
Total Warrants
(Cost $—)				6,270

	Face
	Amount
CONVERTIBLE BONDS^†† - 0.4%
Industrials - 0.4%
DryShips, Inc.
5.00% due 12/01/14	$	200,000		172,375
Total Convertible Bonds
(Cost $166,750)				172,375
Total Long Investments - 95.9%
(Cost $31,419,540)			$	37,775,486

	Contracts		Value

OPTIONS WRITTEN^† - 0.0%
Call Options on:
Cree, Inc.
Expiring May 2013 with
strike price of $60.00		13	$	(2,665	)
Cabela’s Inc.
Expiring June 2013 with
strike price of $65.00		30		(6,300	)
Total Call Options				(8,965	)
Put Options on:
DeVry, Inc.
Expiring May 2013 with
strike price of $25.00		26		(260	)
Allied Nevada Gold Corp.
Expiring June 2013 with
strike price of $15.00		71		(4,970	)
Total Put Options				(5,230	)
Total Options Written
(Premiums received $20,649)				(14,195	)
Other Assets & Liabilities, net - 4.1%				1,608,994
Total Net Assets - 100.0%			$	39,370,285

Non-income producing security.

	^†	Value determined based on Level 1 inputs — See Note 4.
	^††	Value determined based on Level 2 inputs — See Note 4.

^†††

Value determined based on Level 3 inputs — See Note 4.

All or a portion of this security is pledged as collateral for open options written at March 28, 2013.

Illiquid security.

36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

SMALL CAP VALUE FUND

STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
March 28, 2013

Assets:
Investments, at value
(cost $31,419,540)	$	37,775,486
Cash		1,317,600
Prepaid expenses		17,987
Receivables:
Fund shares sold		290,801
Dividends		32,317
Investment advisor		12,307
Securities sold		4,655
Interest		3,324
Total assets		39,454,477
Liabilities:
Options written, at value
(premiums received $20,649)		14,195
Payable for:
Management fees		32,306
Fund shares redeemed		11,848
Distribution and service fees		6,208
Transfer agent/maintenance fees		5,120
Fund accounting/administration fees		3,069
Directors’ fees*		74
Miscellaneous		11,372
Total liabilities		84,192
Net assets	$	39,370,285
Net assets consist of:
Paid in capital	$	32,292,321
Accumulated net investment loss		(98,244	)
Accumulated net realized gain on investments		813,808
Net unrealized appreciation on investments		6,362,400
Net assets	$	39,370,285
A-Class:
Net assets	$	15,674,271
Capital shares outstanding		973,272
Net asset value per share	$	16.10
Maximum offering price per share
(Net asset value divided by 95.25%)	$	16.90
C-Class:
Net assets	$	3,739,707
Capital shares outstanding		241,508
Net asset value per share	$	15.48
Institutional Class:
Net assets	$	19,956,307
Capital shares outstanding		1,224,755
Net asset value per share	$	16.29

STATEMENT OF
OPERATIONS (Unaudited)
Period Ended March 28, 2013

Investment Income:
Dividends	$	203,141
Interest		13,348
Total investment income		216,489
Expenses:
Management fees		175,095
Transfer agent/maintenance fees:
A-Class		19,720
C-Class		3,001
Institutional Class		653
Distribution and service fees:
A-Class		16,574
C-Class		16,135
Fund accounting/administration fees		16,634
Registration fees		20,967
Directors’ fees*		2,763
Custodian fees		2,255
Miscellaneous		12,508
Total expenses		286,305
Less:
Expenses waived/reimbursed by Advisor		(71,828	)
Net expenses		214,477
Net investment income		2,012
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		1,624,306
Options written		11,244
Net realized gain		1,635,550
Net change in unrealized appreciation (depreciation) on:
Investments		3,913,023
Options written		8,267
Net change in unrealized appreciation (depreciation)		3,921,290
Net realized and unrealized gain		5,556,840
Net increase in net assets resulting from operations	$	5,558,852

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

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37

SMALL CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	March 28,			Year Ended
	2013			September 30,
	(Unaudited)			2012
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	2,012		$	(57,421	)
Net realized gain on investments		1,635,550			2,514,919
Net change in unrealized appreciation (depreciation) on investments		3,921,290			4,495,278
Net increase in net assets resulting from operations		5,558,852			6,952,776

Distributions to shareholders from:
Net investment income
A-Class		(11,056	)		—
Institutional Class		(53,908	)		—
Net realized gains
A-Class		(1,047,645	)		(235,223	)
C-Class		(266,068	)		(65,832	)
Institutional Class		(1,552,279	)		(390,818	)
Total distributions to shareholders		(2,930,956	)		(691,873	)

Capital share transactions:
Proceeds from sale of shares
A-Class		3,657,493			11,420,543
C-Class		398,923			2,813,053
Institutional Class		98,261			15,208,102
Distributions reinvested
A-Class		1,042,444			230,460
C-Class		248,604			60,332
Institutional Class		4,422			386,253
Cost of shares redeemed
A-Class		(2,382,573	)		(9,398,528	)
C-Class		(175,450	)		(2,852,765	)
Institutional Class		(61,193	)		(751,336	)
Net increase from capital share transactions		2,830,931			17,116,114
Net increase in net assets		5,458,827			23,377,017

Net assets:
Beginning of period		33,911,458			10,534,441
End of period	$	39,370,285		$	33,911,458
Accumulated net investment loss at end of period	$	(98,244	)	$	(35,292	)

Capital share activity:
Shares sold
A-Class		238,322			802,469
C-Class		27,100			205,879
Institutional Class		6,412			1,187,572
Shares issued from reinvestment of distributions
A-Class		75,267			17,977
C-Class		18,636			4,838
Institutional Class		316			29,827
Shares redeemed
A-Class		(157,833	)		(654,086	)
C-Class		(12,427	)		(205,339	)
Institutional Class		(4,062	)		(49,544	)
Net increase in shares		191,731			1,339,593

38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

SMALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
A-Class	2013^a			2012			2011			2010			2009			2008^b
Per Share Data
Net asset value, beginning of period	$	15.04		$	11.66		$	14.35		$	13.24		$	11.48		$	10.00
Income (loss) from investment operations:
Net investment loss^c		(—	)^d		(.03	)		(.07	)		(.05	)		(.05	)		(—	)^d
Net gain (loss) on investments
(realized and unrealized)		2.34			3.73			(.63	)		1.54			2.44			1.48
Total from investment operations		2.34			3.70			(.70	)		1.49			2.39			1.48
Less distributions from:
Net investment income		(.01	)		—			—			—			—			—
Net realized gains		(1.27	)		(.32	)		(1.99	)		(.38	)		(.63	)		—
Total distributions		(1.28	)		(.32	)		(1.99	)		(.38	)		(.63	)		—
Net asset value, end of period	$	16.10		$	15.04		$	11.66		$	14.35		$	13.24		$	11.48

Total Return^e		16.96	%		32.19	%		(7.31	%)		11.53	%		24.15	%		14.80	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	15,674		$	12,294		$	7,592		$	6,209		$	3,245		$	400
Ratios to average net assets:
Net investment loss		(0.06	%)		(0.24	%)		(0.52	%)		(0.34	%)		(0.46	%)		(0.19	%)
Total expenses		1.86	%		2.14	%		2.33	%		2.45	%		4.92	%		6.10	%
Net expenses^f		1.30	%		1.30	%		1.30	%		1.30	%		1.55	%		1.55	%
Portfolio turnover rate		17	%		62	%		70	%		140	%		58	%		86	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2013^a			2012			2011			2010			2009			2008^b
Per Share Data
Net asset value, beginning of period	$	14.54		$	11.36		$	14.13		$	13.11		$	11.46		$	10.00
Income (loss) from investment operations:
Net investment loss^c		(.05	)		(.14	)		(.18	)		(.15	)		(.11	)		(.02	)
Net gain (loss) on investments
(realized and unrealized)		2.26			3.64			(.60	)		1.55			2.39			1.48
Total from investment operations		2.21			3.50			(.78	)		1.40			2.28			1.46
Less distributions from:
Net realized gains		(1.27	)		(.32	)		(1.99	)		(.38	)		(.63	)		—
Total distributions		(1.27	)		(.32	)		(1.99	)		(.38	)		(.63	)		—
Net asset value, end of period	$	15.48		$	14.54		$	11.36		$	14.13		$	13.11		$	11.46

Total Return^e		16.52	%		31.35	%		(8.07	%)		10.94	%		23.16	%		14.60	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,740		$	3,026		$	2,305		$	1,353		$	709		$	391
Ratios to average net assets:
Net investment loss		(0.66	%)		(1.00	%)		(1.26	%)		(1.09	%)		(1.15	%)		(0.94	%)
Total expenses		2.50	%		2.70	%		3.07	%		3.22	%		6.40	%		6.88	%
Net expenses^f		1.91	%		2.05	%		2.05	%		2.05	%		2.30	%		2.30	%
Portfolio turnover rate		17	%		62	%		70	%		140	%		58	%		86	%

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39

SMALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
Institutional Class	2013^a			2012			2011			2010			2009			2008^b
Per Share Data
Net asset value, beginning of period	$	15.21		$	11.76		$	14.43		$	13.28		$	11.49		$	10.00
Income (loss) from investment operations:
Net investment income (loss)^c		.01			—	^d		(.04	)		(.01	)		(.01	)		—	^d
Net gain (loss) on investments
(realized and unrealized)		2.38			3.77			(.64	)		1.54			2.43			1.49
Total from investment operations		2.39			3.77			(.68	)		1.53			2.42			1.49
Less distributions from:
Net investment income		(.04	)		—			—			—			—			—
Net realized gains		(1.27	)		(.32	)		(1.99	)		(.38	)		(.63	)		—
Total distributions		(1.31	)		(.32	)		(1.99	)		(.38	)		(.63	)		—
Net asset value, end of period	$	16.29		$	15.21		$	11.76		$	14.43		$	13.28		$	11.49

Total Return^e		17.15	%		32.51	%		(7.11	%)		11.80	%		24.40	%		14.90	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	19,956		$	18,591		$	638		$	734		$	630		$	383
Ratios to average net assets:
Net investment income (loss)		0.18	%		0.02	%		(0.30	%)		(0.08	%)		(0.14	%)		0.06	%
Total expenses		1.32	%		1.44	%		2.09	%		2.21	%		5.44	%		5.90	%
Net expenses^f		1.05	%		1.05	%		1.05	%		1.05	%		1.30	%		1.30	%
Portfolio turnover rate		17	%		62	%		70	%		140	%		58	%		86	%

Unaudited figures for the period ended March 28, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

Since commencement of operations: July 11, 2008. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

Net investment income (loss) per share was computed using average shares outstanding throughout the period.

Net investment income (loss) is less than $0.01 per share.

Total return does not reflect the impact of any applicable sales charges and has not been annualized.

Net expense information reflects the expense ratios after expense waivers and reimbursements as applicable.

40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

FUND PROFILE (Unaudited)

March 28, 2013

LARGE CAP CONCENTRATED GROWTH FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class			January 29, 1999
B-Class			January 29, 1999
C-Class			January 29, 1999
Institutional Class			March 1, 2012

Ten Largest Holdings (% of Total Net Assets)
Apple, Inc.	6.1	%
Health Care Select Sector SPDR Fund	4.0	%
Google, Inc. — Class A	3.7	%
Coca-Cola Co.	3.5	%
Financial Select Sector SPDR Fund	3.5	%
Procter & Gamble Co.	3.5	%
International Business Machines Corp.	3.3	%
TJX Companies, Inc.	3.2	%
Walt Disney Co.	3.2	%
eBay, Inc.	3.1	%
Top Ten Total	37.1	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41

SCHEDULE OF INVESTMENTS (Unaudited)	March 28, 2013
LARGE CAP CONCENTRATED GROWTH FUND

	Shares		Value

COMMON STOCKS^† - 87.0%

Information Technology - 25.4%
Apple, Inc.		2,788	$	1,234,052
Google, Inc. — Class A*		953		756,710
International Business Machines Corp.		3,136		668,909
eBay, Inc.*		11,599		628,898
QUALCOMM, Inc.		9,084		608,174
Oracle Corp.		16,429		531,314
Cognizant Technology Solutions Corp. —
Class A*		5,112		391,630
Juniper Networks, Inc.*		18,797		348,496
Total Information Technology				5,168,183
Consumer Discretionary - 22.5%
TJX Companies, Inc.		13,874		648,610
Walt Disney Co.		11,339		644,055
Starbucks Corp.		11,013		627,300
Priceline.com, Inc.*		870		598,499
Home Depot, Inc.		8,010		558,938
Comcast Corp. — Class A		12,257		514,917
Wynn Resorts Ltd.		4,113		514,783
BorgWarner, Inc.*		6,129		474,017
Total Consumer Discretionary				4,581,119
Consumer Staples - 12.3%
Coca-Cola Co.		17,622		712,634
Procter & Gamble Co.		9,128		703,404
Estee Lauder Companies, Inc. — Class A		9,469		606,300
Walgreen Co.		9,865		470,363
Total Consumer Staples				2,492,701
Industrials - 10.8%
United Technologies Corp.		6,541		611,125
Boeing Co.		6,674		572,963
Cummins, Inc.		4,332		501,689
Emerson Electric Co.		8,894		496,908
Total Industrials				2,182,685
Health Care - 6.7%
Gilead Sciences, Inc.*		11,094		542,829
Abbott Laboratories		12,250		432,671
Covidien plc		5,555		376,851
Total Health Care				1,352,351
Energy - 4.6%
Schlumberger Ltd.		7,065		529,098
EOG Resources, Inc.		3,235		414,306
Total Energy				943,404
Materials - 2.5%
Praxair, Inc.		4,470		498,584
Financials - 2.2%
JPMorgan Chase & Co.		9,195		436,395
Total Common Stocks
(Cost $16,505,854)				17,655,422
EXCHANGE TRADED FUNDS^† - 7.4%
Health Care Select Sector SPDR Fund		17,477		803,068
Financial Select Sector SPDR Fund		38,824		706,209
Total Exchange Traded Funds
(Cost $1,313,459)				1,509,277
Total Investments - 94.4%
(Cost $17,819,313)			$	19,164,699
Other Assets & Liabilities, net - 5.6%				1,128,334
Total Net Assets - 100.0%			$	20,293,033

Non-income producing security.

^†

Value determined based on Level 1 inputs — See Note 4.
plc — Public Limited Company

42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

LARGE CAP CONCENTRATED GROWTH FUND

STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
March 28, 2013

Assets:
Investments, at value
(cost $17,819,313)	$	19,164,699
Prepaid expenses		36,701
Receivables:
Securities sold		5,244,188
Investment advisor		18,276
Dividends		8,288
Fund shares sold		2,535
Total assets		24,474,687
Liabilities:
Overdraft due to custodian bank		2,743,893
Payable for:
Securities purchased		967,099
Fund shares redeemed		414,512
Management fees		15,605
Distribution and service fees		8,600
Transfer agent/maintenance fees		8,272
Fund accounting/administration fees		1,977
Directors’ fees*		1,296
Miscellaneous		20,400
Total liabilities		4,181,654
Net assets	$	20,293,033
Net assets consist of:
Paid in capital	$	22,395,141
Undistributed net investment income		22,422
Accumulated net realized loss on investments		(3,469,916	)
Net unrealized appreciation on investments		1,345,386
Net assets	$	20,293,033
A-Class:
Net assets	$	14,955,892
Capital shares outstanding		1,549,680
Net asset value per share	$	9.65
Maximum offering price per share
(Net asset value divided by 95.25%)	$	10.13
B-Class:
Net assets	$	2,280,192
Capital shares outstanding		262,824
Net asset value per share	$	8.68
C-Class:
Net assets	$	3,046,420
Capital shares outstanding		349,633
Net asset value per share	$	8.71
Institutional Class:
Net assets	$	10,529
Capital shares outstanding		1,088
Net asset value per share	$	9.68

STATEMENT OF
OPERATIONS (Unaudited)
Period Ended March 28, 2013

Investment Income:
Dividends	$	238,210
Interest		47
Total investment income		238,257
Expenses:
Management fees		91,810
Transfer agent/maintenance fees:
A-Class		30,750
B-Class		7,938
C-Class		4,970
Institutional Class		7
Distribution and service fees:
A-Class		23,780
B-Class		12,440
C-Class		14,801
Fund accounting/administration fees		11,629
Registration fees		24,568
Custodian fees		3,755
Directors’ fees*		1,559
Miscellaneous		15,699
Total expenses		243,706
Less:
Expenses waived/reimbursed by Advisor		(57,786	)
Net expenses		185,920
Net investment income		52,337
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		1,811,157
Net realized gain		1,811,157
Net change in unrealized appreciation (depreciation) on:
Investments		(1,084,001	)
Net change in unrealized appreciation (depreciation)		(1,084,001	)
Net realized and unrealized gain		727,156
Net increase in net assets resulting from operations	$	779,493

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

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43

LARGE CAP CONCENTRATED GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	March 28,			Year Ended
	2013			September 30,
	(Unaudited)			2012
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	52,337		$	(29,898	)
Net realized gain on investments		1,811,157			2,600,037
Net change in unrealized appreciation (depreciation) on investments		(1,084,001	)		4,825,574
Net increase in net assets resulting from operations		779,493			7,395,713

Distributions to shareholders from:
Net investment income
A-Class		—			(17	)
Total distributions to shareholders		—			(17	)

Capital share transactions:
Proceeds from sale of shares
A-Class		2,092,109			4,853,993
B-Class		10,013			337,928
C-Class		138,590			410,995
Institutional Class		—			10,000	^a
Distributions reinvested
A-Class		—			17
Cost of shares redeemed
A-Class		(6,891,330	)		(15,157,953	)
B-Class		(643,774	)		(1,010,368	)
C-Class		(243,161	)		(779,158	)
Institutional Class		—			—	^a
Net decrease from capital share transactions		(5,537,553	)		(11,334,546	)
Net decrease in net assets		(4,758,060	)		(3,938,850	)

Net assets:
Beginning of period		25,051,093			28,989,943
End of period	$	20,293,033		$	25,051,093
Accumulated/(Undistributed) net investment income/(loss) at end of period	$	22,422		$	(29,915	)

Capital share activity:
Shares sold
A-Class		227,091			563,967
B-Class		1,184			40,888
C-Class		16,592			51,789
Institutional Class		—			1,088	^a
Shares issued from reinvestment of distributions
A-Class		—			2
Shares redeemed
A-Class		(726,113	)		(1,673,705	)
B-Class		(77,422	)		(129,122	)
C-Class		(29,177	)		(98,075	)
Institutional Class		—			—	^a
Net decrease in shares		(587,845	)		(1,243,168	)

^aSince commencement of operations: March 1, 2012.

