Guggenheim Alpha Opportunity Fund Class C (SAOCX) N-CSRS 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)

ONE SECURITY BENEFIT PLACE, TOPEKA, KANSAS 66636-0001

(Address of principal executive offices) (Zip code)

DONALD C. CACCIAPAGLIA, PRESIDENT

SECURITY EQUITY FUND

ONE SECURITY BENEFIT PLACE

TOPEKA, KANSAS 66636-0001

(Name and address of agent for service)

Registrant’s telephone number, including area code: (785) 438-3000

Date of fiscal year end: September 30

Date of reporting period: March 31, 2012

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.

MARCH 31, 2012

GUGGENHEIM FUNDS

SEMI-ANNUAL REPORT

FUNDAMENTAL ALPHA

LARGE CAP CORE FUND

ALL CAP VALUE 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

GO GREEN!

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This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.

Distributed by Rydex Distributors, LLC.

TABLE OF CONTENTS

LETTER TO OUR SHAREHOLDERS	2
ABOUT SHAREHOLDERS’ FUND EXPENSES	4
LARGE CAP CORE FUND	7
ALL CAP VALUE FUND	14
MID CAP VALUE FUND	21
MID CAP VALUE INSTITUTIONAL FUND	28
SMALL CAP GROWTH FUND	34
SMALL CAP VALUE FUND	41
LARGE CAP CONCENTRATED GROWTH FUND	48
MSCI EAFE EQUAL WEIGHT FUND	54
ALPHA OPPORTUNITY FUND	68
NOTES TO FINANCIAL STATEMENTS	78
OTHER INFORMATION	90
INFORMATION ON BOARD OF DIRECTORS AND OFFICERS	92
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	95

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  1

LETTER TO OUR SHAREHOLDERS

Dear Shareholders:

A restructuring of Greece’s massive debt, continued accommodation by the world’s major central banks and better news on the U.S. economy helped support financial markets over the six months ended March 31, 2012. Market optimism peaked in early 2012, when several major equity indices pushed to the highest levels in four years or more. But the mood grew more cautious late in the period after the Federal Reserve (the “Fed”) expressed views that continued weakness in housing and employment may pose a risk to the strength of the recovery.

U.S. equities began the period rebounding from the loss of the U.S. AAA credit rating in August. But after touching the low for 2011 in early October, improving U.S. economic data and European Central Bank’s injections of three-year loans into the continent’s banking system helped markets make up lost ground, which carried over into a strong first quarter of 2012.

Among the upbeat U.S. economic reports in recent months: more than 600,000 jobs have been added since the beginning of 2012; house prices have fallen enough to start to spur demand, lifting sales and new construction; and the U.S. GDP expanded at an annual rate of 3% in the fourth quarter of 2011, its strongest rate in a year and a half. Consumer confidence climbed in March to its highest level in a year.

While acknowledging the good news, the Fed warned that policymakers cannot be sure the recent pace of improvement will be sustained unless growth picks up. To foster growth, the Fed has said it will leave its key interest rate close to zero at least through 2014, despite arguments by some Fed officials and investors that the Fed may have to consider raising rates much earlier than that to prevent inflation. For now, the Fed’s leadership appears to be committed to keeping rates low, thus reducing borrowing costs for businesses and consumers. Consumer spending remains sluggish, and lackluster forecasts for first-quarter corporate profits were a reminder that the economic recovery remains fragile.

The world’s leading central bankers have continued to take steps to recharge the global economy. Greece’s debt restructuring enabled a new international bailout, while an injection of liquidity from the European Central Bank lessened financial stresses across the continent and contributed to improvement in global financial markets. However, March manufacturing gauges indicated that the eurozone has entered a period of economic contraction, meaning that policy makers may need to do more to revive economic growth across the region. The Bank of England and the Bank of Japan have also increased asset-buying programs. In China, recent strong factory data eased fears that a hard landing could wreak havoc on the global economy. The country cut its annual growth target to 7.5%, as its policymakers are trying to shift the country away from investment and exports and to greater domestic consumption.

Improvement in the U.S. economy is luring investors from ultra-safe, but often low-yielding assets. Falling U.S. Treasury bond prices, for example, boosted yields from a 70-year low last fall to a recent range of around 2% for the 10-year note. After outperforming equities for much of the past decade, and drawing heavy asset flows, many analysts are cautious about certain fixed-income sectors, particularly government debt, as the economy improves and the potential grows for a rise in interest rates. Investment-grade and higher-yielding corporates, however, are expected to continue to outperform.

Likewise, commodities, which had been slumping since mid-2011 due to slowing economic activity and the European debt crisis, rebounded in early 2012 on stronger macroeconomic data, with the price of a barrel of oil surging from last October’s $77 to a peak of $113 in late February. Investors also have been shifting out of gold to assets with greater return potential; after peaking at nearly $2,000 last summer, the price per ounce has fallen back to around $1,600.

2  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

LETTER TO OUR SHAREHOLDERS (concluded)

The U.S. economy seems to be decoupling from slowing growth in the rest of the world and from ongoing uncertainty in the European debt crisis, as well as the domestic debate over tax and spending policy. In this resiliency, we see potential in U.S. investments, including equities, high yield bonds, bank loans and other risk assets. It appears that the U.S. may have entered a period of self-sustaining, if modest, economic expansion, driven primarily by the aggressive monetary policy of the Fed and reinforced by the ECB, and is increasingly becoming the economic locomotive of the global economy.

We look forward to continuing our service to you. Thank you for investing in our funds.

Sincerely,

Donald C. Cacciapaglia

President, Guggenheim Funds

Performance displayed represents past performance which is no guarantee of future results. Of course, fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call us at 800.820.0888 or visit www.rydex-sgi.com.

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 www.rydex-sgi.com or call 800.820.0888.

The referenced funds are distributed by Rydex Distributors, LLC. Guggenheim Investments represents the investment management business of Guggenheim Partners, LLC, which includes Security Investors, LLC, the investment advisor to the referenced funds. Rydex Distributors, LLC is affiliated with Guggenheim Partners, LLC and Security Investors, LLC.

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, 2011 and ending March 31, 2012.

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 (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about 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)

	Expense Ratio1			Fund Return			Beginning Account Value September 30, 2011		Ending Account Value March 31, 2012		Expenses Paid  During Period2
Table 1. Based on actual Fund return3
Large Cap Core Fund
A-Class		1.39	%		27.19	%	$	1,000.00	$	1,271.90	$	7.89
B-Class		2.37	%		26.52	%		1,000.00		1,265.20		13.42
C-Class		2.19	%		26.67	%		1,000.00		1,266.70		12.41
Institutional Class4		1.59	%		2.35	%		1,000.00		1,023.50		1.32
All Cap Value Fund
A-Class		1.27	%		26.04	%		1,000.00		1,260.40		7.18
C-Class		2.02	%		25.48	%		1,000.00		1,254.80		11.39
Institutional Class		1.02	%		26.15	%		1,000.00		1,261.50		5.77
Mid Cap Value Fund
A-Class		1.44	%		24.99	%		1,000.00		1,249.90		8.10
B-Class		2.24	%		24.48	%		1,000.00		1,244.80		12.57
C-Class		2.18	%		24.57	%		1,000.00		1,245.70		12.24
Mid Cap Value Institutional Fund		0.90	%		25.18	%		1,000.00		1,251.80		5.07
Small Cap Growth Fund
A-Class		2.23	%		32.33	%		1,000.00		1,323.30		12.95
B-Class		3.38	%		31.58	%		1,000.00		1,315.80		19.57
C-Class		2.97	%		31.84	%		1,000.00		1,318.40		17.21
Institutional Class4		2.36	%		0.51	%		1,000.00		1,005.10		1.94
Small Cap Value Fund
A-Class		1.30	%		34.12	%		1,000.00		1,341.20		7.61
C-Class		2.05	%		33.69	%		1,000.00		1,336.90		11.98
Institutional Class		1.05	%		34.34	%		1,000.00		1,343.40		6.15
Large Cap Concentrated Growth Fund
A-Class		1.35	%		27.84	%		1,000.00		1,278.40		7.69
B-Class		2.10	%		27.53	%		1,000.00		1,275.30		11.95
C-Class		2.10	%		27.56	%		1,000.00		1,275.60		11.95
Institutional Class4		1.09	%		2.94	%		1,000.00		1,029.40		0.91
MSCI EAFE Equal Weight Fund
A-Class		1.61	%		13.05	%		1,000.00		1,130.50		8.58
B-Class5		1.36	%		13.21	%		1,000.00		1,132.10		7.25
C-Class		2.36	%		12.73	%		1,000.00		1,127.30		12.55
Institutional Class		1.34	%		12.39	%		1,000.00		1,123.90		7.12
Alpha Opportunity Fund6
A-Class		2.22	%		32.28	%		1,000.00		1,322.80		12.89
B-Class		2.96	%		31.75	%		1,000.00		1,317.50		17.15
C-Class		2.97	%		31.75	%		1,000.00		1,317.50		17.21
Institutional Class		1.97	%		32.45	%		1,000.00		1,324.50		11.45

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

	Expense Ratio1			Fund Return			Beginning Account Value September 30, 2011		Ending Account Value March 31, 2012		Expenses Paid  During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Large Cap Core Fund
A-Class		1.39	%		5.00	%	$	1,000.00	$	1,018.05	$	7.01
B-Class		2.37	%		5.00	%		1,000.00		1,013.15		11.93
C-Class		2.19	%		5.00	%		1,000.00		1,014.05		11.03
Institutional Class4		1.59	%		5.00	%		1,000.00		1,017.05		8.02
All Cap Value Fund
A-Class		1.27	%		5.00	%		1,000.00		1,018.65		6.41
C-Class		2.02	%		5.00	%		1,000.00		1,014.90		10.18
Institutional Class		1.02	%		5.00	%		1,000.00		1,019.90		5.15
Mid Cap Value Fund
A-Class		1.44	%		5.00	%		1,000.00		1,017.80		7.26
B-Class		2.24	%		5.00	%		1,000.00		1,013.80		11.28
C-Class		2.18	%		5.00	%		1,000.00		1,014.10		10.98
Mid Cap Value Institutional Fund		0.90	%		5.00	%		1,000.00		1,020.50		4.55
Small Cap Growth Fund
A-Class		2.23	%		5.00	%		1,000.00		1,013.85		11.23
B-Class		3.38	%		5.00	%		1,000.00		1,008.10		16.97
C-Class		2.97	%		5.00	%		1,000.00		1,010.15		14.93
Institutional Class4		2.36	%		5.00	%		1,000.00		1,013.20		11.88
Small Cap Value Fund
A-Class		1.30	%		5.00	%		1,000.00		1,018.50		6.56
C-Class		2.05	%		5.00	%		1,000.00		1,014.75		10.33
Institutional Class		1.05	%		5.00	%		1,000.00		1,019.75		5.30
Large Cap Concentrated Growth Fund
A-Class		1.35	%		5.00	%		1,000.00		1,018.25		6.81
B-Class		2.10	%		5.00	%		1,000.00		1,014.50		10.58
C-Class		2.10	%		5.00	%		1,000.00		1,014.50		10.58
Institutional Class4		1.09	%		5.00	%		1,000.00		1,019.55		5.50
MSCI EAFE Equal Weight Fund
A-Class		1.61	%		5.00	%		1,000.00		1,016.95		8.12
B-Class5		1.36	%		5.00	%		1,000.00		1,018.20		6.86
C-Class		2.36	%		5.00	%		1,000.00		1,013.20		11.88
Institutional Class		1.34	%		5.00	%		1,000.00		1,018.30		6.76
Alpha Opportunity Fund6
A-Class		2.22	%		5.00	%		1,000.00		1,013.90		11.18
B-Class		2.96	%		5.00	%		1,000.00		1,010.20		14.88
C-Class		2.97	%		5.00	%		1,000.00		1,010.15		14.93
Institutional Class		1.97	%		5.00	%		1,000.00		1,015.15		9.92

¹  Annualized.

²  Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

³  Actual cumulative return at net asset value for the period September 30, 2011 to March 31, 2012.

⁴  Since the commencement of operations: March 1, 2012. Due to the limited length of Class operations, current expense ratios may not be indicative of future expense ratios. Expenses paid based on actual fund return are calculated using 30 days from the commencement of operations. Expenses paid based on the hypothetical 5% return are calculated using 183 days.

⁵  B-Class shares did not charge 12b-1 fees during the period.

⁶  This ratio represents annualized net expenses, which includes interest and dividend expense related to securities sold short. Excluding short dividend and prime broker interest expense, the operating expense ratio would be 0.11%, 0.10%, 0.11%, and 0.11% lower for the A-Class, B-Class, C-Class, and Institutional Class, respectively.

6  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited) March 31, 2012

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)

Wells Fargo & Co.	3.3	%
CVS Caremark Corp.	3.2	%
Apple, Inc.	3.1	%
Covidien plc	2.7	%
Exxon Mobil Corp.	2.3	%
Microsoft Corp.	2.2	%
Google, Inc. — Class A	2.2	%
Broadcom Corp. — Class A	2.0	%
Anadarko Petroleum Corp.	1.9	%
Caterpillar, Inc.	1.8	%
Top Ten Total	24.7	%

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  7

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2012
LARGE CAP CORE FUND

	SHARES		VALUE
COMMON STOCKS†—94.7%
Information Technology—21.0%
Apple, Inc.*		10,315	$	6,183,532
Microsoft Corp.		136,300		4,395,675
Google, Inc. — Class A*		6,745		4,325,164
Broadcom Corp. — Class A*		97,800		3,843,540
Autodesk, Inc.*		84,790		3,588,313
EMC Corp.*		117,100		3,498,948
Nuance Communications, Inc.*		124,900		3,194,942
Western Union Co.		155,900		2,743,840
TE Connectivity Ltd.		66,700		2,451,225
Computer Sciences Corp.		70,200		2,101,788
Cisco Systems, Inc.		86,900		1,837,935
Hewlett-Packard Co.		63,816		1,520,735
Visa, Inc. — Class A		12,100		1,427,800
Total Information Technology				41,113,437
Consumer Discretionary—14.6%
Chipotle Mexican Grill, Inc. — Class A*		8,235		3,442,229
Home Depot, Inc.		68,400		3,441,204
Yum! Brands, Inc.		47,950		3,413,081
TJX Companies, Inc.		85,770		3,405,927
Walt Disney Co.		75,400		3,301,012
Comcast Corp. — Class A		105,600		3,169,056
Las Vegas Sands Corp.		54,750		3,151,958
Lowe’s Companies, Inc.		72,000		2,259,360
Time Warner, Inc.		59,566		2,248,617
DeVry, Inc.		24,100		816,267
Total Consumer Discretionary				28,648,711
Industrials—14.3%
Caterpillar, Inc.		33,700		3,589,724
Cooper Industries plc		51,500		3,293,425
Precision Castparts Corp.		18,420		3,184,817
United Parcel Service, Inc. — Class B		39,140		3,159,381
Honeywell International, Inc.		51,390		3,137,360
Equifax, Inc.		59,300		2,624,618
URS Corp.		45,900		1,951,668
Republic Services, Inc. — Class A		61,700		1,885,552
United Technologies Corp.		21,000		1,741,740
GeoEye, Inc.*		63,411		1,526,303
Quanta Services, Inc.*		52,200		1,090,980
Parker Hannifin Corp.		11,100		938,505
Total Industrials				28,124,073
Energy—12.4%
Exxon Mobil Corp.		52,900		4,588,017
Anadarko Petroleum Corp.		47,400		3,713,315
National Oilwell Varco, Inc.		40,100		3,186,747
Chevron Corp.		28,940		3,103,526
Williams Companies, Inc.		76,100		2,344,641
McDermott International, Inc.*		163,590		2,095,588
Apache Corp.		17,665		1,774,273
Halliburton Co.		39,400		1,307,686

	SHARES		VALUE
ConocoPhillips		14,400	$	1,094,544
Chesapeake Energy Corp.		35,400		820,218
WPX Energy, Inc.*		25,366		456,842
Total Energy				24,485,397
Financials—12.2%
Wells Fargo & Co.		190,878		6,516,574
Aon plc		58,700		2,879,822
U.S. Bancorp		83,626		2,649,272
MetLife, Inc.		64,410		2,405,714
Berkshire Hathaway, Inc. — Class A*		16		1,950,399
JPMorgan Chase & Co.		41,770		1,920,585
Allstate Corp.		49,800		1,639,416
BB&T Corp.		51,212		1,607,545
State Street Corp.		27,900		1,269,450
Progressive Corp.		53,000		1,228,540
Total Financials				24,067,317
Health Care—7.5%
Covidien plc		98,650		5,394,181
Aetna, Inc.		68,300		3,425,928
Mylan, Inc.*		136,850		3,209,133
UnitedHealth Group, Inc.		20,700		1,220,058
Forest Laboratories, Inc.*		33,800		1,172,522
Medco Health Solutions, Inc.*		4,275		300,533
Total Health Care				14,722,355
Consumer Staples—7.3%
CVS Caremark Corp.		139,350		6,242,880
Estee Lauder Companies, Inc. — Class A		54,470		3,373,872
Wal-Mart Stores, Inc.		27,700		1,695,240
Kraft Foods, Inc. — Class A		43,100		1,638,231
Bunge Ltd.		14,900		1,019,756
Costco Wholesale Corp.		5,200		472,160
Total Consumer Staples				14,442,139
Materials—3.7%
EI du Pont de Nemours & Co.		60,200		3,184,580
Dow Chemical Co.		59,300		2,054,152
CF Industries Holdings, Inc.		11,130		2,032,895
Total Materials				7,271,627
Utilities—1.3%
Edison International		61,800		2,627,118
Telecommunication Services—0.4%
Windstream Corp.		75,500		884,105
Total Common Stocks (Cost $158,965,988)				186,386,279

8  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2012
LARGE CAP CORE FUND

	SHARES		VALUE
EXCHANGE TRADED FUNDS† — 1.1%
iShares Russell 1000 Value Index Fund		29,500	$	2,067,065
Total Exchange Traded Funds (Cost $1,774,275)				2,067,065
Total Investments—95.8% (Cost $160,740,263)			$	188,453,344
Other Assets & Liabilities, net—4.2%				8,243,288
Total Net Assets—100.0%			$	196,696,632

* Non-income producing security.

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

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 31, 2012

ASSETS:
Investments, at value (cost $160,740,263)	$	188,453,344
Cash		6,765,877
Prepaid expenses		42,031
Receivables:
Securities sold		3,940,726
Dividends		174,789
Fund shares sold		12,770
Total assets		199,389,537
LIABILITIES:
Payable for:
Securities purchased		2,315,841
Management fees		123,645
Fund shares redeemed		101,189
Distribution and service fees		45,892
Transfer agent/maintenance fees		30,775
Fund accounting/administration fees		15,662
Miscellaneous		59,901
Total liabilities		2,692,905
NET ASSETS	$	196,696,632
NET ASSETS CONSIST OF:
Paid in capital	$	184,486,643
Accumulated net investment loss		(12,848	)
Accumulated net realized loss on investments		(15,490,244	)
Net unrealized appreciation on investments		27,713,081
Net assets	$	196,696,632
A-CLASS:
Net assets	$	189,292,563
Capital shares outstanding		8,874,585
Net asset value per share	$	21.33
Maximum offering price per share (Net asset value divided by 95.25%)	$	22.39
B-CLASS:
Net assets	$	5,523,843
Capital shares outstanding		318,932
Net asset value per share	$	17.32
C-CLASS:
Net assets	$	1,869,992
Capital shares outstanding		99,708
Net asset value per share	$	18.75
INSTITUTIONAL CLASS:
Net assets	$	10,234
Capital shares outstanding		480
Net asset value per share	$	21.32

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2012

INVESTMENT INCOME:
Dividends	$	1,477,160
Interest		324
Total investment income		1,477,484
EXPENSES:
Management fees		686,475
Transfer agent/maintenance fees
A-Class		189,355
B-Class		12,099
C-Class		2,351
Institutional Class		5
Distribution and service fees:
A-Class		219,818
B-Class		27,206
C-Class		8,813
Fund accounting/administration fees		86,952
Directors’ fees*		7,090
Custodian fees		4,777
Miscellaneous		58,206
Total expenses		1,303,147
Net investment income		174,337
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		3,252,382
Options written		21,832
Net realized gain		3,274,214
Net change in unrealized appreciation (depreciation) on:
Investments		39,861,634
Options written		(4,934	)
Net change in unrealized appreciation (depreciation)		39,856,700
Net realized and unrealized gain		43,130,914
Net increase in net assets resulting from operations	$	43,305,251

* 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  31, 2012 (Unaudited)			Year Ended September  30, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	174,337		$	54,220
Net realized gain on investments		3,274,214			15,933,509
Net change in unrealized appreciation (depreciation) on investments		39,856,700			(21,397,112	)
Net increase (decrease) in net assets resulting from operations		43,305,251			(5,409,383	)
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net investment income
A-Class		(200,269	)		(546,823	)
Total distributions to shareholders		(200,269	)		(546,823	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		2,316,519			9,715,889
B-Class		64,695			1,180,154
C-Class		67,172			177,237
Institutional Class1		10,000			—
Distributions reinvested
A-Class		187,681			502,041
Cost of shares redeemed
A-Class		(10,863,212	)		(22,520,161	)
B-Class		(933,237	)		(2,775,354	)
C-Class		(211,113	)		(716,944	)
Institutional Class1		—			—
Net decrease from capital share transactions		(9,361,495	)		(14,437,138	)
Net increase (decrease) in net assets		33,743,487			(20,393,344	)
NET ASSETS:
Beginning of period		162,953,145			183,346,489
End of period	$	196,696,632		$	162,953,145
Accumulated/(Undistributed) net investment income/(loss) at end of period	$	(12,848	)	$	13,084
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class2		120,481			493,303
B-Class2		4,240			73,162
C-Class2		4,085			10,210
Institutional Class1		480			—
Shares issued from reinvestment of distributions
A-Class2		10,200			26,342
Shares redeemed
A-Class2		(559,429	)		(1,144,274	)
B-Class2		(59,461	)		(172,978	)
C-Class2		(12,441	)		(40,853	)
Institutional Class1		—			—
Net decrease in shares		(491,845	)		(755,088	)

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

²  The share activity for 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  |  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

A-Class	Period Ended March  31, 2012a			Year Ended September  30, 2011f			Year Ended September  30, 2010f			Year Ended September  30, 2009f			Year Ended September  30, 2008f			Year Ended September  30, 2007f
Per Share Data
Net asset value, beginning of period	$	16.79		$	17.56		$	16.20		$	17.04		$	27.36		$	27.40
Income (loss) from investment operations:
Net investment incomeb		.02			.01			.04			.04			.04			—	c
Net gain (loss) on investments (realized and unrealized)		4.54			(.74	)		1.32			(.80	)		(6.44	)		2.76
Total from investment operations		4.56			(.73	)		1.36			(.76	)		(6.40	)		2.76
Less distributions from:
Net investment income		(.02	)		(.04	)		—			(.04	)		—			—
Net realized gains		—			—			—			—			(3.88	)		(2.80	)
Return of capital		—			—			—			(.04	)		(.04	)		—
Total distributions		(.02	)		(.04	)		—			(.08	)		(3.92	)		(2.80	)
Net asset value, end of period	$	21.33		$	16.79		$	17.56		$	16.20		$	17.04		$	27.36
Total Returnd		27.19	%		(4.11	%)		8.40	%		(4.32	%)		(26.12	%)		10.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	189,293		$	156,232		$	174,371		$	175,404		$	205,908		$	322,850
Ratios to average net assets:
Net investment income		0.23	%		0.06	%		0.31	%		0.28	%		0.15	%		0.02	%
Total expensesg		1.39	%		1.35	%		1.43	%		1.49	%		1.36	%		1.34	%
Portfolio turnover rate		56	%		92	%		100	%		69	%		111	%		20	%
B-Class	Period Ended March 31, 2012a			Year Ended September  30, 2011f			Year Ended September  30, 2010f			Year Ended September  30, 2009f			Year Ended September  30, 2008f			Year Ended September  30, 2007f
Per Share Data
Net asset value, beginning of period	$	13.69		$	14.40		$	13.36		$	14.12		$	23.56		$	24.16
Income (loss) from investment operations:
Net investment lossb		(.06	)		(.11	)		(.08	)		(.04	)		(.12	)		(.16	)
Net gain (loss) on investments (realized and unrealized)		3.69			(.60	)		1.12			(.68	)		(5.40	)		2.36
Total from investment operations		3.63			(.71	)		1.04			(.72	)		(5.52	)		2.20
Less distributions from:
Net realized gains		—			—			—			—			(3.88	)		(2.80	)
Return of capital		—			—			—			(.04	)		(.04	)		—
Total distributions		—			—			—			(.04	)		(3.92	)		(2.80	)
Net asset value, end of period	$	17.32		$	13.69		$	14.40		$	13.36		$	14.12		$	23.56
Total Returnd		26.52	%		(4.93	%)		7.78	%		(4.96	%)		(26.69	%)		9.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,524		$	5,121		$	6,817		$	7,784		$	10,621		$	19,928
Ratios to average net assets:
Net investment loss		(0.76	%)		(0.70	%)		(0.48	%)		(0.46	%)		(0.61	%)		(0.74	%)
Total expensesg		2.37	%		2.10	%		2.17	%		2.24	%		2.11	%		2.09	%
Portfolio turnover rate		56	%		92	%		100	%		69	%		111	%		20	%

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.

C-Class	Period Ended March  31, 2012a			Year Ended September  30, 2011f			Year Ended September  30, 2010f			Year Ended September  30, 2009f			Year Ended September  30, 2008f			Year Ended September  30, 2007f
Per Share Data
Net asset value, beginning of period	$	14.81		$	15.56		$	14.48		$	15.24		$	25.12		$	25.56
Income (loss) from investment operations:
Net investment lossb		(.05	)		(.12	)		(.08	)		(.04	)		(.12	)		(.20	)
Net gain (loss) on investments (realized and unrealized)		3.99			(.63	)		1.16			(.68	)		(5.84	)		2.56
Total from investment operations		3.94			(.75	)		1.08			(.72	)		(5.96	)		2.36
Less distributions from:
Net realized gains		—			—			—			—			(3.88	)		(2.80	)
Return of capital		—			—			—			(.04	)		(.04	)		—
Total distributions		—			—			—			(.04	)		(3.92	)		(2.80	)
Net asset value, end of period	$	18.75		$	14.81		$	15.56		$	14.48		$	15.24		$	25.12
Total Returnd		26.67	%		(4.82	%)		7.46	%		(4.60	%)		(26.79	%)		9.45	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,870		$	1,600		$	2,158		$	2,244		$	2,915		$	5,048
Ratios to average net assets:
Net investment loss		(0.58	%)		(0.70	%)		(0.44	%)		(0.47	%)		(0.60	%)		(0.73	%)
Total expensesg		2.19	%		2.10	%		2.18	%		2.24	%		2.11	%		2.09	%
Portfolio turnover rate		56	%		92	%		100	%		69	%		111	%		20	%

Institutional Class	Period Ended March  31, 2012a,e
Per Share Data
Net asset value, beginning of period	$	20.84
Income (loss) from investment operations:
Net investment lossb		(—	)c
Net gain on investments (realized and unrealized)		.48
Total from investment operations		.48
Net asset value, end of period	$	21.32
Total Returnd		2.35	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10
Ratios to average net assets:
Net investment loss		(0.08	%)
Total expensesg,h		1.59	%
Portfolio turnover rate		56	%

^a  Unaudited figures for the period ended March 31, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

^c  Net investment income is less than $0.01 per share.

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

^e  Since commencement of operations: March 1, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^f  Per share amounts for years ended September 30, 2007–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.

^g  Does not include expenses of the underlying funds in which the Funds invests.

^h  Due to the limited length of Class operations, current expense ratios may not be indicative of future expense ratios.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  13

FUND PROFILE (Unaudited) March 31, 2012

ALL 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	October 3, 2008
C-Class	October 3, 2008
Institutional Class	October 3, 2008

Ten Largest Holdings (% of Total Net Assets)
Equifax, Inc.	2.6	%
TE Connectivity Ltd.	2.6	%
Western Union Co.	2.5	%
Wells Fargo & Co.	2.3	%
Chevron Corp.	2.3	%
Aon plc	2.1	%
Aetna, Inc.	2.1	%
Lowe’s Companies, Inc.	2.0	%
CVS Caremark Corp.	2.0	%
Berkshire Hathaway, Inc. — Class B	2.0	%
Top Ten Total	22.5	%

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

14  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2012
ALL CAP VALUE FUND

	SHARES		VALUE
COMMON STOCKS†—95.0%
Financials—20.8%
Wells Fargo & Co.		2,390	$	81,595
Aon plc		1,500		73,590
Berkshire Hathaway, Inc. — Class B*		880		71,412
U.S. Bancorp		1,950		61,776
BB&T Corp.		1,650		51,794
Allstate Corp.		1,500		49,380
JPMorgan Chase & Co.		1,010		46,440
Hanover Insurance Group, Inc.		1,094		44,985
American Financial Group, Inc.		1,050		40,509
WR Berkley Corp.		1,066		38,504
Progressive Corp.		1,400		32,452
State Street Corp.		700		31,850
Reinsurance Group of America, Inc. — Class A		419		24,918
Alleghany Corp.*		53		17,442
Employers Holdings, Inc.		719		12,733
Ocwen Financial Corp.*		813		12,708
RenaissanceRe Holdings Ltd.		140		10,602
Fifth Street Finance Corp.		990		9,662
Investors Real Estate Trust		900		6,921
Old National Bancorp		453		5,952
Endurance Specialty Holdings Ltd.		130		5,286
MGIC Investment Corp.*		415		2,058
Total Financials				732,569
Industrials—15.5%
Equifax, Inc.		2,065		91,396
GeoEye, Inc.*		2,527		60,825
Republic Services, Inc. — Class A		1,900		58,064
URS Corp.		1,350		57,402
United Technologies Corp.		590		48,935
Quanta Services, Inc.*		2,010		42,009
Parker Hannifin Corp.		330		27,902
Trex Company, Inc.*		829		26,594
Covanta Holding Corp.		1,510		24,507
Navigant Consulting, Inc.*		1,245		17,317
Aegion Corp. — Class A*		880		15,690
Saia, Inc.*		882		15,003
Orbital Sciences Corp.*		1,095		14,399
FTI Consulting, Inc.*		290		10,881
Atlas Air Worldwide Holdings, Inc.*		175		8,612
United Stationers, Inc.		254		7,882
DryShips, Inc.*		2,120		7,378
ICF International, Inc.*		199		5,049
General Cable Corp.*		110		3,199
Fortune Brands Home & Security, Inc.*		100		2,207
Total Industrials				545,251
Energy—13.9%
Chevron Corp.		760		81,501
Williams Companies, Inc.		1,960		60,388
McDermott International, Inc.*		4,648		59,541
Apache Corp.		570		57,251

	SHARES		VALUE
ConocoPhillips		660	$	50,167
Halliburton Co.		1,069		35,480
Plains Exploration & Production Co.*		600		25,590
Gulfport Energy Corp.*		800		23,296
Chesapeake Energy Corp.		859		19,903
SandRidge Energy, Inc.*		2,234		17,492
Exxon Mobil Corp.		190		16,479
Resolute Energy Corp.*		1,200		13,656
Goodrich Petroleum Corp.*		713		13,561
WPX Energy, Inc.*		653		11,761
USEC, Inc.*		2,005		2,125
Ocean Rig UDW, Inc.*		15		254
Total Energy				488,445
Information Technology—13.1%
TE Connectivity Ltd.		2,450		90,038
Western Union Co.		5,040		88,704
Computer Sciences Corp.		2,243		67,155
Cisco Systems, Inc.		2,600		54,990
IXYS Corp.*		3,814		50,345
Hewlett-Packard Co.		1,880		44,800
Maxwell Technologies, Inc.*		1,679		30,776
Cree, Inc.*		470		14,866
Symmetricom, Inc.*		1,825		10,530
Power-One, Inc.*		2,092		9,519
Tessera Technologies, Inc.*		68		1,173
Total Information Technology				462,896
Consumer Discretionary—9.4%
Lowe’s Companies, Inc.		2,300		72,174
Time Warner, Inc.		1,587		59,909
Cabela’s, Inc.*		1,119		42,690
DeVry, Inc.		750		25,403
Penn National Gaming, Inc.*		570		24,499
Chico’s FAS, Inc.		1,600		24,160
Scholastic Corp.		440		15,523
Maidenform Brands, Inc.*		597		13,438
Apollo Group, Inc. — Class A*		300		11,592
Jack in the Box, Inc.*		480		11,506
Jones Group, Inc.		807		10,136
Brown Shoe Company, Inc.		1,063		9,811
Hanesbrands, Inc.*		300		8,862
Total Consumer Discretionary				329,703
Consumer Staples—7.0%
CVS Caremark Corp.		1,608		72,038
Wal-Mart Stores, Inc.		800		48,960
Kraft Foods, Inc. — Class A		1,260		47,893
Ralcorp Holdings, Inc.*		293		21,708
Bunge Ltd.		295		20,190
JM Smucker Co.		191		15,540
Hormel Foods Corp.		408		12,044
Darling International, Inc.*		340		5,923
Post Holdings, Inc.*		86		2,832
Total Consumer Staples				247,128

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  15

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2012
ALL CAP VALUE FUND

	SHARES		VALUE
Health Care—7.0%
Aetna, Inc.		1,449	$	72,682
Covidien plc		1,038		56,758
UnitedHealth Group, Inc.		570		33,596
Mednax, Inc.*		324		24,096
Forest Laboratories, Inc.*		630		21,855
Community Health Systems, Inc.*		400		8,896
Universal Health Services, Inc. — Class B		210		8,801
Hologic, Inc.*		399		8,598
Medco Health Solutions, Inc.*		93		6,538
Kindred Healthcare, Inc.*		605		5,227
Total Health Care				247,047
Materials—4.7%
Dow Chemical Co.		1,656		57,364
Louisiana-Pacific Corp.*		2,800		26,180
Owens-Illinois, Inc.*		1,070		24,974
Sonoco Products Co.		521		17,297
Bemis Company, Inc.		394		12,722
HB Fuller Co.		352		11,556
Zoltek Companies, Inc.*		794		8,988
Globe Specialty Metals, Inc.		550		8,179
Total Materials				167,260
Utilities—2.9%
Edison International		1,480		62,916
Black Hills Corp.		500		16,765
Great Plains Energy, Inc.		497		10,074
Allete, Inc.		180		7,468
MDU Resources Group, Inc.		273		6,112
Total Utilities				103,335
Telecommunication Services—0.7%
Windstream Corp.		1,982		23,209
Total Common Stocks (Cost $2,828,445)				3,346,843
EXCHANGE TRADED FUNDS†—3.4%
iShares Russell 1000 Value Index Fund		870		60,961
iShares Russell Midcap Value Index Fund		1,200		57,756
Total Exchange Traded Funds (Cost $109,862)				118,717
Total Investments—98.4% (Cost $2,938,307)			$	3,465,560
Other Assets & Liabilities, net—1.6%				56,599
Total Net Assets—100.0%			$	3,522,159

* Non-income producing security.

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

plc — Public Limited Company

16  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

ALL CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2012

ASSETS:
Investments, at value (cost $2,938,307)	$	3,465,560
Prepaid expenses		23,998
Receivables:
Securities sold		135,768
Investment advisor		5,396
Dividends		4,873
Fund shares sold		3,371
Total assets		3,638,966
LIABILITIES:
Overdraft due to custodian bank		57,771
Payable for:
Fund shares redeemed		43,451
Management fees		2,166
Distribution and service fees		1,628
Transfer agent/maintenance fees		713
Fund accounting/administration fees		294
Directors’ fees*		153
Miscellaneous		10,631
Total liabilities		116,807
NET ASSETS	$	3,522,159
NET ASSETS CONSIST OF:
Paid in capital	$	3,003,244
Undistributed net investment income		2,784
Accumulated net realized loss on investments		(11,122	)
Net unrealized appreciation on investments		527,253
Net assets	$	3,522,159
A-CLASS:
Net assets	$	1,537,447
Capital shares outstanding		130,999
Net asset value per share	$	11.74
Maximum offering price per share (Net asset value divided by 95.25%)	$	12.33
C-CLASS:
Net assets	$	1,605,771
Capital shares outstanding		140,118
Net asset value per share	$	11.46
INSTITUTIONAL CLASS:
Net assets	$	378,941
Capital shares outstanding		32,266
Net asset value per share	$	11.74

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

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2012

INVESTMENT INCOME:
Dividends	$	28,377
Interest		6
Total investment income		28,383
EXPENSES:
Management fees		11,685
Transfer agent/maintenance fees
A-Class		2,370
C-Class		1,813
Institutional Class		328
Distribution and service fees:
A-Class		2,134
C-Class		6,419
Fund accounting/administration fees		1,586
Registration fees		18,202
Professional fees		3,150
Custodian fees		3,067
Printing expenses		2,967
Directors’ fees*		160
Miscellaneous		108
Total expenses		53,989
Less:
Expenses waived by Advisor		(28,390	)
Net expenses		25,599
Net investment income		2,784
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		25,093
Options written		2,504
Net realized gain		27,597
Net change in unrealized appreciation (depreciation) on:
Investments		716,569
Options written		(116	)
Net change in unrealized appreciation (depreciation)		716,453
Net realized and unrealized gain		744,050
Net increase in net assets resulting from operations	$	746,834

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  17

ALL CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	2,784		$	2,892
Net realized gain on investments		27,597			186,457
Net change in unrealized appreciation (depreciation) on investments		716,453			(392,697	)
Net increase (decrease) in net assets resulting from operations		746,834			(203,348	)
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net investment income
A-Class		(1,457	)		(2,929	)
Institutional Class		(1,267	)		(1,040	)
Net realized gains
A-Class		(97,073	)		(89,465	)
C-Class		(65,107	)		(51,878	)
Institutional Class		(19,564	)		(18,694	)
Total distributions to shareholders		(184,468	)		(164,006	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		601,052			509,310
C-Class		975,210			500,554
Institutional Class		373,000			23,672
Distributions reinvested
A-Class		98,113			92,394
C-Class		64,307			51,833
Institutional Class		20,830			19,734
Cost of shares redeemed
A-Class		(932,091	)		(547,992	)
C-Class		(686,130	)		(166,421	)
Institutional Class		(372,827	)		(25,872	)
Net increase from capital share transactions		141,464			457,212
Net increase in net assets		703,830			89,858
NET ASSETS:
Beginning of period		2,818,329			2,728,471
End of period	$	3,522,159		$	2,818,329
Undistributed net investment income at end of period	$	2,784		$	2,724
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		52,976			44,039
C-Class		89,297			42,478
Institutional Class		32,266			1,966
Shares issued from reinvestment of distributions
A-Class		9,544			7,993
C-Class		6,392			4,547
Institutional Class		2,026			1,706
Shares redeemed
A-Class		(81,597	)		(46,034	)
C-Class		(61,651	)		(14,749	)
Institutional Class		(32,251	)		(2,076	)
Net increase in shares		17,002			39,870

18  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

ALL 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.

A-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Period Ended September 30, 2009b
Per Share Data
Net asset value, beginning of period	$	9.91		$	11.11		$	10.21		$	10.00
Income (loss) from investment operations:
Net investment incomec		.02			.04			.03			.04
Net gain (loss) on investments (realized and unrealized)		2.47			(.61	)		.89			.17
Total from investment operations		2.49			(.57	)		.92			.21
Less distributions from:
Net investment income		(.01	)		(.02	)		(.02	)		—
Net realized gains		(.65	)		(.61	)		—			—
Total distributions		(.66	)		(.63	)		(.02	)		—
Net asset value, end of period	$	11.74		$	9.91		$	11.11		$	10.21
Total Returnd		26.04	%		(5.93	%)		8.97	%		2.10	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,537		$	1,487		$	1,601		$	1,319
Ratios to average net assets:
Net investment income		0.43	%		0.31	%		0.31	%		0.51	%
Total expensese		2.99	%		2.78	%		3.71	%		6.75	%
Net expensesf		1.27	%		1.27	%		1.29	%		1.35	%
Portfolio turnover rate		17	%		30	%		55	%		17	%
C-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Period Ended September 30, 2009b
Per Share Data
Net asset value, beginning of period	$	9.72		$	10.97		$	10.13		$	10.00
Income (loss) from investment operations:
Net investment lossc		(.02	)		(.05	)		(.04	)		(.02	)
Net gain (loss) on investments (realized and unrealized)		2.41			(.59	)		.88			.15
Total from investment operations		2.39			(.64	)		.84			.13
Less distributions from:
Net realized gains		(.65	)		(.61	)		—			—
Total distributions		(.65	)		(.61	)		—			—
Net asset value, end of period	$	11.46		$	9.72		$	10.97		$	10.13
Total Returnd		25.48	%		(6.65	%)		8.29	%		1.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,606		$	1,031		$	809		$	436
Ratios to average net assets:
Net investment loss		(0.32	%)		(0.42	%)		(0.41	%)		(0.18	%)
Total expensese		3.73	%		3.52	%		4.47	%		8.89	%
Net expensesf		2.02	%		2.02	%		2.04	%		2.10	%
Portfolio turnover rate		17	%		30	%		55	%		17	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  19

ALL 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.

Institutional Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Period Ended September 30, 2009b
Per Share Data
Net asset value, beginning of period	$	9.93		$	11.12		$	10.24		$	10.00
Income (loss) from investment operations:
Net investment incomec		.04			.07			.06			.07
Net gain (loss) on investments (realized and unrealized)		2.46			(.62	)		.88			.17
Total from investment operations		2.50			(.55	)		.94			.24
Less distributions from:
Net investment income		(.04	)		(.03	)		(.06	)		—
Net realized gains		(.65	)		(.61	)		—			—
Total distributions		(.69	)		(.64	)		(.06	)		—
Net asset value, end of period	$	11.74		$	9.93		$	11.12		$	10.24
Total Returnd		26.15	%		(5.72	%)		9.22	%		2.40	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	379		$	300		$	318		$	291
Ratios to average net assets:
Net investment income		0.69	%		0.56	%		0.55	%		0.81	%
Total expensese		2.65	%		2.53	%		3.48	%		8.19	%
Net expensesf		1.02	%		1.02	%		1.05	%		1.10	%
Portfolio turnover rate		17	%		30	%		55	%		17	%

^a  Unaudited figures for the period ended March 31, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b  Since commencement of operations: October 3, 2008. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

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

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

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

20  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

FUND PROFILE (Unaudited) March 31, 2012

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.	3.9	%
Cabela’s, Inc.	3.5	%
Computer Sciences Corp.	2.8	%
WR Berkley Corp.	2.5	%
American Financial Group, Inc.	2.4	%
IXYS Corp.	2.3	%
Owens-Illinois, Inc.	2.3	%
Maxwell Technologies, Inc.	2.2	%
Plains Exploration & Production Co.	2.2	%
Chico’s FAS, Inc.	2.2	%
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 31, 2012
MID CAP VALUE FUND

	SHARES		VALUE
COMMON STOCKS†—97.6%
Financials—20.2%
Hanover Insurance Group, Inc.		1,261,060	$	51,854,788
WR Berkley Corp.		920,160		33,236,179
American Financial Group, Inc.		817,200		31,527,576
Reinsurance Group of America, Inc. — Class A		464,794		27,641,299
Alleghany Corp.*		71,350		23,481,285
Ocwen Financial Corp.*		1,024,654		16,015,342
RenaissanceRe Holdings Ltd.		177,000		13,404,210
MGIC Investment Corp.*		2,559,259		12,693,925
Lexington Realty Trust		1,207,800		10,858,122
Northern Trust Corp.		196,600		9,328,670
Employers Holdings, Inc.		500,300		8,860,313
Endurance Specialty Holdings Ltd.		177,930		7,234,634
Old National Bancorp		506,172		6,651,100
Fifth Street Finance Corp.		670,000		6,539,200
Investors Real Estate Trust		674,800		5,189,212
Redwood Trust, Inc.		300,127		3,361,422
First Marblehead Corp.*		889,247		1,084,881
Total Financials				268,962,158
Industrials—19.3%
Covanta Holding Corp.		1,789,150		29,037,905
GeoEye, Inc.*		1,078,226		25,952,900
Navigant Consulting, Inc.*		1,757,030		24,440,286
Quanta Services, Inc.*		1,087,600		22,730,840
Equifax, Inc.		450,800		19,952,408
Aegion Corp. — Class A*		931,600		16,610,428
URS Corp.		348,300		14,809,716
Orbital Sciences Corp.*		1,019,880		13,411,422
FTI Consulting, Inc.*		328,630		12,330,198
Trex Company, Inc.*		379,900		12,187,192
General Cable Corp.*		416,600		12,114,728
ICF International, Inc.*		437,700		11,104,449
DryShips, Inc.*		2,864,340		9,967,903
Saia, Inc.*		566,140		9,630,041
Babcock & Wilcox Co.*		358,370		9,228,028
Atlas Air Worldwide Holdings, Inc.*		140,944		6,935,854
United Stationers, Inc.		182,902		5,675,449
Fortune Brands Home & Security, Inc.*		121,500		2,681,505
Thermoenergy Corp.*		2,701,839		472,822
Total Industrials				259,274,074
Consumer Discretionary—13.6%
Cabela’s, Inc.*		1,225,353		46,747,216
Chico’s FAS, Inc.		1,936,110		29,235,261
Maidenform Brands, Inc.*		702,560		15,814,626
Scholastic Corp.		386,600		13,639,248
Penn National Gaming, Inc.*		313,770		13,485,835
Brown Shoe Company, Inc.		1,333,525		12,308,436
DeVry, Inc.		323,200		10,946,784
Jack in the Box, Inc.*		443,700		10,635,489
Hanesbrands, Inc.*		333,580		9,853,953
Apollo Group, Inc. — Class A*		236,000		9,119,040

	SHARES		VALUE
Jones Group, Inc.		583,443	$	7,328,044
Smith & Wesson Holding Corp.*		406,606		3,151,197
Total Consumer Discretionary				182,265,129
Information Technology—10.6%
Computer Sciences Corp.		1,274,480		38,157,931
IXYS Corp.*,3		2,360,830		31,162,956
Maxwell Technologies, Inc.*,3		1,635,039		29,970,265
Cree, Inc.*		629,640		19,915,513
Power-One, Inc.*		2,559,259		11,644,628
Symmetricom, Inc.*		1,861,970		10,743,567
Tessera Technologies, Inc.*		62,278		1,074,296
Total Information Technology				142,669,156
Energy—9.9%
Plains Exploration & Production Co.*		701,740		29,929,210
Gulfport Energy Corp.*		787,501		22,932,029
SandRidge Energy, Inc.*		2,907,970		22,769,405
Goodrich Petroleum Corp.*		1,033,889		19,664,569
McDermott International, Inc.*		1,039,223		13,312,447
Resolute Energy Corp.*		1,116,887		12,710,174
Sanchez Energy Corp.*		333,875		7,495,494
USEC, Inc.*		2,743,730		2,908,354
Ocean Rig UDW, Inc.*		20,812		351,723
Total Energy				132,073,405
Materials—8.6%
Owens-Illinois, Inc.*		1,313,740		30,662,691
Louisiana-Pacific Corp.*		1,863,620		17,424,847
HB Fuller Co.		486,504		15,971,926
Sonoco Products Co.		477,780		15,862,296
Bemis Company, Inc.		412,150		13,308,324
Globe Specialty Metals, Inc.		706,910		10,511,752
Zoltek Companies, Inc.*		519,596		5,881,827
Landec Corp.*		899,063		5,870,881
Total Materials				115,494,544
Utilities—5.2%
Great Plains Energy, Inc.		978,117		19,826,432
Black Hills Corp.		504,860		16,927,955
UGI Corp.		373,682		10,182,835
Allete, Inc.		234,600		9,733,554
MDU Resources Group, Inc.		305,768		6,846,145
NorthWestern Corp.		189,600		6,723,216
Total Utilities				70,240,137
Consumer Staples—5.1%
Ralcorp Holdings, Inc.*		317,606		23,531,429
JM Smucker Co.		233,820		19,023,595
Hormel Foods Corp.		518,320		15,300,806
Post Holdings, Inc.*		113,158		3,726,293
Darling International, Inc.*		211,660		3,687,117
Bunge Ltd.		49,790		3,407,628
Total Consumer Staples				68,676,868
Health Care—5.1%
Hologic, Inc.*		737,801		15,899,612
Mednax, Inc.*		180,551		13,427,578

22  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2012
MID CAP VALUE FUND

	SHARES		VALUE
Universal Health Services, Inc. — Class B		261,940	$	10,977,905
Community Health Systems, Inc.*		472,710		10,513,070
Forest Laboratories, Inc.*		301,350		10,453,832
Kindred Healthcare, Inc.*		811,136		7,008,215
Total Health Care				68,280,212
Total Common Stocks (Cost $1,102,720,490)				1,307,935,683
CONVERTIBLE PREFERRED STOCKS††—0.0%
Thermoenergy Corp.1		858,334		438,609
Total Convertible Preferred Stocks (Cost $819,654)				438,609
	FACE AMOUNT
CONVERTIBLE BONDS††—1.1%
Industrials—0.6%
DryShips, Inc. 5.00% due 12/01/14	$	9,425,000		8,011,250
Energy—0.5%
USEC, Inc. 3.00% due 10/01/14		13,600,000		6,732,000
Total Convertible Bonds (Cost $19,979,331)				14,743,250
REPURCHASE AGREEMENT††,2—1.4%
UMB Financial Corp.issued 03/30/12 at 0.03% due 04/02/12		18,872,000		18,872,000
Total Repurchase Agreement (Cost $18,872,000)				18,872,000
Total Investments—100.1% (Cost $1,142,391,475)			$	1,341,989,542
Other Assets & Liabilities, net—(0.1)%				(1,414,054	)
Total Net Assets—100.0%			$	1,340,575,488

^*  Non-income producing security.