44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

LARGE CAP CONCENTRATED GROWTH FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
A-Class	2013^a			2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	9.33		$	7.40		$	7.63		$	6.95		$	6.91		$	10.66
Income (loss) from investment operations:
Net investment income (loss)^b		.03			—	^c		(.02	)		.04			.01			(.02	)
Net gain (loss) on investments
(realized and unrealized)		.29			1.93			(.17	)		.64			.03			(2.87	)
Total from investment operations		.32			1.93			(.19	)		.68			.04			(2.89	)
Less distributions from:
Net investment income		—			(—	)^c		(.04	)		—			—			—
Net realized gains		—			—			—			—			—			(.86	)
Total distributions		—			(—	)^c		(.04	)		—			—			(.86	)
Net asset value, end of period	$	9.65		$	9.33		$	7.40		$	7.63		$	6.95		$	6.91

Total Return^d		3.43	%		26.08	%		(2.59	%)		9.78	%		0.58	%		(28.85	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	14,956		$	19,122		$	23,358		$	29,059		$	22,425		$	23,723
Ratios to average net assets:
Net investment income (loss)		0.60	%		0.05	%		(0.22	%)		0.52	%		0.09	%		(0.20	%)
Total expenses^e		1.79	%		1.86	%		1.70	%		1.73	%		2.04	%		1.72	%
Net expenses^f		1.35	%		1.35	%		1.35	%		1.35	%		1.35	%		1.35	%
Portfolio turnover rate		88	%		184	%		158	%		190	%		134	%		198	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
B-Class	2013^a			2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	8.42		$	6.72		$	6.96		$	6.39		$	6.40		$	10.01
Income (loss) from investment operations:
Net investment loss^b		(.01	)		(.06	)		(.08	)		(.02	)		(.03	)		(.08	)
Net gain (loss) on investments
(realized and unrealized)		.27			1.76			(.16	)		.59			.02			(2.67	)
Total from investment operations		.26			1.70			(.24	)		.57			(.01	)		(2.75	)
Less distributions from:
Net realized gains		—			—			—			—			—			(.86	)
Total distributions		—			—			—			—			—			(.86	)
Net asset value, end of period	$	8.68		$	8.42		$	6.72		$	6.96		$	6.39		$	6.40

Total Return^d		3.09	%		25.30	%		(3.45	%)		8.92	%		(0.16	%)		(29.36	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,280		$	2,856		$	2,873		$	4,590		$	5,740		$	7,394
Ratios to average net assets:
Net investment loss		(0.16	%)		(0.71	%)		(0.97	%)		(0.31	%)		(0.66	%)		(0.95	%)
Total expenses^e		2.85	%		3.14	%		2.46	%		2.48	%		2.79	%		2.47	%
Net expenses^f		2.10	%		2.11	%		2.10	%		2.10	%		2.10	%		2.10	%
Portfolio turnover rate		88	%		184	%		158	%		190	%		134	%		198	%

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45

LARGE CAP CONCENTRATED GROWTH FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2013^a			2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	8.46		$	6.75		$	6.99		$	6.41		$	6.42		$	10.04
Income (loss) from investment operations:
Net investment loss^b		(.01	)		(.06	)		(.08	)		(.02	)		(.03	)		(.08	)
Net gain (loss) on investments
(realized and unrealized)		.26			1.77			(.16	)		.60			.02			(2.68	)
Total from investment operations		.25			1.71			(.24	)		.58			(.01	)		(2.76	)
Less distributions from:
Net realized gains		—			—			—			—			—			(.86	)
Total distributions		—			—			—			—			—			(.86	)
Net asset value, end of period	$	8.71		$	8.46		$	6.75		$	6.99		$	6.41		$	6.42

Total Return^d		2.96	%		25.33	%		(3.43	%)		9.05	%		(0.16	%)		(29.37	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,046		$	3,064		$	2,758		$	3,296		$	3,742		$	5,501
Ratios to average net assets:
Net investment loss		(0.18	%)		(0.71	%)		(0.97	%)		(0.27	%)		(0.66	%)		(0.92	%)
Total expenses^e		2.56	%		2.57	%		2.46	%		2.48	%		2.78	%		2.46	%
Net expenses^f		2.10	%		2.11	%		2.10	%		2.10	%		2.10	%		2.10	%
Portfolio turnover rate		88	%		184	%		158	%		190	%		134	%		198	%

	Period Ended			Period Ended
	March 28,			September 30,
Institutional Class	2013^a			2012^g
Per Share Data
Net asset value, beginning of period	$	9.35		$	9.19
Income (loss) from investment operations:
Net investment income^b		.04			.01
Net gain on investments
(realized and unrealized)		.29			.15
Total from investment operations		.33			.16
Net asset value, end of period	$	9.68		$	9.35

Total Return^d		3.53	%		1.74	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11		$	10
Ratios to average net assets:
Net investment income		0.81	%		0.26	%
Total expenses^e		1.38	%		1.40	%
Net expenses^f		1.11	%		1.08	%
Portfolio turnover rate		88	%		184	%

Unaudited figures for the period ended March 28, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

Net investment income (loss) per share was computed using average shares outstanding throughout the period.

Less than $0.01 per share.

Total return does not reflect the impact of any applicable sales charges and has not been annualized.

Does not include expense of the underlying funds in which the Fund invests.

Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

FUND PROFILE (Unaudited)

March 28, 2013

MSCI EAFE EQUAL WEIGHT FUND

OBJECTIVE: Seeks performance that corresponds, before fees and expenses, to the price and yield performance of the MSCI EAFE Equal Weighted Index (the “Underlying Index”).

Holdings Diversification (Market Exposure as % of Net Assets)

$Z:\Vineyard\Live jobs\2013\05 May\24 May\Shift III\v343009 GHI 07812\Draft\03-Production$

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

Inception Dates:
A-Class		October 1, 1993
B-Class		October 19, 1993
C-Class		January 29, 1999
Institutional Class		May 2, 2011

Ten Largest Holdings (% of Total Net Assets)
Vanguard MSCI EAFE ETF	4.0	%
iShares MSCI Japan Index Fund	1.0	%
Jardine Cycle & Carriage Ltd.	0.1	%
Ryanair Holdings plc ADR	0.1	%
Japan Prime Realty Investment Corp.	0.1	%
Odakyu Electric Railway Company Ltd.	0.1	%
Isetan Mitsukoshi Holdings Ltd.	0.1	%
Nippon Building Fund, Inc.	0.1	%
DE Master Blenders 1753 N.V.	0.1	%
Japan Real Estate Investment Corp.	0.1	%
Top Ten Total	5.8	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS semi-annual report | 47

SCHEDULE OF INVESTMENTS (Unaudited)	March 28, 2013
MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value

COMMON STOCKS^† - 92.4%

FINANCIALS - 21.1%
Japan Prime Realty Investment Corp.		26	$	100,404
Nippon Building Fund, Inc.		7		97,865
Japan Real Estate Investment Corp.		7		96,749
Aeon Mall Company Ltd.		3,100		94,321
Japan Retail Fund Investment Corp.		38		94,061
Tokyu Land Corp.		10,000		93,699
Nomura Real Estate Holdings, Inc.		4,190		93,477
Japan Exchange Group, Inc.		1,000		92,637
Iyo Bank Ltd.		10,000		92,531
NTT Urban Development Corp.		77		92,272
DBS Group Holdings Ltd.		7,000		90,288
AEON Financial Service Company Ltd.		3,190		90,213
Shizuoka Bank Ltd.		8,000		90,002
Sumitomo Mitsui Trust Holdings, Inc.		18,980		89,729
Hachijuni Bank Ltd.		15,000		89,398
Gunma Bank Ltd.		15,000		89,238
Seven Bank Ltd.		27,800		89,192
Nomura Real Estate Office Fund,
Inc. — Class A		12		88,218
Mitsubishi UFJ Lease & Finance
Company Ltd.		16,800		87,631
Acom Company Ltd.*		3,070		87,505
Credit Saison Company Ltd.		3,490		86,907
Hiroshima Bank Ltd.		18,000		86,816
Nishi-Nippon City Bank Ltd.		28,000		86,264
Hulic Company Ltd.		10,440		85,623
Prudential plc		5,249		84,950
Resona Holdings, Inc.		16,080		84,560
SBI Holdings, Inc.		9,580		84,472
Daiwa Securities Group, Inc.		12,000		84,394
Joyo Bank Ltd.		15,000		83,342
Legal & General Group plc		31,733		83,233
Swire Pacific Ltd. — Class A		6,490		82,728
ORIX Corp.*		6,500		82,587
City Developments Ltd.		8,990		82,110
Henderson Land Development
Company Ltd.		11,990		82,018
AIA Group Ltd.		18,580		81,380
Standard Life plc		14,649		81,298
Partners Group Holding AG		329		81,198
Bank of Yokohama Ltd.		14,000		80,909
QBE Insurance Group Ltd.		5,751		80,905
Admiral Group plc		3,971		80,319
Wharf Holdings Ltd.		8,990		80,142
Suncorp Group Ltd.		6,511		80,137
Schroders plc		2,499		80,015
Fukuoka Financial Group, Inc.		16,000		79,890
Muenchener Rueckversicherungs AG		427		79,866
Investment AB Kinnevik — Class B		3,296		79,858
Resolution Ltd.		19,280		79,839
Bendigo and Adelaide Bank Ltd.		7,458		79,756
Baloise Holding AG		849		79,504
Commonwealth Bank of Australia		1,120		79,316
Chiba Bank Ltd.		11,000		78,997
Sampo — Class A		2,054		78,995
Mitsubishi UFJ Financial Group, Inc.		13,180		78,971
Link REIT		14,480		78,905
Nomura Holdings, Inc.		12,800		78,870
Gecina S.A.		679		78,793
First Pacific Company Ltd.		58,123		78,770
Ratos AB — Class B		7,453		78,738
UOL Group Ltd.		13,980		78,663
National Australia Bank Ltd.		2,448		78,613
Industrivarden AB — Class C		4,318		78,581
Goodman Group		15,766		78,474
Mizrahi Tefahot Bank Ltd.*		7,332		78,208
Bank of Kyoto Ltd.		8,000		78,105
3i Group plc		16,264		78,076
Global Logistic Properties Ltd.		36,950		78,041
Daiwa House Industry Company Ltd.		4,000		77,977
Hargreaves Lansdown plc		5,914		77,964
Gjensidige Forsikring ASA		4,722		77,891
Insurance Australia Group Ltd.		13,092		77,842
Westpac Banking Corp.		2,425		77,673
Zurich Insurance Group AG		279		77,645
Bank Hapoalim BM*		17,122		77,573
Mirvac Group		45,966		77,539
MS&AD Insurance Group Holdings		3,500		77,451
Sumitomo Realty & Development
Company Ltd.		2,000		77,446
Australia & New Zealand Banking
Group Ltd.		2,604		77,359
Unibail-Rodamco SE		332		77,334
Hannover Rueckversicherung SE		985		77,267
Corio N.V.		1,656		77,264
Tryg A/S		957		77,233
ASX Ltd.		2,049		77,215
Oversea-Chinese Banking Corporation Ltd.		8,990		77,182
Swiss Re AG		948		77,091
Daito Trust Construction Company Ltd.		900		77,064
Old Mutual plc		25,012		77,007
Julius Baer Group Ltd.		1,980		76,982
Sino Land Company Ltd.		45,400		76,967
SCOR SE		2,680		76,959
Hang Seng Bank Ltd.		4,790		76,824
Exor SpA		2,749		76,791
Ageas		2,261		76,478
Stockland		20,086		76,341
Aegon N.V.		12,682		76,266
Svenska Handelsbanken AB — Class A		1,783		76,195
Swiss Prime Site AG		940		76,094
Land Securities Group plc		6,040		76,045
Aberdeen Asset Management plc		11,649		75,978
Investor AB — Class B		2,631		75,978
Federation Centres Ltd.		30,806		75,704
Allianz AG		557		75,654
Segro plc		19,578		75,628
Hammerson plc		10,094		75,438
London Stock Exchange Group plc		3,803		75,419
Banque Cantonale Vaudoise		135		75,368
Nordea Bank AB		6,655		75,362
Ascendas Real Estate Investment Trust		35,950		75,349
CFS Retail Property Trust Group		35,938		75,218

48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 28, 2013
MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value

Shinsei Bank Ltd.		32,920	$	75,192
BOC Hong Kong Holdings Ltd.		22,470		74,972
AXA S.A.		4,355		74,868
Westfield Group		6,617		74,759
AMP Ltd.		13,756		74,628
Bank Leumi Le-Israel BM*		21,162		74,583
Macquarie Group Ltd.		1,928		74,582
Dexus Property Group		68,842		74,552
Swire Properties Ltd.		21,000		74,531
Singapore Exchange Ltd.		12,000		74,487
Wheelock & Company Ltd.		13,980		74,469
Delta Lloyd N.V.		4,335		74,357
CapitaMalls Asia Ltd.		44,940		74,267
Assicurazioni Generali SpA		4,767		74,189
HSBC Holdings plc		6,939		74,067
CapitaMall Trust		43,950		74,048
Klepierre		1,884		74,015
DNB ASA		5,045		73,978
Swiss Life Holding AG		499		73,956
Government Properties Trust, Inc.		19,143		73,953
Credit Suisse Group AG		2,816		73,890
Skandinaviska Enskilda Banken AB — Class A		7,357		73,886
ICADE		844		73,813
Barclays plc		16,659		73,694
RSA Insurance Group plc		41,570		73,468
Sumitomo Mitsui Financial Group, Inc.		1,800		73,430
Westfield Retail Trust		23,347		73,419
Intu Properties plc		14,425		73,259
Groupe Bruxelles Lambert S.A.		958		73,258
Mapfre S.A.		23,695		73,237
Standard Chartered plc		2,828		73,209
Lend Lease Group		6,884		73,116
Wendel S.A.		690		73,029
CapitaCommercial Trust		57,000		72,830
New World Development Company Ltd.		43,000		72,788
UBS AG		4,748		72,770
British Land Company plc		8,818		72,763
Vienna Insurance Group AG Wiener
Versicherung Gruppe		1,499		72,601
T&D Holdings, Inc.		6,100		72,516
Bank of East Asia Ltd.		18,380		72,454
Danske Bank A/S*		4,051		72,434
Deutsche Boerse AG		1,194		72,317
Mizuho Financial Group, Inc.		33,750		72,068
Fonciere Des Regions		918		71,882
Pargesa Holding S.A.		1,058		71,827
Tokio Marine Holdings, Inc.		2,500		71,816
KBC Groep N.V.		2,083		71,752
Swedbank AB — Class A		3,154		71,723
Sony Financial Holdings, Inc.		4,800		71,391
Investec plc		10,235		71,375
Eurazeo		1,404		71,185
NKSJ Holdings, Inc.		3,400		71,121
Hang Lung Properties Ltd.		19,000		70,982
Hysan Development Company Ltd.		13,980		70,597
BNP Paribas S.A.		1,375		70,579
Aozora Bank Ltd.		25,000		70,381
Pohjola Bank plc — Class A		4,829		70,202
Keppel Land Ltd.		22,000		69,876
Hong Kong Exchanges and Clearing Ltd.		4,100		69,825
Yamaguchi Financial Group, Inc.		7,000		69,680
Dai-ichi Life Insurance Company Ltd.		52		69,274
Erste Group Bank AG*		2,479		69,058
Wing Hang Bank Ltd.		6,490		68,975
Lloyds Banking Group plc*		93,103		68,888
CNP Assurances		5,004		68,672
Banco Santander S.A.		10,191		68,484
Banco Bilbao Vizcaya Argentaria S.A.		7,892		68,423
Natixis		18,003		68,361
CapitaLand Ltd.		24,000		68,296
Raiffeisen Bank International AG		2,005		68,153
IMMOFINANZ AG		17,880		67,733
ING Groep N.V.*		9,533		67,668
Credit Agricole S.A.*		8,138		67,040
Societe Generale S.A.*		2,031		66,732
Banco Popular Espanol S.A.*		89,764		66,513
Kerry Properties Ltd.		14,980		66,481
United Overseas Bank Ltd.		3,990		65,552
ICAP plc		14,751		65,074
Deutsche Bank AG		1,664		64,881
CaixaBank		19,141		64,781
Chugoku Bank Ltd.		4,000		64,507
Banco de Sabadell S.A.*		35,081		64,401
Suruga Bank Ltd.		4,000		64,039
Aviva plc		14,186		63,832
UniCredit SpA*		14,945		63,800
Banca Monte dei Paschi di Siena SpA*		268,997		63,796
Banco Espirito Santo S.A.*		61,580		63,076
Intesa Sanpaolo SpA		43,031		62,998
Unione di Banche Italiane SCPA		16,994		62,612
Royal Bank of Scotland Group plc*		14,573		60,989
Mediobanca SpA		11,793		60,020
Commerzbank AG*		40,817		59,913
Cheung Kong Holdings Ltd.		4,000		59,053
Mitsui Fudosan Company Ltd.		2,000		56,773
Banco Popolare SC*		44,953		56,678
Mitsubishi Estate Company Ltd.		2,000		56,326
Sun Hung Kai Properties Ltd.		4,000		53,900
Bankia S.A.*		188,102		39,788
Intesa Sanpaolo SpA		3,983		5,022
Total Financials				15,589,079

INDUSTRIALS - 18.1%
Ryanair Holdings plc ADR		2,562		107,041
Odakyu Electric Railway Company Ltd.		8,000		99,437
Keikyu Corp.		9,000		93,796
Thales S.A.		2,154		91,111
Tokyu Corp.		12,000		88,601
Kubota Corp.		6,000		86,562
West Japan Railway Co.		1,800		86,434
Toppan Printing Company Ltd.		12,000		86,179
BAE Systems plc		14,344		85,927
Nabtesco Corp.		4,200		85,757
Keio Corp.		10,000		85,733
International Consolidated Airlines
Group S.A.*		22,267		85,066

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 49

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 28, 2013
MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value