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

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

¹  PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.

²  Repurchase Agreement — See Note 5.

³  Affiliated issuers — See Note 9.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  23

MID CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2012

ASSETS:
Investments in unaffiliated issuers, at value (cost $1,084,043,167)	$	1,261,984,321
Investments in affiliated issuers, at value (cost $39,476,308)		61,133,221
Repurchase agreements, at value (cost $18,872,000)		18,872,000
Total investments (cost $1,142,391,475)		1,341,989,542
Prepaid expenses		93,561
Receivables:
Securities sold		1,487,441
Dividends		1,225,786
Fund shares sold		910,500
Interest		361,115
Total assets		1,346,067,945
LIABILITIES:
Payable for:
Fund shares redeemed		2,135,126
Securities purchased		1,362,417
Management fees		894,385
Distribution and service fees		440,033
Fund accounting/administration fees		107,923
Transfer agent/maintenance fees		95,585
Directors’ fees*		16,296
Miscellaneous		440,692
Total liabilities		5,492,457
NET ASSETS	$	1,340,575,488
NET ASSETS CONSISTOF:
Paid in capital	$	1,125,162,819
Accumulated net investment loss		(2,363,085	)
Accumulated net realized gain on investments		18,177,687
Net unrealized appreciation on investments		199,598,067
Net assets	$	1,340,575,488
A-CLASS:
Net assets	$	1,095,291,367
Capital shares outstanding		32,909,010
Net asset value per share	$	33.28
Maximum offering price per share (Net asset value divided by 95.25%)	$	34.94
B-CLASS:
Net assets	$	28,414,322
Capital shares outstanding		1,015,243
Net asset value per share	$	27.99
C-CLASS:
Net assets	$	216,869,799
Capital shares outstanding		7,513,434
Net asset value per share	$	28.86

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

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2012

INVESTMENT INCOME:
Dividends	$	7,000,131
Interest		908,043
Total investment income		7,908,174
EXPENSES:
Management fees		5,153,209
Transfer agent/maintenance fees
A-Class		1,250,925
B-Class		41,468
C-Class		236,767
Distribution and service fees:
A-Class		1,338,976
B-Class		143,996
C-Class		1,037,254
Fund accounting/administration fees		621,022
Directors’ fees*		70,326
Custodian fees		19,023
Miscellaneous		358,293
Total expenses		10,271,259
Net investment loss		(2,363,085	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments in unaffiliated issuers		32,009,471
Investments in affiliated issuers		6,142
Options written		2,464,577
Net realized gain		34,480,190
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		247,629,868
Investments in affiliated issuers		5,386,414
Options written		865,561
Net change in unrealized appreciation (depreciation)		253,881,843
Net realized and unrealized gain		288,362,033
Net increase in net assets resulting from operations	$	285,998,948

24  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

MID CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(2,363,085	)	$	(3,440,508	)
Net realized gain on investments		34,480,190			96,271,687
Net change in unrealized appreciation (depreciation) on investments		253,881,843			(202,094,392	)
Net increase (decrease) in net assets resulting from operations		285,998,948			(109,263,213	)
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net investment income
A-Class		—			(2,703,664	)
Net realized gains
A-Class		(19,357,542	)		—
B-Class		(613,605	)		—
C-Class		(4,226,857	)		—
Total distributions to shareholders		(24,198,004	)		(2,703,664	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		107,814,494			324,475,268
B-Class		193,365			1,151,877
C-Class		10,021,683			50,436,018
Distributions reinvested
A-Class		16,566,220			2,286,331
B-Class		589,906			—
C-Class		3,099,596			—
Cost of shares redeemed
A-Class		(218,185,329	)		(319,562,384	)
B-Class		(6,011,839	)		(13,883,753	)
C-Class		(25,485,638	)		(35,726,724	)
Net increase (decrease) from capital share transactions		(111,397,542	)		9,176,633
Net increase (decrease) in net assets		150,403,402			(102,790,244	)
NET ASSETS:
Beginning of period		1,190,172,086			1,292,962,330
End of period	$	1,340,575,488		$	1,190,172,086
Accumulated net investment loss at end of period	$	(2,363,085	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		3,514,283			9,983,874
B-Class		7,083			41,607
C-Class		374,434			1,764,740
Shares issued from reinvestment of distributions
A-Class		573,426			71,136
B-Class		24,226			—
C-Class		123,441			—
Shares redeemed
A-Class		(7,059,752	)		(9,926,468	)
B-Class		(232,437	)		(506,587	)
C-Class		(953,990	)		(1,274,995	)
Net increase (decrease) in shares		(3,629,286	)		153,307

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  25

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.

A-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Year Ended September 30, 2008			Year Ended September 30, 2007
Per Share Data
Net asset value, beginning of period	$	27.13		$	29.55		$	26.58		$	28.41		$	40.79		$	38.27
Income (loss) from investment operations:
Net investment income (loss)b		(.03	)		(.03	)		.11			.08			.25			.25
Net gain (loss) on investments (realized and unrealized)		6.73			(2.31	)		2.90			.82			(4.77	)		4.59
Total from investment operations		6.70			(2.34	)		3.01			.90			(4.52	)		4.84
Less distributions from:
Net investment income		—			(.08	)		(.04	)		(.14	)		(.14	)		(.23	)
Net realized gains		(.55	)		—			—			(2.59	)		(7.72	)		(2.09	)
Total distributions		(.55	)		(.08	)		(.04	)		(2.73	)		(7.86	)		(2.32	)
Net asset value, end of period	$	33.28		$	27.13		$	29.55		$	26.58		$	28.41		$	40.79
Total Returnc		24.99	%		(7.98	%)		11.32	%		6.90	%		(12.48	%)		12.96	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,095,291		$	973,467		$	1,056,655		$	781,883		$	656,044		$	687,484
Ratios to average net assets:
Net investment income (loss)		(0.23	%)		(0.10	%)		0.38	%		0.40	%		0.79	%		0.61	%
Total expenses		1.44	%		1.32	%		1.37	%		1.48	%		1.37	%		1.32	%
Portfolio turnover rate		7	%		28	%		23	%		31	%		68	%		44	%
B-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Year Ended September 30, 2008			Year Ended September 30, 2007
Per Share Data
Net asset value, beginning of period	$	22.99		$	25.17		$	22.78		$	24.83		$	36.78		$	34.76
Income (loss) from investment operations:
Net investment lossb		(.13	)		(.24	)		(.09	)		(.06	)		(—	)d		(.04	)
Net gain (loss) on investments
(realized and unrealized)		5.68			(1.94	)		2.48			.60			(4.23	)		4.15
Total from investment operations		5.55			(2.18	)		2.39			.54			(4.23	)		4.11
Less distributions from:
Net realized gains		(.55	)		—			—			(2.59	)		(7.72	)		(2.09	)
Total distributions		(.55	)		—			—			(2.59	)		(7.72	)		(2.09	)
Net asset value, end of period	$	27.99		$	22.99		$	25.17		$	22.78		$	24.83		$	36.78
Total Returnc		24.48	%		(8.66	%)		10.49	%		6.17	%		(13.14	%)		12.10	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	28,414		$	27,960		$	42,321		$	58,221		$	66,641		$	106,179
Ratios to average net assets:
Net investment loss		(1.04	%)		(0.86	%)		(0.40	%)		(0.34	%)		(0.01	%)		(0.10	%)
Total expenses		2.24	%		2.07	%		2.12	%		2.23	%		2.12	%		2.07	%
Portfolio turnover rate		7	%		28	%		23	%		31	%		68	%		44	%

26  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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.

C-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Year Ended September 30, 2008			Year Ended September 30, 2007
Per Share Data
Net asset value, beginning of period	$	23.68		$	25.93		$	23.47		$	25.49		$	37.54		$	35.43
Income (loss) from investment operations:
Net investment lossb		(.13	)		(.24	)		(.09	)		(.07	)		(—	)d		(.05	)
Net gain (loss) on investments
(realized and unrealized)		5.86			(2.01	)		2.55			.64			(4.33	)		4.25
Total from investment operations		5.73			(2.25	)		2.46			.57			(4.33	)		4.20
Less distributions from:
Net realized gains		(.55	)		—			—			(2.59	)		(7.72	)		(2.09	)
Total distributions		(.55	)		—			—			(2.59	)		(7.72	)		(2.09	)
Net asset value, end of period	$	28.86		$	23.68		$	25.93		$	23.47		$	25.49		$	37.54
Total Returnc		24.57	%		(8.68	%)		10.48	%		6.13	%		(13.15	%)		12.13	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	216,870		$	188,745		$	193,986		$	139,121		$	113,192		$	176,746
Ratios to average net assets:
Net investment loss		(0.97	%)		(0.85	%)		(0.37	%)		(0.35	%)		(0.01	%)		(0.12	%)
Total expenses		2.18	%		2.07	%		2.12	%		2.22	%		2.12	%		2.07	%
Portfolio turnover rate		7	%		28	%		23	%		31	%		68	%		44	%

^a  Unaudited figures for the period ended March 31, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

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

^d  Net investment income is less than $0.01 per share.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  27

FUND PROFILE (Unaudited) March 31, 2012

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)

	XXX,XX
Hanover Insurance Group, Inc.	3.7	%
Cabela’s, Inc.	3.5	%
Computer Sciences Corp.	2.8	%
American Financial Group, Inc.	2.4	%
WR Berkley Corp.	2.3	%
IXYS Corp.	2.2	%
Owens-Illinois, Inc.	2.2	%
Plains Exploration & Production Co.	2.1	%
Chico’s FAS, Inc.	2.1	%
Maxwell Technologies, Inc.	2.1	%
Top Ten Total	25.4	%

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

28  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2012
MID CAP VALUE INSTITUTIONAL FUND

	SHARES		VALUE
COMMON STOCKS†—96.6%
Financials—19.9%
Hanover Insurance Group, Inc.		489,203	$	20,116,028
American Financial Group, Inc.		334,620		12,909,640
WR Berkley Corp.		343,720		12,415,166
Reinsurance Group of America, Inc. — Class A		185,803		11,049,704
Alleghany Corp.*		28,058		9,233,888
Ocwen Financial Corp.*		405,108		6,331,839
RenaissanceRe Holdings Ltd.		73,300		5,551,009
MGIC Investment Corp.*		992,613		4,923,360
Fifth Street Finance Corp.		448,707		4,379,380
Lexington Realty Trust		481,300		4,326,887
Employers Holdings, Inc.		190,434		3,372,586
Northern Trust Corp.		67,460		3,200,977
Endurance Specialty Holdings Ltd.		73,750		2,998,675
Old National Bancorp		224,405		2,948,682
Investors Real Estate Trust		245,000		1,884,050
Redwood Trust, Inc.		112,000		1,254,400
First Marblehead Corp.*		443,547		541,127
Bimini Capital Management, Inc. — Class A		402,813		116,816
Total Financials				107,554,214
Industrials—18.8%
Covanta Holding Corp.		710,040		11,523,949
GeoEye, Inc.*		423,252		10,187,676
Navigant Consulting, Inc.*		696,370		9,686,506
Quanta Services, Inc.*		423,200		8,844,880
Equifax, Inc.		170,700		7,555,182
Aegion Corp. — Class A*		356,287		6,352,597
URS Corp.		138,040		5,869,461
FTI Consulting, Inc.*		151,990		5,702,665
Orbital Sciences Corp.*		396,788		5,217,762
Trex Company, Inc.*		151,200		4,850,496
General Cable Corp.*		155,600		4,524,848
ICF International, Inc.*		169,333		4,295,978
DryShips, Inc.*		1,159,651		4,035,585
Saia, Inc.*		222,070		3,777,411
Babcock & Wilcox Co.*		135,518		3,489,589
Atlas Air Worldwide Holdings, Inc.*		54,351		2,674,613
United Stationers, Inc.		74,556		2,313,473
Fortune Brands Home & Security, Inc.*		44,000		971,080
Total Industrials				101,873,751
Consumer Discretionary—13.7%
Cabela’s, Inc.*		500,461		19,092,588
Chico’s FAS, Inc.		765,790		11,563,429
Penn National Gaming, Inc.*		161,120		6,924,938
Maidenform Brands, Inc.*		285,177		6,419,334
Scholastic Corp.		157,600		5,560,128
Brown Shoe Company, Inc.		537,357		4,959,805
DeVry, Inc.		127,363		4,313,785
Jack in the Box, Inc.*		169,200		4,055,724
Hanesbrands, Inc.*		136,695		4,037,970
Apollo Group, Inc. — Class A*		92,060		3,557,198
Jones Group, Inc.		233,594		2,933,941

	SHARES		VALUE
Smith & Wesson Holding Corp.*		164,591	$	1,275,580
HydroGen Corp.*,3		1,265,700		12,530
Total Consumer Discretionary				74,706,950
Information Technology—10.2%
Computer Sciences Corp.		517,370		15,490,058
IXYS Corp.*		909,179		12,001,163
Maxwell Technologies, Inc.*		629,931		11,546,635
Cree, Inc.*		246,100		7,784,143
Power-One, Inc.*		977,775		4,448,876
Symmetricom, Inc.*		696,000		4,015,920
Tessera Technologies, Inc.*		24,305		419,261
Total Information Technology				55,706,056
Energy—9.6%
Plains Exploration & Production Co.*		273,230		11,653,260
Gulfport Energy Corp.*		310,252		9,034,538
SandRidge Energy, Inc.*		1,146,351		8,975,928
Goodrich Petroleum Corp.*		410,582		7,809,270
McDermott International, Inc.*		413,960		5,302,828
Resolute Energy Corp.*		455,224		5,180,449
Sanchez Energy Corp.*		128,801		2,891,582
USEC, Inc.*		1,203,200		1,275,392
Ocean Rig UDW, Inc.*		8,718		147,334
Total Energy				52,270,581
Materials—8.8%
Owens-Illinois, Inc.*		513,300		11,980,422
Louisiana-Pacific Corp.*		830,700		7,767,045
HB Fuller Co.		200,316		6,576,375
Bemis Company, Inc.		198,580		6,412,147
Sonoco Products Co.		186,500		6,191,800
Globe Specialty Metals, Inc.		276,050		4,104,864
Zoltek Companies, Inc.*		241,514		2,733,938
Landec Corp.*		349,900		2,284,847
Total Materials				48,051,438
Consumer Staples—5.3%
Ralcorp Holdings, Inc.*		128,182		9,497,004
JM Smucker Co.		93,130		7,577,057
Hormel Foods Corp.		205,470		6,065,474
Bunge Ltd.		43,930		3,006,569
Post Holdings, Inc.*		44,461		1,464,101
Darling International, Inc.*		81,630		1,421,995
Total Consumer Staples				29,032,200
Health Care—5.2%
Hologic, Inc.*		269,662		5,811,216
Mednax, Inc.*		70,703		5,258,182
Forest Laboratories, Inc.*		151,230		5,246,169
Community Health Systems, Inc.*		211,450		4,702,648
Universal Health Services, Inc. — Class B		102,930		4,313,796
Kindred Healthcare, Inc.*		331,981		2,868,316
Total Health Care				28,200,327
Utilities—5.1%
Great Plains Energy, Inc.		377,735		7,656,688
Black Hills Corp.		202,939		6,804,545

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  29

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2012
MID CAP VALUE INSTITUTIONAL FUND

	SHARES		VALUE
UGI Corp.		145,920	$	3,976,320
Allete, Inc.		91,500		3,796,335
MDU Resources Group, Inc.		123,467		2,764,426
NorthWestern Corp.		74,330		2,635,742
Total Utilities				27,634,056
Total Common Stocks (Cost $456,096,489)				525,029,573
CONVERTIBLE PREFERRED STOCKS††—0.1%
Thermoenergy Corp.1		793,750		405,606
Total Convertible Preferred Stocks (Cost $757,980)				405,606
	FACE AMOUNT
CONVERTIBLE BONDS††—0.9%
Energy—0.5%
USEC, Inc.
3.00% due 10/01/14	$	5,500,000		2,722,500
Industrials—0.4%
DryShips, Inc.
5.00% due 12/01/14		2,725,000		2,316,250
Total Convertible Bonds (Cost $6,795,263)				5,038,750
REPURCHASE AGREEMENT††,2—3.0%
UMB Financial Corp. issued 03/30/12 at 0.03%due 04/02/12		16,164,000		16,164,000
Total Repurchase Agreement (Cost $16,164,000)				16,164,000
Total Investments—100.6% (Cost $479,813,732)			$	546,637,929
Other Assets & Liabilities, net—(0.6)%				(3,083,613	)
Total Net Assets—100.0%			$	543,554,316

* Non-income producing security.

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

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

¹  PIPE (Private Investment in Public Equity)—Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.

²  Repurchase Agreement — See Note 5.

³  Affiliated issuers — Note 9.

30  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

MID CAP VALUE INSTITUTIONAL FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2012

ASSETS:
Investments in unaffiliated issuers, at value (cost $463,647,201)	$	530,461,399
Investments in affiliated issuers, at value (cost $2,531)		12,530
Repurchase agreements, at value (cost $16,164,000)		16,164,000
Total investments (cost $479,813,732)		546,637,929
Prepaid expenses		17,468
Cash		27,634
Receivables:
Securities sold		594,391
Fund shares sold		560,143
Dividends		481,914
Interest		127,944
Investment advisor		29,408
Total assets		548,476,831
LIABILITIES:
Payable for:
Fund shares redeemed		3,925,439
Securities purchased		559,391
Management fees		346,029
Fund accounting/administration fees		43,830
Transfer agent/maintenance fees		12,777
Directors’ fees*		4,660
Miscellaneous		30,389
Total liabilities		4,922,515
NET ASSETS	$	543,554,316
NET ASSETS CONSIST OF:
Paid in capital	$	468,705,608
Undistributed net investment income		760,442
Accumulated net realized gain on investments		7,264,069
Net unrealized appreciation on investments		66,824,197
Net assets	$	543,554,316
Capital shares outstanding		48,080,359
Net asset value per share	$	11.31

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

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2012

INVESTMENT INCOME:
Dividends	$	2,706,950
Interest		382,708
Total investment income		3,089,658
EXPENSES:
Management fees		1,935,848
Transfer agent/maintenance fees		189,968
Fund accounting/administration fees		245,204
Directors’ fees*		22,227
Custodian fees		7,912
Miscellaneous		123,841
Total expenses		2,525,000
Less:
Expenses waived by Advisor		(195,806	)
Net expenses		2,329,194
Net investment income		760,464
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		8,124,927
Options written		998,246
Net realized gain		9,123,173
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		102,927,311
Investments in affiliated issuers		(6,455	)
Options written		343,903
Net change in unrealized appreciation (depreciation)		103,264,759
Net realized and unrealized gain		112,387,932
Net increase in net assets resulting from operations	$	113,148,396

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  31

MID CAP VALUE INSTITUTIONAL FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	760,464		$	2,014,286
Net realized gain on investments		9,123,173			46,068,916
Net change in unrealized appreciation (depreciation) on investments		103,264,759			(93,414,074	)
Net increase (decrease) in net assets resulting from operations		113,148,396			(45,330,872	)
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net investment income		(1,977,527	)		(3,064,710	)
Net realized gains		(44,425,740	)		(22,149,496	)
Total distributions to shareholders		(46,403,267	)		(25,214,206	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares		85,319,314			230,594,999
Distributions reinvested		20,469,550			10,706,814
Cost of shares redeemed		(101,245,682	)		(212,937,728	)
Net increase from capital share transactions		4,543,182			28,364,085
Net increase (decrease) in net assets		71,288,311			(42,180,993	)
NET ASSETS:
Beginning of period		472,266,005			514,446,998
End of period	$	543,554,316		$	472,266,005
Undistributed net investment income at end of period	$	760,442		$	1,977,505
CAPITAL SHARE ACTIVITY:
Shares sold		8,058,176			19,002,513
Shares issued from reinvestment of distributions		2,088,722			905,056
Shares redeemed		(9,414,978	)		(17,934,768	)
Net increase in shares		731,920			1,972,801

32  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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 March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Period Ended September 30, 2008b
Per Share Data
Net asset value, beginning of period	$	9.97		$	11.34		$	10.49		$	10.68		$	10.00
Income (loss) from investment operations:
Net investment incomec		.02			.04			.08			.08			.04
Net gain (loss) on investments (realized and unrealized)		2.33			(.87	)		1.13			.27			.64
Total from investment operations		2.35			(.83	)		1.21			.35			.68
Less distributions from:
Net investment income		(.04	)		(.06	)		(.01	)		(.06	)		—
Net realized gains		(.97	)		(.48	)		(.35	)		(.48	)		—
Total distributions		(1.01	)		(.54	)		(.36	)		(.54	)		—
Net asset value, end of period	$	11.31		$	9.97		$	11.34		$	10.49		$	10.68
Total Returnd		25.18	%		(8.05	%)		11.76	%		5.30	%		6.80	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	543,554		$	472,266		$	514,447		$	317,455		$	17,436
Ratios to average net assets:
Net investment income		0.30	%		0.34	%		0.78	%		0.82	%		1.81	%
Total expenses		0.98	%		0.98	%		0.95	%		0.98	%		1.19	%
Net expensese		0.90	%		0.90	%		0.90	%		0.91	%		1.10	%
Portfolio turnover rate		7	%		38	%		20	%		76	%		63	%

^a  Unaudited figures for the period ended March 31, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  33

FUND PROFILE (Unaudited) March 31, 2012

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

	XXXX.XX
Ten Largest Holdings (% of Total Net Assets)
iShares Russell 2000 Growth Index Fund	5.4	%
Alliance Data Systems Corp.	2.2	%
Oil States International, Inc.	2.2	%
Endo Pharmaceuticals Holdings, Inc.	2.0	%
Jarden Corp.	1.9	%
Nuance Communications, Inc.	1.8	%
Superior Energy Services, Inc.	1.8	%
Texas Capital Bancshares, Inc.	1.8	%
IAC/InterActiveCorp.	1.6	%
Penn National Gaming, Inc.	1.5	%
Top Ten Total	22.2	%

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

34  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2012
SMALL CAP GROWTH FUND

	SHARES		VALUE
COMMON STOCKS†—91.6%
Information Technology—26.0%
Alliance Data Systems Corp.*		2,925	$	368,433
Nuance Communications, Inc.*		12,055		308,366
IAC/InterActiveCorp.		5,475		268,767
Aspen Technology, Inc.*		10,700		219,670
SYNNEX Corp.*		5,630		214,728
Aruba Networks, Inc.*		9,200		204,975
Cadence Design Systems, Inc.*		16,820		199,149
Cavium, Inc.*		6,000		185,640
SolarWinds, Inc.*		4,520		174,698
Rovi Corp.*		4,950		161,123
Informatica Corp.*		3,040		160,816
Nanometrics, Inc.*		8,390		155,299
Riverbed Technology, Inc.*		5,410		151,913
Newport Corp.*		8,300		147,076
Ciena Corp.*		9,000		145,710
Lattice Semiconductor Corp.*		22,600		145,318
LogMeIn, Inc.*		3,850		135,636
Opnet Technologies, Inc.		4,550		131,950
Sourcefire, Inc.*		2,680		128,988
Rofin-Sinar Technologies, Inc.*		4,710		124,203
Harmonic, Inc.*		22,650		123,896
Netgear, Inc.*		3,050		116,510
Nova Measuring Instruments Ltd.*		13,000		116,480
TIBCO Software, Inc.*		2,650		80,825
Solera Holdings, Inc.		1,750		80,308
VanceInfo Technologies, Inc. ADR*		5,600		67,424
Total Information Technology				4,317,901
Consumer Discretionary—16.6%
Jarden Corp.		7,765		312,385
Penn National Gaming, Inc.*		5,925		254,656
Select Comfort Corp.*		7,710		249,726
Ulta Salon Cosmetics & Fragrance, Inc.		2,375		220,614
BJ’s Restaurants, Inc.*		4,200		211,470
Lennar Corp. — Class A		7,450		202,491
Pinnacle Entertainment, Inc.*		14,700		169,197
Monro Muffler Brake, Inc.		4,075		169,072
Life Time Fitness, Inc.*		3,270		165,364
Hanesbrands, Inc.*		5,490		162,175
SodaStream International Ltd.*		4,625		155,770
MDC Partners, Inc. — Class A		12,400		137,888
Harman International Industries, Inc.		2,270		106,259
Cost Plus, Inc.*		5,265		94,243
Vail Resorts, Inc.		1,875		81,094
HomeAway, Inc.*		2,900		73,573
Total Consumer Discretionary				2,765,977
Health Care—15.0%
Endo Pharmaceuticals Holdings, Inc.*		8,590		332,691
NxStage Medical, Inc.*		11,650		224,495
Dynavax Technologies Corp.*		40,500		204,930
BioMarin Pharmaceutical, Inc.*		5,000		171,250
Optimer Pharmaceuticals, Inc.*		12,300		170,970
Mednax, Inc.*		2,160		160,639