NGK Insulators Ltd.		8,000	$	84,904
Qantas Airways Ltd.*		45,539		84,643
Hankyu Hanshin Holdings, Inc.		14,000		84,330
European Aeronautic Defence and
Space Company N.V.		1,643		83,619
Hutchison Whampoa Ltd.		8,000		83,373
GS Yuasa Corp.		20,000		83,289
Rolls-Royce Holdings plc		4,841		83,129
Asahi Glass Company Ltd.		12,000		82,992
Meggitt plc		10,997		82,037
Serco Group plc		8,611		81,981
Brenntag AG		525		81,976
Wolseley plc		1,647		81,918
Kurita Water Industries Ltd.		3,700		81,877
Sumitomo Electric Industries Ltd.		6,690		81,662
Nippon Express Company Ltd.		17,000		81,270
IMI plc		4,130		81,213
Yamato Holdings Company Ltd.		4,490		81,186
Auckland International Airport Ltd.		32,933		81,158
Aggreko plc		2,997		81,114
Capita plc		5,939		81,091
Mitsubishi Electric Corp.		10,000		80,846
Tobu Railway Company Ltd.		14,000		80,166
Experian plc		4,627		80,157
Bouygues S.A.		2,953		80,103
Transurban Group		12,018		79,841
Melrose Industries plc		19,782		79,783
Koninklijke Philips Electronics N.V.		2,695		79,757
Makita Corp.		1,800		79,741
Sydney Airport		23,343		79,726
Bunzl plc		4,052		79,679
Cobham plc		21,539		79,505
Kintetsu Corp.		17,000		79,103
THK Company Ltd.		4,000		78,870
Singapore Airlines Ltd.		9,000		78,864
Siemens AG		732		78,854
IHI Corp.		26,000		78,721
Assa Abloy AB — Class B		1,927		78,682
Zodiac Aerospace		675		78,658
Weir Group plc		2,286		78,580
Aeroports de Paris		926		78,551
Shimizu Corp.		24,000		78,530
SembCorp Marine Ltd.		21,980		78,494
Asciano Ltd.		13,453		78,307
Park24 Company Ltd.		4,000		78,190
ITOCHU Corp.		6,400		78,122
Aurizon Holdings Ltd.		18,561		77,889
Deutsche Post AG		3,372		77,702
Nidec Corp.		1,300		77,616
Geberit AG		315		77,544
Securitas AB — Class B		8,232		77,494
Babcock International Group plc		4,685		77,389
Hutchison Port Holdings Trust — Class U		91,000		77,351
Intertek Group plc		1,499		77,268
SMC Corp.		400		77,255
Secom Company Ltd.		1,500		77,207
Sojitz Corp.		49,400		77,147
G4S plc		17,414		77,087
Ferrovial S.A.		4,853		77,021
Fraser and Neave Ltd.		9,980		76,993
Skanska AB — Class B		4,249		76,803
Societe BIC S.A.		659		76,532
Singapore Technologies Engineering Ltd.		22,000		76,438
Scania AB — Class B		3,651		76,358
Noble Group Ltd.		77,950		76,348
ANA Holdings, Inc.		37,000		76,256
Brambles Ltd.		8,646		76,255
Smiths Group plc		3,993		76,213
Dai Nippon Printing Company Ltd.		8,000		76,065
Fuji Electric Company Ltd.		26,000		75,959
Yangzijiang Shipbuilding Holdings Ltd.		96,940		75,802
Hino Motors Ltd.		7,000		75,555
SKF AB — Class B		3,097		75,512
ABB Ltd.		3,343		75,393
Prysmian SpA		3,664		75,389
Alfa Laval AB		3,269		75,291
Sumitomo Corp.		5,990		75,281
Mabuchi Motor Company Ltd.		1,400		75,258
SembCorp Industries Ltd.		17,980		75,225
Metso Oyj		1,765		75,098
Deutsche Lufthansa AG		3,845		75,096
Taisei Corp.		27,000		74,865
Furukawa Electric Company Ltd.		34,000		74,769
Mitsubishi Heavy Industries Ltd.		12,980		74,739
Japan Airlines Company Ltd.		1,600		74,535
TNT Express N.V.		10,166		74,520
Toll Holdings Ltd.		12,059		74,462
Bureau Veritas S.A.		598		74,439
Safran S.A.		1,668		74,403
Daikin Industries Ltd.		1,900		74,381
Schneider Electric S.A.		1,017		74,314
Andritz AG		1,107		74,278
Invensys plc		13,933		74,254
Nippon Yusen K.K.		29,000		74,248
Vinci S.A.		1,645		74,115
East Japan Railway Co.		900		73,908
Finmeccanica SpA*		15,368		73,880
Sulzer AG		432		73,810
ComfortDelGro Corporation Ltd.		47,930		73,799
Central Japan Railway Co.		700		73,770
Mitsubishi Logistics Corp.		4,000		73,770
Keisei Electric Railway Company Ltd.		7,000		73,770
Toyota Tsusho Corp.		2,890		73,624
LIXIL Group Corp.		3,700		73,583
SGS S.A.		30		73,567
DSV A/S		3,044		73,531
MTR Corporation Ltd.		18,480		73,443
Kone Oyj — Class B		933		73,379
ACS Actividades de Construccion y
Servicios S.A.		3,143		73,352
Kamigumi Company Ltd.		8,000		73,345
Randstad Holding N.V.		1,786		73,130
Abertis Infraestructuras S.A.		4,342		72,974
Volvo AB — Class B		5,018		72,956
Wartsila Oyj Abp		1,623		72,926
Adecco S.A.		1,328		72,741

50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 28, 2013
MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value

Amada Company Ltd.		11,000	$	72,570
Groupe Eurotunnel S.A.		9,090		72,412
Fraport AG Frankfurt Airport
Services Worldwide		1,291		72,366
Kawasaki Heavy Industries Ltd.		23,000		72,326
Zardoya Otis S.A.		5,403		72,243
Kinden Corp.		11,000		71,986
Sandvik AB		4,676		71,894
Alstom S.A.		1,765		71,840
Legrand S.A.		1,645		71,743
TOTO Ltd.		8,000		71,561
Kuehne + Nagel International AG		656		71,519
JTEKT Corp.		7,590		71,360
NWS Holdings Ltd.		40,000		71,214
Rexel S.A.		3,253		70,998
GEA Group AG		2,154		70,995
Sumitomo Heavy Industries Ltd.		18,000		70,944
Orient Overseas International Ltd.		10,490		70,879
Edenred		2,162		70,759
Atlantia SpA		4,470		70,599
Fiat Industrial SpA		6,276		70,560
Kajima Corp.		25,970		70,353
Ushio, Inc.		6,900		70,297
Cathay Pacific Airways Ltd.		40,970		70,090
ALS Ltd.		6,426		70,058
MAN SE		651		69,995
Cie de St.-Gobain		1,883		69,811
Mitsui OSK Lines Ltd.*		21,000		68,937
Hopewell Holdings Ltd.		17,000		68,875
Komatsu Ltd.		2,900		68,795
Mitsui & Company Ltd.		4,900		68,609
Japan Steel Works Ltd.		13,000		68,501
Marubeni Corp.		9,000		68,459
Hochtief AG*		1,051		68,365
Hitachi Construction Machinery
Company Ltd.		3,200		68,331
Koninklijke Boskalis Westminster N.V.		1,718		68,253
NSK Ltd.		9,000		68,172
Vallourec S.A.		1,414		67,976
Mitsubishi Corp.		3,600		67,311
Leighton Holdings Ltd.		3,147		67,308
Chiyoda Corp.		5,990		66,817
Obayashi Corp.		14,000		66,780
Koninklijke Vopak N.V.		1,049		63,245
Keppel Corporation Ltd.		6,990		63,111
Balfour Beatty plc		17,402		62,066
FANUC Corp.		400		61,149
JGC Corp.		2,000		51,121
Schindler Holding AG - Participation
Certificate		343		50,257
Atlas Copco AB — Class A		1,727		49,024
AP Moeller - Maersk A/S — Class B		6		46,834
Atlas Copco AB — Class B		1,003		25,333
AP Moeller - Maersk A/S — Class A		3		22,426
Schindler Holding AG		152		21,679
Total Industrials				13,286,012
CONSUMER DISCRETIONARY - 13.0%
Jardine Cycle & Carriage Ltd.		3,000		123,653
Isetan Mitsukoshi Holdings Ltd.		6,890		99,181
J Front Retailing Company Ltd.		12,000		93,318
Shimamura Company Ltd.		800		93,317
Sony Corp.		5,300		91,496
Yamada Denki Company Ltd.		2,000		91,363
Harvey Norman Holdings Ltd.		32,016		91,012
Marui Group Company Ltd.		8,800		90,964
NHK Spring Company Ltd.		8,600		89,445
Takashimaya Company Ltd.		9,000		88,920
Reed Elsevier N.V.		5,066		86,798
Adidas AG		830		86,124
Sands China Ltd.		16,370		84,881
Yamaha Motor Company Ltd.		6,300		84,732
Reed Elsevier plc		7,143		84,722
Luxottica Group SpA		1,684		84,432
Sankyo Company Ltd.		1,800		84,140
Don Quijote Company Ltd.		1,900		84,070
Sanrio Company Ltd.		1,900		84,070
Rakuten, Inc.		8,222		83,941
Singapore Press Holdings Ltd.		23,000		83,064
Wolters Kluwer N.V.		3,791		82,789
Sega Sammy Holdings, Inc.		4,100		82,105
Lagardere SCA		2,221		81,787
SKYCITY Entertainment Group Ltd.		22,130		81,665
Shimano, Inc.		1,000		81,589
Sumitomo Rubber Industries Ltd.		4,890		81,561
Flight Centre Ltd.		2,327		81,415
Toyoda Gosei Company Ltd.		3,400		81,307
Sekisui House Ltd.		6,000		81,271
Jupiter Telecommunications Company Ltd.		62		81,214
Crown Ltd.		6,321		80,958
Marks & Spencer Group plc		13,663		80,954
ITV plc		41,161		80,877
McDonald’s Holdings Company Japan Ltd.		3,000		80,761
NOK Corp.		5,600		80,494
Bridgestone Corp.		2,400		80,314
ABC-Mart, Inc.		2,100		79,980
Compass Group plc		6,241		79,714
British Sky Broadcasting Group plc		5,938		79,679
Nikon Corp.		3,400		79,645
Toho Company Ltd.		3,800		79,286
InterContinental Hotels Group plc		2,589		78,923
Continental AG		659		78,797
Asics Corp.		4,790		78,773
TUI Travel plc		15,909		78,693
Toyota Boshoku Corp.		5,590		78,627
Kingfisher plc		17,968		78,584
Next plc		1,183		78,471
SES		2,496		78,235
Rinnai Corp.		1,100		78,180
Whitbread plc		2,004		78,174
USS Company Ltd.		680		78,020
Tabcorp Holdings Ltd.		23,129		77,791
Namco Bandai Holdings, Inc.		4,390		77,418
Li & Fung Ltd.		55,960		77,136

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 28, 2013
MSCI EAFE EQUAL WEIGHT FUND

	Shares			Value

Pearson plc		4,290		$	77,123
Sekisui Chemical Company Ltd.		7,000			77,042
Nitori Holdings Company Ltd.		1,000			77,021
JCDecaux S.A.		2,810			77,017
Renault S.A.		1,228			76,941
WPP plc		4,822			76,868
Aisin Seiki Company Ltd.		2,100			76,856
Toyota Industries Corp.		2,100			76,856
Publicis Groupe S.A.		1,146			76,851
Hakuhodo DY Holdings, Inc.		1,000			76,702
Benesse Holdings, Inc.		1,800			76,490
Sodexo		819			76,330
Panasonic Corp.		10,190			76,211
Fiat SpA*		14,317			76,169
GKN plc		18,934			76,104
Denso Corp.		1,800			76,012
Electrolux AB		2,987			75,992
Kabel Deutschland Holding AG		823			75,943
Hennes & Mauritz AB — Class B		2,118			75,724
PPR		343			75,367
Wynn Macau Ltd.*		28,380			75,314
LVMH Moet Hennessy Louis Vuitton S.A.		438			75,185
Inditex S.A.		566			75,026
Christian Dior S.A.		452			74,981
Galaxy Entertainment Group Ltd.*		17,960			74,963
Telenet Group Holding N.V.		1,510			74,682
Casio Computer Company Ltd.*		9,590			74,678
Cie Financiere Richemont S.A.		946			74,238
Eutelsat Communications S.A.		2,105			74,223
Stanley Electric Company Ltd.		4,300			74,141
Nokian Renkaat Oyj		1,662			73,933
Burberry Group plc		3,652			73,700
Echo Entertainment Group Ltd.		20,307			73,586
Yamaha Corp.		7,590			73,537
Peugeot S.A.*		10,136			73,416
Nissan Motor Company Ltd.		7,590			73,134
Hugo Boss AG		652			73,069
Husqvarna AB — Class B		12,355			72,912
Accor S.A.		2,092			72,679
Honda Motor Company Ltd.		1,900			72,665
Cie Generale des Etablissements
Michelin — Class B		865			72,356
SJM Holdings Ltd.		28,970			72,326
Isuzu Motors Ltd.		12,000			72,283
Carnival plc		2,061			72,130
Tatts Group Ltd.		21,756			71,814
Toyota Motor Corp.		1,400			71,762
Yue Yuen Industrial Holdings Ltd.		21,980			71,638
Suzuki Motor Corp.		3,200			71,357
Dentsu, Inc.		2,400			71,340
Genting Singapore plc		58,950			71,045
Mitsubishi Motors Corp.*		67,930			70,723
Daimler AG — Class D		1,297			70,574
Mazda Motor Corp.*		24,000			70,116
Pirelli & C. SpA		6,598			69,232
Axel Springer AG		1,584			68,646
Koito Manufacturing Company Ltd.		4,000			68,628
OPAP S.A.		8,422			66,508
Oriental Land Company Ltd.		400			65,441
MGM China Holdings Ltd.		30,530			65,287
Bayerische Motoren Werke AG		740			63,854
Fast Retailing Company Ltd.		200			63,593
Fuji Heavy Industries Ltd.		4,000			63,062
Swatch Group AG		108			62,797
Sharp Corp.*		22,000			62,637
Shangri-La Asia Ltd.		31,970			62,601
Daihatsu Motor Company Ltd.		3,000			62,084
NGK Spark Plug Company Ltd.		4,000			61,064
Swatch Group AG/REG		151			15,325
Volkswagen AG		60			11,288
Total Consumer Discretionary			��		9,550,022
MATERIALS - 9.1%
Kansai Paint Company Ltd.		8,000			88,559
Toray Industries, Inc.		13,000			87,835
Shin-Etsu Chemical Company Ltd.		1,300			85,764
Hitachi Chemical Company Ltd.		5,400			82,265
James Hardie Industries plc		7,840			81,719
Asahi Kasei Corp.		12,000			80,697
HeidelbergCement AG		1,120			80,491
Israel Corporation Ltd.		106			80,429
EMS-Chemie Holding AG		266			79,996
Croda International plc		1,915			79,795
Boral Ltd.		15,534			79,421
Kuraray Company Ltd.		5,590			78,449
Amcor Ltd.		8,074			78,020
Rexam plc		9,729			77,915
Linde AG		418			77,727
Holcim Ltd.		970			77,296
Lafarge S.A.		1,152			76,544
Air Liquide S.A.		629			76,427
Showa Denko K.K.		51,000			76,394
Israel Chemicals Ltd.		5,912			76,389
Givaudan S.A.		62			76,150
Johnson Matthey plc		2,178			76,092
Randgold Resources Ltd.		881			76,044
Koninklijke DSM N.V.		1,304			75,911
CRH plc		3,435			75,829
K+S AG		1,626			75,635
Stora Enso Oyj — Class R		11,711			75,591
Syngenta AG		180			75,084
Sumitomo Chemical Company Ltd.		24,000			74,960
Kaneka Corp.		13,000			74,854
Fletcher Building Ltd.		10,358			74,280
Daido Steel Company Ltd.		14,000			74,217
Akzo Nobel N.V.		1,169			74,212
Taiheiyo Cement Corp.		31,000			74,100
Incitec Pivot Ltd.		22,981			73,943
Teijin Ltd.		32,000			73,770
UPM-Kymmene Oyj		6,609			73,753
Novozymes A/S — Class B		2,174			73,708
Yamato Kogyo Company Ltd.		2,700			73,631
JSR Corp.		3,600			73,430
Mitsubishi Chemical Holdings Corp.		15,490			73,394
Imerys S.A.		1,121			72,990
Sika AG		30			72,872

52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 28, 2013
MSCI EAFE EQUAL WEIGHT FUND

	Shares			Value

Nitto Denko Corp.		1,200		$	71,773
Umicore S.A.		1,525			71,641
Alumina Ltd.*		61,871			71,512
Boliden AB		4,427			71,259
Oji Holdings Corp.		19,000			71,051
Solvay S.A.		524			70,971
Iluka Resources Ltd.		7,288			70,956
Orica Ltd.		2,785			70,905
Ube Industries Ltd.		36,000			70,753
Mitsubishi Materials Corp.		25,000			70,381
Xstrata plc		4,325			70,194
Norsk Hydro ASA		16,221			70,094
Daicel Corp.		9,000			70,084
Nippon Paper Industries Company Ltd.*		4,500			70,084
BASF SE		799			69,980
Toyo Seikan Group Holdings Ltd.		5,090			69,972
Sims Metal Management Ltd.		6,696			69,934
Glencore International plc		12,916			69,894
Air Water, Inc.		5,000			69,478
Mitsui Chemicals, Inc.		32,000	��		69,351
Taiyo Nippon Sanso Corp.		10,000			69,266
Newcrest Mining Ltd.		3,312			69,147
Voestalpine AG		2,251			69,127
BHP Billiton plc		2,375			69,097
BHP Billiton Ltd.		2,017			68,805
Yara International ASA		1,513			68,539
Nippon Steel & Sumitomo Metal Corp.		27,000			68,267
Denki Kagaku Kogyo K.K.		19,000			68,225
ThyssenKrupp AG*		3,345			68,032
Maruichi Steel Tube Ltd.		2,900			67,440
Fresnillo plc		3,264			67,259
Antofagasta plc		4,492			67,136
Hitachi Metals Ltd.		7,000			66,706
Rio Tinto Ltd.		1,118			66,590
Rio Tinto plc		1,414			66,279
Mitsubishi Gas Chemical Company, Inc.		10,000			65,866
Salzgitter AG		1,635			65,637
Anglo American plc		2,552			65,598
Fortescue Metals Group Ltd.		15,904			65,249
ArcelorMittal		5,061			65,205
JFE Holdings, Inc.		3,400			65,197
Vedanta Resources plc		4,218			64,355
Arkema S.A.		703			63,960
Kobe Steel Ltd.*		53,960			63,057
Evraz plc		18,598			62,756
Lanxess AG		873			61,912
OZ Minerals Ltd.		11,123			61,733
Sumitomo Metal Mining Company Ltd.		4,000			56,433
Eurasian Natural Resources Corp. plc		13,890			51,946
Kazakhmys plc		7,393			44,074
Total Materials					6,669,742
CONSUMER STAPLES - 7.4%
DE Master Blenders 1753 N.V.*		6,288			97,136
Yamazaki Baking Company Ltd.		7,000			92,213
Treasury Wine Estates Ltd.		15,113			89,542
Ajinomoto Company, Inc.		5,990			87,880
Nissin Foods Holdings Company Ltd.		1,900			87,098
Aeon Company Ltd.		6,690			86,423
Delhaize Group S.A.		1,567			85,487
J Sainsbury plc		14,494			83,346
Seven & I Holdings Company Ltd.		2,500			82,732
MEIJI Holdings Company Ltd.		1,800			82,322
FamilyMart Company Ltd.		1,800			82,131
Kerry Group plc — Class A		1,367			81,463
Anheuser-Busch InBev N.V.		821			81,306
Reckitt Benckiser Group plc		1,134			81,287
L’Oreal S.A.		512			81,193
Unilever plc		1,913			80,933
SABMiller plc		1,535			80,791
Yakult Honsha Company Ltd.		2,000			80,527
Koninklijke Ahold N.V.		5,254			80,522
Svenska Cellulosa AB — Class B		3,114			80,274
Beiersdorf AG		867			80,070
Unilever N.V.		1,951			79,923
Tate & Lyle plc		6,168			79,625
WM Morrison Supermarkets plc		18,967			79,580
Coca-Cola Amatil Ltd.		5,241			79,569
Diageo plc		2,523			79,557
Japan Tobacco, Inc.		2,483			79,268
Olam International Ltd.		56,970			78,991
Tesco plc		13,555			78,594
Heineken Holding N.V.		1,226			78,569
Casino Guichard Perrachon S.A.		746			78,401
Associated British Foods plc		2,711			78,275
Metcash Ltd.		18,148			78,235
Nestle S.A.		1,081			78,171
Aryzta AG		1,324			78,170
Heineken N.V.		1,034			77,943
British American Tobacco plc		1,444			77,384
Carrefour S.A.		2,822			77,256
Shiseido Company Ltd.		5,500			76,952
Coca Cola Hellenic Bottling Company S.A.		2,869			76,870
Wesfarmers Ltd.		1,827			76,478
Danone S.A.		1,097			76,335
Colruyt S.A.		1,577			76,267
Woolworths Ltd.		2,160			76,000
Kesko Oyj — Class B		2,420			75,605
Coca-Cola West Company Ltd.		4,300			74,826
Kao Corp.		2,300			74,280
Barry Callebaut AG		77			74,255
Imperial Tobacco Group plc		2,109			73,649
Pernod-Ricard S.A.		588			73,277
Suedzucker AG		1,728			72,992
Nisshin Seifun Group, Inc.		5,490			72,321
Wilmar International Ltd.		26,000			72,310
Orkla ASA		8,996			71,925
Carlsberg A/S — Class B		732			71,232
Swedish Match AB		2,288			71,023
Calbee, Inc.		900			70,849
Metro AG		2,455			69,806
Kikkoman Corp.		4,000			69,691
Asahi Group Holdings Ltd.		2,900			69,288
Jeronimo Martins SGPS S.A.		3,556			69,269

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 28, 2013
MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value

Lawson, Inc.		900	$	69,032
Golden Agri-Resources Ltd.		146,850		68,661
Unicharm Corp.		1,200		68,459
Distribuidora Internacional de
Alimentacion S.A.		9,701		67,107
Remy Cointreau S.A.		580		67,038
Nippon Meat Packers, Inc.		4,000		64,464
Kirin Holdings Company Ltd.		4,000		64,209
Toyo Suisan Kaisha Ltd.		2,000		61,617
Lindt & Spruengli AG		1		45,126
Lindt & Spruengli AG - Participation
Certificate		9		34,631
Henkel AG & Company KGaA		393		31,035
Total Consumer Staples				5,429,066
INFORMATION TECHNOLOGY - 6.1%
Shimadzu Corp.		13,000		92,117
Murata Manufacturing Company Ltd.		1,200		90,258
Itochu Techno-Solutions Corp.		1,800		88,919
Nintendo Company Ltd.		800		86,264
Nomura Research Institute Ltd.		3,300		85,121
NEC Corp.		32,000		84,989
Sumco Corp.		7,400		83,332
NTT Data Corp.		25		82,200
Kyocera Corp.		900		82,131
Hitachi Ltd.		14,000		81,207
Oracle Corporation Japan		1,800		80,984
Toshiba Corp.		16,000		80,909
Yaskawa Electric Corp.		8,000		79,975
Yahoo Japan Corp.		174		79,948
United Internet AG		3,277		79,693
Mellanox Technologies Ltd.*		1,437		79,405
Hirose Electric Company Ltd.		600		78,848
Nexon Company Ltd.		8,043		78,012
Computershare Ltd.		7,332		77,874
SAP AG		970		77,719
Konami Corp.		3,900		77,685
Telefonaktiebolaget LM Ericsson — Class B		6,191		77,137
Canon, Inc.		2,100		76,969
TDK Corp.		2,200		76,777
Sage Group plc		14,719		76,654
NICE Systems Ltd.*		2,083		76,563
Amadeus IT Holding S.A. — Class A		2,829		76,433
Ibiden Company Ltd.		4,900		76,314
Dassault Systemes S.A.		659		76,186
Otsuka Corp.		700		76,076
Advantest Corp.		5,400		75,725
Ricoh Company Ltd.		7,000		75,704
Omron Corp.		3,000		75,534
Hitachi High-Technologies Corp.		3,600		75,037
Brother Industries Ltd.		7,290		74,890
FUJIFILM Holdings Corp.		3,800		74,845
STMicroelectronics N.V.		9,697		74,588
Nippon Electric Glass Company Ltd.		15,000		74,418
Gree, Inc.		5,900		74,087
ARM Holdings plc		5,286		73,942
Hexagon AB — Class B		2,712		73,865
Dena Company Ltd.		2,700		73,430
Gemalto N.V.		837		73,018
Yokogawa Electric Corp.		7,300		72,899
Trend Micro, Inc.		2,600		72,672
Tokyo Electron Ltd.		1,700		72,060
Infineon Technologies AG		9,039		71,380
Hoya Corp.		3,800		71,293
Citizen Holdings Company Ltd.		13,990		71,191
Hamamatsu Photonics K.K.		1,800		71,040
ASML Holding N.V.		1,055		70,964
Fujitsu Ltd.		17,000		70,615
Capital Gemini S.A.		1,524		69,357
Rohm Company Ltd.		2,000		69,160
Konica Minolta, Inc.		9,490		69,060
Nokia Oyj		21,040		68,079
AtoS		980		67,452
ASM Pacific Technology Ltd.		5,700		62,635
Keyence Corp.		200		61,192
Elpida Memory, Inc.*^,†††,1		18,800		200
Total Information Technology				4,497,031
HEALTH CARE - 5.8%
Ono Pharmaceutical Company Ltd.		1,500		92,584
Kyowa Hakko Kirin Company Ltd.		8,000		90,428
Dainippon Sumitomo Pharma
Company Ltd.		5,090		89,871
UCB S.A.		1,356		86,570
Cie Generale d’Optique Essilor
International S.A.		772		85,855
Sysmex Corp.		1,400		85,075
AstraZeneca plc		1,679		84,186
Medipal Holdings Corp.		5,990		83,808
M3, Inc.		43		83,734
Smith & Nephew plc		7,113		82,150
Sanofi		807		82,009
Merck KGaA		540		81,479
Bayer AG		787		81,187
Mitsubishi Tanabe Pharma Corp.		5,300		81,079
Astellas Pharma, Inc.		1,500		80,633
Eisai Company Ltd.		1,800		80,410
Sonic Healthcare Ltd.		5,541		80,372
Olympus Corp.*		3,400		80,331
Celesio AG		4,253		79,875
Ramsay Health Care Ltd.		2,373		79,812
Otsuka Holdings Company Ltd.		2,300		79,778
Novartis AG		1,119		79,504
Actelion Ltd.		1,463		79,443
GlaxoSmithKline plc		3,391		79,281
Daiichi Sankyo Company Ltd.		4,100		78,838
William Demant Holding A/S*		939		78,670
Grifols S.A.*		2,110		78,241
Teva Pharmaceutical Industries Ltd.		1,984		78,106
Lonza Group AG		1,202		77,995
Elan Corporation plc*		6,775		77,899
Taisho Pharmaceutical Holdings
Company Ltd.		1,100		77,712
CSL Ltd.		1,259		77,649
Coloplast A/S — Class B		1,435		77,198
Terumo Corp.		1,800		76,968

54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 28, 2013
MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value

Tsumura & Co.		2,100	$	76,633
Roche Holding AG		329		76,589
Takeda Pharmaceutical Company Ltd.		1,400		76,447
Getinge AB — Class B		2,496		76,216
Alfresa Holdings Corp.		1,400		76,001
Suzuken Company Limited/Aichi Japan		2,100		75,964
Chugai Pharmaceutical Company Ltd.		3,400		75,564
Fresenius SE & Company KGaA		612		75,546
Elekta AB — Class B		4,971		75,476
Sonova Holding AG		628		75,346
Cochlear Ltd.		1,058		74,969
Santen Pharmaceutical Company Ltd.		1,600		74,025
QIAGEN N.V.*		3,503		73,019
Fresenius Medical Care AG & Co. KGaA		1,079		72,828
Shionogi & Company Ltd.		3,600		72,704
Miraca Holdings, Inc.		1,500		71,869
Shire plc		2,361		71,865
Novo Nordisk A/S — Class B		426		69,214
Orion Oyj — Class B		2,578		67,718
Hisamitsu Pharmaceutical Company, Inc.		1,200		64,762
Prothena Corporation plc*		1		4
Total Health Care				4,241,489
UTILITIES - 4.7%
Shikoku Electric Power Company, Inc.*		6,400		90,972
Hokkaido Electric Power Company, Inc.*		8,800		89,748
Toho Gas Company Ltd.		14,000		88,940
Osaka Gas Company Ltd.		20,000		87,326
Tokyo Gas Company Ltd.		16,000		86,349
Hokuriku Electric Power Co.		6,700		82,495
Kansai Electric Power Company, Inc.*		8,700		82,351
Tokyo Electric Power Company, Inc.*		33,080		81,532
National Grid plc		6,924		80,441
Contact Energy Ltd.		16,864		80,436
Severn Trent plc		3,092		80,395
Fortum Oyj		3,983		80,268
Veolia Environnement S.A.		6,336		79,910
AGL Energy Ltd.		4,827		79,717
E.ON SE		4,549		79,427
Hong Kong & China Gas Company Ltd.		27,156		79,237
Centrica plc		14,172		79,168
SP AusNet		63,479		78,989
CLP Holdings Ltd.		8,990		78,752
Enel Green Power SpA		41,925		78,631
EDP - Energias de Portugal S.A.		25,453		78,377
Kyushu Electric Power Company, Inc.*		7,690		78,264
SSE plc		3,469		78,231
Chugoku Electric Power Company, Inc.		5,990		78,081
Tohoku Electric Power Company, Inc.*		9,790		77,796
GDF Suez		4,032		77,637
Terna Rete Elettrica Nazionale SpA		18,618		77,093
Verbund AG		3,543		76,806
Electricite de France S.A.		3,995		76,617
Electric Power Development
Company Ltd.		3,000		76,267
APA Group		12,219		75,832
Suez Environnement Co.		5,939		75,748
Cheung Kong Infrastructure Holdings Ltd.		11,000		75,458
Power Assets Holdings Ltd.		7,990		75,396
Enagas S.A.		3,205		74,635
Chubu Electric Power Company, Inc.		6,090		74,014
Iberdrola S.A.		15,842		73,782
United Utilities Group plc		6,777		72,914
RWE AG		1,945		72,496
Snam SpA		15,873		72,360
Acciona S.A.		1,269		69,189
Enel SpA		21,129		68,963
Gas Natural SDG S.A.		3,889		68,851
Red Electrica Corporation S.A.		1,364		68,633
Total Utilities				3,438,524
ENERGY - 3.7%
Caltex Australia Ltd.		4,032		89,638
Fugro N.V.		1,591		88,069
Saipem SpA		2,807		86,327
Origin Energy Ltd.		6,229		86,136
Delek Group Ltd.		293		82,241
BP plc		11,139		77,840
Tullow Oil plc		4,152		77,608
Transocean Ltd.		1,477		76,593
Galp Energia SGPS S.A. — Class B		4,882		76,480
AMEC plc		4,770		76,474
Eni SpA		3,366		75,644
Woodside Petroleum Ltd.		2,018		75,269
Repsol S.A.		3,703		75,242
Tenaris S.A.		3,693		75,039
Santos Ltd.		5,787		74,902
Seadrill Ltd.		2,065		74,843
Japan Petroleum Exploration Co.		1,900		74,583
OMV AG		1,741		74,044
Subsea 7 S.A.		3,172		74,019
BG Group plc		4,314		74,014
Total S.A.		1,540		73,747
Statoil ASA		2,992		72,328
WorleyParsons Ltd.		2,805		72,115
Lundin Petroleum AB*		3,312		71,657
Showa Shell Sekiyu K.K.		10,090		71,283
Aker Solutions ASA		3,815		70,931
Neste Oil Oyj		5,023		70,833
Technip S.A.		688		70,542
Inpex Corp.		13		69,606
Idemitsu Kosan Company Ltd.		800		69,436
TonenGeneral Sekiyu K.K.		7,000		69,234
JX Holdings, Inc.		12,190		68,247
Petrofac Ltd.		3,097		67,395
Cosmo Oil Company Ltd.*		32,000		67,311
Cie Generale de Geophysique - Veritas*		2,775		62,505
Whitehaven Coal Ltd.		25,192		55,612
Royal Dutch Shell plc — Class A		1,348		43,612
Royal Dutch Shell plc — Class B		945		31,378
Total Energy				2,742,777
TELECOMMUNICATION SERVICES - 3.4%
Softbank Corp.		2,000		91,788
Vodafone Group plc		30,555		86,643
Iliad S.A.		401		85,309

SEE NOTES TO FINANCIAL STATEMENTS.

The GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 55

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 28, 2013
MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value

KDDI Corp.		2,000	$	83,395
HKT Trust / HKT Ltd.		82,403		82,482
Tele2 AB — Class B		4,735		82,391
Bezeq The Israeli Telecommunication
Corporation Ltd.		59,034		81,796
Inmarsat plc		7,658		81,695
Telefonica S.A.		6,022		80,983
France Telecom S.A.		7,886		79,765
BT Group plc		18,565		78,430
TeliaSonera AB		10,974		78,351
Telekom Austria AG		11,907		78,138
Swisscom AG		167		77,260
Millicom International Cellular S.A.		966		77,152
StarHub Ltd.		21,960		77,007
Ziggo N.V.		2,187		76,919
Telecom Corporation of New Zealand Ltd.		39,105		76,571
Telenor ASA		3,497		76,454
TDC A/S		9,947		76,428
Vivendi S.A.		3,655		75,508
PCCW Ltd.		162,790		75,496
Singapore Telecommunications Ltd.		25,970		75,158
Telstra Corporation Ltd.		15,973		75,012
Deutsche Telekom AG		7,031		74,326
Portugal Telecom SGPS S.A.		14,760		73,114
NTT DOCOMO, Inc.		48		71,187
Koninklijke KPN N.V.		20,941		70,443
Nippon Telegraph & Telephone Corp.		1,600		69,691
Belgacom S.A.		2,769		68,848
Elisa Oyj		3,597		66,817
Telecom Italia SpA		66,169		46,739
Telecom Italia SpA - Savings Shares		42,456		26,125
Total Telecommunication Services				2,477,421
Total Common Stocks
(Cost $65,054,314)				67,921,163
PREFERRED STOCKS^† - 0.4%
ProSiebenSat.1 Media AG		2,315		82,652
Porsche Automobil Holding SE		946		69,151
Volkswagen AG		294		58,419
Henkel AG & Company KGaA		539		51,886
Bayerische Motoren Werke AG		120		7,666
RWE AG		155		5,560
Total Preferred Stocks
(Cost $203,315)				275,334
EXCHANGE TRADED FUNDS^† - 5.2%
Vanguard MSCI EAFE ETF		79,641		2,901,321
iShares MSCI Japan Index Fund		70,675		763,290
iShares MSCI Hong Kong Index Fund		3,908		77,535
iShares MSCI Singapore Index Fund		5,407		75,482
Total Exchange Traded Funds
(Cost $3,765,218)				3,817,628
SHORT TERM INVESTMENTS^†† - 1.0%
State Street General Account
U.S. Government Fund		759,730		759,730
Total Short Term Investments
(Cost $759,730)				759,730
Total Investments - 99.0%
(Cost $69,782,577)			$	72,773,855
Other Assets & Liabilities, net - 1.0%				733,622
Total Net Assets - 100.0%			$	73,507,477

INVESTMENT CONCENTRATION

Country	% of Net Assets			Value
Japan		33.5	%	$	24,602,306
United Kingdom		10.5	%		7,713,297
Australia		7.0	%		5,176,106
France		6.8	%		4,999,735
United States		5.2	%		3,817,628
Germany		4.7	%		3,428,147
Switzerland		3.7	%		2,739,675
Hong Kong		3.4	%		2,498,521
Sweden		3.1	%		2,271,946
Singapore		2.9	%		2,167,244
Netherlands		2.8	%		2,042,516
Italy		2.1	%		1,578,049
Spain		2.1	%		1,549,339
Finland		1.4	%		1,023,196
Belgium		1.1	%		837,258
Israel		1.1	%		785,292
Denmark		1.0	%		738,909
Other		6.6	%		4,804,691
Total Investments		99.0	%	$	72,773,855

Non-income producing security.

^†

Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.

^††

Value determined based on Level 2 inputs — See Note 4.

^†††

Value determined based on Level 3 inputs — See Note 4.

Illiquid security.

ADR — American Depositary Receipt

plc — Public Limited Company

REIT — Real Estate Investment Trust

56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

MSCI EAFE EQUAL WEIGHT FUND

STATEMENT OF ASSETS

AND LIABILITIES (Unaudited)

March 28, 2013

Assets:
Investments, at value
(cost $69,782,577)	$	72,773,855
Foreign currency, at value
(cost $63,294)		63,291
Prepaid expenses		27,202
Cash		5,942
Receivables:
Fund shares sold		521,556
Dividends		282,702
Foreign taxes reclaim		51,144
Investment advisor		27,212
Interest		886
Total assets		73,753,790
Liabilities:
Payable for:
Custodian fees		75,458
Management fees		43,167
Fund shares redeemed		42,242
Distribution and service fees		16,835
Transfer agent/maintenance fees		9,813
Fund accounting/administration fees		9,250
Directors’ fees*		3,027
Miscellaneous		46,521
Total liabilities		246,313
Net assets	$	73,507,477
Net assets consist of:
Paid in capital	$	101,733,627
Accumulated net investment loss		(468,421	)
Accumulated net realized loss on investments		(30,747,379	)
Net unrealized appreciation on investments and foreign currency		2,989,650
Net assets	$	73,507,477
A-Class:
Net assets	$	67,048,396
Capital shares outstanding		5,772,898
Net asset value per share	$	11.61
Maximum offering price per share
(Net asset value divided by 95.25%)	$	12.19
B-Class:
Net assets	$	2,731,384
Capital shares outstanding		268,347
Net asset value per share	$	10.18
C-Class:
Net assets	$	3,301,202
Capital shares outstanding		332,614
Net asset value per share	$	9.93
Institutional Class:
Net assets	$	426,495
Capital shares outstanding		36,925
Net asset value per share	$	11.55

STATEMENT OF

OPERATIONS (Unaudited)

Period Ended March 28, 2013

Investment Income:
Dividends (net of foreign withholding tax of $86,741)	$	668,137
Total investment income		668,137

Expenses:
Management fees		242,554
Transfer agent/maintenance fees:
A-Class		49,696
B-Class		10,701
C-Class		6,036
Institutional Class		184
Distribution and service fees:
A-Class		79,076
C-Class		15,818
Fund accounting/administration fees		51,976
Custodian fees		87,497
Pricing service expense		39,045
Tax expense		22,359
Directors’ fees*		3,058
Miscellaneous		80,211
Total expenses		688,211
Less:
Expenses waived/reimbursed by Advisor		(99,710	)
Net expenses		588,501
Net investment income		79,636

Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(1,149,568	)
Foreign currency		(11,124	)
Net realized loss		(1,160,692	)
Net change in unrealized appreciation (depreciation) on:
Investments		9,071,987
Foreign currency		1,927
Net change in unrealized appreciation (depreciation)		9,073,914
Net realized and unrealized gain		7,913,222
Net increase in net assets resulting from operations	$	7,992,858

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

SEE NOTES TO FINANCIAL STATEMENTS.

the GUGGENHEIM FUNDS semi-annual report | 57

MSCI EAFE EQUAL WEIGHT FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	March 28,			Year Ended
	2013			September 30,
	(Unaudited)			2012
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	79,636		$	989,291
Net realized loss on investments		(1,160,692	)		(5,918,358	)
Net change in unrealized appreciation (depreciation) on investments		9,073,914			10,876,566
Net increase in net assets resulting from operations		7,992,858			5,947,499