	SHARES		VALUE
Halozyme Therapeutics, Inc.*		12,440	$	158,734
Hologic, Inc.*		7,070		152,359
Endologix, Inc.*		9,900		145,035
Cepheid, Inc.*		3,375		141,176
AngioDynamics, Inc.*		10,110		123,848
Health Management Associates, Inc. — Class A*		18,070		121,430
Acorda Therapeutics, Inc.*		3,750		99,563
Auxilium Pharmaceuticals, Inc.*		5,165		95,914
Haemonetics Corp.*		1,235		86,055
Momenta Pharmaceuticals, Inc.*		3,300		50,556
CardioNet, Inc.*		12,550		38,654
Achillion Pharmaceuticals, Inc.*		3,200		30,656
Total Health Care				2,508,955
Industrials—13.7%
Wabtec Corp.		3,150		237,415
WESCO International, Inc.*		3,250		212,258
BE Aerospace, Inc.*		4,440		206,327
Regal-Beloit Corp.		3,140		205,827
AECOM Technology Corp.*		8,710		194,843
WABCO Holdings, Inc.*		3,140		189,907
IDEX Corp.		4,120		173,575
Crane Co.		3,500		169,750
Kansas City Southern*		2,165		155,209
Pall Corp.		2,570		153,249
Navistar International Corp.*		3,500		141,575
Towers Watson & Co. — Class A		2,000		132,140
Colfax Corp.*		3,350		118,054
Total Industrials				2,290,129
Energy—6.3%
Oil States International, Inc.*		4,660		363,760
Superior Energy Services, Inc.*		11,505		303,272
Stone Energy Corp.*		8,500		243,015
Energy XXI Bermuda Ltd.*		4,158		150,145
Total Energy				1,060,192
Financials—4.8%
Texas Capital Bancshares, Inc.*		8,700		301,194
Amtrust Financial Services, Inc.		6,550		176,064
Iberiabank Corp.		3,145		168,163
Stifel Financial Corp.*		4,303		162,826
Total Financials				808,247
Materials—4.5%
HB Fuller Co.		6,450		211,754
Ashland, Inc.		2,850		174,021
Kaiser Aluminum Corp.		2,790		131,855
Cliffs Natural Resources, Inc.		1,760		121,898
Silgan Holdings, Inc.		2,670		118,014
Total Materials				757,542
Utilities—2.1%
NorthWestern Corp.		5,050		179,073
ITC Holdings Corp.		2,270		174,654
Total Utilities				353,727

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  35

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2012
SMALL CAP GROWTH FUND

	SHARES		VALUE
Telecommunication Services - 1.4%
SBA Communications Corp. — Class A*		4,450	$	226,105
Consumer Staples—1.2%
Nu Skin Enterprises, Inc. — Class A		3,350		193,999
Total Common Stocks (Cost $11,730,660)				15,282,774
EXCHANGE TRADED FUNDS†—5.4% iShares Russell 2000 Growth Index Fund		9,510		907,064
Total Exchange Traded Funds (Cost $812,188)				907,064
Total Investments—97.0% (Cost $12,542,848)			$	16,189,838
Other Assets & Liabilities, net—3.0%				508,301
Total Net Assets—100.0%			$	16,698,139

* Non-income producing security.

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

ADR — American Depositary Receipt

36  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SMALL CAP GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2012

ASSETS:
Investments, at value (cost $12,542,848)	$	16,189,838
Cash		619,768
Prepaid expenses		37,291
Receivables:
Securities sold		98,115
Dividends		5,016
Fund shares sold		2,404
Total assets		16,952,432
LIABILITIES:
Payable for:
Securities purchased		189,984
Fund shares redeemed		23,408
Management fees		11,956
Distribution and service fees		5,516
Transfer agent/maintenance fees		5,427
Fund accounting/administration fees		2,117
Directors’ fees*		302
Miscellaneous		15,583
Total liabilities		254,293
NET ASSETS	$	16,698,139
NET ASSETS CONSIST OF:
Paid in capital	$	16,567,753
Accumulated net investment loss		(145,177	)
Accumulated net realized loss on investments		(3,371,427	)
Net unrealized appreciation on investments		3,646,990
Net assets	$	16,698,139
A-CLASS:
Net assets	$	13,515,738
Capital shares outstanding		857,512
Net asset value per share	$	15.76
Maximum offering price per share (Net asset value divided by 95.25%)	$	16.55
B-CLASS:
Net assets	$	1,281,769
Capital shares outstanding		92,994
Net asset value per share	$	13.78
C-CLASS:
Net assets	$	1,890,581
Capital shares outstanding		134,294
Net asset value per share	$	14.08
INSTITUTIONAL CLASS:
Net assets	$	10,051
Capital shares outstanding		638
Net asset value per share	$	15.76

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

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2012

INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $458)	$	40,368
Interest		25
Total investment income		40,393
EXPENSES:
Management fees		65,538
Transfer agent/maintenance fees
A-Class		31,773
B-Class		6,008
C-Class		4,290
Institutional Class		6
Distribution and service fees:
A-Class		15,487
B-Class		6,573
C-Class		8,574
Fund accounting/administration fees		12,375
Registration fees		17,714
Custodian fees		2,148
Directors’ fees*		774
Miscellaneous		14,310
Total expenses		185,570
Net investment loss		(145,177	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		745,344
Net realized gain		745,344
Net change in unrealized appreciation (depreciation) on:
Investments		3,496,077
Net change in unrealized appreciation (depreciation)		3,496,077
Net realized and unrealized gain		4,241,421
Net increase in net assets resulting from operations	$	4,096,244

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  37

SMALL CAP GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(145,177	)	$	(308,691	)
Net realized gain on investments		745,344			2,614,617
Net change in unrealized appreciation (depreciation) on investments		3,496,077			(2,745,033	)
Net increase (decrease) in net assets resulting from operations		4,096,244			(439,107	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		1,547,932			7,162,239
B-Class		24,651			476,803
C-Class		520,848			438,345
Institutional Class1		10,000			—
Cost of shares redeemed
A-Class		(1,737,688	)		(8,281,727	)
B-Class		(365,819	)		(573,179	)
C-Class		(339,658	)		(606,748	)
Institutional Class1		—			—
Net decrease from capital share transactions		(339,734	)		(1,384,267	)
Net increase (decrease) in net assets		3,756,510			(1,823,374	)
NET ASSETS:
Beginning of period		12,941,629			14,765,003
End of period	$	16,698,139		$	12,941,629
Accumulated net investment loss at end of period	$	(145,177	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		106,958			488,818
B-Class		2,101			35,998
C-Class		40,871			32,398
Institutional Class1		638			—
Shares redeemed
A-Class		(122,425	)		(583,053	)
B-Class		(29,629	)		(46,201	)
C-Class		(26,803	)		(47,660	)
Institutional Class1		—			—
Net decrease in shares		(28,289	)		(119,700	)

¹  Since commencement of operations: March 1, 2012.

38  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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.

A-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Year Ended September 30, 2008			Year Ended September 30, 2007
Per Share Data
Net asset value, beginning of period	$	11.91		$	12.25		$	10.56		$	11.43		$	18.53		$	15.63
Income (loss) from investment operations:
Net investment lossb		(.12	)		(.24	)		(.18	)		(.18	)		(.24	)		(.23	)
Net gain (loss) on investments (realized and unrealized)		3.97			(.10	)		1.87			(.63	)		(5.55	)		3.13
Total from investment operations		3.85			(.34	)		1.69			(.81	)		(5.79	)		2.90
Less distributions from:
Net realized gains		—			—			—			(.06	)		(1.31	)		—
Total distributions		—			—			—			(.06	)		(1.31	)		—
Net asset value, end of period	$	15.76		$	11.91		$	12.25		$	10.56		$	11.43		$	18.53
Total Returnc		32.33	%		(2.78	%)		16.00	%		(6.89	%)		(33.25	%)		18.55	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,516		$	10,396		$	11,847		$	9,966		$	12,414		$	45,430
Ratios to average net assets:
Net investment loss		(1.70	%)		(1.68	%)		(1.55	%)		(2.04	%)		(1.59	%)		(1.32	%)
Total expensesf		2.23	%		2.11	%		2.26	%		2.67	%		1.98	%		1.80	%
Net expensesd		2.23	%		2.11	%		2.26	%		2.60	%		1.98	%		1.80	%
Portfolio turnover rate		39	%		101	%		112	%		200	%		169	%		145	%
B-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Year Ended September 30, 2008			Year Ended September 30, 2007
Per Share Data
Net asset value, beginning of period	$	10.47		$	10.85		$	9.43		$	10.28		$	16.92		$	14.38
Income (loss) from investment operations:
Net investment lossb		(.18	)		(.30	)		(.23	)		(.21	)		(.32	)		(.33	)
Net gain (loss) on investments (realized and unrealized)		3.49			(.08	)		1.65			(.58	)		(5.01	)		2.87
Total from investment operations		3.31			(.38	)		1.42			(.79	)		(5.33	)		2.54
Less distributions from:
Net realized gains		—			—			—			(.06	)		(1.31	)		—
Total distributions		—			—			—			(.06	)		(1.31	)		—
Net asset value, end of period	$	13.78		$	10.47		$	10.85		$	9.43		$	10.28		$	16.92
Total Returnc		31.58	%		(3.41	%)		15.06	%		(7.47	%)		(33.72	%)		17.66	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,282		$	1,262		$	1,419		$	1,766		$	2,675		$	5,792
Ratios to average net assets:
Net investment loss		(2.86	%)		(2.44	%)		(2.30	%)		(2.77	%)		(2.42	%)		(2.07	%)
Total expensesf		3.38	%		2.87	%		3.02	%		3.41	%		2.82	%		2.56	%
Net expensesd		3.38	%		2.87	%		3.02	%		3.33	%		2.82	%		2.56	%
Portfolio turnover rate		39	%		101	%		112	%		200	%		169	%		145	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  39

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.

C-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Year Ended September 30, 2008			Year Ended September 30, 2007
Per Share Data
Net asset value, beginning of period	$	10.68		$	11.06		$	9.61		$	10.48		$	17.23		$	14.64
Income (loss) from investment operations:
Net investment lossb		(.16	)		(.31	)		(.24	)		(.22	)		(.33	)		(.33	)
Net gain (loss) on investments (realized and unrealized)		3.56			(.07	)		1.69			(.59	)		(5.11	)		2.92
Total from investment operations		3.40			(.38	)		1.45			(.81	)		(5.44	)		2.59
Less distributions from:
Net realized gains		—			—			—			(.06	)		(1.31	)		—
Total distributions		—			—			—			(.06	)		(1.31	)		—
Net asset value, end of period	$	14.08		$	10.68		$	11.06		$	9.61		$	10.48		$	17.23
Total Returnc		31.84	%		(3.44	%)		15.09	%		(7.51	%)		(33.76	%)		17.69	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,891		$	1,284		$	1,499		$	1,518		$	2,318		$	3,964
Ratios to average net assets:
Net investment loss		(2.44	%)		(2.43	%)		(2.31	%)		(2.77	%)		(2.43	%)		(2.07	%)
Total expensesf		2.97	%		2.86	%		3.02	%		3.40	%		2.83	%		2.56	%
Net expensesd		2.97	%		2.86	%		3.02	%		3.33	%		2.83	%		2.56	%
Portfolio turnover rate		39	%		101	%		112	%		200	%		169	%		145	%

Institutional Class	Period Ended March 31, 2012a,e
Per Share Data
Net asset value, beginning of period	$	15.68
Income (loss) from investment operations:
Net investment lossb		(.02	)
Net gain on investments (realized and unrealized)		.10
Total from investment operations		.08
Net asset value, end of period	$	15.76
Total Returnc		0.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10
Ratios to average net assets:
Net investment loss		(1.65	%)
Total expensesf,g		2.36	%
Portfolio turnover rate		39	%

^a  Unaudited figures for the period ended March 31, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

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

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

^e  Since commencement of operations: March 1, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

^g  Due to the limited length of Class operations, current expense ratios may not be indicative of future expense ratios.

40  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

FUND PROFILE (Unaudited) March 31, 2012

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)

	XXXX.XX
Cabela’s, Inc.	3.6	%
Hanover Insurance Group, Inc.	3.4	%
Global Cash Access Holdings, Inc.	3.0	%
TPC Group, Inc.	2.3	%
Chico’s FAS, Inc.	2.3	%
ICU Medical, Inc.	2.0	%
Great Lakes Dredge & Dock Corp.	2.0	%
Reinsurance Group of America, Inc. — Class A	1.9	%
GeoEye, Inc.	1.8	%
Maxwell Technologies, Inc.	1.8	%
Top Ten Total	24.1	%

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  41

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2012
SMALL CAP VALUE FUND

	SHARES		VALUE
COMMON STOCKS†—97.1%
Industrials—18.6%
Great Lakes Dredge & Dock Corp.		105,800	$	763,876
GeoEye, Inc.*		29,822		717,816
Covanta Holding Corp.		42,320		686,853
Navigant Consulting, Inc.*		41,621		578,948
ICF International, Inc.*		22,377		567,704
Saia, Inc.*		27,920		474,918
EnergySolutions, Inc.*		94,945		465,231
Aegion Corp. — Class A*		25,353		452,044
General Cable Corp.*		14,140		411,191
Orbital Sciences Corp.*		29,074		382,323
Vitran Corporation, Inc. — Class A*		45,420		362,452
Celadon Group, Inc.		17,782		276,510
DryShips, Inc.*		72,889		253,654
Energy Recovery, Inc.*		96,450		221,835
Atlas Air Worldwide Holdings, Inc.*		4,020		197,824
Marten Transport Ltd.		8,370		184,726
FTI Consulting, Inc.*		4,350		163,212
ESCO Technologies, Inc.		3,887		142,925
Total Industrials				7,304,042
Financials—17.7%
Hanover Insurance Group, Inc.		32,398		1,332,205
Reinsurance Group of America, Inc. — Class A		12,684		754,317
Horace Mann Educators Corp.		38,080		670,970
1st Source Corp.		20,860		510,445
Ocwen Financial Corp.*		26,691		417,181
Endurance Specialty Holdings Ltd.		9,824		399,444
Redwood Trust, Inc.		33,563		375,906
MGIC Investment Corp.*		72,467		359,436
PrivateBancorp, Inc.		22,786		345,664
Employers Holdings, Inc.		16,806		297,634
Solar Senior Capital Ltd.		17,686		284,921
Lexington Realty Trust		30,297		272,370
Bancorp, Inc.*		26,962		270,698
AMERISAFE, Inc.*		8,835		218,578
Safeguard Scientifics, Inc.*		11,980		206,056
Bancfirst Corp.		4,224		183,997
First Marblehead Corp.*		10,848		13,235
Total Financials				6,913,057
Consumer Discretionary—17.2%
Cabela’s, Inc.*		37,209		1,419,523
Chico’s FAS, Inc.		59,790		902,830
Maidenform Brands, Inc.*		30,670		690,382
International Speedway Corp. — Class A		23,281		646,048
DeVry, Inc.		17,147		580,769
Penn National Gaming, Inc.*		11,780		506,304
Coldwater Creek, Inc.*		347,889		403,551
Scholastic Corp.		10,382		366,277
Hanesbrands, Inc.*		11,595		342,516
Brown Shoe Company, Inc.		35,174		324,656
MDC Partners, Inc. — Class A		22,509		250,300
Jones Group, Inc.		18,126		227,663
Smith & Wesson Holding Corp.*		10,627		82,359
Total Consumer Discretionary				6,743,178

	SHARES		VALUE
Information Technology—16.6%
Global Cash Access Holdings, Inc.*		150,870	$	1,176,786
Maxwell Technologies, Inc.*		38,964		714,209
IXYS Corp.*		52,820		697,223
Standard Microsystems Corp.*		26,402		683,020
Cree, Inc.*		17,040		538,975
Insight Enterprises, Inc.*		24,204		530,794
Multi-Fineline Electronix, Inc.*		17,290		474,611
Digi International, Inc.*		41,627		457,481
Perficient, Inc.*		24,750		297,248
Intermec, Inc.*		30,410		235,069
Spansion, Inc. — Class A*		18,620		226,792
Power-One, Inc.*		46,143		209,951
Symmetricom, Inc.*		28,240		162,945
Methode Electronics, Inc.		7,565		70,203
Tessera Technologies, Inc.*		1,618		27,911
Total Information Technology				6,503,218
Energy—9.0%
Gulfport Energy Corp.*		23,311		678,817
Goodrich Petroleum Corp.*		32,902		625,796
Abraxas Petroleum Corp.*		192,460		600,475
Tesco Corp.*		34,150		484,588
Resolute Energy Corp.*		36,700		417,646
Petroleum Development Corp.*		9,530		353,468
Sanchez Energy Corp.*		11,367		255,189
USEC, Inc.*		74,420		78,885
North American Energy Partners, Inc.*		3,501		17,155
Ocean Rig UDW, Inc.*		179		3,025
Total Energy				3,515,044
Materials—7.7%
TPC Group, Inc.*		20,462		904,625
A. Schulman, Inc.		20,020		540,940
Zoltek Companies, Inc.*		45,880		519,362
HB Fuller Co.		12,117		397,801
Landec Corp.*		57,896		378,061
Globe Specialty Metals, Inc.		18,070		268,701
Total Materials				3,009,490
Utilities—5.1%
Black Hills Corp.		18,771		629,391
UGI Corp.		22,710		618,848
Great Plains Energy, Inc.		26,580		538,777
MDU Resources Group, Inc.		8,613		192,845
Total Utilities				1,979,861
Health Care—3.0%
ICU Medical, Inc.*		15,620		767,879
Greatbatch, Inc.*		9,808		240,492
Kindred Healthcare, Inc.*		20,736		179,159
Total Health Care				1,187,530
Consumer Staples—2.2%
Spartan Stores, Inc.		24,040		435,605
Orchids Paper Products Co.		10,024		180,332
Smart Balance, Inc.*		22,578		149,241
Darling International, Inc.*		6,620		115,320
Total Consumer Staples				880,498
Total Common Stocks (Cost $33,313,780)				38,035,918

42  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2012
SMALL CAP VALUE FUND

	SHARES		VALUE
CONVERTIBLE PREFERRED STOCKS††—0.0%
Thermoenergy Corp.1		6,250	$	3,194
Total Convertible Preferred Stocks (Cost $5,968)				3,194
EXCHANGE TRADED FUNDS†—1.0%
iShares Russell 2000 Value Index Fund		2,600		189,722
iShares S&P SmallCap 600 Value Index Fund		2,400		188,400
Total Exchange Traded Funds (Cost $340,044)				378,122
	FACE AMOUNT
CONVERTIBLE BONDS††—0.3%
DryShips, Inc. 5.00% due 12/01/14	$	125,000		106,250
Total Convertible Bonds (Cost $97,518)				106,250
Total Investments—98.4% (Cost $33,757,310)			$	38,523,484
Other Assets & Liabilities, net—1.6%				640,962
Total Net Assets—100.0%			$	39,164,446

^* Non-income producing security.

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

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

¹  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.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  43

SMALL CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2012

ASSETS:
Investments, at value (cost $33,757,310)	$	38,523,484
Cash		677,466
Prepaid expenses		22,726
Receivables:
Securities sold		86,701
Fund shares sold		33,438
Dividends		21,687
Investment advisor		17,898
Interest		2,083
Total assets		39,385,483
LIABILITIES:
Payable for:
Securities purchased		162,291
Management fees		30,286
Transfer agent/maintenance fees		6,597
Distribution and service fees		6,066
Fund accounting/administration fees		2,877
Fund shares redeemed		427
Directors’ fees*		58
Miscellaneous		12,435
Total liabilities		221,037
NET ASSETS	$	39,164,446
NETASSETSCONSISTOF:
Paid in capital	$	33,975,699
Accumulated net investment loss		(31,216	)
Accumulated net realized gain on investments		453,789
Net unrealized appreciation on investments		4,766,174
Net assets	$	39,164,446
A-CLASS:
Net assets	$	16,434,304
Capital shares outstanding		1,077,057
Net asset value per share	$	15.26
Maximum offering price per share (Net asset value divided by 95.25%)	$	16.02
C-CLASS:
Net assets	$	3,917,607
Capital shares outstanding		264,582
Net asset value per share	$	14.81
INSTITUTIONAL CLASS:
Net assets	$	18,812,535
Capital shares outstanding		1,220,289
Net asset value per share	$	15.42

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2012

INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $611)	$	130,093
Interest		7,229
Total investment income		137,322
EXPENSES:
Management fees		132,028
Transfer agent/maintenance fees
A-Class		24,828
C-Class		5,233
Institutional Class		11,458
Distribution and service fees:
A-Class		13,880
C-Class		15,968
Fund accounting/administration fees		14,269
Registration fees		22,640
Printing expenses		13,178
Custodian fees		3,564
Directors’ fees*		1,099
Miscellaneous		4,504
Total expenses		262,649
Less:
Expenses waived by Advisor		(94,111	)
Net expenses		168,538
Net investment loss		(31,216	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		885,966
Options written		16,363
Net realized gain		902,329
Net change in unrealized appreciation (depreciation) on:
Investments		6,819,309
Options written		1,033
Net change in unrealized appreciation (depreciation)		6,820,342
Net realized and unrealized gain		7,722,671
Net increase in net assets resulting from operations	$	7,691,455

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

44  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SMALL CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(31,216	)	$	(74,743	)
Net realized gain on investments		902,329			892,619
Net change in unrealized appreciation (depreciation) on investments		6,820,342			(2,398,142	)
Net increase (decrease) in net assets resulting from operations		7,691,455			(1,580,266	)
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net realized gains
A-Class		(235,223	)		(891,555	)
C-Class		(65,832	)		(220,130	)
Institutional Class		(390,818	)		(91,413	)
Total distributions to shareholders		(691,873	)		(1,203,098	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		8,165,582			6,162,474
C-Class		2,407,630			1,798,076
Institutional Class		15,149,949			187,814
Distributions reinvested
A-Class		230,460			869,495
C-Class		60,332			203,368
Institutional Class		386,253			73,422
Cost of shares redeemed
A-Class		(2,379,927	)		(3,590,095	)
C-Class		(1,671,558	)		(469,516	)
Institutional Class		(718,298	)		(213,782	)
Net increase from capital share transactions		21,630,423			5,021,256
Net increase in net assets		28,630,005			2,237,892
NET ASSETS:
Beginning of period		10,534,441			8,296,549
End of period	$	39,164,446		$	10,534,441
Accumulated net investment loss at end of period	$	(31,216	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		576,035			427,431
C-Class		176,848			126,060
Institutional Class		1,183,498			12,835
Shares issued from reinvestment of distributions
A-Class		17,977			61,535
C-Class		4,838			14,673
Institutional Class		29,827			5,160
Shares redeemed
A-Class		(168,111	)		(270,342	)
C-Class		(119,925	)		(33,653	)
Institutional Class		(47,270	)		(14,642	)
Net increase in shares		1,653,717			329,057

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  45

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.