Distributions to shareholders from:
Net investment income
A-Class		(1,202,821	)		(30,502	)
B-Class		(47,670	)		(2,983	)
C-Class		(45,133	)		—
Institutional Class		(2,152	)		(73	)
Total distributions to shareholders		(1,297,776	)		(33,558	)

Capital share transactions:
Proceeds from sale of shares
A-Class		7,700,670			11,310,005
B-Class		225,538			64,990
C-Class		285,187			309,208
Institutional Class		325,075			4,955,291
Distributions reinvested
A-Class		1,193,717			30,250
B-Class		47,499			2,968
C-Class		44,925			—
Institutional Class		2,152			73
Cost of shares redeemed
A-Class		(9,789,332	)		(20,478,100	)
B-Class		(624,781	)		(1,700,356	)
C-Class		(352,762	)		(970,947	)
Institutional Class		(8,391	)		(5,107,255	)
Net decrease from capital share transactions		(950,503	)		(11,583,873	)
Net increase (decrease) in net assets		5,744,579			(5,669,932	)

Net assets:
Beginning of period		67,762,898			73,432,830
End of period	$	73,507,477		$	67,762,898
Accumulated/(Undistributed) net investment income/(loss) at end of period	$	(468,421	)	$	749,719

Capital share activity:
Shares sold
A-Class		679,692			1,101,870
B-Class		22,813			7,266
C-Class		30,068			35,518
Institutional Class		28,905			484,691
Shares issued from reinvestment of distributions
A-Class		111,458			3,109
B-Class		5,064			350
C-Class		4,899			—
Institutional Class		202			8
Shares redeemed
A-Class		(878,809	)		(2,007,132	)
B-Class		(65,211	)		(192,408	)
C-Class		(37,191	)		(111,863	)
Institutional Class		(779	)		(505,528	)
Net decrease in shares		(98,889	)		(1,184,119	)

58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

��

MSCI EAFE EQUAL WEIGHT FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
A-Class	2013^a			2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	10.55		$	9.70		$	10.52		$	9.97		$	10.35		$	20.69
Income (loss) from investment operations:
Net investment income^b		.01			.15			.05			.02			.05			.05
Net gain (loss) on investments
(realized and unrealized)		1.26			.70			(.81	)		.53			(.35	)		(3.63	)
Total from investment operations		1.27			.85			(.76	)		.55			(.30	)		(3.58	)
Less distributions from:
Net investment income		(.21	)		(—	)^c		(.06	)		—			(.02	)		(.04	)
Net realized gains		—			—			—			—			—			(6.72	)
Return of capital		—			—			—			—			(.06	)		—
Total distributions		(.21	)		(—	)^c		(.06	)		—			(.08	)		(6.76	)
Net asset value, end of period	$	11.61		$	10.55		$	9.70		$	10.52		$	9.97		$	10.35

Total Return^d		12.21	%		8.82	%		(7.32	%)		5.52	%		(2.71	%)		(25.16	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	67,048		$	61,838		$	65,573		$	78,201		$	97,205		$	88,782
Ratios to average net assets:
Net investment income		0.25	%		1.45	%		0.40	%		0.24	%		0.63	%		0.33	%
Total expenses^e		1.93	%		2.05	%		1.85	%		1.86	%		1.89	%		1.73	%
Net expenses^f		1.67	%		1.63	%		1.82	%		1.86	%		1.89	%		1.73	%
Portfolio turnover rate		12	%		41	%		206	%		288	%		368	%		280	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
B-Class	2013^a,h			2012^h			2011^h			2010^h			2009^h			2008^h
Per Share Data
Net asset value, beginning of period	$	9.22		$	8.46		$	9.19		$	8.69		$	9.05		$	18.96
Income (loss) from investment operations:
Net investment income^b		.02			.14			.05			.04			.07			.07
Net gain (loss) on investments
(realized and unrealized)		1.11			.63			(.69	)		.46			(.32	)		(3.17	)
Total from investment operations		1.13			.77			(.64	)		.50			(.25	)		(3.10	)
Less distributions from:
Net investment income		(.17	)		(.01	)		(.09	)		—			(.04	)		(.09	)
Net realized gains		—			—			—			—			—			(6.72	)
Return of capital		—			—			—			—			(.07	)		—
Total distributions		(.17	)		(.01	)		(.09	)		—			(.11	)		(6.81	)
Net asset value, end of period	$	10.18		$	9.22		$	8.46		$	9.19		$	8.69		$	9.05

Total Return^d		12.43	%		9.07	%		(7.13	%)		5.75	%		(2.45	%)		(24.91	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,731		$	2,820		$	4,148		$	6,769		$	11,155		$	15,303
Ratios to average net assets:
Net investment income		0.47	%		1.60	%		0.53	%		0.45	%		0.90	%		0.55	%
Total expenses^e		2.31	%		2.34	%		1.61	%		1.61	%		1.65	%		1.48	%
Net expenses^f		1.42	%		1.38	%		1.59	%		1.61	%		1.65	%		1.48	%
Portfolio turnover rate		12	%		41	%		206	%		288	%		368	%		280	%

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59

MSCI EAFE EQUAL WEIGHT FUND

FINANCIAL HIGHLIGHTS (continued)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2013^a			2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	9.01		$	8.33		$	9.06		$	8.66		$	9.04		$	19.00
Income (loss) from investment operations:
Net investment income (loss)^b		(.02	)		.06			(.04	)		(.04	)		(.01	)		(.05	)
Net gain (loss) on investments (realized and unrealized)		1.07			.62			(.69	)		.44			(.31	)		(3.18	)
Total from investment operations		1.05			.68			(.73	)		.40			(.32	)		(3.23	)
Less distributions from:
Net investment income		(.13	)		—			—			—			—			—
Net realized gains		—			—			—			—			—			(6.73	)
Return of capital		—			—			—			—			(.06	)		—
Total distributions		(.13	)		—			—			—			(.06	)		(6.73	)
Net asset value, end of period	$	9.93		$	9.01		$	8.33		$	9.06		$	8.66		$	9.04

Total Return^d		11.82	%		8.16	%		(8.06	%)		4.62	%		(3.39	%)		(25.69	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,301		$	3,015		$	3,426		$	4,295		$	4,838		$	7,866
Ratios to average net assets:
Net investment income (loss)		(0.50	%)		0.68	%		(0.37	%)		(0.50	%)		(0.11	%)		(0.44	%)
Total expenses^e		2.90	%		2.88	%		2.60	%		2.62	%		2.65	%		2.49	%
Net expenses^f		2.42	%		2.38	%		2.58	%		2.62	%		2.65	%		2.49	%
Portfolio turnover rate		12	%		41	%		206	%		288	%		368	%		280	%

60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

MSCI EAFE EQUAL WEIGHT FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Period Ended
	March 28,			September 30,			September 30,
Institutional Class	2013^a			2012			2011^g
Per Share Data
Net asset value, beginning of period	$	10.50		$	9.70		$	12.37
Income (loss) from investment operations:
Net investment income^b		.08			.28			.13
Net gain on investments
(realized and unrealized)		1.19			.52			(2.80	)
Total from investment operations		1.27			.80			(2.67	)
Less distributions from:
Net investment income		(.22	)		(—	)^c		—
Total distributions		(.22	)		(—	)		—
Net asset value, end of period	$	11.55		$	10.50		$	9.70

Total Return^d		12.41	%		8.17	%		(21.58	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	426		$	90		$	285
Ratios to average net assets:
Net investment income		1.55	%		2.70	%		2.99	%
Total expenses^e		1.81	%		1.90	%		2.27	%
Net expenses^f		1.43	%		1.32	%		1.36	%
Portfolio turnover rate		12	%		41	%		206	%

Unaudited figures for the period ended March 28, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

Net investment income (loss) per share was computed using average shares outstanding throughout the period.

Distributions from net investment income are less than $0.01 per share.

Total return does not reflect the impact of any applicable sales charges and has not been annualized.

Does not include expenses of the underlying funds in which the Fund invests.

Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

Since commencement of operations: May 2, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. The portfolio turnover rate stated is for the entire fiscal year of the Fund, not since commencement of operations of the Class.

Effective August 25, 2005, B-Class shares ceased charging 12b-1 fees in accordance with FINRA sales cap regulations. Per share informations reflects this change. This fee will be reinstated when sales exceed the sales cap limit.

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61

FUND PROFILE (Unaudited)

March 28, 2013

ALPHA OPPORTUNITY FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

** Substantially all of the short holdings were fair valued by the Valuation Committee at March 28, 2013 due to exposure to LBIE — See Note 11. The total market value of fair valued securities amounts to (67%) of total net assets.

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

Inception Dates:
A-Class		July 7, 2003
B-Class		July 7, 2003
C-Class		July 7, 2003
Institutional Class		November 7, 2008

Ten Largest Long Holdings (% of Total Net Assets)
Philip Morris International, Inc.	8.3	%
Altria Group, Inc.	5.2	%
Trinity Industries, Inc.	4.2	%
Johnson & Johnson	3.7	%
AT&T, Inc.	3.5	%
Lockheed Martin Corp.	3.3	%
CA, Inc.	3.2	%
TJX Companies, Inc.	3.1	%
AO Smith Corp.	2.8	%
Joy Global, Inc.	2.4	%
Top Ten Total	39.7	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 28, 2013
ALPHA OPPORTUNITY FUND

	Shares		Value

COMMON STOCKS^† - 105.6%

INDUSTRIALS - 21.7%
Trinity Industries, Inc.^1,2		10,200	$	462,365
Lockheed Martin Corp.^1,2		3,753		362,240
AO Smith Corp.^1,2		4,200		308,994
Joy Global, Inc.^1,2		4,500		267,840
General Electric Co.^1,2		8,113		187,573
Towers Watson & Co. — Class A^1,2		2,200		152,504
Watts Water Technologies, Inc. — Class A^1,2		2,800		134,373
Fluor Corp.		1,274		84,505
Northrop Grumman Corp.^1,2		1,100		77,165
USG Corp.*		2,639		69,775
Con-way, Inc.^1,2		1,700		59,857
Universal Forest Products, Inc.		1,091		43,433
Celadon Group, Inc.		1,274		26,576
Acuity Brands, Inc.		364		25,243
Kennametal, Inc.		542		21,160
Simpson Manufacturing Company, Inc.		598		18,305
Layne Christensen Co.*		609		13,020
Builders FirstSource, Inc.*		2,093		12,265
Rollins, Inc.		475		11,661
Huntington Ingalls Industries, Inc.^1,2		183		9,759
Masco Corp.		455		9,214
Westport Innovations, Inc.*		273		8,056
Wabash National Corp.*		637		6,472
Quanex Building Products Corp.		323		5,200
General Cable Corp.*		139		5,091
Quality Distribution, Inc.*		364		3,061
MasTec, Inc.*		91		2,653
Pacer International, Inc.*		251		1,262
Total Industrials				2,389,622
CONSUMER DISCRETIONARY - 19.8%
TJX Companies, Inc.^1,2		7,200		336,599
Ross Stores, Inc.^1,2		4,200		254,604
Walt Disney Co.^1,2		4,024		228,563
L Brands, Inc.^1,2		5,100		227,766
Family Dollar Stores, Inc.^1,2		3,700		218,485
The Gap, Inc.^1,2		6,000		212,400
Jack in the Box, Inc.*^,1,2		4,000		138,360
PVH Corp.^1,2		800		85,448
Amazon.com, Inc.*		299		79,680
Toll Brothers, Inc.*		2,093		71,665
Lennar Corp. — Class A		1,631		67,654
AutoNation, Inc.*		819		35,831
TRW Automotive Holdings Corp.*		447		24,585
DR Horton, Inc.		1,001		24,324
Cavco Industries, Inc.*		455		21,644
Chuy’s Holdings, Inc.*		617		20,102
Hovnanian Enterprises, Inc. — Class A*		3,095		17,858
Urban Outfitters, Inc.*		455		17,627
Allison Transmission Holdings, Inc.		728		17,479
RadioShack Corp.^1,2		5,100		17,136
Pier 1 Imports, Inc.		728		16,744
Staples, Inc.		898		12,060
Starbucks Corp.		182		10,367
Standard Pacific Corp.*		722		6,238
Tumi Holdings, Inc.*		90		1,885
Fiat SpA ADR*		252		1,338
Desarrolladora Homex SAB de CV ADR*		90		805
Total Consumer Discretionary				2,167,247
CONSUMER STAPLES - 18.1%
Philip Morris International, Inc.^1,2		9,800		908,559
Altria Group, Inc.^1,2		16,700		574,313
Herbalife Ltd.^1,2		5,000		187,251
Wal-Mart Stores, Inc.^1,2		2,200		164,626
Safeway, Inc.^1,2		3,900		102,765
Bunge Ltd.		375		27,686
Pilgrim’s Pride Corp.*		1,274		11,708
Cal-Maine Foods, Inc.		91		3,873
Total Consumer Staples				1,980,781
HEALTH CARE - 15.2%
Johnson & Johnson^1,2		5,000		407,650
ViroPharma, Inc.*^,1,2		9,900		249,084
Amgen, Inc.^1,2		1,800		184,518
Life Technologies Corp.*^,1,2		2,800		180,964
WellCare Health Plans, Inc.*^,1,2		2,495		144,610
Baxter International, Inc.^1,2		1,800		130,752
Forest Laboratories, Inc.*^,1,2		3,400		129,336
Charles River Laboratories
International, Inc.*^,1,2		2,000		88,540
Owens & Minor, Inc.^1,2		2,700		87,912
Kindred Healthcare, Inc.*^,1,2		3,900		41,067
Centene Corp.*		182		8,015
Express Scripts Holding Co.*		52		2,998
Total Health Care				1,655,446
Information Technology - 8.8%
CA, Inc.^1,2		14,000		352,380
Symantec Corp.*^,1,2		5,900		145,612
Arrow Electronics, Inc.*^,1,2		2,886		117,229
Avnet, Inc.*^,1,2		3,100		112,220
Harmonic, Inc.*^,1,2		11,000		63,690
Amkor Technology, Inc.*^,1,2		9,200		36,800
Citrix Systems, Inc.*		364		26,267
Altera Corp.		632		22,417
ARM Holdings plc ADR		440		18,643
Salesforce.com, Inc.*		104		18,598
Apple, Inc.		39		17,263
Xilinx, Inc.		364		13,894
Facebook, Inc. — Class A*		542		13,864
Aruba Networks, Inc.*		361		8,931
Alcatel-Lucent ADR*		4,225		5,619
M/A-COM Technology Solutions
Holdings, Inc.*		182		2,925
FleetMatics Group plc*		23		558
Total Information Technology				976,910
ENERGY - 7.9%
Anadarko Petroleum Corp.^1,2		2,755		240,925
EOG Resources, Inc.		1,093		139,980
Pioneer Natural Resources Co.		728		90,454
ConocoPhillips^1,2		1,500		90,150
SM Energy Co.		1,001		59,279

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 28, 2013
ALPHA OPPORTUNITY FUND

	Shares		Value

Occidental Petroleum Corp.		728	$	57,053
Phillips 66^1,2		750		52,478
Halliburton Co.		1,092		44,127
Plains Exploration & Production Co.*		637		30,238
Marathon Oil Corp.		728		24,548
Hercules Offshore, Inc.*		1,629		12,087
Basic Energy Services, Inc.*		571		7,805
Yanzhou Coal Mining Company Ltd. ADR		323		4,422
Chesapeake Energy Corp.		182		3,715
Total Energy				857,261
FINANCIALS - 6.7%
Amtrust Financial Services, Inc.^1,2		6,600		228,690
Endurance Specialty Holdings Ltd.^1,2		3,000		143,430
Weyerhaeuser Co.		4,459		139,924
St. Joe Co.*		2,093		44,476
Morgan Stanley		1,820		40,003
Genworth Financial, Inc. — Class A*^,1,2		4,000		40,000
Brookfield Asset Management, Inc. —
Class A		792		28,900
American International Group, Inc.*		728		28,261
Potlatch Corp.		455		20,866
Stifel Financial Corp.*		364		12,620
Tejon Ranch Co.*		247		7,356
Total Financials				734,526
TELECOMMUNICATION SERVICES - 3.6%
AT&T, Inc.^1,2		10,600		388,914
MATERIALS - 2.3%
Vulcan Materials Co.		1,456		75,275
Stillwater Mining Co.*		2,249		29,080
Rio Tinto plc ADR		542		25,517
Deltic Timber Corp.		364		25,014
Freeport-McMoRan Copper & Gold, Inc.		533		17,642
Southern Copper Corp.		417		15,667
Teck Resources Ltd. — Class B		542		15,263
Horsehead Holding Corp.*		1,183		12,871
Louisiana-Pacific Corp.*		455		9,828
Anglo American plc ADR		632		8,134
Alcoa, Inc.		903		7,694
Molycorp, Inc.*		1,084		5,637
Boise, Inc.		546		4,728
Sterlite Industries India Ltd. ADR		656		4,579
IAMGOLD Corp.		564		4,061
Total Materials				260,990
UTILITIES - 1.5%
Exelon Corp.^1,2		4,743		163,539
Total Common Stocks
(Cost $9,364,862)				11,575,236
EXCHANGE TRADED FUNDS^† - 1.4%
SPDR S&P Metals & Mining ETF		1,084		43,772
iShares S&P Global Materials
Sector Index Fund		637		37,857
iShares FTSE China 25 Index Fund		722		26,642
SPDR S&P China ETF		271		18,956
iShares Dow Jones US Home
Construction Index Fund		455		10,870
iShares MSCI Emerging Markets Index Fund		180		7,700
PowerShares DB Base Metals Fund*		361		6,332
Total Exchange Traded Funds
(Cost $163,215)				152,129
CLOSED-END FUNDS^† - 0.1%
Morgan Stanley China A Share Fund, Inc.		611		14,426
Total Closed-End Funds
(Cost $15,503)				14,426
SHORT TERM INVESTMENTS^†† - 0.2%
State Street General Account U.S.
Government Fund		17,105		17,105
Total Short Term Investments
(Cost $17,105)				17,105

	Face
	Amount
FEDERAL AGENCY DISCOUNT NOTES^†† - 4.6%
Federal Home Loan Bank³
0.14% due 06/05/13	$	300,000		299,973
Freddie Mac⁴
0.11% due 06/18/13		200,000		199,978
Total Federal Agency Discount Notes
(Cost $499,877)				499,951

REPURCHASE AGREEMENT^††,5 – 4.9%
State Street
issued 03/28/13 at 0.00%
due 04/01/13		537,600		537,600
Total Repurchase Agreement
(Cost $537,600)				537,600
Total Long Investments – 116.8%
(Cost $10,598,162)			$	12,796,447

	Shares
COMMON STOCKS SOLD SHORT - (67.2)%
Consumer Staples - (0.9)%
Bridgford Foods Corp.^†		169	(1,418	)
Monster Beverage Corp.*^{,†††,6,8}		3,250	(96,233	)
Total Consumer Staples			(97,651	)
Utilities - (2.3)%
Korea Electric Power Corp. ADR*^{,†††,6,8}		18,310	(247,734	)
Telecommunication Services - (2.6)%
Clearwire Corp. — Class A*^{,†††,6,8}		2,530	(28,665	)
Global Crossing Ltd.*^{,†††,6,8}		1,800	(28,746	)
Leap Wireless International, Inc.*^{,†††,6,8}		1,500	(65,100	)
SBA Communications Corp. —
Class A^{*,†††,6,8}		2,400	(69,096	)
SAVVIS, Inc.*^{,†††,6,8}		5,700	(84,019	)
Total Telecommunication Services			(275,626	)