A-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Period Ended September 30, 2008b
Per Share Data
Net asset value, beginning of period	$	11.66		$	14.35		$	13.24		$	11.48		$	10.00
Income (loss) from investment operations:
Net investment lossc		(.02	)		(.07	)		(.05	)		(.05	)		(—	)d
Net gain (loss) on investments (realized and unrealized)		3.94			(.63	)		1.54			2.44			1.48
Total from investment operations		3.92			(.70	)		1.49			2.39			1.48
Less distributions from:
Net realized gains		(.32	)		(1.99	)		(.38	)		(.63	)		—
Total distributions		(.32	)		(1.99	)		(.38	)		(.63	)		—
Net asset value, end of period	$	15.26		$	11.66		$	14.35		$	13.24		$	11.48
Total Returne		34.12	%		(7.31	%)		11.53	%		24.15	%		14.80	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	16,434		$	7,592		$	6,209		$	3,245		$	400
Ratios to average net assets:
Net investment loss		(0.27	%)		(0.52	%)		(0.34	%)		(0.46	%)		(0.19	%)
Total expensesf		2.22	%		2.33	%		2.45	%		4.92	%		6.10	%
Net expensesg		1.30	%		1.30	%		1.30	%		1.55	%		1.55	%
Portfolio turnover rate		28	%		70	%		140	%		58	%		86	%
C-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Period Ended September 30, 2008b
Per Share Data
Net asset value, beginning of period	$	11.36		$	14.13		$	13.11		$	11.46		$	10.00
Income (loss) from investment operations:
Net investment lossc		(.07	)		(.18	)		(.15	)		(.11	)		(.02	)
Net gain (loss) on investments (realized and unrealized)		3.84			(.60	)		1.55			2.39			1.48
Total from investment operations		3.77			(.78	)		1.40			2.28			1.46
Less distributions from:
Net realized gains		(.32	)		(1.99	)		(.38	)		(.63	)		—
Total distributions		(.32	)		(1.99	)		(.38	)		(.63	)		—
Net asset value, end of period	$	14.81		$	11.36		$	14.13		$	13.11		$	11.46
Total Returne		33.69	%		(8.07	%)		10.94	%		23.16	%		14.60	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,918		$	2,305		$	1,353		$	709		$	391
Ratios to average net assets:
Net investment loss		(1.02	%)		(1.26	%)		(1.09	%)		(1.15	%)		(0.94	%)
Total expensesf		2.85	%		3.07	%		3.22	%		6.40	%		6.88	%
Net expensesg		2.05	%		2.05	%		2.05	%		2.30	%		2.30	%
Portfolio turnover rate		28	%		70	%		140	%		58	%		86	%

46  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SMALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS (Unaudited) (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.

Institutional Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Period Ended September 30, 2008b
Per Share Data
Net asset value, beginning of period	$	11.76		$	14.43		$	13.28		$	11.49		$	10.00
Income (loss) from investment operations:
Net investment income (loss)c		(—	)d		(.04	)		(.01	)		(.01	)		—	d
Net gain (loss) on investments (realized and unrealized)		3.98			(.64	)		1.54			2.43			1.49
Total from investment operations		3.98			(.68	)		1.53			2.42			1.49
Less distributions from:
Net realized gains		(.32	)		(1.99	)		(.38	)		(.63	)		—
Total distributions		(.32	)		(1.99	)		(.38	)		(.63	)		—
Net asset value, end of period	$	15.42		$	11.76		$	14.43		$	13.28		$	11.49
Total Returne		34.34	%		(7.11	%)		11.80	%		24.40	%		14.90	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	18,813		$	638		$	734		$	630		$	383
Ratios to average net assets:
Net investment income (loss)		(—	)h		(0.30	%)		(0.08	%)		(0.14	%)		0.06	%
Total expensesf		1.55	%		2.09	%		2.21	%		5.44	%		5.90	%
Net expensesg		1.05	%		1.05	%		1.05	%		1.30	%		1.30	%
Portfolio turnover rate		28	%		70	%		140	%		58	%		86	%

^a  Unaudited figures for the period ended March 31, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

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

^d  Net investment income is less than $0.01 per share.

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

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

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

^h  Less than 0.01%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  47

FUND PROFILE (Unaudited) March 31, 2012

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.	5.7	%
Microsoft Corp.	4.1	%
Google, Inc. — Class A	4.0	%
Exxon Mobil Corp.	3.5	%
Broadcom Corp. — Class A	3.5	%
CVS Caremark Corp.	3.5	%
Anadarko Petroleum Corp.	3.4	%
Autodesk, Inc.	3.3	%
Caterpillar, Inc.	3.3	%
EMC Corp.	3.2	%
Top Ten Total	37.5	%

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

48  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2012
LARGE CAP CONCENTRATED GROWTH FUND

	SHARES		VALUE
COMMON STOCKS†—96.1%
Information Technology—26.9%
Apple, Inc.*		3,310	$	1,984,246
Microsoft Corp.		43,850		1,414,163
Google, Inc. — Class A*		2,155		1,381,872
Broadcom Corp. — Class A*		31,300		1,230,090
Autodesk, Inc.*		27,450		1,161,683
EMC Corp.*		37,550		1,121,994
Nuance Communications, Inc.*		40,000		1,023,200
Total Information Technology				9,317,248
Consumer Discretionary—21.5%
Chipotle Mexican Grill, Inc. — Class A*		2,635		1,101,429
Yum! Brands, Inc.		15,400		1,096,172
TJX Companies, Inc.		27,380		1,087,260
Home Depot, Inc.		21,600		1,086,696
Walt Disney Co.		24,200		1,059,476
Comcast Corp. — Class A		33,950		1,018,840
Las Vegas Sands Corp.		17,600		1,013,232
Total Consumer Discretionary				7,463,105
Industrials—15.0%
Caterpillar, Inc.		10,750		1,145,090
Cooper Industries plc		16,400		1,048,780
Precision Castparts Corp.		5,890		1,018,381
Honeywell International, Inc.		16,460		1,004,883
United Parcel Service, Inc. — Class B		12,390		1,000,121
Total Industrials				5,217,255
Energy—9.9%
Exxon Mobil Corp.		14,200		1,231,566
Anadarko Petroleum Corp.		15,200		1,190,768
National Oilwell Varco, Inc.		12,900		1,025,163
Total Energy				3,447,497
Consumer Staples—6.6%
CVS Caremark Corp.		27,000		1,209,600
Estee Lauder Companies, Inc. — Class A		17,400		1,077,756
Total Consumer Staples				2,287,356
Health Care—6.0%
Covidien plc		19,300		1,055,324
Mylan, Inc.*		43,750		1,025,938
Total Health Care				2,081,262
Financials—5.4%
Wells Fargo & Co.		32,440		1,107,502
MetLife, Inc.		20,680		772,398
Total Financials				1,879,900
Materials—4.8%
EI du Pont de Nemours & Co.		19,300		1,020,970
CF Industries Holdings, Inc.		3,540		646,581
Total Materials				1,667,551
Total Common Stocks (Cost $29,515,633)				33,361,174

	VALUE
Total Investments—96.1% (Cost $29,515,633)	$	33,361,174
Other Assets & Liabilities, net—3.9%		1,369,170
Total Net Assets—100.0%	$	34,730,344

* Non-income producing security.

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

plc — Public Limited Company

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  49

LARGE CAP CONCENTRATED GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2012

ASSETS:
Investments, at value (cost $29,515,633)	$	33,361,174
Cash		993,204
Prepaid expenses		48,160
Receivables:
Securities sold		1,082,049
Investment advisor		22,196
Fund shares sold		7,207
Dividends		5,484
Total assets		35,519,474
LIABILITIES:
Payable for:
Securities purchased		726,541
Management fees		21,691
Transfer agent/maintenance fees		12,764
Distribution and service fees		11,265
Fund accounting/administration fees		2,748
Fund shares redeemed		599
Directors’ fees*		267
Miscellaneous		13,255
Total liabilities		789,130
NET ASSETS	$	34,730,344
NET ASSETS CONSISTOF:
Paid in capital	$	37,125,218
Accumulated net investment loss		(31,161	)
Accumulated net realized loss on investments		(6,209,254	)
Net unrealized appreciation on investments		3,845,541
Net Assets	$	34,730,344
A-CLASS:
Net Assets	$	28,296,038
Capital shares outstanding		2,991,227
Net asset value per share	$	9.46
Maximum offering price per share (Net asset value divided by 95.25%)	$	9.93
B-CLASS:
Net Assets	$	3,087,636
Capital shares outstanding		360,293
Net asset value per share	$	8.57
C-CLASS:
Net Assets	$	3,336,375
Capital shares outstanding		387,710
Net asset value per share	$	8.61
INSTITUTIONAL CLASS:
Net Assets	$	10,295
Capital shares outstanding		1,088
Net asset value per share	$	9.46

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2012

INVESTMENT INCOME:
Dividends	$	209,606
Interest		64
Total investment income		209,670
EXPENSES:
Management fees		121,146
Transfer agent/maintenance fees
A-Class		72,095
B-Class		11,600
C-Class		7,645
Institutional Class		5
Distribution and service fees:
A-Class		32,824
B-Class		14,891
C-Class		15,333
Fund accounting/administration fees		15,345
Registration fees		18,826
Custodian fees		2,124
Directors’ fees*		1,464
Miscellaneous		20,892
Total expenses		334,190
Less:
Expenses waived by Advisor		(93,359	)
Net expenses		240,831
Net investment loss		(31,161	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		1,671,856
Net realized gain		1,671,856
Net change in unrealized appreciation (depreciation) on:
Investments		6,241,728
Net change in unrealized appreciation (depreciation)		6,241,728
Net realized and unrealized gain		7,913,584
Net increase in net assets resulting from operations	$	7,882,423

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

50  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

LARGE CAP CONCENTRATED GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

		Period Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
INCREASE (DECREASE)IN NET ASSETSFROM OPERATIONS:
Net investment loss		$	(31,161	)	$	(149,480	)
Net realized gain on investments			1,671,856			5,536,174
Net change in unrealized appreciation (depreciation) on investments			6,241,728			(5,217,813	)
Net increase in net assets resulting from operations			7,882,423			168,881
DISTRIBUTIONSTO SHAREHOLDERSFROM:
Net investment income
A-Class			—			(136,272	)
Total distributions to shareholders			—			(136,272	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class			2,997,682			6,625,536
B-Class			53,631			432,234
C-Class			191,176			912,085
Institutional Class1			10,000			—
Distributions reinvested
A-Class			—			135,329
Cost of shares redeemed
A-Class			(4,480,821	)		(12,415,678	)
B-Class			(563,485	)		(2,268,242	)
C-Class			(350,205	)		(1,408,613	)
Institutional Class1			—			—
Net decrease from capital share transactions			(2,142,022	)		(7,987,349	)
Net increase (decrease) in Net Assets			5,740,401			(7,954,740	)
NET ASSETS:
Beginning of period			28,989,943			36,944,683
End of period		$	34,730,344		$	28,989,943
Accumulated net investment loss at end of period		$	(31,161	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold	��
A-Class			359,532			770,941
B-Class			7,339			55,464
C-Class			24,677			115,065
Institutional Class1			1,088			—
Shares issued from reinvestment of distributions
A-Class			—			16,034
Shares redeemed
A-Class			(526,743	)		(1,435,726	)
B-Class			(74,342	)		(287,335	)
C-Class			(45,471	)		(177,984	)
Institutional Class1			—			—
Net decrease in shares			(253,920	)		(943,541	)

¹  Since commencement of operations: March 1, 2012.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  51

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.

A-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Year Ended September 30, 2008			Year Ended September 30, 2007
Per Share Data
Net asset value, beginning of period	$	7.40		$	7.63		$	6.95		$	6.91		$	10.66		$	9.86
Income (loss) from investment operations:
Net investment income (loss)b		(—	)c		(.02	)		.04			.01			(.02	)		(.01	)
Net gain (loss) on investments (realized and unrealized)		2.06			(.17	)		.64			.03			(2.87	)		.81
Total from investment operations		2.06			(.19	)		.68			.04			(2.89	)		.80
Less distributions from:
Net investment income		—			(.04	)		—			—			—			—
Net realized gains		—			—			—			—			(.86	)		—
Total distributions		—			(.04	)		—			—			(.86	)		—
Net asset value, end of period	$	9.46		$	7.40		$	7.63		$	6.95		$	6.91		$	10.66
Total Returnd		27.84	%		(2.59	%)		9.78	%		0.58	%		(28.85	%)		8.11	%
Ratios/Supplemental Data
Net Assets, end of period (in thousands)	$	28,296		$	23,358		$	29,059		$	22,425		$	23,723		$	30,375
Ratios to average Net Assets:
Net investment income (loss)		(0.05	%)		(0.22	%)		0.52	%		0.09	%		(0.20	%)		(0.10	%)
Total expenses		1.91	%		1.70	%		1.73	%		2.04	%		1.72	%		1.57	%
Net expensese		1.35	%		1.35	%		1.35	%		1.35	%		1.35	%		1.40	%
Portfolio turnover rate		99	%		158	%		190	%		134	%		198	%g		21	%
B-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Year Ended September 30, 2008			Year Ended September 30, 2007
Per Share Data
Net asset value, beginning of period	$	6.72		$	6.96		$	6.39		$	6.40		$	10.01		$	9.33
Income (loss) from investment operations:
Net investment lossb		(.03	)		(.08	)		(.02	)		(.03	)		(.08	)		(.09	)
Net gain (loss) on investments (realized and unrealized)		1.88			(.16	)		.59			.02			(2.67	)		.77
Total from investment operations		1.85			(.24	)		.57			(.01	)		(2.75	)		.68
Less distributions from:
Net realized gains		—			—			—			—			(.86	)		—
Total distributions		—			—			—			—			(.86	)		—
Net asset value, end of period	$	8.57		$	6.72		$	6.96		$	6.39		$	6.40		$	10.01
Total Returnd		27.53	%		(3.45	%)		8.92	%		(0.16	%)		(29.36	%)		7.29	%
Ratios/Supplemental Data
Net Assets, end of period (in thousands)	$	3,088		$	2,873		$	4,590		$	5,740		$	7,394		$	10,868
Ratios to average Net Assets:
Net investment loss		(0.79	%)		(0.97	%)		(0.31	%)		(0.66	%)		(0.95	%)		(0.88	%)
Total expenses		2.90	%		2.46	%		2.48	%		2.79	%		2.47	%		2.32	%
Net expensese		2.10	%		2.10	%		2.10	%		2.10	%		2.10	%		2.15	%
Portfolio turnover rate		99	%		158	%		190	%		134	%		198	%g		21	%

52  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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.

C-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Year Ended September 30, 2008			Year Ended September 30, 2007
Per Share Data
Net asset value, beginning of period	$	6.75		$	6.99		$	6.41		$	6.42		$	10.04		$	9.36
Income (loss) from investment operations:
Net investment lossb		(.03	)		(.08	)		(.02	)		(.03	)		(.08	)		(.08	)
Net gain (loss) on investments (realized and unrealized)		1.89			(.16	)		.60			.02			(2.68	)		.76
Total from investment operations		1.86			(.24	)		.58			(.01	)		(2.76	)		.68
Less distributions from:
Net realized gains		—			—			—			—			(.86	)		—
Total distributions		—			—			—			—			(.86	)		—
Net asset value, end of period	$	8.61		$	6.75		$	6.99		$	6.41		$	6.42		$	10.04
Total Returnd		27.56	%		(3.43	%)		9.05	%		(0.16	%)		(29.37	%)		7.26	%
Ratios/Supplemental Data
Net Assets, end of period (in thousands)	$	3,336		$	2,758		$	3,296		$	3,742		$	5,501		$	11,245
Ratios to average Net Assets:
Net investment loss		(0.80	%)		(0.97	%)		(0.27	%)		(0.66	%)		(0.92	%)		(0.86	%)
Total expenses		2.62	%		2.46	%		2.48	%		2.78	%		2.46	%		2.32	%
Net expensese		2.10	%		2.10	%		2.10	%		2.10	%		2.10	%		2.15	%
Portfolio turnover rate		99	%		158	%		190	%		134	%		198	%g		21	%

Institutional Class	Period Ended March 31, 2012a,f
Per Share Data
Net asset value, beginning of period	$	9.19
Income (loss) from investment operations:
Net investment lossb		(.01	)
Net gain on investments (realized and unrealized)		.28
Total from investment operations		.27
Net asset value, end of period	$	9.46
Total Returnd		2.94	%
Ratios/Supplemental Data
Net Assets, end of period (in thousands)	$	10
Ratios to average Net Assets:
Net investment loss		(0.69	%)
Total expensesh		1.90	%
Net expensese,h		1.09	%
Portfolio turnover rate		99	%

^a  Unaudited figures for the period ended March 31, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

^c  Net investment income is less than $0.01 per share.

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

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

^f  Since commencement of operations: March 1, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^g  Significant variation in the portfolio turnover rate is due to the Investment Manager’s appointment of new portfolio managers for the Fund.

^h  Due to the limited length of Class operations, current expense ratios may not be indicative of future expense ratios.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  53

FUND PROFILE (Unaudited) March 31, 2012

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)

“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)
iShares MSCI EAFE Index Fund	5.0	%
iShares MSCI Japan Index Fund	0.9	%
Vanguard MSCI EAFE ETF	0.9	%
Guggenheim MSCI EAFE Equal Weight ETF	0.3	%
Veolia Environnement S.A.	0.1	%
Hellenic Telecommunications Organization S.A.	0.1	%
Essar Energy plc	0.1	%
Ryanair Holdings plc ADR	0.1	%
Cobham plc	0.1	%
JGC Corp.	0.1	%
Top Ten Total	7.7	%

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

54  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2012
MSCI EAFE EQUAL WEIGHT FUND

	SHARES		VALUE
COMMON STOCKS†—94.8%
Financials—20.9%
QBE Insurance Group Ltd.		6,218	$	91,263
Mitsubishi Estate Company Ltd.		5,000		89,140
Japan Prime Realty Investment Corp.		31		89,080
Admiral Group plc		4,657		88,350
London Stock Exchange Group plc		5,195		85,842
Bank Hapoalim BM		23,340		85,700
3i Group plc		24,876		85,116
Bank of Yokohama Ltd.		17,000		85,010
CNP Assurances		5,407		84,378
Wing Hang Bank Ltd.		8,490		84,346
Corio N.V.		1,595		84,137
Klepierre		2,424		84,059
Natixis		21,841		84,043
KBC Groep N.V.		3,336		83,695
Eurazeo		1,643		83,601
ICADE		936		83,507
Fonciere Des Regions		1,039		83,466
Legal & General Group plc		39,933		83,424
Nomura Real Estate Office Fund, Inc. — Class A		14		83,283
Aeon Credit Service Company Ltd.		5,290		83,193
Mizrahi Tefahot Bank Ltd.*		9,225		83,115
Credit Saison Company Ltd.		4,090		82,749
GAM Holding AG*		5,673		82,641
Shizuoka Bank Ltd.		8,000		82,329
Land Securities Group plc		7,123		82,265
Zurich Financial Services AG*		306		82,237
Swiss Re AG*		1,285		82,065
Deutsche Bank AG		1,647		81,950
Gecina S.A.		783		81,814
Suruga Bank Ltd.		8,000		81,652
Bank of Kyoto Ltd.		9,000		81,640
Dai-ichi Life Insurance Company Ltd.		59		81,455
Aeon Mall Company Ltd.		3,500		81,297
Aegon N.V.*		14,626		81,231
City Developments Ltd.		8,990		81,167
Chugoku Bank Ltd.		6,000		81,097
Hammerson plc		12,187		81,000
Swiss Life Holding AG*		680		80,904
Daito Trust Construction Company Ltd.		900		80,771
Prudential plc		6,753		80,747
CapitaMalls Asia Ltd.		61,940		80,560
Macquarie Group Ltd.		2,673		80,513
Tryg A		1,424		80,291
Groupe Bruxelles Lambert S.A.		1,037		80,277
Ratos AB — Class B		5,778		80,217
Hannover Rueckversicherung AG		1,348		80,080
First Pacific Co. Ltd.		72,123		79,965
Fukuoka Financial Group, Inc.		18,000		79,792
Partners Group Holding AG		408		79,593
Shinsei Bank Ltd.		60,920		79,470
Investment AB Kinnevik — Class B		3,415		79,440
CapitaLand Ltd.		32,000		79,421
Daiwa House Industry Company Ltd.		6,000		79,285
Japan Real Estate Investment Corp.		9		79,249
IMMOFINANZ AG*		21,799		79,200

	SHARES		VALUE
Credit Suisse Group AG		2,778	$	79,182
Muenchener Rueckversicherungs AG		524		79,011
DNB ASA		6,145		79,002
Unibail-Rodamco SE		395		79,000
NTT Urban Development Corp.		97		78,968
DBS Group Holdings Ltd.		7,000		78,960
CapitaMall Trust		54,950		78,900
Westpac Banking Corp.		3,475		78,790
T&D Holdings, Inc.		6,800		78,768
Bank Leumi Le-Israel BM		25,002		78,727
Global Logistic Properties Ltd.*		44,950		78,665
Gjensidige Forsikring ASA		6,648		78,522
AXA S.A.		4,735		78,501
Westfield Retail Trust		29,348		78,428
Swire Pacific Ltd. — Class A		6,990		78,356
Schroders plc		3,102		78,350
Australia & New Zealand Banking Group Ltd.		3,252		78,348
Tokyu Land Corp.		16,000		78,270
Insurance Australia Group Ltd.		22,214		78,230
National Australia Bank Ltd.		3,070		78,225
Man Group plc		36,278		78,168
British Land Company plc		10,183		78,154
Baloise Holding AG		970		78,120
Link REIT		20,980		78,078
Oversea-Chinese Banking Corporation Ltd.		10,990		77,982
Sampo Oyj — Class A		2,696		77,922
Joyo Bank Ltd.		17,000		77,823
Segro plc		20,695		77,695
Ageas		35,313		77,620
Hiroshima Bank Ltd.		17,000		77,618
AIA Group Ltd.		21,180		77,595
ICAP plc		12,344		77,541
SCOR SE		2,865		77,419
Nomura Real Estate Holdings, Inc.		4,390		77,365
ASX Ltd.		2,249		77,339
Singapore Exchange Ltd.		14,000		77,289
Keppel Land Ltd.		28,000		77,288
Julius Baer Group Ltd.*		1,910		77,102
AMP Ltd.		17,230		77,097
Ascendas Real Estate Investment Trust		47,950		77,050
Goodman Group*		107,756		77,012
Old Mutual plc		30,360		76,974
Hang Seng Bank Ltd.		5,790		76,946
Hang Lung Properties Ltd.		21,000		76,935
Resolution Ltd.		18,399		76,904
Tokio Marine Holdings, Inc.		2,800		76,806
Seven Bank Ltd.		35,100		76,738
Randstad Holding N.V.		2,033		76,710
Raiffeisen Bank International AG		2,169		76,664
Hachijuni Bank Ltd.		13,000		76,628
Deutsche Boerse AG		1,138		76,621
Chiba Bank Ltd.		12,000		76,531
Mitsubishi UFJ Lease & Finance Company Ltd.		1,740		76,502
Mitsui Fudosan Company Ltd.		4,000		76,483
Banco Popolare SC		40,294		76,423
Kerry Properties Ltd.		16,980		76,421
Sony Financial Holdings, Inc.		4,300		76,350

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  55

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2012
MSCI EAFE EQUAL WEIGHT FUND

	SHARES		VALUE
Capital Shopping Centres Group plc		14,392	$	76,271
Vienna Insurance Group AG Wiener Versicherung Gruppe		1,727		76,175
Israel Discount Bank Ltd. — Class A*		57,556		76,171
Standard Life plc		20,713		76,073
Investor AB — Class B		3,430		76,056
Suncorp Group Ltd.		8,741		76,052
Exor SpA		3,011		76,023
Nippon Building Fund, Inc.		8		75,951
BOC Hong Kong Holdings Ltd.		27,470		75,877
Japan Retail Fund Investment Corp.		51		75,708
Sumitomo Mitsui Financial Group, Inc.		2,300		75,648
Royal Bank of Scotland Group plc*		170,901		75,534
Westfield Group		8,251		75,464
Mizuho Financial Group, Inc.		46,250		75,417
Commonwealth Bank of Australia		1,453		75,400
ORIX Corp.		790		75,384
Danske Bank A*		4,450		75,369
UOL Group Ltd.		19,980		75,336
UBS AG*		5,373		75,295
HSBC Holdings plc		8,481		75,253
Allianz AG		630		75,180
Industrivarden AB — Class C		5,056		75,123
Aozora Bank Ltd.		26,000		75,057
Mitsubishi UFJ Financial Group, Inc.		15,080		75,045
Government Properties Trust, Inc.		23,214		75,020
Commerzbank AG*		29,646		75,010
RSA Insurance Group plc		44,815		74,913
Gunma Bank Ltd.		14,000		74,912
SBI Holdings, Inc.*		794		74,902
CFS Retail Property Trust		40,333		74,780
Bank of East Asia Ltd.		19,780		74,376
Standard Chartered plc		2,977		74,288
Barclays plc		19,688		74,072
Investec plc		12,108		74,025
Pargesa Holding S.A.		1,028		73,909
MS&AD Insurance Group Holdings		3,600		73,878
UniCredit SpA		14,746		73,873
BNP Paribas S.A.		1,555		73,783
Svenska Handelsbanken AB — Class A		2,314		73,765
NKSJ Holdings, Inc.		3,300		73,741
Lend Lease Group		9,525		73,698
Skandinaviska Enskilda Banken AB — Class A		10,351		73,534
Mirvac Group REIT		60,669		73,523
Nishi-Nippon City Bank Ltd.		26,000		73,487
Bendigo and Adelaide Bank Ltd.		9,151		73,458
Lloyds Banking Group plc*		136,463		73,356
Pohjola Bank plc — Class A		6,600		73,108
Resona Holdings, Inc.		15,880		73,080
Assicurazioni Generali SpA		4,699		72,953
Nordea Bank AB		8,015		72,870
Credit Agricole S.A.		11,723		72,863
United Overseas Bank Ltd.		4,990		72,839
Mapfre S.A.		22,597		72,756
Yamaguchi Financial Group, Inc.		8,000		72,666
Hokuhoku Financial Group, Inc.		37,960		72,445
Sumitomo Realty & Development Company Ltd.		3,000		72,291