64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 28, 2013
ALPHA OPPORTUNITY FUND

	Shares		Value

ENERGY - (3.0)%
Aquila Resources Ltd.*^{,†††,6,8}		2,750	$	(21,907	)
Modec, Inc.^{†††,6,8}		900		(23,195	)
Sevan Marine ASA*^{,†††,6,8}		5,900		(30,951	)
Trican Well Service Ltd.^{†††,6,8}		2,000		(34,043	)
QGC Pty Ltd.*^{,†††,6,8}		12,800		(49,787	)
Rio Tinto Coal Mozambique*^{,†††,6,8}		6,700		(50,985	)
BPZ Resources, Inc.*^{,†††,6,8}		5,700		(107,160	)
Total Energy				(318,028	)
MATERIALS - (3.7)%
China National Building Material
Company Ltd. — Class H^{†††,6,8}		14,700		(19,910	)
Anhui Conch Cement Company Ltd. —
Class H^{†††,6,8}		4,500		(20,259	)
Shougang Fushan Resources
Group Ltd.^{†††,6,8}		66,000		(23,727	)
Sino Gold Mining Ltd.*^{,†††,6,8}		8,600		(35,368	)
Turquoise Hill Resources Ltd.*^{,†††,6,8}		4,440		(37,030	)
Western Areas Ltd.^{†††,6,8}		6,200		(44,457	)
Zoltek Companies, Inc.*^{,†††,6,8}		2,700		(49,221	)
Silver Wheaton Corp.^{†††,6,8}		6,100		(64,045	)
Agnico-Eagle Mines Ltd.^{†††,6,7,8}		1,800		(119,002	)
Total Materials				(413,019	)
INFORMATION TECHNOLOGY - (6.5)%
VeriSign, Inc.*^{,†††,6,8}		1,200		(30,756	)
Access Company Ltd.*^{,†††,6,8}		17		(32,755	)
Varian Semiconductor Equipment
Associates, Inc.*^{,†††,6,8}		1,260		(33,037	)
Electronic Arts, Inc.*^{,†††,6,8}		900		(36,720	)
Riverbed Technology, Inc.*^{,†††,6,8}		3,280		(43,624	)
Red Hat, Inc.*^{,†††,6,8}		2,610		(46,589	)
Baidu, Inc. ADR*^{,†††,6,8}		200		(53,726	)
Intermec, Inc.*^{,†††,6,8}		2,740		(54,307	)
Rambus, Inc.*^{,†††,6,8}		3,600		(55,224	)
VMware, Inc. — Class A*^{,†††,6,8}		2,400		(68,592	)
Imperial Energy Corporation plc*^{,†††,6,8}		3,900		(77,681	)
Equinix, Inc.*^{,†††,6,8}		1,000		(79,940	)
Cree, Inc.*,^{†††,6,8}		4,000		(109,840	)
Total Information Technology				(722,791	)
INDUSTRIALS - (9.2)%
China Merchants Holdings
International Company Ltd.^{†††,6,8}		3,100		(11,047	)
China Communications
Construction Company Ltd. —
Class H^{†††,6,8}		15,000		(15,536	)
China National Materials Company
Ltd. — Class H^{†††,6,8}		34,400		(17,537	)
Japan Steel Works Ltd.^{†††,6,8}		1,500		(20,809	)
Ausenco Ltd.^{†††,6,8}		2,100		(22,659	)
Arrow Energy Holdings Pty Ltd.*^{,†††,6,8}		8,900		(22,965	)
Toyo Tanso Company Ltd.^{†††,6,8}		500		(27,007	)
Ryanair Holdings plc^{†††,6,8}		9,600		(35,971	)
Meyer Burger Technology AG*^{,†††,6,8}		200		(49,879	)
USG Corp.*^{,†††,6,8}		4,940		(141,877	)
Beijing Capital International Airport
Company Ltd. — Class H^{†††,6,8}		218,000		(188,550	)
Brisa Auto-Estradas de Portugal
S.A.^{*,†††,6,8}		44,400		(461,804	)
Total Industrials				(1,015,641	)
FINANCIALS - (10.7)%
C C Land Holdings Ltd.^{†††,6,8}		50,000		(13,945	)
Franshion Properties China Ltd.^{†††,6,8}		79,400		(22,104	)
Mizuho Trust & Banking Company
Ltd.^{*,†††,6,8}		17,700		(24,682	)
Aozora Bank Ltd.^{†††,6,8}		16,300		(26,250	)
Monex Group, Inc.^{†††,6,8}		78		(27,384	)
Mizuho Financial Group, Inc.^{†††,6,8}		11,000		(45,461	)
Aeon Mall Company Ltd.^{†††,6,8}		1,700		(52,093	)
PrivateBancorp, Inc. — Class A^{†††,6,8}		2,390		(102,770	)
Erste Group Bank AG*^{,†††,6,8}		5,200		(319,536	)
Wells Fargo & Co.^{†††,6,8}		12,384		(539,688	)
Total Financials				(1,173,913	)
HEALTH CARE - (12.3)%
Sepracor, Inc.*^{,†††,6,8}		1,400		(24,500	)
Exelixis, Inc.*^{,†††,6,8}		4,500		(28,845	)
Savient Pharmaceuticals, Inc.*^{,†††,6,8}		2,420		(48,013	)
Zeltia S.A.*^{,†††,6,8}		8,000		(54,559	)
Intuitive Surgical, Inc.*^{,†††,6,8}		200		(56,100	)
Auxilium Pharmaceuticals, Inc.*^{,†††,6,8}		1,540		(56,703	)
XenoPort, Inc.*^{,†††,6,8}		1,376		(63,062	)
Luminex Corp.*^{,†††,6,8}		2,500		(63,725	)
Regeneron Pharmaceuticals, Inc.*^{,†††,6,8}		3,180		(69,038	)
Vertex Pharmaceuticals, Inc.*^{,†††,6,8}		2,600		(71,942	)
Align Technology, Inc.*^{,†††,6,8}		6,100		(74,420	)
Intercell AG*^{,†††,6,8}		1,900		(74,840	)
Acorda Therapeutics, Inc.*^{,†††,6,8}		2,800		(74,900	)
Rigel Pharmaceuticals, Inc.*^{,†††,6,8}		3,050		(78,324	)
Sequenom, Inc.*^{,†††,6,8}		3,810		(78,524	)
Cepheid, Inc.*^{,†††,6,8}		5,300		(81,620	)
AMAG Pharmaceuticals, Inc.*^{,†††,6,8}		1,900		(82,954	)
Basilea Pharmaceutica*^{,†††,6,8}		500		(83,364	)
Alnylam Pharmaceuticals, Inc.*^{,†††,6,8}		2,900		(85,289	)
athenahealth, Inc.*^{,†††,6,8}		2,500		(89,625	)
Total Health Care				(1,340,347	)

CONSUMER DISCRETIONARY - (16.0)%
Bloomin’ Brands, Inc.*^,†		415		(7,416	)
Aaron’s, Inc.^†		260		(7,457	)
Tokyo Broadcasting System
Holdings, Inc.^{†††,6,8}		1,300		(21,836	)
Genting Singapore plc^{†††,6,8}		124,900		(41,123	)
bwin Interactive Entertainment
AG^{*,†††,6,8}		1,600		(45,582	)
Bwin.Party Digital Entertainment
plc^{*,†††,6,8}		15,200		(57,210	)
Focus Media Holding Ltd.
ADR^{†††,6,8}		2,130		(63,900	)
Sky Deutschland AG*^{,†††,6,8}		4,000		(65,668	)
Marui Group Company Ltd.^{†††,6,8}		29,100		(219,528	)

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 28, 2013
ALPHA OPPORTUNITY FUND

	Shares		Value

Pool Corp.^{†††,6,8}		11,639	$	(288,065	)
Electrolux AB^{†††,6,8}		30,100		(395,760	)
Volkswagen AG^{†††,6,8}		1,300		(539,373	)
Total Consumer Discretionary				(1,752,918	)
Total Common Stock Sold Short
(Proceeds $7,180,551)				(7,357,668	)
Total Securities Sold Short- (67.2)%
(Proceeds $7,180,551)			$	(7,357,668	)
Other Assets & Liabilities, net - 50.4%				5,531,720
Total Net Assets - 100.0%			$	10,970,499

			Unrealized
	Contracts		Gain
Equity futures contracts purchased^†
June 2013 S&P 500 Index Mini
Futures Contracts
(Aggregate Value of
Contracts $624,500)		8	$	10,770

Non-income producing security.

	^†	Value determined based on Level 1 inputs — See Note 4.
	^††	Value determined based on Level 2 inputs — See Note 4.

^†††

Value determined based on Level 3 inputs — See Note 4.

All or a portion of this security is pledged as short security collateral at March 28, 2013.

All or a portion of the security is deemed illiquid due to the Fund’s exposure to Lehman Brothers International Europe (“LBIE”) prime brokerage services. The total market value of illiquid securities is $9,386,647 (cost $7,134,985), or 85.6% of total net assets. The security was deemed liquid at the time of purchase.

The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.

⁴

On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.

⁵

Repurchase Agreement — See Note 5.

⁶

Illiquid security.

⁷

Security was acquired through a private placement.

⁸

All or portion of this security was fair valued by the Valuation Committee at March 28, 2013. The total market value of fair valued securities amounts to $(7,341,377) (proceeds $7,164,435), or (66.9%) of total net assets.

ADR — American Depositary Receipt

plc — Public Limited Company

66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

ALPHA OPPORTUNITY FUND

STATEMENT OF ASSETS

AND LIABILITIES (Unaudited)

March 28, 2013

Assets:
Investments, at value
(cost $10,060,562)	$	12,258,847
Repurchase agreements, at value
(cost $537,600)		537,600
Total investments
(cost $10,598,162)		12,796,447
Restricted cash denominated in a foreign currency, at
value (cost $3,380,998)^†		3,455,192
Restricted cash^†		2,040,646
Segregated cash with broker		28,000
Prepaid expenses		14,120
Receivables:
Securities sold		244,042
Investment advisor		36,405
Dividends		21,797
Variation margin		1,780
Total assets		18,638,429
Liabilities:
Securities sold short, at value
(proceeds $7,180,551)		7,357,668
Overdraft due to custodian bank		71,952
Payable for:
Securities purchased		183,909
Management fees		11,600
Transfer agent/maintenance fees		3,368
Distribution and service fees		3,229
Fund shares redeemed		2,588
Fund accounting/administration fees		2,123
Directors’ fees*		158
Miscellaneous		31,335
Total liabilities		7,667,930
Net assets	$	10,970,499
Net assets consist of:
Paid in capital	$	19,104,517
Undistributed net investment income		5,514
Accumulated net realized loss on investments		(10,245,664	)
Net unrealized appreciation on investments		2,106,132
Net assets	$	10,970,499
A-Class:
Net assets	$	7,405,356
Capital shares outstanding		507,657
Net asset value per share	$	14.59
Maximum offering price per share
(Net asset value divided by 95.25%)	$	15.32
B-Class:
Net assets	$	624,397
Capital shares outstanding		46,926
Net asset value per share	$	13.31
C-Class:
Net assets	$	1,327,294
Capital shares outstanding		99,712
Net asset value per share	$	13.31
Institutional Class:
Net assets	$	1,613,452
Capital shares outstanding		79,552
Net asset value per share	$	20.28

STATEMENT OF

OPERATIONS (Unaudited)

Period Ended March 28, 2013

Investment Income:
Dividends (net of foreign withholding tax of $63)	$	134,113
Interest		393
Other income		177
Total investment income		134,683
Expenses:
Management fees		66,895
Transfer agent/maintenance fees:
A-Class		9,486
B-Class		2,092
C-Class		2,486
Institutional Class		1,365
Distribution and service fees:
A-Class		8,864
B-Class		3,284
C-Class		7,092
Fund accounting/administration fees		12,522
Legal fees		67,713
Custodian fees		20,482
Registration fees		15,858
Prime Brokerage interest expense		1,031
Short sales dividend expense		592
Directors’ fees*		329
Miscellaneous		11,505
Total expenses		231,596
Less:
Expenses waived/reimbursed by Advisor		(110,976	)
Net expenses		120,620
Net investment income		14,063
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		932,646
Futures contracts		53,228
Securities sold short		(686,080	)
Net realized gain		299,794
Net change in unrealized appreciation (depreciation) on:
Investments		768,399
Securities sold short		1,939
Futures contracts		18,030
Foreign currency		(146,005	)
Net change in unrealized appreciation (depreciation)		642,363
Net realized and unrealized gain		942,157
Net increase in net assets resulting from operations	$	956,220

^†

All or portion of this amount represents values related to Lehman Brothers International Europe prime brokerage services — See Note 11.

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

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 67

ALPHA OPPORTUNITY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	March 28,			Year Ended
	2013			September 30,
	(Unaudited)			2012
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	14,063		$	(14,498	)
Net realized gain on investments and foreign currency transactions		299,794			1,136,733
Net change in unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies		642,363			2,273,155
Net increase in net assets resulting from operations		956,220			3,395,390

Capital share transactions:
Proceeds from sale of shares
A-Class*		65,144			117,674
Cost of shares redeemed
A-Class		(553,615	)		(1,836,212	)
B-Class		(158,821	)		(184,593	)
C-Class		(287,904	)		(233,428	)
Institutional Class		(48,095	)		(280,860	)
Net decrease from capital share transactions		(983,291	)		(2,417,419	)
Net increase (decrease) in net assets		(27,071	)		977,971

Net assets:
Beginning of period		10,997,570			10,019,599
End of period	$	10,970,499		$	10,997,570
Undistributed/(Accumulated) net investment income/(loss) at end of period	$	5,514		$	(8,549	)

Capital share activity:
Shares sold
A-Class*		4,753			9,664
Institutional Class		174			—
Shares redeemed
A-Class		(40,825	)		(148,801	)
B-Class		(13,097	)		(16,395	)
C-Class		(22,828	)		(19,960	)
Institutional Class		(2,619	)		(16,012	)
Net decrease in shares		(74,442	)		(191,504	)

* Represents conversion of B-Class to A-Class shares.

68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
A-Class	2013^a			2012			2011			2010			2009			2008^h
Per Share Data
Net asset value, beginning of period	$	13.33		$	9.82		$	9.70		$	8.56		$	9.37		$	13.94
Income (loss) from investment operations:
Net investment income (loss)^b		.03			(—	)^c		(.04	)		(.06	)		(.04	)		(.16	)
Net gain (loss) on investments
(realized and unrealized)		1.23			3.48			.16			1.20			(.77	)		(1.68	)
Net increase from payments by affiliates		—			.03	ⁱ		—			—			—			—
Total from investment operations		1.26			3.51			.12			1.14			(.81	)		(1.84	)
Less distributions from:
Net realized gains		—			—			—			—			—			(2.57	)
Return of capital		—			—			—			—			—			(.16	)
Total distributions		—			—			—			—			—			(2.73	)
Net asset value, end of period	$	14.59		$	13.33		$	9.82		$	9.70		$	8.56		$	9.37

Total Return^d		9.45	%		35.74	%ⁱ		1.13	%		13.43	%		(8.64	%)		(15.99	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,405		$	7,250		$	6,708		$	8,138		$	9,752		$	30,615
Ratios to average net assets:
Net investment income (loss)		0.38	%		(0.01	%)		(0.33	%)		(0.71	%)		(0.50	%)		(1.44	%)
Total expenses^e		4.20	%		2.98	%		3.39	%		3.51	%		3.82	%		3.41	%
Net expenses^f,j		2.14	%		2.21	%		2.15	%		2.21	%		2.00	%		3.32	%
Portfolio turnover rate		296	%		707	%		868	%		954	%		422	%		1,248	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
B-Class	2013^a			2012			2011			2010			2009			2008^h
Per Share Data
Net asset value, beginning of period	$	12.21		$	9.07		$	9.03		$	8.04		$	8.87		$	13.42
Income (loss) from investment operations:
Net investment loss^b		(.02	)		(.09	)		(.12	)		(.12	)		(.09	)		(.23	)
Net gain (loss) on investments
(realized and unrealized)		1.12			3.21			.16			1.11			(.74	)		(1.59	)
Net increase from payments by affiliates		—			.02	ⁱ		—			—			—			—
Total from investment operations		1.10			3.14			.04			.99			(.83	)		(1.82	)
Less distributions from:
Net realized gains		—			—			—			—			—			(2.57	)
Return of capital		—			—			��			—			—			(.16	)
Total distributions		—			—			—			—			—			(2.73	)
Net asset value, end of period	$	13.31		$	12.21		$	9.07		$	9.03		$	8.04		$	8.87

Total Return^d		9.01	%		34.62	%ⁱ		0.44	%		12.31	%		(9.36	%)		(16.66	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	624		$	733		$	693		$	1,161		$	1,635		$	5,391
Ratios to average net assets:
Net investment loss		(0.39	%)		(0.77	%)		(1.10	%)		(1.47	%)		(1.24	%)		(2.18	%)
Total expenses^e		5.23	%		3.87	%		4.19	%		4.27	%		4.57	%		4.16	%
Net expenses^f,j		2.89	%		2.96	%		2.90	%		2.96	%		2.75	%		4.04	%
Portfolio turnover rate		296	%		707	%		868	%		954	%		422	%		1,248	%

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 69

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS (continued)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 28,			September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2013^a			2012			2011			2010			2009			2008^h
Per Share Data
Net asset value, beginning of period	$	12.21		$	9.07		$	9.03		$	8.02		$	8.87		$	13.43
Income (loss) from investment operations:
Net investment loss^b		(.02	)		(.09	)		(.11	)		(.12	)		(.09	)		(.23	)
Net gain (loss) on investments (realized and unrealized)		1.12			3.21			.15			1.13			(.76	)		(1.60	)
Net increase from payments by affiliates		—			.02	ⁱ		—			—			—			—
Total from investment operations		1.10			3.14			.04			1.01			(.85	)		(1.83	)
Less distributions from:
Net realized gains		—			—			—			—			—			(2.57	)
Return of capital		—			—			—			—			—			(.16	)
Total distributions		—			—			—			—			—			(2.73	)
Net asset value, end of period	$	13.31		$	12.21		$	9.07		$	9.03		$	8.02		$	8.87

Total Return^d		9.01	%		34.62	%ⁱ		0.44	%		12.59	%		(9.58	%)		(16.63	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,327		$	1,497		$	1,292		$	1,490		$	1,996		$	4,935
Ratios to average net assets:
Net investment loss		(0.38	%)		(0.76	%)		(1.08	%)		(1.46	%)		(1.24	%)		(2.21	%)
Total expenses^e		4.97	%		3.80	%		4.14	%		4.28	%		4.67	%		4.16	%
Net expenses^f,j		2.90	%		2.96	%		2.90	%		2.95	%		2.75	%		4.09	%
Portfolio turnover rate		296	%		707	%		868	%		954	%		422	%		1,248	%

70 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Period Ended
	March 28,			September 30,			September 30,			September 30,			September 30,
Institutional Class	2013^a			2012			2011			2010			2009^g
Per Share Data
Net asset value, beginning of period	$	18.52		$	13.53		$	13.33		$	11.73		$	10.00
Income (loss) from investment operations:
Net investment income (loss)^b		.06			.04			(.01	)		(.06	)		(.01	)
Net gain on investments (realized and unrealized)		1.70			4.82			.21			1.66			1.74
Net increase from payments by affiliates		—			0.13	ⁱ		—			—			—
Total from investment operations		1.76			4.99			.20			1.60			1.73
Net asset value, end of period	$	20.28		$	18.52		$	13.53		$	13.33		$	11.73

Total Return^d		9.50	%		36.88	%ⁱ		1.50	%		13.64	%		17.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,614		$	1,518		$	1,326		$	1,444		$	2,155
Ratios to average net assets:
Net investment income (loss)		0.62	%		0.24	%		(0.08	%)		(0.48	%)		(0.07	%)
Total expenses^e		3.89	%		2.68	%		3.12	%		3.28	%		3.94	%
Net expenses^f,j		1.90	%		1.96	%		1.90	%		1.96	%		1.76	%
Portfolio turnover rate		296	%		707	%		868	%		954	%		422	%

Unaudited figures for the period ended March 28, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

Net investment income (loss) per share was computed using average shares outstanding throughout the period.

Net investment income (loss) is less than $0.01 per share.

Total return does not reflect the impact of any applicable sales charges and has not been annualized.

Does not include expenses of the underlying funds in which the Fund invests.

Net expense information reflects the expense ratios after expense waivers and may include interest or dividend expense.

Since commencement of operations: November 7, 2008. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

Security Global Investors, LLC (SGI) became the sub-advisor of 37.5% of the assets of the Alpha Opportunity Fund effective August 18, 2008. Also effective August 18, 2008, Mainstream Investment Advisers, LLC (Mainstream) sub-advises 37.5% of the assets and Security Investors, LLC (SI) manages 25% of the assets. Prior to August 18, 2008, Mainstream sub-advised 60% of the assets and SI managed the remaining 40% of the assets. Effective January 14, 2011, SGI was merged with and into Guggenheim Investments.

ⁱ

For the year ended September 30, 2012, 0.30%, 0.22%, 0.22% and 0.96% of the Fund’s A-Class, B-Class, C-Class and Institutional Class, respectively, total return consisted of a voluntary reimbursement by the advisor for losses incurred during fund trading. Excluding this item, total return would have been 35.44%, 34.40%, 34.40% and 35.92% for the Fund’s A-Class, B-Class, C-Class and Institutional Class, respectively.

Excluding interest and dividend expense related to short sales, the operating expense ratios for the years ended December 31 and the period ended March 28 would be:

	2013			2012			2011			2010			2009			2008
A-Class		2.11	%		2.11	%		2.11	%		2.05	%		1.95	%		3.06	%
B-Class		2.86	%		2.86	%		2.86	%		2.80	%		2.69	%		3.78	%
C-Class		2.86	%		2.86	%		2.86	%		2.80	%		2.69	%		3.83	%
Institutional Class		1.86	%		1.86	%		1.86	%		1.80	%		1.70	%		N/A

See Notes to Financial Statements.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 71

NOTES TO FINANCIAL STATEMENTS (Unaudited)

1. Organization and Significant Accounting Policies

Organization

Security Equity Fund (the “Trust”), a Kansas business trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as a non-diversified, open-ended investment company of the series type. Each series, in effect, is representing a separate Fund (collectively the “Funds”). The Trust is authorized to issue an unlimited number of shares. The Trust accounts for the assets of each Fund separately.

The Trust offers a combination of four separate classes of shares, A-Class shares, B-Class shares, C-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. Prior to February 22, 2011, the maximum sales charge was 5.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. B-Class shares are offered without a front-end sales charge, but are subject to a CDSC, for five years and convert to A-Class shares after eight years. Effective January 4, 2010, subscriptions for B-Class shares are no longer accepted. C-Class shares have a 1% CDSC, if shares are redeemed within 12 months of purchase. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares have a minimum initial investment of $2 million and a minimum account balance of $1 million. Institutional Class shares are offered without a front-end sales charge or a CDSC.

At March 28, 2013, the Trust consisted of eight separate funds.

Guggenheim Investments (“GI”) provides advisory, administrative and accounting services to the Funds. Rydex Fund Services, LLC (“RFS”) acts as the transfer agent to the Funds. Guggenheim Distributors, LLC (“GDL”) acts as principal underwriter to the Funds. GI, RFS and GDL are affiliated entities.

Mainstream serves as investment sub-advisor on behalf of Alpha Opportunity Fund. The sub-advisor furnishes investment advisory services, supervises and arranges for the purchase and sale of securities and provide for the compilation and maintenance of records pertaining to such investment advisory services, subject to the control and supervision of the Board of Directors of the Trust and GI. Prior to January 14, 2011 Security Global Investors, LLC (“SGI”) acted as a sub-advisor to a portion of the total assets of Alpha Opportunity Fund. Effective January 14, 2011, SGI was merged with and into GI.

Significant Accounting Policies

Since March 28, 2013 represents the last day during the Funds’ semi-annual period on which the New York Stock Exchange was open for trading, the Funds' financial statements have been presented through that date to maintain consistency with the Funds’ net asset value calculations used for shareholder transactions.

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 and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

A. Valuations of the Funds’ securities are supplied by pricing services approved by the Board of Directors. The Trust’s officers, through the Valuation Committee under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services.

Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on such day, the security is valued at the closing bid price on such day.

Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker/dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition and repurchase agreements are valued at amortized cost, which approximates market value.

Listed options are valued at the Official Settlement Price listed by the exchange, usually as of 4:00 p.m. Long options are valued using the bid price and short options are valued using the ask price. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter options are valued using

72 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

the average bid price (for long options), or average ask price (for short options) obtained from one or more security dealers.

The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the NYSE. The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as World Equity Benchmark Securities. In addition, the Board of Directors has authorized the Valuation Committee and GI to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business on the valuation date. Exchange Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price.

Investments for which market quotations are not readily available are fair valued as determined in good faith by GI under the direction of the Board of Directors using methods established or ratified by the Board of Directors. These methods include, but are not limited to: (i) obtaining general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) obtaining other information and considerations, including current values in related markets.

B. Securities 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. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.

C. 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, expropriations, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.

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

Reported net realized foreign exchange gains or losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses 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.

D. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 73

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

sales. The Fund is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account.

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 treasury obligations 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 Funds may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

F. 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 gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

G. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each class. Certain costs, such as distribution and service fees relating to A-Class shares, B-Class shares and C-Class shares and transfer agent fees related to each class, are charged directly to specific classes. In addition, other expenses common to various funds within the fund complex are generally allocated amongst such funds on the basis of average net assets.

H. Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. For the period ended March 28, 2013, there were no earnings credits received.

I. Under the Funds’ organizational documents, its officers and directors 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.

2. Financial Instruments

As part of their investment strategy, certain Funds may utilize short sales and a variety of derivative instruments including futures and options. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities.

Alpha Opportunity Fund may make short sales “against the box,” in which the Fund enters into a short sale of a security it owns. At no time will more than 15% of the value of the Fundsʼ net assets be in deposits on short sales against the box. When a Fund makes a short sale, the Fund does not immediately deliver the securities sold short from its own account, or receive the proceeds from the sale. To complete the sale, the Fund must borrow the security (generally from the broker through the short sale is made) in order to make delivery to the buyer. The Fund must replace the security borrowed by purchasing it at the market price at the time of replacement or delivering the security from its own portfolio. The Fund is said to have a “short position” in securities sold until it delivers them to the broker, at which time it receives the proceeds of the sale. Certain Funds may make short sales that are not “against the box,” which create opportunities to increase the Funds’ return but, at the same time, involve specific risk considerations and may be considered a speculative technique. Such short sales theoretically involve unlimited loss potential, as the market price has increased significantly. For financial statement purposes, an amount equal to the settlement amount is included in the Statement of Assets and Liabilities as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the short position. Subsequent fluctuations in the market prices of securities sold, but not yet purchased, may require purchasing the securities at prices which differ from the market value reflected on the Statement of Assets and Liabilities. The Funds are liable for any dividends or interest payable on securities while those securities are in a short position. As collateral for its short positions, the Fund is required under the 1940 Act to maintain segregated assets consisting of cash, cash equivalents or liquid securities. These segregated assets are valued consistent with Note 1A and are required to be adjusted daily to reflect changes in the market value of the securities sold short.

The Alpha Opportunity Fund utilized futures contracts to obtain broad index exposure. A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or

74 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s or an underlying fund’s use of futures contracts and related options, 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 the 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 restricted cash on the Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.

Certain Funds wrote call options on a covered basis and put options on securities that are traded on recognized securities exchanges and over-the-counter markets. Call and put options on securities give the writer the obligation to sell or purchase a security at a specified price, until a certain date. The risk in writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered 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 is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty’s inability to perform. An amount equal to the premium received is entered in the 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 a 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).

In conjunction with the use of short sales, futures and options, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund.

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

3. Fees and other transactions with affiliates

Management fees are paid monthly to GI, based on the following annual rates. GI pays the sub-advisors out of the advisory fees it receives.

	Management Fees
	(as a % of net assets)
Large Cap Core Fund		0.75%
Mid Cap Value Fund		0.79%¹
Mid Cap Value Institutional Fund		0.75%
Small Cap Growth Fund		0.85%
Small Cap Value Fund		1.00%
Large Cap Concentrated Growth Fund		0.75%
MSCI EAFE Equal Weight Fund		0.70%
Alpha Opportunity Fund		1.25%

¹ Management fees are payable at an annual rate of 1.00% of the average daily net assets of $200 million or less, and 0.75% of the average daily net assets of the Mid Cap Value Fund in excess of $200 million.

GI also acts as the administrative agent for the Funds, and as such performs administrative functions and the bookkeeping, accounting and pricing functions for each Fund. For these services, GI receives the following:

	Administrative Fees
	(as a % of net assets)
Large Cap Core Fund		0.095%
Mid Cap Value Fund		0.095%
Mid Cap Value Institutional Fund		0.095%
Small Cap Growth Fund		0.095%
Small Cap Value Fund		0.095%
Large Cap Concentrated Growth Fund		0.095%
MSCI EAFE Equal Weight Fund		greater of 0.15%
		or $60,000
Alpha Opportunity Fund		0.15%
Minimum charge per Fund		$25,000
Certain out-of-pocket charges		Varies

RFS is paid the following for providing transfer agent services to the Funds. Effective February 1, 2012, transfer agent fees are assessed to the applicable Class of each Fund in which they were incurred. Prior to February 1, 2012, transfer agent fees were aggregated by the Fund and allocated based on daily net assets of each Class of Fund.

Annual charge per account			$5.00 – $8.00
Transaction fee			$0.60 – $1.10
Minimum annual charge per Fund			$25,000
Certain out-of-pocket charges			Varies

The investment advisory contracts for the following Funds provide that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, divi-

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

dends on securities sold short, expenses of other investment companies in which a Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses (as determined under generally accepted accounting principles). The limits are listed below:

				Contract
	Limit			End Date
Small Cap Value Fund – A-Class		1.30	%	02/01/14
Small Cap Value Fund – C-Class		2.05	%	02/01/14
Small Cap Value Fund – Institutional Class		1.05	%	02/01/14
Large Cap Concentrated Growth Fund – A-Class		1.35	%	02/01/14
Large Cap Concentrated Growth Fund – B-Class		2.10	%	02/01/14
Large Cap Concentrated Growth Fund – C-Class		2.10	%	02/01/14
Large Cap Concentrated Growth Fund - Institutional Class		1.10	%	02/01/14
MSCI EAFE Equal Weight Fund – A-Class		1.61	%	02/01/14
MSCI EAFE Equal Weight Fund – B-Class		2.36	%	02/01/14
MSCI EAFE Equal Weight Fund – C-Class		2.36	%	02/01/14
MSCI EAFE Equal Weight Fund – Institutional Class		1.36	%	02/01/14
Alpha Opportunity Fund – A-Class		2.11	%	02/01/14
Alpha Opportunity Fund – B-Class		2.86	%	02/01/14
Alpha Opportunity Fund – C-Class		2.86	%	02/01/14
Alpha Opportunity Fund – Institutional Class		1.86	%	02/01/14

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 other estimated operating expenses are less than the indicated percentages. At March 28, 2013, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

	Expires		Expires		Expires		Expires		Fund
Fund	2013		2014		2015		2016		Total
Small Cap Value Fund	$	90,347	$	118,145	$	175,113	$	71,828	$	455,433
Mid Cap Value Institutional Fund*		209,976		443,419		194,357		—		847,752
Large Cap Concentrated Growth Fund		150,104		140,783		175,964		57,786		524,637
MSCI EAFE Equal Weight Fund		—		26,732		314,425		99,710		440,867
Alpha Opportunity Fund		176,815		157,924		88,316		110,976		534,031

* Expense Limitation Agreement has not been renewed for this Fund after 03/31/12.

For the period ended March 28, 2013, no amounts were recouped by GI.

The Funds have adopted Distribution Plans related to the offering of A-Class, B-Class and C-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of each Fund’s A-Class shares and 1.00% of the average daily net assets of each Fund’s B-Class and C-Class shares. Effective August 25, 2005, the MSCI EAFE Equal Weight Fund ceased charging 12b-1 fees on B-Class shares in accordance with the FINRA sales cap regulations. These fees may be reinstated at any time.

During the period ended March 28, 2013, GDL retained sales charges of $152,587 relating to sales of A-Class shares of the Trust.

Certain officers and directors of the Trust are also officers and/or directors of Security Benefit Life Insurance Company, a subsidiary of Security Benefit Corporation, and its affiliates, which include GI and GDL.

At March 28, 2013, Security Benefit Corporation and its subsidiaries owned over five percent of the outstanding shares of the Trust, as follows:

	Percent of
	outstanding
	shares owned
Large Cap Core Fund		13	%
Small Cap Growth Fund		14	%
Large Cap Concentrated Growth Fund		7	%
MSCI EAFE Equal Weight Fund		11	%
Alpha Opportunity Fund		14	%

76 | the GUGGENHEIM FUNDS semi-annual report

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

4. Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:

Level 1 — quoted prices in active markets for identical securities.

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes the inputs used to value the Funds’ net assets at March 28, 2013:

	Level 1		Level 1		Level 2		Level 3
	Investments		Other Financial		Investments		Investments
	In Securities		Instruments*		In Securities		In Securities		Total
Assets
Large Cap Core Fund	$	171,982,866	$	—	$	—	$	—	$	171,982,866
Mid Cap Value Fund		1,202,421,830		—		6,485,609		107,772		1,209,015,211
Mid Cap Value Institutional Fund		531,117,475		—		12,826,422		99,663		544,043,560
Small Cap Growth Fund		13,109,103		—		—		—		13,109,103
Small Cap Value Fund		37,596,056		—		178,645		785		37,775,486
Large Cap Concentrated Growth Fund		19,164,699		—		—		—		19,164,699
MSCI EAFE Equal Weight Fund		72,013,925		—		759,730		200		72,773,855
Alpha Opportunity Fund		11,741,791		10,770		1,054,656		—		12,807,217
Liabilities
Mid Cap Value Fund	$	—	$	474,375	$	—	$	—	$	474,375
Mid Cap Value Institutional Fund		—		212,895		—		—		212,895
Small Cap Value Fund		—		14,195		—		—		14,195
Alpha Opportunity Fund		16,291		—		—		7,341,377		7,357,668

* Other financial instruments include futures contracts, which are reported as unrealized gain/loss at period end and options written.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in the investment’s valuation changes. The Funds recognize transfers between the levels as of the beginning of the period. As of March 28, 2013, Mid Cap Value Fund, Mid Cap Value Institutional Fund and Small Cap Value Fund had a security with a value total value of $107,772, $99,663 and $785, respectively, transfer from Level 2 to Level 3 as a result of a trading restriction.

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended March 28, 2013:

LEVEL 3 – Fair value measurement using significant unobservable inputs

	Total
Alpha Opportunity Fund
Liabilities:
Beginning Balance	$	7,341,377
Ending Balance	$	7,341,377

the GUGGENHEIM FUNDS semi-annual report | 77

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

5. Repurchase Agreements

In connection with transactions in repurchase agreements, it is the Funds’ policy that their custodian takes possession of the underlying collateral. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements.

At March 28, 2013, the collateral for the repurchase agreements was as follows:

	Counterparty and
Fund	Terms of Agreement	Face Value		Repurchase Price		Collateral	Par Value		Fair Value
Mid Cap Value Institutional Fund	UMB Financial Corp.					Ginnie Maes
	0.02%					1.61% - 2.17%
	Due 04/01/13	$	9,185,000	$	9,185,020	07/16/39 - 04/16/41	$	9,244,296	$	9,369,111
Alpha Opportunity Fund	State Street					Fannie Mae
	0.01%					2.17%
	Due 04/01/13		537,600		537,600	11/07/22		430,000		430,620
						Freddie Mac
						1.96%
						11/07/22		125,000		122,922

6. Derivative Investment Holdings Categorized by Risk Exposure

U.S. GAAP requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds’ financial position and results of operations.

Certain Funds utilized options to minimally hedge the Fund’s portfolio to increase returns, to maintain exposure to the equity markets, and created liquidity.

Alpha Opportunity Fund utilized futures contracts to obtain broad index exposure. The following table represents the notional amount of futures contracts outstanding, as an approximate percentage of the Funds’ net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives.

	Approximate percentage
	of Fund’s net assets on
	a daily basis
Fund	Long
Alpha Opportunity Fund		5	%

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 28, 2013:

Derivative Investment Type		Asset Derivatives		Liability Derivatives
Equity contracts		Variation margin		Variation margin Options written, at value

The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at March 28, 2013:

Asset Derivative Investments Value
	Futures		Options
	Equity		Written Equity		Total Value at
Fund	Contracts*		Contracts		March 28, 2013
Mid Cap Value Fund	$	—	$	474,375	$	474,375
Mid Cap Value Institutional Fund		—		212,895		212,895
Small Cap Value Fund		—		14,195		14,195
Alpha Opportunity Fund		10,770		—		10,770

*Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current days variation margin is reported within the Statements of Assets and Liabilities.

78 | the GUGGENHEIM FUNDS semi-annual report

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended March 28, 2013:

Derivative Investment Type		Location of Gain (Loss) on Derivatives
Equity contracts		Net realized gain (loss) on futures contracts
		Net realized gain (loss) on options written
		Net change in unrealized appreciation (depreciation) on futures contracts
		Net change in unrealized appreciation (depreciation) on options written

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended March 28, 2013:

Realized Gain (Loss) on Derivative Investments Recognized in the Statements of Operations
	Futures		Options
	Equity		Written Equity
Fund	Contracts		Contracts		Total
Mid Cap Value Fund	$	—	$	394,945	$	394,945
Mid Cap Value Institutional Fund		—		187,486		184,486
Small Cap Value Fund		—		11,244		11,244
Alpha Opportunity Fund		53,228		—		53,228

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statements of Operations
	Futures		Options
	Equity		Written Equity
Fund	Contracts		Contracts		Total
Mid Cap Value Fund	$	—	$	273,518	$	273,518
Mid Cap Value Institutional Fund		—		122,941		122,941
Small Cap Value Fund		—		8,267		8,267
Alpha Opportunity Fund		18,030		—		18,030

7. Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and 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 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 federal income tax returns for all open tax years (fiscal years 2009 – 2012), and has concluded that no provision for income tax is required in the Funds’ financial statements.