	SHARES		VALUE
ING Groep N.V.*		8,657	$	72,131
Nomura Holdings, Inc.		16,300		72,059
Hysan Development Company Ltd.		17,980		72,007
Dexus Property Group		79,775		71,888
Henderson Land Development Company Ltd.		12,990		71,678
Erste Group Bank AG		3,103		71,558
Intesa Sanpaolo SpA		46,195		71,287
Hang Lung Group Ltd.		10,990		71,115
Daiwa Securities Group, Inc.		18,000		71,096
Iyo Bank Ltd.		8,000		70,830
Wharf Holdings Ltd.		12,990		70,591
Delta Lloyd N.V.		4,012		70,528
Stockland		23,140		70,466
Banco Santander S.A.		9,139		70,333
Swedbank AB — Class A		4,519		70,217
Sumitomo Mitsui Trust Holdings, Inc.		21,980		70,090
Sino Land Company Ltd.		43,400		69,301
Wheelock & Company Ltd.		22,980		69,245
Aviva plc		13,044		69,148
Intesa Sanpaolo SpA		38,537		69,081
Hong Kong Exchanges and Clearing Ltd.		4,100		68,900
Societe Generale S.A.		2,350		68,847
New World Development Co. Ltd.		57,000		68,483
Bankia S.A.*		18,826		68,198
Mediobanca SpA		11,558		67,891
Unione di Banche Italiane SCPA		16,012		67,871
Banco Popular Espanol S.A.		18,838		67,588
Banco Bilbao Vizcaya Argentaria S.A.		8,477		67,466
Banco de Sabadell S.A.		23,796		64,810
Cheung Kong Holdings Ltd.		5,000		64,580
Banco Espirito Santo S.A.		34,821		63,628
CaixaBank		15,963		62,149
Sun Hung Kai Properties Ltd.		5,000		62,133
Banca Carige SpA		47,181		61,922
Banca Monte dei Paschi di Siena SpA		146,479		61,757
National Bank of Greece S.A.*		23,925		61,268
Bankinter S.A.		11,553		60,604
Total Financials				15,661,008
Industrials—18.6%
Ryanair Holdings plc ADR*		2,645		95,961
Cobham plc		25,921		94,951
JGC Corp.		3,000		92,947
MAN SE		671		89,343
Chiyoda Corp.		6,990		88,737
FANUC Corp.		500		88,657
Safran S.A.		2,371		87,139
European Aeronautic Defence and Space Company N.V.		2,122		86,904
International Consolidated Airlines Group S.A.*		30,333		86,781
Intertek Group plc		2,133		85,641
NGK Insulators Ltd.		6,000		85,589
Campbell Brothers Ltd.		1,224		85,234
Edenred		2,830		85,155
Keisei Electric Railway Company Ltd.		11,000		85,035
Bunzl plc		5,240		84,072
Deutsche Post AG		4,363		84,001
Brenntag AG		683		83,645

56  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2012
MSCI EAFE EQUAL WEIGHT FUND

	SHARES		VALUE
Babcock International Group plc		6,545	$	83,337
Secom Company Ltd.		1,700		83,162
TOTO Ltd.		11,000		82,777
Mitsubishi Logistics Corp.		7,000		82,606
Mitsubishi Heavy Industries Ltd.		16,980		82,244
Sydney Airport		27,556		81,917
Hitachi Construction Machinery Company Ltd.		3,700		81,830
Dai Nippon Printing Company Ltd.		8,000		81,749
Orient Overseas International Ltd.		11,490		81,748
Scania AB — Class B		3,927		81,675
Elbit Systems Ltd.		2,103		81,585
Wartsila Oyj		2,159		81,436
JTEKT Corp.		6,790		81,277
Meggitt plc		12,563		81,148
Neptune Orient Lines Ltd.		72,000		81,044
Bureau Veritas S.A.		918		80,811
Sumitomo Electric Industries Ltd.		5,890		80,605
ComfortDelGro Corporation Ltd.		64,930		80,575
Assa Abloy AB — Class B		2,565		80,564
Experian plc		5,157		80,389
Singapore Technologies Engineering Ltd.		31,000		80,145
Hutchison Whampoa Ltd.		8,000		79,943
Fraser and Neave Ltd.		14,980		79,839
SGS S.A.		41		79,756
SembCorp Marine Ltd.		18,980		79,719
SembCorp Industries Ltd.		18,980		79,719
Tobu Railway Company Ltd.		15,000		79,539
Koninklijke Vopak N.V.		1,380		79,505
SMC Corp.		500		79,478
Hino Motors Ltd.		11,000		79,454
Qantas Airways Ltd.*		42,974		79,454
Delek Group Ltd.		406		79,420
Marubeni Corp.		11,000		79,321
Toyota Tsusho Corp.		3,890		79,172
Keio Corp.		11,000		78,790
Keikyu Corp.		9,000		78,705
MTR Corp. Ltd.		21,980		78,686
Keppel Corporation Ltd.		8,990		78,594
Nippon Yusen KK		25,000		78,512
Sulzer AG		551		78,313
Rolls-Royce Holdings plc*		6,016		78,141
Thales S.A.		2,086		78,070
Toppan Printing Company Ltd.		10,000		78,029
Nippon Express Company Ltd.		20,000		78,029
Volvo AB — Class B		5,354		78,013
Aggreko plc		2,167		77,959
Balfour Beatty plc		17,066		77,911
Sumitomo Heavy Industries Ltd.		14,000		77,787
Prysmian SpA		4,417		77,647
GEA Group AG		2,247		77,502
Groupe Eurotunnel S.A.		8,923		77,501
Vinci S.A.		1,486		77,496
JS Group Corp.		3,700		77,450
Adecco S.A.*		1,478		77,445
Siemens AG		767		77,329
Toll Holdings Ltd.		12,711		77,284
Kinden Corp.		10,000		77,183

	SHARES		VALUE
Yangzijiang Shipbuilding Holdings Ltd.		72,940	$	77,170
Aeroports de Paris		940		77,156
Singapore Airlines Ltd.		9,000		77,106
Mabuchi Motor Company Ltd.		1,700		77,105
Alfa Laval AB		3,744		77,020
NSK Ltd.		10,000		76,942
Abertis Infraestructuras S.A.		4,519		76,939
Deutsche Lufthansa AG		5,495		76,919
Koninklijke Boskalis Westminster N.V.		2,047		76,897
Kubota Corp.		8,000		76,821
Wendel S.A.		899		76,800
Noble Group Ltd.		69,950		76,789
GS Yuasa Corp.		14,000		76,773
Fiat Industrial SpA*		7,191		76,730
Societe BIC S.A.		764		76,670
Legrand S.A.		2,080		76,542
Sumitomo Corp.		5,290		76,420
Capita plc		6,523		76,379
Fuji Electric Company Ltd.		29,000		76,362
West Japan Railway Co.		1,900		76,308
Shimizu Corp.		19,000		76,193
Makita Corp.		1,900		76,193
Kintetsu Corp.		20,000		76,096
Wolseley plc		1,995		76,079
Kuehne + Nagel International AG		562		76,017
Kajima Corp.		24,970		76,005
Tokyu Corp.		16,000		75,951
Securitas AB — Class B		7,872		75,913
Cathay Pacific Airways Ltd.		40,970		75,866
Smiths Group plc		4,510		75,822
IHI Corp.		30,000		75,734
Taisei Corp.		29,000		75,661
DSV A		3,336		75,634
Odakyu Electric Railway Company Ltd.		8,000		75,565
ABB Ltd.*		3,683		75,561
Yamato Holdings Company Ltd.		4,890		75,544
TNT Express N.V.		6,115		75,525
East Japan Railway Co.		1,200		75,516
All Nippon Airways Company Ltd.		25,000		75,492
Auckland International Airport Ltd.		37,449		75,428
Schindler Holding AG		630		75,304
Eiffage S.A.		1,946		75,296
Fraport AG Frankfurt Airport Services Worldwide		1,202		75,270
Serco Group plc		8,676		75,220
Finmeccanica SpA		13,829		74,886
N.V. Bekaert S.A.		2,323		74,841
Schindler Holding AG—Participation Certificate		622		74,830
Asciano Ltd.		14,734		74,780
Atlantia SpA		4,500		74,725
Kawasaki Kisen Kaisha Ltd.*		33,980		74,699
Kamigumi Company Ltd.		9,000		74,466
Geberit AG*		355		74,288
Transurban Group		12,801		74,251
Vestas Wind Systems A*		7,317		74,225
Hutchison Port Holdings Trust		97,000		74,205
ITOCHU Corp.		6,800		74,168
Central Japan Railway Co.		9		74,139

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  57

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2012
MSCI EAFE EQUAL WEIGHT FUND

	SHARES		VALUE
Amada Company Ltd.		11,000	$	74,139
Cosco Corporation Singapore Ltd.		80,000		74,139
Obayashi Corp.		17,000		74,127
Komatsu Ltd.		2,600		74,084
G4S plc		16,993		74,045
Mitsui OSK Lines Ltd.		17,000		73,922
BAE Systems plc		15,386		73,786
AP Moeller—Maersk A — Class A*		10		73,554
Schneider Electric S.A.		1,125		73,510
Kurita Water Industries Ltd.		3,000		73,487
Koninklijke Philips Electronics N.V.*		3,622		73,430
Kawasaki Heavy Industries Ltd.		24,000		73,342
Invensys plc		22,999		73,174
Brambles Ltd.		9,945		73,136
Orkla ASA		9,230		73,046
Skanska AB — Class B		4,207		72,937
Sojitz Corp.		40,800		72,936
Nidec Corp.		800		72,859
Zardoya Otis S.A.		5,618		72,759
Hopewell Holdings Ltd.		26,500		72,686
SKF AB — Class B		2,971		72,525
Mitsui & Company Ltd.		4,400		72,120
Mitsubishi Corp.		3,100		71,893
NTN Corp.		17,000		71,869
THK Company Ltd.		3,500		71,150
Cie de St.-Gobain		1,592		71,101
Bouygues S.A.		2,323		71,046
QR National Ltd.		18,371		70,976
Atlas Copco AB — Class A		2,930		70,904
Atlas Copco AB — Class B		3,287		70,848
Daikin Industries Ltd.		2,600		70,755
Mitsubishi Electric Corp.		8,000		70,733
Sandvik AB		4,880		70,442
NWS Holdings Ltd.		46,000		70,372
Ushio, Inc.		5,000		70,238
Kone Oyj — Class B		1,260		70,197
AP Moeller—Maersk A — Class B*		9		69,489
Alstom S.A.		1,775		69,272
Ferrovial S.A.		6,012		69,105
Furukawa Electric Company Ltd.		26,000		69,090
Metso Oyj		1,604		68,567
Japan Steel Works Ltd.		10,000		68,487
Vallourec S.A.		1,071		67,853
Asahi Glass Company Ltd.		8,000		67,834
Nabtesco Corp.		3,300		67,682
Nippon Sheet Glass Company Ltd.		43,980		67,465
Fomento de Construcciones y Contratas S.A.		2,937		65,615
ACS Actividades de Construccion y
Servicios S.A.		2,524		64,602
Hochtief AG		1,037		62,918
Leighton Holdings Ltd.		2,814		62,141
Weir Group plc		2,181		61,507
Rolls-Royce Holdings plc — Class C*,††		544,962		872
Total Industrials				13,959,113
Consumer Discretionary—13.8%
Takashimaya Company Ltd.		11,000		91,279
Fast Retailing Company Ltd.		400		91,122

	SHARES		VALUE
Shimamura Company Ltd.		800	$	89,479
J Front Retailing Company Ltd.		16,000		89,286
Galaxy Entertainment Group Ltd.*		31,960		88,279
Nikon Corp.		2,900		87,991
Wynn Macau Ltd.		29,980		87,636
Pirelli & C SpA		7,246		86,208
ITV plc		60,872		85,979
Sega Sammy Holdings, Inc.		4,100		85,872
Oriental Land Company Ltd.		800		85,711
NGK Spark Plug Company Ltd.		6,000		85,591
JCDecaux S.A.*		2,798		85,498
Modern Times Group AB — Class B		1,548		85,263
Kingfisher plc		17,345		85,095
Benesse Holdings, Inc.		1,700		84,702
Whitbread plc		2,863		84,404
Shimano, Inc.		1,400		84,298
Next plc		1,767		84,287
Marks & Spencer Group plc		13,797		83,623
Isetan Mitsukoshi Holdings Ltd.		7,090		83,240
Carnival plc		2,604		83,183
WPP plc		6,083		83,147
Yamaha Corp.		7,990		82,805
Nokian Renkaat Oyj		1,699		82,803
Dentsu, Inc.		2,600		82,783
ABC-Mart, Inc.		2,200		82,776
Sands China Ltd.		21,170		82,738
NOK Corp.		3,800		82,619
Kabel Deutschland Holding AG*		1,335		82,459
Yue Yuen Industrial Holdings Ltd.		23,480		82,393
OPAP S.A.		8,482		82,246
Burberry Group plc		3,432		82,129
Isuzu Motors Ltd.		14,000		82,014
Toyota Motor Corp.		1,900		81,930
Sodexo		995		81,697
Rakuten, Inc.		78		81,684
Marui Group Company Ltd.		9,800		81,677
Nitori Holdings Company Ltd.		900		81,314
Luxottica Group SpA		2,245		81,296
Singapore Press Holdings Ltd.		26,000		81,074
USS Company Ltd.		800		81,073
Koito Manufacturing Company Ltd.		5,000		80,867
Sumitomo Rubber Industries Ltd.		6,090		80,842
Toho Company Ltd.		4,400		80,730
Cie Generale des Etablissements Michelin — Class B		1,083		80,645
Intercontinental Hotels Group plc		3,471		80,619
Axel Springer AG		1,595		80,564
Compass Group plc		7,666		80,382
Fuji Heavy Industries Ltd.		10,000		80,324
Sharp Corp.		11,000		80,252
Jupiter Telecommunications Company Ltd.		80		80,106
Bridgestone Corp.		3,300		79,959
Genting Singapore plc*		58,950		79,954
SES S.A.		3,216		79,805
Toyoda Gosei Company Ltd.		4,100		79,781
Nissan Motor Company Ltd.		7,490		79,704
Cie Financiere Richemont S.A.		1,271		79,693

58  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2012
MSCI EAFE EQUAL WEIGHT FUND

	SHARES		VALUE
Inditex S.A.		831	$	79,603
NHK Spring Company Ltd.		7,400		79,551
Rinnai Corp.		1,100		79,188
Namco Bandai Holdings, Inc.		5,490		79,177
Casio Computer Co. Ltd.*		11,090		79,166
Hakuhodo DY Holdings, Inc.		1,260		79,140
Lagardere SCA		2,565		79,131
Autogrill SpA		7,481		78,976
Swatch Group AG/REG		982		78,923
Mazda Motor Corp.*		45,000		78,814
Continental AG*		834		78,722
Swatch Group AG		171		78,709
Accor S.A.		2,198		78,480
Sankyo Company Ltd.		1,600		78,464
Reed Elsevier N.V.		6,139		78,409
Sekisui House Ltd.		8,000		78,367
Crown Ltd.		8,699		78,300
SKYCITY Entertainment Group Ltd.		24,215		78,116
Sekisui Chemical Company Ltd.		9,000		78,053
LVMH Moet Hennessy Louis Vuitton S.A.		454		78,023
Li & Fung Ltd.		33,960		77,929
ProSiebenSat.1 Media AG		3,027		77,800
Reed Elsevier plc		8,770		77,789
Publicis Groupe S.A.		1,407		77,570
SJM Holdings Ltd.		37,970		77,254
PPR		449		77,254
Aisin Seiki Company Ltd.		2,200		77,222
Societe Television Francaise 1		6,304		77,195
Panasonic Corp.		8,390		77,120
McDonald’s Holdings Company Japan Ltd.		2,900		76,922
Jardine Cycle & Carriage Ltd.		2,000		76,828
Denso Corp.		2,300		76,815
British Sky Broadcasting Group plc		7,087		76,635
Hennes & Mauritz AB — Class B		2,113		76,460
Suzuki Motor Corp.		3,200		76,415
Husqvarna AB — Class B		12,656		76,346
Echo Entertainment Group Ltd.		16,789		76,341
Electrolux AB		3,608		76,295
Adidas AG		977		76,284
TUI Travel plc		24,270		76,170
Wolters Kluwer N.V.		4,017		76,081
Lifestyle International Holdings Ltd.		29,970		76,029
Honda Motor Company Ltd.		2,000		75,975
Renault S.A.		1,438		75,808
Bayerische Motoren Werke AG		1,276		75,794
Christian Dior S.A.		493		75,651
Toyota Industries Corp.		2,500		75,371
Yamada Denki Company Ltd.		1,200		74,937
Eutelsat Communications S.A.		2,020		74,684
Shangri-La Asia Ltd.		33,970		74,278
Sony Corp.		3,600		74,096
Fiat SpA		12,581		73,967
Bayerische Motoren Werke AG		817		73,478
Daihatsu Motor Company Ltd.		4,000		73,246
Volkswagen AG		454		73,209
Daimler AG		1,210		72,963
Tatts Group Ltd.		28,312		72,726

	SHARES		VALUE
TABCORP Holdings Ltd.		25,785	$	72,645
Pearson plc		3,897		72,560
Volkswagen AG		412		72,454
Sanoma Oyj		5,602		71,730
Stanley Electric Company Ltd.		4,500		71,476
Mitsubishi Motors Corp.*		62,930		71,451
Asics Corp.		6,290		71,113
Yamaha Motor Company Ltd.		5,300		70,995
Toyota Boshoku Corp.		5,990		70,615
Sanrio Co. Ltd.		1,800		70,226
Harvey Norman Holdings Ltd.		33,580		69,911
Porsche Automobil Holding SE		1,183		69,820
GKN plc		20,704		68,257
Fairfax Media Ltd.		90,813		68,196
Mediaset SpA		24,393		67,282
Peugeot S.A.		3,622		58,334
Total Consumer Discretionary				10,324,224
Materials—10.0%
OneSteel Ltd.		70,436		90,466
HeidelbergCement AG		1,445		87,471
Kaneka Corp.		14,000		84,382
Lanxess AG		1,003		82,916
Maruichi Steel Tube Ltd.		3,500		81,677
Toray Industries, Inc.		11,000		81,580
Linde AG		454		81,474
Shin-Etsu Chemical Company Ltd.		1,400		80,831
Israel Corporation Ltd.		120		80,781
Kansai Paint Company Ltd.		8,000		80,686
Fortescue Metals Group Ltd.		13,394		80,604
Umicore S.A.		1,456		80,214
Mitsubishi Gas Chemical Company, Inc.		12,000		80,155
Rexam plc		11,693		80,055
Iluka Resources Ltd.		4,336		79,897
Syngenta AG*		231		79,866
Fletcher Building Ltd.		14,453		79,759
Showa Denko KK		35,000		79,478
Johnson Matthey plc		2,088		78,757
Koninklijke DSM N.V.		1,359		78,640
Orica Ltd.		2,712		78,569
Air Liquide S.A.		589		78,528
Amcor Ltd.		10,168		78,357
Akzo Nobel N.V.		1,320		77,941
K+S AG		1,486		77,744
BASF SE		888		77,684
Taiyo Nippon Sanso Corp.		11,000		77,594
Israel Chemicals Ltd.		6,811		77,487
Lafarge S.A.		1,622		77,417
Air Water, Inc.		6,000		77,401
Arkema S.A.		830		77,349
Imerys S.A.		1,272		77,346
OJI Paper Company Ltd.		16,000		77,304
Daicel Corp.		12,000		77,256
Teijin Ltd.		23,000		77,232
Holcim Ltd.*		1,180		76,993
Svenska Cellulosa AB — Class B		4,424		76,632
Nitto Denko Corp.		1,900		76,537
Sumitomo Chemical Company Ltd.		18,000		76,531

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  59

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2012
MSCI EAFE EQUAL WEIGHT FUND

	SHARES		VALUE
JSR Corp.		3,800	$	76,468
Givaudan S.A.*		79		76,138
Daido Steel Company Ltd.		11,000		76,132
Denki Kagaku Kogyo KK		19,000		75,963
Cimpor Cimentos de Portugal SGPS S.A.		11,384		75,919
Toyo Seikan Kaisha Ltd.		5,290		75,845
Sika AG		35		75,762
James Hardie Industries SE		9,512		75,666
JFE Holdings, Inc.		3,500		75,166
Nippon Paper Group, Inc.		3,600		74,922
Kuraray Company Ltd.		5,290		74,823
Solvay S.A.		631		74,710
Sumitomo Metal Industries Ltd.		36,960		74,554
Hitachi Metals Ltd.		6,000		74,502
Alumina Ltd.		58,223		74,479
Stora Enso Oyj		10,021		74,447
Asahi Kasei Corp.		12,000		74,067
Novozymes A — Class B		2,537		73,888
Nisshin Steel Company Ltd.		44,000		73,874
Hitachi Chemical Company Ltd.		4,100		73,789
UPM-Kymmene Oyj		5,417		73,768
Yara International ASA		1,544		73,652
Lonmin plc		4,493		73,380
Rio Tinto plc		1,328		73,192
Sims Metal Management Ltd.		4,806		73,127
Mitsubishi Materials Corp.		23,000		72,787
CRH plc		3,551		72,465
Tosoh Corp.		25,980		72,175
Rio Tinto Ltd.		1,061		71,873
BHP Billiton plc		2,352		71,747
Holmen AB — Class B		2,611		71,709
Voestalpine AG		2,126		71,500
Nippon Steel Corp.		26,000		71,289
Kobe Steel Ltd.		43,960		71,152
BHP Billiton Ltd.		1,976		70,837
Incitec Pivot Ltd.		21,681		70,739
Ube Industries Ltd.		26,000		70,661
Sumitomo Metal Mining Company Ltd.		5,000		70,238
Yamato Kogyo Company Ltd.		2,400		70,008
Mitsui Chemicals, Inc.		23,000		69,731
Glencore International plc		11,176		69,614
ThyssenKrupp AG		2,795		69,581
Mitsubishi Chemical Holdings Corp.		12,990		69,351
Acerinox S.A.		5,374		69,075
Salzgitter AG		1,251		68,569
Xstrata plc		4,013		68,558
Norsk Hydro ASA		12,582		68,526
ArcelorMittal		3,568		68,195
Boliden AB		4,322		67,875
Anglo American plc		1,810		67,649
Boral Ltd.		16,151		67,418
SSAB AB — Class A		7,110		67,221
Antofagasta plc		3,649		67,184
Fresnillo plc		2,615		66,844
OZ Minerals Ltd.		6,611		66,832
Wacker Chemie AG		752		66,308
Newcrest Mining Ltd.		2,090		64,251

	SHARES		VALUE
Vedanta Resources plc		3,250	$	63,789
Lynas Corporation Ltd.*		55,966		63,476
Eurasian Natural Resources Corp. plc		6,597		62,525
Kazakhmys plc		4,192		60,853
Randgold Resources Ltd.		665		57,123
Total Materials				7,499,552
Consumer Staples—7.1%
Kirin Holdings Company Ltd.		7,000		90,554
Henkel AG & Company KGaA		1,435		89,574
Yakult Honsha Company Ltd.		2,600		89,346
Jeronimo Martins SGPS S.A.*		4,346		88,543
Henkel AG & Company KGaA		1,208		88,520
Ajinomoto Company, Inc.		6,990		87,639
Yamazaki Baking Company Ltd.		6,000		85,952
Anheuser-Busch InBev N.V.		1,166		85,193
FamilyMart Company Ltd.		2,000		84,551
Suedzucker AG		2,651		84,418
Kerry Group plc — Class A		1,823		84,372
L’Oreal S.A.		675		83,269
Seven & I Holdings Company Ltd.		2,800		83,131
Lawson, Inc.		1,300		81,809
Swedish Match AB		2,037		81,098
Heineken N.V.		1,456		80,932
Kikkoman Corp.		7,000		80,916
TESCO plc		15,323		80,886
Heineken Holding N.V.		1,720		80,523
Reckitt Benckiser Group plc		1,425		80,510
J Sainsbury plc		16,172		80,504
Golden Agri-Resources Ltd.		128,850		80,461
Lindt & Spruengli AG		25		80,315
WM Morrison Supermarkets plc		16,848		80,285
Distribuidora Internacional de Alimentacion S.A.*		16,179		80,209
Colruyt S.A.		1,993		80,119
Beiersdorf AG		1,226		80,003
Unicharm Corp.		1,500		79,176
Danone		1,133		79,034
Coca-Cola West Company Ltd.		4,500		78,869
Tate & Lyle plc		6,995		78,829
Japan Tobacco, Inc.		14		78,802
Imperial Tobacco Group plc		1,944		78,799
Olam International Ltd.		41,970		78,792
Carlsberg A — Class B		953		78,740
Kao Corp.		3,000		78,705
Casino Guichard Perrachon S.A.		798		78,656
MEIJI Holdings Company Ltd.		1,800		78,596
British American Tobacco plc		1,559		78,555
Nestle S.A.		1,248		78,527
Unilever plc		2,378		78,512
Nissin Foods Holdings Company Ltd.		2,100		78,506
Nisshin Seifun Group, Inc.		6,490		78,470
Unilever N.V.		2,305		78,442
Diageo plc		3,262		78,400
Coca Cola Hellenic Bottling Company S.A.*		4,090		78,281
Pernod-Ricard S.A.		748		78,217
Associated British Foods plc		4,000		77,997
Toyo Suisan Kaisha Ltd.		3,000		77,872

60  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2012
MSCI EAFE EQUAL WEIGHT FUND

	SHARES		VALUE
Shiseido Company Ltd.		4,500	$	77,618
Asahi Group Holdings Ltd.		3,500		77,491
Aeon Company Ltd.		5,890		77,405
Woolworths Ltd.		2,869		77,204
Koninklijke Ahold N.V.		5,569		77,175
Barry Callebaut AG*		77		77,154
Wesfarmers Ltd.		2,470		76,803
Coca-Cola Amatil Ltd.		5,942		76,748
Metcash Ltd.		17,190		76,562
Aryzta AG*		1,548		76,483
Nippon Meat Packers, Inc.		6,000		76,169
SABMiller plc		1,895		76,055
Metro AG		1,954		75,554
Carrefour S.A.		3,134		75,137
Lindt & Spruengli AG		2		74,432
Wilmar International Ltd.		19,000		74,059
Delhaize Group S.A.		1,404		73,875
Kesko Oyj — Class B*		2,267		73,566
Total Consumer Staples				5,351,899
Information Technology—6.5%
Hitachi Ltd.		14,000		89,794
Otsuka Corp.		1,100		89,419
NICE Systems Ltd.*		2,274		89,139
Sumco Corp.*		7,300		88,792
Advantest Corp.		5,600		88,204
Oracle Corporation Japan		2,300		87,372
Computershare Ltd.		9,328		86,956
STMicroelectronics N.V.		10,530		86,052
TDK Corp.		1,500		84,975
Dassault Systemes S.A.		913		84,012
Hirose Electric Company Ltd.		800		83,971
ASML Holding N.V.		1,662		83,083
Hamamatsu Photonics KK		2,200		83,041
Trend Micro, Inc.		2,700		82,934
Kyocera Corp.		900		82,401
Nomura Research Institute Ltd.		3,300		81,832
Ibiden Company Ltd.		3,200		81,826
Square Enix Holdings Company Ltd.		3,890		81,662
Seiko Epson Corp.		5,800		81,266
Shimadzu Corp.		9,000		81,206
Yokogawa Electric Corp.		8,000		80,879
NTT Data Corp.		23		80,815
Itochu Techno-Solutions Corp.		1,800		80,553
ARM Holdings plc		8,495		80,377
Canon, Inc.		1,700		80,288
ASM Pacific Technology Ltd.		5,500		80,245
Tokyo Electron Ltd.		1,400		80,070
Brother Industries Ltd.		5,890		79,823
SAP AG		1,142		79,753
Citizen Holdings Company Ltd.		12,590		79,685
Konami Corp.		2,800		79,343
Toshiba Corp.		18,000		79,140
Rohm Company Ltd.		1,600		78,947
Yahoo Japan Corp.		244		78,926
Hitachi High-Technologies Corp.		3,300		78,723
Konica Minolta Holdings, Inc.		8,990		78,509
Capital Gemini S.A.		1,746		78,154

	SHARES		VALUE
Ricoh Company Ltd.		8,000	$	77,787
Amadeus IT Holding S.A. — Class A		4,111		77,587
Keyence Corp.		330		77,567
Telefonaktiebolaget LM Ericsson — Class B		7,482		77,523
Foxconn International Holdings Ltd.*		108,850		77,514
Infineon Technologies AG		7,565		77,350
Murata Manufacturing Company Ltd.		1,300		77,020
AtoS		1,329		76,656
Sage Group plc		15,815		75,691
Omron Corp.		3,500		75,251
Nintendo Company Ltd.		500		75,190
Yaskawa Electric Corp.		8,000		75,178
Hoya Corp.		3,300		74,100
Fujitsu Ltd.		14,000		73,729
Hexagon AB — Class B		3,786		73,478
United Internet AG		3,886		73,237
FUJIFILM Holdings Corp.		3,100		72,679
Nokia Oyj		13,267		72,232
Neopost S.A.		1,104		71,004
Nippon Electric Glass Company Ltd.		8,000		69,477
NEC Corp.*		32,000		66,868
Alcatel-Lucent*		29,401		66,861
Indra Sistemas S.A.		5,417		66,384
Gree, Inc.		2,600		65,605
Dena Company Ltd.		2,300		63,702
Elpida Memory, Inc.*		18,800		227
Total Information Technology				4,882,064
Health Care—5.7%
Elan Corporation plc*		6,142		89,909
Kyowa Hakko Kirin Company Ltd.		8,000		88,900
Sysmex Corp.		2,200		88,755
Chugai Pharmaceutical Company Ltd.		4,800		88,474
Otsuka Holdings Company Ltd.		2,900		85,820
Cie Generale d’Optique Essilor International S.A.		962		85,749
Alfresa Holdings Corp.		1,800		85,554
Santen Pharmaceutical Company Ltd.		2,000		85,397
Medipal Holdings Corp.		6,490		84,035
Astellas Pharma, Inc.		2,000		82,136
Straumann Holding AG*		481		81,845
Coloplast A — Class B		472		81,718
CSL Ltd.		2,195		81,598
UCB S.A.		1,875		80,902
Grifols S.A.*		3,778		80,624
Hisamitsu Pharmaceutical Company, Inc.		1,700		80,595
Ramsay Health Care Ltd.		3,976		80,513
Suzuken Company Ltd.		2,600		80,145
Merck KGaA		723		80,019
William Demant Holding A*		855		79,684
Eisai Company Ltd.		2,000		79,478
Dainippon Sumitomo Pharma Company Ltd.		7,490		79,342
Sanofi		1,020		79,219
Sonic Healthcare Ltd.		6,092		79,001
Smith & Nephew plc		7,758		78,616
Mitsubishi Tanabe Pharma Corp.		5,600		78,531
Daiichi Sankyo Company Ltd.		4,300		78,323
Miraca Holdings, Inc.		2,000		78,029

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  61

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2012
MSCI EAFE EQUAL WEIGHT FUND

	SHARES		VALUE
Ono Pharmaceutical Company Ltd.		1,400	$	77,956
Teva Pharmaceutical Industries Ltd.		1,756		77,638
GlaxoSmithKline plc		3,474		77,604
Shionogi & Company Ltd.		5,600		77,381
Getinge AB — Class B		2,709		77,144
Cochlear Ltd.		1,194		76,554
Synthes, Inc.1		441		76,504
Terumo Corp.		1,600		76,434
AstraZeneca plc		1,707		75,882
Fresenius Medical Care AG & Co. KGaA		1,068		75,697
Roche Holding AG		434		75,531
Fresenius SE & Company KGaA		736		75,480
Tsumura & Co.		2,600		75,089
Sonova Holding AG*		675		75,000
Takeda Pharmaceutical Company Ltd.		1,700		74,846
QIAGEN N.V.*		4,791		74,605
Novo Nordisk A — Class B		538		74,487
Novartis AG		1,344		74,384
Taisho Pharmaceutical Holdings Co. Ltd.		900		72,944
Celesio AG		4,017		72,705
Actelion Ltd.*		1,988		72,675
Bayer AG		1,027		72,243
Lonza Group AG*		1,397		72,210
Olympus Corp.*		4,400		71,960
Shire plc		2,194		70,858
Orion Oyj — Class B		3,512		69,420
Total Health Care				4,246,142
Utilities—4.8%
Veolia Environnement S.A.		6,338		105,119
International Power plc ADR		14,112		91,424
Cheung Kong Infrastructure Holdings Ltd.		14,000		85,182
Suez Environnement Co.		5,448		83,564
Terna Rete Elettrica Nazionale SpA		20,566		82,675
Centrica plc		16,329		82,618
RWE AG		1,725		82,379
Hong Kong & China Gas Company Ltd.		31,960		81,900
RWE AG		1,851		81,385
Electric Power Development Company Ltd.		3,000		81,314
E.ON AG		3,386		81,110
SSE plc		3,815		81,103
AGL Energy Ltd.		5,281		80,682
SP AusNet		72,196		80,388
Osaka Gas Company Ltd.		20,000		80,203
Tokyo Gas Company Ltd.		17,000		80,082
Shikoku Electric Power Company, Inc.		2,800		78,903
Severn Trent plc		3,166		78,144
Red Electrica Corp. S.A.		1,591		77,858
United Utilities Group plc		8,086		77,736
Verbund AG		2,550		77,580
CLP Holdings Ltd.		8,990		77,564
Tohoku Electric Power Company, Inc.*		6,790		77,422
Power Assets Holdings Ltd.		10,490		76,997
EDP—Energias de Portugal S.A.		26,363		76,689
Toho Gas Company Ltd.		13,000		76,628
Snam SpA		15,905		76,497
National Grid plc		7,553		76,116
Chugoku Electric Power Company, Inc.		4,090		75,931
GDF Suez		2,919		75,413

	SHARES		VALUE
Fortum Oyj*		3,103	$	75,325
Hokkaido Electric Power Company, Inc.		5,100		74,846
Contact Energy Ltd.*		19,151		74,167
Kyushu Electric Power Company, Inc.		5,190		73,910
Chubu Electric Power Company, Inc.		4,090		73,807
Enel Green Power SpA		38,434		73,049
Enagas S.A.		3,794		73,021
Gas Natural SDG S.A.		4,545		72,623
Iberdrola S.A.		12,737		72,319
Kansai Electric Power Company, Inc.		4,600		71,231
EDP Renovaveis S.A.*		14,248		70,808
Hokuriku Electric Power Co.		3,900		70,472
EDF S.A.		3,088		70,471
Enel SpA		18,826		68,098
Acciona S.A.		963		67,253
Tokyo Electric Power Company, Inc.*		25,580		64,267
A2A SpA		75,952		60,934
Total Utilities				3,627,207
Energy—3.8%
Essar Energy plc*		38,693		96,122
SBM Offshore N.V.		4,317		88,241
Subsea 7 S.A.*		3,250		85,908
Petrofac Ltd.		3,059		85,093
Technip S.A.		706		83,176
Transocean Ltd.		1,508		82,274
Caltex Australia Ltd.		5,562		80,021
Idemitsu Kosan Company Ltd.		800		79,720
Saipem SpA		1,516		78,312
Tullow Oil plc		3,160		77,137
AMEC plc		4,342		76,887
ENI SpA		3,268		76,671
Santos Ltd.		5,132		75,695
Fugro N.V.		1,056		75,240
JX Holdings, Inc.		12,090		74,914
Aker Solutions ASA		4,419		74,779
Statoil ASA		2,743		74,480
Inpex Corp.		11		74,272
TonenGeneral Sekiyu KK		8,000		73,632
Royal Dutch Shell plc — Class A		2,099		73,313
BG Group plc		3,160		73,193
Neste Oil Oyj		5,929		73,030
Cie Generale de Geophysique—Veritas*		2,466		72,985
Royal Dutch Shell plc — Class B		2,072		72,900
BP plc		9,827		72,702
WorleyParsons Ltd.		2,439		72,327
Cosmo Oil Company Ltd.		26,000		72,231
Tenaris S.A.		3,773		71,963
Galp Energia SGPS S.A. — Class B		4,332		71,300
Origin Energy Ltd.		5,146		71,158
Seadrill Ltd.		1,893		70,950
OMV AG		1,990		70,735
Lundin Petroleum AB*		3,300		70,729
Showa Shell Sekiyu KK		11,090		70,727
Japan Petroleum Exploration Co.		1,500		69,845
Repsol YPF S.A.		2,783		69,821
Total S.A.		1,365		69,620
Woodside Petroleum Ltd.		1,907		68,758
Total Energy				2,870,861

62  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2012
MSCI EAFE EQUAL WEIGHT FUND

	SHARES		VALUE
Telecommunication Services—3.6%
Hellenic Telecommunications Organization S.A.		23,925	$	101,796
Telecom Corporation of New Zealand Ltd.		42,824		85,027
Iliad S.A.		596		82,117
BT Group plc		22,521		81,560
StarHub Ltd.		32,960		81,278
Telecom Italia SpA—Savings Shares		81,562		80,175
Elisa Oyj		3,342		80,101
Mobistar S.A.		1,592		79,308
Telecom Italia SpA		66,228		78,749
Deutsche Telekom AG		6,530		78,621
Millicom International Cellular S.A.		693		78,561
Portugal Telecom SGPS S.A.		14,427		78,490
Vodafone Group plc		28,389		78,199
Belgacom S.A.		2,426		77,998
Koninklijke KPN N.V.		7,083		77,920
KDDI Corp.		12		77,691
Singapore Telecommunications Ltd.		30,970		77,604
Telenor ASA		4,183		77,581
Tele2 AB — Class B		3,800		77,540
Swisscom AG		191		77,208
Nippon Telegraph & Telephone Corp.		1,700		77,105
Softbank Corp.*		2,600		76,847
Partner Communications Company Ltd.		9,875		76,166
Telekom Austria AG		6,525		75,994
Telstra Corporation Ltd.		22,146		75,468
Bezeq The Israeli Telecommunication
Corporation Ltd.		45,836		75,254
Inmarsat plc		10,158		74,777
NTT DoCoMo, Inc.		45		74,683
TeliaSonera AB		10,531		73,444
Telefonica S.A.		4,465		73,161
France Telecom S.A.		4,895		72,503
PCCW Ltd.		199,790		71,523
TDC A/S		9,817		71,399
Cellcom Israel Ltd.		5,531		70,053
Vivendi S.A.		3,482		63,904
Total Telecommunication Services				2,709,805
Total Common Stocks (Cost $76,325,452)				71,131,875
EXCHANGE TRADED FUNDS†—7.3%
iShares MSCI EAFE Index Fund		68,230		3,745,827
iShares MSCI Japan Index Fund		68,023		692,474
Vanguard MSCI EAFE ETF		19,800		673,794
Guggenheim MSCI EAFE Equal Weight ETF		5,100		195,840
iShares MSCI Singapore Index Fund		6,800		87,652
iShares MSCI Hong Kong Index Fund		4,700		81,968
Total Exchange Traded Funds (Cost $5,424,681)				5,477,555

	SHARES		VALUE
SHORT TERM INVESTMENTS††—1.1%
State Street General Account
U.S. Government Fund		831,840	$	831,840
Total Short Term Investments (Cost $831,840)				831,840
Total Investments—103.2% (Cost $82,581,973)				77,441,270
Other Assets & Liabilities, net—(3.2)%				(2,390,076	)
Total Net Assets—100.0%				75,051,194

INVESTMENT CONCENTRATION

At March 31, 2012, the investment diversification of the Series was as follows:

Country	% of Net Assets			Value
Japan		32.7	%	$	24,577,085
United Kingdom		9.9	%		7,461,670
United States		8.7	%		6,533,193
France		7.0	%		5,282,149
Australia		6.6	%		4,926,520
Germany		5.2	%		3,888,123
Switzerland		4.3	%		3,246,987
Hong Kong		4.0	%		3,030,104
Sweden		3.3	%		2,480,821
Singapore		3.1	%		2,350,594
Italy		2.8	%		2,065,958
Netherlands		2.6	%		1,950,444
Spain		2.5	%		1,913,270
Finland		1.5	%		1,117,652
Israel		1.4	%		1,031,238
Belgium		1.3	%		948,751
Denmark		1.2	%		908,478
Ireland		0.9	%		652,765
Norway		0.8	%		599,590
Austria		0.8	%		599,405
Portugal		0.6	%		454,568
Greece		0.4	%		323,591
New Zealand		0.4	%		318,331
Luxembourg		0.4	%		298,523
Macau		0.2	%		170,374
Mauritius		0.1	%		96,121
China		0.1	%		77,170
Bermuda		0.1	%		70,950
Mexico		0.1	%		66,844
Total Investments		103.2	%	$	77,441,270

^*  Non-income producing security.

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

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

¹  Security is a 144A or Section 4(2) security. The total market value of 144A or Section 4(2) securities is $76,504 (cost $73,769), or 0.1% of total net assets.

ADR — American Depositary Receipt

plc — Public Limited Company

REIT — Real Estate Investment Trust

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  63

MSCI EAFE EQUAL WEIGHT FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2012

ASSETS:
Investments, at value (cost $82,581,973)	$	77,441,270
Foreign currency, at value (cost $57,892)		57,857
Prepaid expenses		34,782
Cash		1,562
Receivables:
Dividends		353,085
Investment advisor		51,081
Foreign taxes reclaim		32,081
Fund shares sold		8,188
Total assets		77,979,906
LIABILITIES:
Payable for:
Fund shares redeemed		1,752,007
Securities purchased		999,224
Management fees		45,064
Distribution and service fees		17,572
Transfer agent/maintenance fees		14,571
Fund accounting/administration fees		9,657
Directors’ fees*		1,224
Miscellaneous		89,393
Total liabilities		2,928,712
NET ASSETS	$	75,051,194
NET ASSETS CONSISTOF:
Paid in capital	$	106,955,333
Accumulated net investment loss		(91,428	)
Accumulated net realized loss on investments		(26,669,197	)
Net unrealized depreciation on investments		(5,143,514	)
Net assets	$	75,051,194
A-CLASS:
Net assets	$	67,806,260
Capital shares outstanding		6,184,910
Net asset value per share	$	10.96
Maximum offering price per share (Net asset value divided by 95.25%)	$	11.51
B-CLASS:
Net assets	$	3,515,499
Capital shares outstanding		367,274
Net asset value per share	$	9.57
C-CLASS:
Net assets	$	3,673,923
Capital shares outstanding		391,255
Net asset value per share	$	9.39
INSTITUTIONAL CLASS:
Net assets	$	55,512
Capital shares outstanding		5,089
Net asset value per share	$	10.91

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2012

INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $118,598)	$	814,205
Interest		27
Total investment income		814,232
EXPENSES:
Management fees		252,830
Transfer agent/maintenance fees
A-Class		97,774
B-Class		10,617
C-Class		5,694
Institutional Class		313
Distribution and service fees:
A-Class		81,015
C-Class		17,601
Fund accounting/administration fees		54,178
Custodian fees		113,148
Pricing service expense		49,474
Registration fees		39,648
Directors’ fees*		4,268
Miscellaneous		64,085
Total expenses		790,645
Less:
Expenses waived by Advisor		(200,364	)
Net expenses		590,281
Net investment income		223,951
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(3,061,280	)
Foreign currency		(14,368	)
Net realized loss		(3,075,648	)
Net change in unrealized appreciation (depreciation) on:
Investments		11,813,335
Foreign currency		3,981
Net change in unrealized appreciation (depreciation)		11,817,316
Net realized and unrealized gain		8,741,668
Net increase in net assets resulting from operations	$	8,965,619

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

64  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

MSCI EAFE EQUAL WEIGHT FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
INCREASE (DECREASE)IN NET ASSETSFROM OPERATIONS:
Net investment income	$	223,951		$	337,328
Net realized gain (loss) on investments		(3,075,648	)		19,565,682
Net change in unrealized appreciation (depreciation) on investments and foreign currency		11,817,316			(24,794,408	)
Net increase (decrease) in net assets resulting from operations		8,965,619			(4,891,398	)
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net investment income
A-Class		(30,502	)		(428,482	)
B-Class		(2,983	)		(59,809	)
Institutional Class1		(73	)		—
Total distributions to shareholders		(33,558	)		(488,291	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		5,798,004			11,944,041
B-Class		21,645			358,374
C-Class		160,153			541,059
Institutional Class1		4,916,006			1,599,376
Distributions reinvested
A-Class		30,252			424,001
B-Class		2,968			59,500
Institutional Class1		74			—
Cost of shares redeemed
A-Class		(11,692,274	)		(20,083,005	)
B-Class		(1,113,516	)		(2,876,923	)
C-Class		(333,226	)		(1,159,828	)
Institutional Class1		(5,103,783	)		(1,258,878	)
Net decrease from capital share transactions		(7,313,697	)		(10,452,283	)
Net increase (decrease) in Net Assets		1,618,364			(15,831,972	)
NET ASSETS:
Beginning of period		73,432,830			89,264,802
End of period	$	75,051,194		$	73,432,830
Accumulated net investment loss at end of period	$	(91,428	)	$	(281,821	)
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		561,979			1,048,009
B-Class		2,412			35,602
C-Class		18,259			53,801
Institutional Class1		480,852			150,654
Shares issued from reinvestment of distributions
A-Class		3,109			36,520
B-Class		350			5,885
Institutional Class1		8			—
Shares redeemed
A-Class		(1,142,888	)		(1,754,360	)
B-Class		(125,961	)		(287,631	)
C-Class		(38,187	)		(116,514	)
Institutional Class1		(505,197	)		(121,228	)
Net decrease in shares		(745,264	)		(949,262	)

¹  Since commencement of operations: May 2, 2011.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  65

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 31,			September 30,			September 30,		September 30,			September 30,			September 30,
A-Class	2012a			2011			2010		2009			2008			2007i
Per Share Data
Net asset value, beginning of period	$	9.70		$	10.52		$	9.97	$	10.35		$	20.69		$	19.65
Income (loss) from investment operations:
Net investment incomeb		.03			.05			.02		.05			.05			.06
Net gain (loss) on investments (realized and unrealized)		1.23			(.81	)		.53		(.35	)		(3.63	)		3.60
Total from investment operations		1.26			(.76	)		.55		(.30	)		(3.58	)		3.66
Less distributions from:
Net investment income		(—	)c		(.06	)		—		(.02	)		(.04	)		—
Net realized gains		—			—			—		—			(6.72	)		(2.62	)
Return of capital		—			—			—		(.06	)		—			—
Total distributions		(—	)c		(.06	)		—		(.08	)		(6.76	)		(2.62	)
Net asset value, end of period	$	10.96		$	9.70		$	10.52	$	9.97		$	10.35		$	20.69
Total Returnd		13.05%			(7.32%	)		5.52%		(2.71%	)		(25.16%	)		20.07%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	67,806		$	65,573		$	78,201	$	97,205		$	88,782		$	145,158
Ratios to average net assets:
Net investment income		0.64%			0.40%			0.24%		0.63%			0.33%			0.29%
Total expensese		2.15%			1.85%			1.86%		1.89%			1.73%			1.69%
Net expensesf		1.61%			1.82%			1.86%		1.89%			1.73%			1.69%
Portfolio turnover rate		19%			206%			288%		368%			280%			162%
	Period Ended			Year Ended			Year Ended		Year Ended			Year Ended			Year Ended
	March 31,			September 30,			September 30,		September 30,			September 30,			September 30,
B-Class	2012a,h			2011h			2010h		2009h			2008h			2007h,i
Per Share Data
Net asset value, beginning of period	$	8.46		$	9.19		$	8.69	$	9.05		$	18.96		$	18.17
Income (loss) from investment operations:
Net investment incomeb		.04			.05			.04		.07			.07			.09
Net gain (loss) on investments (realized and unrealized)		1.08			(.69	)		.46		(.32	)		(3.17	)		3.32
Total from investment operations		1.12			(.64	)		.50		(.25	)		(3.10	)		3.41
Less distributions from:
Net investment income		(.01	)		(.09	)		—		(.04	)		(.09	)		—
Net realized gains		—			—			—		—			(6.72	)		(2.62	)
Return of capital		—			—			—		(.07	)		—			—
Total distributions		(.01	)		(.09	)		—		(.11	)		(6.81	)		(2.62	)
Net asset value, end of period	$	9.57		$	8.46		$	9.19	$	8.69		$	9.05		$	18.96
Total Returnd		13.21%			(7.13%	)		5.75%		(2.45%	)		(24.91%	)		20.36%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,515		$	4,148		$	6,769	$	11,155		$	15,303		$	29,659
Ratios to average net assets:
Net investment income		0.81%			0.53%			0.45%		0.90%			0.55%			0.50%
Total expensese		2.18%			1.61%			1.61%		1.65%			1.48%			1.44%
Net expensesf		1.36%			1.59%			1.61%		1.65%			1.48%			1.44%
Portfolio turnover rate		19%			206%			288%		368%			280%			162%