The RIC Modernization Act of 2010 was signed into law on December 22, 2010. It simplified some of the tax provisions applicable to regulated investment companies, the tax reporting to their shareholders and improved the tax efficiency of certain fund structures. The changes were generally effective for taxable years beginning after the date of enactment.

One of the more prominent changes addresses capital loss carryforwards. Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. As a result of this ordering rule, pre-enactment capital loss carryforwards may potentially expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

the GUGGENHEIM FUNDS semi-annual report | 79

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

At March 28, 2013, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund Name	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Gain
Large Cap Core Fund	$	143,016,348	$	32,910,826	$	(3,944,309	)	$	28,966,517
Mid Cap Value Fund		965,115,375		296,459,515		(52,559,680	)		243,899,835
Mid Cap Value Institutional Fund		444,357,764		121,565,661		(21,879,865	)		99,685,796
Small Cap Growth Fund		10,433,544		3,234,766		(559,207	)		2,675,559
Small Cap Value Fund		31,701,966		8,060,303		(1,986,783	)		6,073,520
Large Cap Concentrated Growth Fund		17,833,616		1,693,101		(362,018	)		1,331,083
MSCI EAFE Equal Weight Fund		69,976,379		9,230,790		(6,433,314	)		2,797,476
Alpha Opportunity Fund		10,629,410		2,837,974		(670,937	)		2,167,037

8. Options Written

Transactions in options written during the period ended March 28, 2013 were as follows:

Written Call Options

	Mid Cap Value Fund						Mid Cap Value Institutional Fund						Small Cap Value Fund
	Number of			Premiun			Number of			Premiun			Number of			Premiun
	Contracts			Amount			Contracts			Amount			Contracts			Amount
Balance at September 30, 2012		1,160		$	330,674			560		$	159,635			33		$	9,407
Options Written		1,925			371,839			857			165,800			55			10,624
Options terminated in closing purchase transactions		—			—			—			—			—			—
Options expired		(1,580	)		(394,945	)		(742	)		(187,486	)		(45	)		(11,243	)
Options exercised		—			—			—			—			—			—
Balance at March 28, 2013		1,505		$	307,568			675		$	137,949			43		$	8,788

Written Put Options

	Mid Cap Value Fund				Mid Cap Value Institutional Fund				Small Cap Value Fund
	Number of		Premium		Number of		Premium		Number of		Premium
	Contracts		Amount		Contracts		Amount		Contracts		Amount
Balance at September 30, 2012		—	$	—		—	$	—		—	$	—
Options Written		3,016		376,599		1,349		167,123		97		11,861
Options terminated in closing purchase transactions		—		—		—		—		—		—
Options expired		—		—		—		—		—		—
Options exercised		—		—		—		—		—		—
Balance at March 28, 2013		3,016	$	376,599		1,349	$	167,123		97	$	11,861

9. Securities Transactions

For the period ended March 28, 2013, the cost of purchases and proceeds from sales of investment securities, excluding government securities and short-term investments, were as follows:

Fund	Purchases		Sales
Large Cap Core Fund	$	82,693,258	$	98,392,693
Mid Cap Value Fund		150,983,670		251,562,729
Mid Cap Value Institutional Fund		68,566,254		106,665,590
Small Cap Growth Fund		5,475,981		6,515,357
Small Cap Value Fund		5,784,296		7,019,387
Large Cap Concentrated Growth Fund		20,329,660		26,214,102
MSCI EAFE Equal Weight Fund		8,406,237		12,142,720
Alpha Opportunity Fund		10,957,564		11,611,819

80 | the GUGGENHEIM FUNDS semi-annual report

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

10. Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act. Transactions during the period ended March 28, 2013 in which the portfolio company is an “affiliated person” are as follows:

		Value						Value		Shares		Investment
Fund	Security	09/30/12		Additions		Reductions		03/28/13		03/28/13		Income
Mid Cap Value Fund	Common Stock:
	IXYS Corp.	$	21,192,383	$	—	$	—	$	20,487,395		2,136,329	$	128,180
	Maxwell Technologies, Inc.		13,276,517		459,659		—		9,189,794		1,704,971		—
	Total	$	34,468,900	$	459,659	$	—	$	29,677,189		3,841,300	$	128,180
Mid Cap Value Institutional Fund	Common Stock:
	HydroGen Corp.	$	15,188	$	—	$	—	$	15,695		1,265,700	$	—
	Total	$	15,188	$	—	$	—	$	15,695		1,265,700	$	—

11. Alpha Opportunity Fund

The Fund contracted with Lehman Brothers International Europe (“LBIE”) to provide prime brokerage services related to the Fund’s short selling. On September 15, 2008, LBIE was placed into administration and a third party administrator was named (the “Administrator”). The Fund’s exposure to LBIE consists of short sale proceeds held by LBIE, and restricted long positions held at the Fund’s custodian, as collateral for said short sales. Release of the collateral requires the consent of LBIE and Lehman Brothers Inc. (“LBI”), an entity that is subject to a liquidation proceeding. The Fund delivered a Notice of Termination of Loans to LBIE and the Administrator. The Fund has worked to resolve these issues with LBIE and the Administrator. As of March 28, 2013, included in the Statement of Assets and Liabilities are the value of restricted long positions of $9,386,647, cash collateral of $1,332,130, restricted cash representing the value of short sale proceeds of $4,163,708 and liabilities for short sales of $7,341,377, representing the value of securities sold short at the date the short sales were deemed by the Fund to have been terminated. If these short sales had not been terminated, the value of the liability related to these securities sold short would have been $8,462,186 as of March 28, 2013 resulting in a decrease in net assets of $1,120,809 or (10.2)%. Until such time as the liability for short sales is settled and all restrictions are removed by LBIE and LBI, the Fund cannot sell such restricted long positions and/or utilize the restricted cash balances to achieve the Fund’s investment objectives and/or meet Fund redemption or other Fund obligations. Based on the ultimate terms of such settlement, the value assigned to these positions may ultimately differ from the fair valuations assigned to them by the Fund and there is no guaranty that the Fund will ultimately recover the full value of the assets that are subject to restrictions. Accordingly, a settlement could ultimately result in the Fund realizing values that are materially different from those indicated herein, which would materially impact the Fund’s net asset value. As of the close of business on October 3, 2008, and until further notice, the Fund is not accepting subscriptions for shares from either new or existing shareholders.

Effective as of August 1, 2011, Security Investors, LLC has agreed to purchase shares of the Fund from time to time to provide the Fund with liquidity if needed to meet redemptions. The intent of the agreement is to provide liquidity to the Fund in the event that shareholders seek to redeem shares of the Fund at a time that there are not sufficient unrestricted assets.

12. Other Liabilities

Mid Cap Value Fund, Mid Cap Value Institutional Fund and Large Cap Core Fund each wrote put option contracts through Lehman Brothers Inc., (“Lehman”) that were exercised prior to the option contracts’ expiration and prior to the bankruptcy filing by Lehman, during September, 2008. However, these transactions have not settled and the securities have not been delivered to the Funds as of March 28, 2013.

Although the ultimate resolution of these transactions is uncertain, the Funds have recorded a liability on their respective books equaI to the difference between the strike price on the put options and the market price of the underlying security on the exercise date. The amount of the liability recorded by the Funds as of March 28, 2013 was $473,594 for Mid Cap Value Fund, $15,940 for Mid Cap Value Institutional Fund, and $18,615 for Large Cap Core Fund.

the GUGGENHEIM FUNDS semi-annual report | 81

NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)

13. New Accounting Pronouncement

In January 2013, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) No. 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, which limits the scope of the new balance sheet offsetting disclosures to derivatives, repurchase agreements and securities lending. The new disclosure is effective for Funds whose annual or interim periods begin on or after January 1, 2013. Management is evaluating the impact of this update on its current disclosures.

In April 2013, the FASB issued ASU No. 2013-07, Liquidation Basis of Accounting, to require entities to begin preparing financial statements on a liquidation basis when liquidation is imminent. The guidance is effective prospectively for reporting periods beginning after December 15, 2013. As regulated investment companies fall outside of the scope of this requirement, management has decided on early adoption of this guidance, and as such, will not apply liquidation accounting on any fund liquidations.

14. Subsequent Events

Large Cap Core Fund Name and Strategy Change

At a meeting held on April 24, 2013, the Board of Directors of the Fund approved the following changes with respect to the Large Cap Core Fund, each effective on April 30, 2013:

•

a change to the Fund��s name to Guggenheim StylePlus Large Core Fund;

•

changes to the Fund’s principal investment strategies, including the removal of the Funds non-fundamental 80% policy adopted pursuant to Rule 35d-1 under the Investment Company Act of 1940;

•

replacement of the Fund’s portfolio managers with a new portfolio management team; and

•

removal of the non-fundamental policies relating to options and short sales.

The changes to the Fund discussed above became effective on April 30, 2013. For more information, please refer to the Fund’s prospectus.

Large Cap Concentrated Growth Fund and Small Cap Growth Fund Liquidations

At a meeting held on April 24, 2013, shareholders of the Small Cap Growth Fund and the Large Cap Concentrated Growth Fund (the Funds) approved a Plan of Liquidation. On May 1, 2013, all of the assets of the each Fund were liquidated completely, each investor’s shares were then redeemed at net asset value on that date, and each Fund was terminated. GI bore all expenses incurred in connection with the carrying out of the Plans of Liquidation.

82 | the GUGGENHEIM FUNDS semi-annual report

OTHER INFORMATION (Unaudited)

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 1.800.820.0888. This information is also available from the EDGAR database on the SEC’s website at http://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 1.800.820.0888. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov.

At a special meeting of shareholders held on April 24, 2013, the shareholders of the Small Cap Growth Fund voted on whether to approve a Plan of Liquidation. A description of the number of shares voted is as follows:

Shares For		Shares Against				Shares Abstained
473,792			9,373				11,465

At a special meeting of shareholders held on April 24, 2013, the shareholders of the Large Cap Concentrated Growth Fund voted on whether to approve a Plan of Liquidation. A description of the number of shares voted is as follows:

Shares For		Shares Against				Shares Abstained
1,391,897			40,653				21,823

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 on Form N-Q; which are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 1.800.820.0888.

Office Locations

The offices of Guggenheim Investments can be found in the following locations:

40 East 52nd Street

16th Floor

New York, NY 10022

(Headquarters)

Four Irvington Centre

805 King Farm Boulevard

Suite 600

Rockville, MD 20850

9401 Indian Creek Parkway

40 Corporate Woods

Suite 850

Overland Park, KS 66210

Distributor Name Change

Effective January 1, 2013, Rydex Distributors, LLC changed its name to Guggenheim Distributors, LLC. The name change marks another step in the business integration process following the acquisition of Rydex by Guggenheim announced last year. The name change should not result in any material change to the day-to-day management or operations of the funds.

the GUGGENHEIM FUNDS semi-annual report | 83

INFORMATION ON BOARD OF DIRECTORS AND OFFICERS (Unaudited)

DIRECTORS

The business address of each director is One Security Benefit Place, Topeka, KS 66636-0001

Name
(Date of Birth)			Principal Occupations
Year Elected***			During Past Five Years

Donald A. Chubb, Jr.**

(12-14-46)

1994

Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. Realtors

Harry W. Craig, Jr.**

(05-11-39)

2004

Current: Chairman, CEO, & Director, The Craig Group, Inc.; Managing Member of Craig Family Investments, LLC.

Previous: Prior to November 2009, Chairman, CEO, Secretary and Director, The Martin Tractor Company, Inc.

Jerry B. Farley**	Current: President, Washburn University
(09-20-46)
2005

Penny A. Lumpkin** (08-20-39) 1993	Current: Partner, Vivian’s Gift Shop (Corporate Retail); Vice President, Palmer Companies, Inc. (Small Business and Shopping Center Development); PLB (Real Estate Equipment Leasing)

Maynard F. Oliverius**	Current: President and Chief Executive Officer, Stormont-Vail HealthCare
(12-18-43)
1998

Donald C. Cacciapaglia*

(07-01-51)

2012 (President)

Current: Guggenheim Investments: President and Chief Administrative Officer from February 2010 to present

Previous: Channel Capital Group, Inc.; Chairman and CEO from April 2002 to February 2010

This Director is deemed to be an “interested person” of the Funds under the 1940 Act, as amended, by reason of his position with the Funds’ Investment Manager and/or the parent of the Investment Manager. This Director is also an officer of the funds.

These Directors serve on the Fund’s joint audit committee, the purpose of which is to meet with the independent registered public accounting firm, to review the work of the independent registered public accounting firm, and to oversee the handling by Security Investors of the accounting and financial reporting functions for the Funds.

***

Each Director oversees 31 Security Funds portfolios and serves until the next annual meeting, or until a successor has been duly elected and qualified.

84 | the GUGGENHEIM FUNDS semi-annual report

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

OFFICERS*

The business address of each officer is One Security Benefit Place, Topeka, KS 66636-0001

Name
(Date of Birth)			Principal Occupations
Title – Year Elected			During Past Five Years

Mark P. Bronzo	Current: Portfolio Manager, Security Investors, LLC
(11-01-60)
Vice President - 2008	Previous: Managing Director and Chief Compliance Officer, Nationwide Separate Accounts LLC (2003–2008)

Elisabeth Miller (06-06-68) Chief Compliance Officer - 2012	Current: Chief Compliance Officer, Rydex Series Funds, Rydex ETF Trust, Rydex Dynamic Funds, and Rydex Variable Trust; Chief Compliance Officer, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, Security Mid Cap Growth Fund, and SBL Fund; Chief Compliance Officer, Security Investors, LLC; and Chief Compliance Officer, Rydex Distributors, LLC

	Previous: Senior Manager, Security Investors, LLC and Rydex Distributors, LLC (2004–2009)

Nikolaos Bonos (05-30-63) Treasurer - 2010	Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer & Manager, Rydex Specialized Products, LLC; Chief Executive Officer & President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Vice President & Treasurer, Rydex Series Funds; Rydex ETF Trust; Rydex Dynamic Funds; and Rydex Variable Trust; and Vice President, Security Benefit Asset Management Holdings, LLC

	Previous: Senior Vice President, Security Global Investors, LLC (2010–2011); and Senior Vice President, Rydex Advisors, LLC and Rydex Advisors II, LLC

Joseph M. Arruda (09-05-66) Assistant Treasurer - 2010	Current: Vice President, Security Investors, LLC; Chief Financial Officer & Manager, Rydex Specialized Products, LLC; and Assistant Treasurer, Rydex Series Funds, Rydex Dynamic Funds, Rydex ETF Trust and Rydex Variable Trust

	Previous: Vice President, Security Global Investors, LLC (2010–2011); and Vice President, Rydex Advisors, LLC and Rydex Advisors II, LLC (2010)

Amy J. Lee (06-05-61) Vice President - 2007 Secretary - 1987	Current: Senior Vice President & Secretary, Security Investors, LLC; Secretary & Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel & Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President & Assistant Secretary, Rydex Series Funds, Rydex ETF Trust, Rydex Dynamic Funds, and Rydex Variable Trust; Vice President & Secretary, Rydex Holdings, LLC Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; and Assistant Secretary, Security Benefit Clinic and Hospital

	Previous: Senior Vice President & Secretary, Security Global Investors, LLC (2007–2011); Senior Vice President & Secretary, Rydex Advisors, LLC and Rydex Advisors II, LLC (2010); and Director, Brecek & Young Advisors, Inc. (2004–2008)

Mark A. Mitchell	Current: Portfolio Manager, Security Investors, LLC
(08-24-64)
Vice President - 2003	Previous: Vice President and Portfolio Manager, Security Benefit Life Insurance Company (2003–2010)

Joseph C. O’Connor	Current: Portfolio Manager, Security Investors, LLC
(07-15-60)
Vice President - 2008	Previous: Managing Director, Nationwide Separate Accounts LLC (2003–2008)

Daniel W. Portanova	Current: Portfolio Manager, Security Investors, LLC
(10-02-60)
Vice President - 2008	Previous: Managing Director, Nationwide Separate Accounts LLC (2003–2008)

James P. Schier	Current: Senior Portfolio Manager, Security Investors, LLC
(12-28-57)
Vice President - 1998	Previous: Vice President and Senior Portfolio Manager, Security Benefit Life Insurance Company (1998–2010)

David G. Toussaint	Current: Portfolio Manager, Security Investors, LLC
(10-10-66)
Vice President - 2005	Previous: Assistant Vice President and Portfolio Manager, Security Benefit Life Insurance Company (2005–2009)

* Officers serve until the next annual meeting or until a successor has been duly elected and qualified.

the GUGGENHEIM FUNDS semi-annual report | 85

GUGGENHEIM INVESTMENTS PRIVACY POLICIES

Rydex Funds, Guggenheim Funds, Rydex Investments, Guggenheim Distributors, LLC, Security Investors, LLC, Security Distributors, Inc. and Rydex Advisory Services (Collectively “Guggenheim Investments”).

Our Commitment to You

When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone—whether it is your personal information or if you are a current or former Guggenheim Investments client.

The Information We Collect About You

In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Investments funds or one of the Guggenheim Investments affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).

How We Handle Your Personal Information

As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new Rydex and Guggenheim Investments funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned 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. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, 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 permitted by law.

Opt Out Provisions

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

How We Protect Privacy Online

Our concern for the privacy of our shareholders also extends to those who use our web site, guggenheiminvestments.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Guggenheim Investments web site offers customized features that require our use of “http cookies”—tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only 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 email 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.

86 | the GUGGENHEIM FUNDS semi-annual report

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (concluded)

How We Safeguard Your Personal Information

We restrict access to nonpublic personal information about shareholders 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’ll Keep You Informed

As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.

the GUGGENHEIM FUNDS semi-annual report | 87

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Item 2. Code of Ethics.

Not required at this time.

Item 3. Audit Committee Financial Expert.

Not required at this time.

Item 4. Principal Accountant Fees and Services.

Not required at this time.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

The Schedule of Investments is included under Item 1 of this form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Mangers of Closed-end Management Investment Companies

Not applicable

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board.

There have been no changes to the procedures by which shareholders may recommend nominees to the registrant’s board.

Item 11. Controls and Procedures.

(a)

The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded 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 timely.

(b)

The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(2)

Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.

(b)

A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Security Equity Fund

By (Signature and Title)* /s/ Donald C. Cacciapaglia

Donald C. Cacciapaglia, President

Date June 5, 2013

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/ Donald C. Cacciapaglia

Donald C. Cacciapaglia, President

Date June 5, 2013

By (Signature and Title)* /s/ Nikolaos Bonos

Nikolaos Bonos, Treasurer

Date June 5, 2013

^* Print the name and title of each signing officer under his or her signature.

Guggenheim Macro Opportunities Fund (GIOAX) N-CSRSCertified semi-annual shareholder report (management investment company)