66  |  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			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2012a			2011			2010			2009			2008			2007i
Per Share Data
Net asset value, beginning of period	$	8.33		$	9.06		$	8.66		$	9.04		$	19.00		$	18.37
Income (loss) from investment operations:
Net investment lossb		(.01	)		(.04	)		(.04	)		(.01	)		(.05	)		(.09	)
Net gain (loss) on investments (realized and unrealized)		1.07			(.69	)		.44			(.31	)		(3.18	)		3.34
Total from investment operations		1.06			(.73	)		.40			(.32	)		(3.23	)		3.25
Less distributions from:
Net realized gains		—			—			—			—			(6.73	)		(2.62	)
Return of capital		—			—			—			(.06	)		—			—
Total distributions		—			—			—			(.06	)		(6.73	)		(2.62	)
Net asset value, end of period	$	9.39		$	8.33		$	9.06		$	8.66		$	9.04		$	19.00
Total Returnd		12.73	%		(8.06	%)		4.62	%		(3.39	%)		(25.69	%)		19.14	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,674		$	3,426		$	4,295		$	4,838		$	7,866		$	12,449
Ratios to average net assets:
Net investment loss		(0.12	%)		(0.37	%)		(0.50	%)		(0.11	%)		(0.44	%)		(0.48	%)
Total expensese		2.93	%		2.60	%		2.62	%		2.65	%		2.49	%		2.44	%
Net expensesf		2.36	%		2.58	%		2.62	%		2.65	%		2.49	%		2.44	%
Portfolio turnover rate		19	%		206	%		288	%		368	%		280	%		162	%

	Period Ended			Year Ended
	March 31,			September 30,
Institutional Class	2012a			2011g
Per Share Data
Net asset value, beginning of period	$	9.70		$	12.37
Income (loss) from investment operations:
Net investment incomeb		.14			.13
Net gain (loss) on investments (realized and unrealized)		1.07			(2.80	)
Total from investment operations		1.21			(2.67	)
Less distributions from:
Net investment income		(—	)c		—
Total distributions		(—	)c		—
Net asset value, end of period	$	10.91		$	9.70
Total Returnd		12.39	%		(21.58	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	56		$	285
Ratios to average net assets:
Net investment income		2.90	%		2.99	%
Total expensese		1.99	%		2.27	%
Net expensesf		1.34	%		1.36	%
Portfolio turnover rate		19	%		206	%

^a  Unaudited figures for the period ended March 31, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

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

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

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

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

^g  Since commencement of operations: May 2, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

ⁱ  Security Global Investors, LLC (“SGI”) became the sub-advisor of the fund effective August 1, 2007. Effective January 14, 2011, SGI was merged with and into Guggenheim Investments.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  67

FUND PROFILE (Unaudited) March 31, 2012

ALPHA OPPORTUNITY 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	July 7, 2003
B-Class	July 7, 2003
C-Class	July 7, 2003
Institutional Class	November 7, 2008

Ten Largest Holdings (% of Total Net Assets)
Philip Morris International, Inc.	7.3	%
Altria Group, Inc.	4.3	%
CA, Inc.	3.2	%
Herbalife Ltd.	2.9	%
Lockheed Martin Corp.	2.8	%
Trinity Industries, Inc.	2.8	%
AT&T, Inc.	2.8	%
Joy Global, Inc.	2.8	%
Johnson & Johnson	2.8	%
Vitropharma, Inc.	2.5	%
Top Ten Total	34.2	%

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

68  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2012

ALPHA OPPORTUNITY FUND

	SHARES			VALUE
COMMON STOCKS†—99.3%
Industrials— 22.8%
Lockheed Martin Corp.1,2		3,753		$	337,245
Trinity Industries, Inc.1,2		10,200			336,090
Joy Global, Inc.1,2		4,500			330,750
AO Smith Corp.1,2		4,200			188,789
US Airways Group, Inc.*		20,248			153,683
Towers Watson & Co. — Class A1,2		2,200			145,353
Watts Water Technologies, Inc. — Class A1,2		2,800			114,101
Ryder System, Inc.		1,711			90,340
General Electric Co.1,2		4,200			84,294
Northrop Grumman Corp.1,2		1,100			67,188
Huron Consulting Group, Inc.*		1,673			62,838
Valmont Industries, Inc.		526			61,758
Werner Enterprises, Inc.		2,482			61,703
WESCO International, Inc.*		906			59,171
Con-way, Inc.1,2		1,700			55,437
TrueBlue, Inc.*		2,820			50,422
HUB Group, Inc. — Class A*		1,284			46,263
Kirby Corp.*		658			43,290
Spirit Airlines, Inc.*		2,117			42,488
Carlisle Companies, Inc.		841			41,983
Jacobs Engineering Group, Inc.*		921			40,866
Quanta Services, Inc.*		1,617			33,795
Blount International, Inc.*		1,756			29,290
Swift Transportation Co. — Class A*		2,475			28,562
Lennox International, Inc.		639			25,752
MasTec, Inc.*		1,330			24,060
General Cable Corp.*		790			22,973
Wabash National Corp.*		2,219			22,967
Ritchie Bros Auctioneers, Inc.		936			22,239
United Continental Holdings, Inc.*		940			20,210
Delta Air Lines, Inc.*		1,842			18,254
Knoll, Inc.		1,053			17,522
Steelcase, Inc. — Class A		1,359			13,046
Kennametal, Inc.		244			10,865
Ameresco, Inc. — Class A*		790			10,705
Huntington Ingalls Industries, Inc.*,1,2		183	��		7,364
MYR Group, Inc.*		169			3,018
Total Industrials					2,724,674
Consumer Staples—19.6%
Philip Morris International, Inc.1,2		9,800			868,378
Altria Group, Inc.1,2		16,700			515,529
Herbalife Ltd.1,2		5,000			344,100
Wal-Mart Stores, Inc.1,2		2,200			134,640
BRF—Brasil Foods S.A. ADR		6,636			132,786
Tyson Foods, Inc. — Class A		4,606			88,205
Safeway, Inc.1,2		3,900			78,819
Smithfield Foods, Inc.*		2,895			63,777
Kroger Co.		1,883			45,625
Corn Products International, Inc.		526			30,324
Brown-Forman Corp. — Class B		140			11,675
Coca-Cola Enterprises, Inc.		395			11,297
Industrias Bachoco SAB de CV ADR		279			5,876
Unilever plc ADR		20			661
Total Consumer Staples					2,331,692

	SHARES		VALUE
Consumer Discretionary—17.0%
TJX Companies, Inc.1,2		7,200	$	285,912
Limited Brands, Inc.1,2		5,100		244,800
Ross Stores, Inc.1,2		4,200		244,020
Family Dollar Stores, Inc.1,2		3,700		234,136
Walt Disney Co.1,2		4,024		176,171
The Gap, Inc.1,2		6,000		156,840
Fuel Systems Solutions, Inc.*		4,230		110,657
Jack in the Box, Inc.*,1,2		4,000		95,880
PVH Corp.1,2		800		71,464
BJ’s Restaurants, Inc.*		1,241		62,484
Children’s Place Retail Stores, Inc.*		1,184		61,177
Dunkin’ Brands Group, Inc.		1,880		56,607
Urban Outfitters, Inc.*		1,673		48,701
Sony Corporation ADR		2,150		44,656
Williams-Sonoma, Inc.		1,109		41,565
BorgWarner, Inc.*		395		33,314
RadioShack Corp.1,2		5,100		31,722
Leggett & Platt, Inc.		940		21,629
Perfumania Holdings, Inc.*		528		4,889
Skyline Corp.		546		4,177
Winnebago Industries, Inc.*		244		2,391
Total Consumer Discretionary				2,033,192
Health Care—14.9%
Johnson & Johnson1,2		5,000		329,800
Viropharma, Inc.*,1,2		9,900		297,693
WellCare Health Plans, Inc.*,1,2		2,300		165,324
Life Technologies Corp.*,1,2		2,800		136,696
Amgen, Inc.1,2		1,800		122,382
Biogen Idec, Inc.*		940		118,412
Forest Laboratories, Inc.*,1,2		3,400		117,946
Baxter International, Inc.1,2		1,800		107,604
Lincare Holdings, Inc.1,2		3,800		98,344
Owens & Minor, Inc.1,2		2,700		82,107
Charles River Laboratories International, Inc.*,1,2		2,000		72,180
Perrigo Co.		658		67,978
Kindred Healthcare, Inc.*,1,2		3,900		33,696
Health Net, Inc.*		263		10,446
HMS Holdings Corp.*		239		7,459
Akorn, Inc.*		518		6,061
Total Health Care				1,774,128
Information Technology—10.3%
CA, Inc.1,2		14,000		385,840
Avnet, Inc.*,1,2		3,100		112,809
Symantec Corp.*,1,2		5,900		110,330
Arrow Electronics, Inc.*,1,2		2,600		109,122
QLIK Technologies, Inc.*		2,339		74,847
Harmonic, Inc.*,1,2		11,000		60,171
Cavium, Inc.*		1,880		58,167
Amkor Technology, Inc.*,1,2		9,200		56,534
CommVault Systems, Inc.*		865		42,939
Constant Contact, Inc.*		1,167		34,765
Tech Data Corp.*		639		34,672
Semtech Corp.*		921		26,212
Bottomline Technologies, Inc.*		921		25,733
Renren, Inc. ADR*		3,558		19,640

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  69

SCHEDULE OF INVESTMENTS (Unaudited) (continued) March 31, 2012

ALPHA OPPORTUNITY FUND

	SHARES		VALUE
Cymer, Inc.*		385	$	19,250
Cypress Semiconductor Corp.*		921		14,395
F5 Networks, Inc.*		94		12,686
Mitek Systems, Inc.*		921		10,684
Aruba Networks, Inc.*		303		6,751
ServiceSource International, Inc.*		263		4,071
Entropic Communications, Inc.*		263		1,533
Open Text Corp.*		12		734
Total Information Technology				1,221,885
Financials—4.1%
Amtrust Financial Services, Inc.1,2		6,000		161,280
Endurance Specialty Holdings Ltd.1,2		3,000		121,980
Genworth Financial, Inc. — Class A*,1,2		6,350		52,832
Weyerhaeuser Co.		2,004		43,928
Reinsurance Group of America, Inc. — Class A		497		29,557
AMERISAFE, Inc.*		863		21,351
Leucadia National Corp.		790		20,619
Axis Capital Holdings Ltd.		470		15,590
Stifel Financial Corp.*		379		14,341
Cowen Group, Inc. — Class A*		1,654		4,482
Total Financials				485,960
Energy—4.0%
Anadarko Petroleum Corp.1,2		2,755		215,826
ConocoPhillips1,2		1,500		114,015
Dresser-Rand Group, Inc.*		1,492		69,213
Key Energy Services, Inc.*		1,410		21,785
Helmerich & Payne, Inc.		390		21,041
Hercules Offshore, Inc.*		1,410		6,669
Clean Energy Fuels Corp.*		263		5,597
Oasis Petroleum, Inc.*		132		4,070
Total Energy				458,216
Telecommunication Services—2.8%
AT&T, Inc.1,2		10,600		331,038
Materials—2.2%
Kraton Performance Polymers, Inc.*		2,350		62,439
Cemex SAB de CV ADR*		4,492		34,856
LyondellBasell Industries N.V. — Class A		790		34,484
Sociedad Quimica y Minera de Chile S.A. ADR		554		32,503
CRH plc ADR		1,442		29,575
Sealed Air Corp.		1,410		27,227
Stillwater Mining Co.*		1,617		20,439
Dow Chemical Co.		395		13,683
TPC Group, Inc.*		132		5,836
Total Materials				261,042
Utilities—1.6%
Exelon Corp.1,2		4,743		185,973
Total Utilities				185,973
Total Common Stocks (Cost $10,341,750)				11,807,800

	SHARES		VALUE
EXCHANGE TRADED FUNDS†—2.2%
Materials Select Sector SPDR Fund		3,234	$	119,561
iShares FTSE China 25 Index Fund		1,470		53,846
PowerShares DB US Dollar Index Bullish Fund*		2,237		49,013
Teucrium Corn Fund*		940		36,904
Total Exchange Traded Funds (Cost $268,457)				259,324
SHORT TERM INVESTMENTS††—0.2%
State Street General Account
U.S. Government Fund		25,379		25,379
Total Short Term Investments (Cost $25,379)				25,379
	FACE
	AMOUNT
FEDERAL AGENCY DISCOUNT NOTES††—4.2%
Fannie Mae3 0.06% due 06/18/12	$	500,000		499,947
Total Federal Agency Discount Notes (Cost $499,935)				499,947
REPURCHASE AGREEMENT††,4—9.8%
State Street issued 03/30/12 at 0.01%due 04/02/12	$	1,173,153		1,173,153
Total Repurchase Agreement (Cost $1,173,153)				1,173,153
Total Long Investments—115.7% (Cost $12,308,674)			$	13,765,603
	SHARES
COMMON STOCKS SOLD SHORT†—(63.7)%
Consumer Staples—(1.6)%
Bridgford Foods Corp.*		238		(2,078	)
Arrow Energy Holdings Pty Ltd.†††,5,6		8,900		(22,965	)
Mizuho Trust & Banking Company Ltd.†††,5,6		17,700		(24,682	)
JM Smucker Co.		547		(44,504	)
Hansen Natural Corp.†††,5,6		3,250		(96,233	)
Total Consumer Staples				(190,462	)
Telecommunication Services—(1.6)%
Clearwire Corp. — Class A*,†††,5,6		2,530		(28,665	)
Global Crossing Ltd.†††,5,6		1,800		(28,746	)
Leap Wireless International, Inc.*,†††,5,6		1,500		(65,100	)
SBA Communications Corp. — Class A*,†††,5,6		2,400		(69,096	)
Total Telecommunication Services				(191,607	)
Energy—(2.1)%
Chesapeake Energy Corp.		272		(6,302	)
Comstock Resources, Inc.*		679		(10,749	)
Aquila Resources Ltd.*,†††,5,6		2,750		(21,907	)
Modec, Inc.†††,5,6		900		(23,195	)
Sevan Marine ASA*,†††,5,6		5,900		(30,951	)
Trican Well Service Ltd.†††,5,6		2,000		(34,043	)
BPZ Resources, Inc.*,†††,5,6		5,700		(107,160	)
Total Energy				(234,307	)

70  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (Unaudited) (continued) March 31, 2012

ALPHA OPPORTUNITY FUND

	SHARES		VALUE
Utilities—(2.1)%
Korea Electric Power Corp. ADR*,†††,5,6		18,310	$	(247,734	)
Materials—(3.5)%
Alcoa, Inc.		136		(1,363	)
Silver Wheaton Corp.		543		(18,028	)
China National Building Material Company Ltd. — Class H†††,5,6		14,700		(19,910	)
Anhui Conch Cement Company Ltd. — Class H†††,5,6		4,500		(20,259	)
Rio Tinto plc ADR		407		(22,625	)
Shougang Fushan Resources Group Ltd.†††,5,6		66,000		(23,727	)
Ivanhoe Mines Ltd.*,†††,5,6		4,440		(37,030	)
Western Areas NL†††,5,6		6,200		(44,456	)
Zoltek Companies, Inc.*,†††,5,6		2,700		(49,221	)
Silver Wheaton Corp.†††,5,6		6,100		(64,046	)
Agnico-Eagle Mines Ltd.†††,5,6,7		1,800		(119,001	)
Total Materials				(419,666	)
Information Technology—(7.8)%
Research In Motion Ltd.*		136		(2,001	)
VeriSign, Inc.†††,5,6		1,200		(30,756	)
Access Company Ltd.*,†††,5,6		17		(32,755	)
Varian Semiconductor Equipment Associates, Inc.†††,5,6		1,260		(33,037	)
Electronic Arts, Inc.*,†††,5,6		900		(36,720	)
Riverbed Technology, Inc.*,†††,5,6		3,280		(43,624	)
Red Hat, Inc.*,†††,5,6		2,610		(46,589	)
Google, Inc. — Class A*		78		(50,017	)
Baidu, Inc. ADR*,†††,5,6		200		(53,726	)
Intermec, Inc.*,†††,5,6		2,740		(54,307	)
Rambus, Inc.*,†††,5,6		3,600		(55,224	)
Western Union Co.		3,550		(62,480	)
VMware, Inc. — Class A*,†††,5,6		2,400		(68,592	)
Imperial Energy Corporation plc†††,5,6		3,900		(77,681	)
Equinix, Inc.*,†††,5,6		1,000		(79,940	)
SAVVIS, Inc.†††,5,6		5,700		(84,018	)
Cree, Inc.*,†††,5,6		4,000		(109,840	)
Total Information Technology				(921,307	)
Industrials—(8.6)%
China Merchants Holdings International Company Ltd.†††,5,6		3,100		(11,047	)
China Communications Construction Company Ltd. — Class H†††,5,6		15,000		(15,536	)
China National Materials Company Ltd.†††,5,6		34,400		(17,537	)
Japan Steel Works Ltd.†††,5,6		1,500		(20,809	)
Ausenco Ltd.†††,5,6		2,100		(22,659	)
Toyo Tanso Company Ltd.†††,5,6		500		(27,007	)
Sino Gold Mining Ltd.†††,5,6		8,600		(35,368	)
Ryanair Holdings plc*,†††,5,6		9,600		(35,971	)
Meyer Burger Technology AG†††,5,6		200		(49,879	)
USG Corp.*,†††,5,6		4,940		(141,877	)
Beijing Capital International Airport Company Ltd. — Class H†††,5,6		218,000		(188,550	)
Brisa Auto-Estradas de Portugal S.A.†††,5,6		44,400		(461,804	)
Total Industrials				(1,028,044	)

	SHARES		VALUE
Financials—(9.7)%
C C Land Holdings Ltd.†††,5,6		50,000	$	(13,945	)
Franshion Properties China Ltd.†††,5,6		79,400		(22,104	)
Aozora Bank Ltd.†††,5,6		16,300		(26,250	)
Monex Group, Inc.†††,5,6		78		(27,384	)
Mizuho Financial Group, Inc.†††,5,6		11,000		(45,461	)
Aeon Mall Company Ltd.†††,5,6		1,700		(52,093	)
PrivateBancorp, Inc.†††,5,6		2,390		(102,770	)
Erste Group Bank AG†††,5,6		5,200		(319,536	)
Wells Fargo & Co.†††,5,6		12,384		(539,690	)
Total Financials				(1,149,233	)
Health Care—(12.5)%
Sepracor, Inc.†††,5,6		1,400		(24,500	)
Exelixis, Inc.*,†††,5,6		4,500		(28,845	)
bwin Interactive Entertainment AG†††,5,6		1,600		(45,582	)
Savient Pharmaceuticals, Inc.*,†††,5,6		2,420		(48,013	)
Queensland Gas Company Ltd.†††,5,6		12,800		(49,787	)
Riversdale Mining Ltd.†††,5,6		6,700		(50,985	)
Zeltia S.A.*,†††,5,6		8,000		(54,559	)
Intuitive Surgical, Inc.*,†††,5,6		200		(56,100	)
Auxilium Pharmaceuticals, Inc.*,†††,5,6		1,540		(56,703	)
XenoPort, Inc.*,†††,5,6		1,376		(63,062	)
Luminex Corp.*,†††,5,6		2,500		(63,725	)
Regeneron Pharmaceuticals, Inc.*,†††,5,6		3,180		(69,038	)
Vertex Pharmaceuticals, Inc.*,†††,5,6		2,600		(71,942	)
Align Technology, Inc.*,†††,5,6		6,100		(74,420	)
Intercell AG*,†††,5,6		1,900		(74,840	)
Acorda Therapeutics, Inc.*,†††,5,6		2,800		(74,900	)
Rigel Pharmaceuticals, Inc.*,†††,5,6		3,050		(78,324	)
Sequenom, Inc.*,†††,5,6		3,810		(78,524	)
Cepheid, Inc.*,†††,5,6		5,300		(81,620	)
AMAG Pharmaceuticals, Inc.*,†††,5,6		1,900		(82,954	)
Basilea Pharmaceutica*,†††,5,6		500		(83,364	)
Alnylam Pharmaceuticals, Inc.*,†††,5,6		2,900		(85,289	)
athenahealth, Inc.*,†††,5,6		2,500		(89,625	)
Total Health Care				(1,486,701	)
Consumer Discretionary—(14.2)%
Best Buy Company, Inc.		407		(9,638	)
Tokyo Broadcasting System Holdings, Inc.†††,5,6		1,300		(21,836	)
Genting Singapore plc*,†††,5,6		124,900		(41,123	)
Bwin.Party Digital Entertainment plc†††,5,6		15,200		(57,210	)
Focus Media Holding Ltd. ADR†††,5,6		2,130		(63,900	)
Sky Deutschland AG*,†††,5,6		4,000		(65,668	)
Marui Group Company Ltd.†††,5,6		29,100		(219,527	)
Pool Corp.†††,5,6		11,639		(288,065	)
Electrolux AB†††,5,6		30,100		(395,761	)
Volkswagen AG†††,5,6		1,300		(539,374	)
Total Consumer Discretionary				(1,702,102	)
Total Common Stock Sold Short (Proceeds $7,391,555)				(7,571,163	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  71

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) March 31, 2012

ALPHA OPPORTUNITY FUND

	SHARES		VALUE
EXCHANGE TRADED FUNDS SOLD SHORT†—(3.4)%
iShares Barclays 20+ Year Treasury Bond Fund		136	$	(15,259	)
iShares iBoxx Investment Grade Corporate Bond Fund		272		(31,470	)
CurrencyShares Canadian Dollar Trust		407		(40,574	)
United States Brent Oil Fund, LP*		485		(41,856	)
iShares Barclays TIPS Bond Fund		408		(48,001	)
SPDR S&P 500 ETF Trust		1,610		(226,560	)
Total Exchange Traded Funds Sold Short (Proceeds $404,334)				(403,720	)
Total Securities Sold Short—(67.1)% (Proceeds $7,795,889)			$	(7,974,883	)
Other Assets & Liabilities, net—51.4%				6,131,462
Total Net Assets—100.0%			$	11,922,182
	CONTRACTS		UNREALIZED GAIN
FUTURES CONTRACTS PURCHASED†
June 2012 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $630,900)		9	$	5,083

^*  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.

¹  All or a portion of this security is pledged as short security collateral at March 31, 2012.

²  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 $8,710,992 (cost $7,220,066), or 73% of total net assets. The security was deemed liquid at the time of purchase.

³  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.

⁴  Repurchase Agreement — See Note 5.

⁵  All or a portion of this security was fair valued by the Valuation Committee at March 31, 2012. The total market value of fair valued securities amounts to $(7,341,377) (proceeds $7,164,435), or (62%) of total net assets.

⁶  Illiquid security.

⁷  Security was acquired through a private placement.

ADR — American Depositary Receipt

plc — Public Limited Company

72  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

ALPHA OPPORTUNITY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2012

ASSETS:
Investments, at value
(cost $11,135,521)	$	12,592,450
Repurchase agreements, at value
(cost $1,173,153)		1,173,153
Total investments
(cost $12,308,674)		13,765,603
Restricted cash denominated in a foreign currency, at value
(cost $3,380,439)†		3,602,196
Cash		700,217
Restricted cash†		1,882,946
Segregated cash with broker		48,000
Prepaid expenses		23,559
Receivables:
Securities sold		489,120
Dividends		19,862
Investment advisor		7,254
Variation margin		1,710
Foreign taxes reclaim		216
Total assets		20,540,683
LIABILITIES:
Securities sold short, at value
(proceeds $7,795,889)		7,974,883
Payable for:
Securities purchased		561,562
Fund shares redeemed		15,244
Management fees		12,654
Distribution and service fees		3,731
Fund accounting/administration fees		2,117
Transfer agent/maintenance fees		999
Directors’ fees*		747
Miscellaneous		46,564
Total liabilities		8,618,501
NET ASSETS	$	11,922,182
NET ASSETS CONSISTOF:
Paid in capital	$	21,264,957
Accumulated net investment loss		(6,619	)
Accumulated net realized loss on investments		(10,840,931	)
Net unrealized appreciation on investments		1,504,775
Net assets	$	11,922,182
A-CLASS:
Net assets	$	7,816,399
Capital shares outstanding		601,562
Net asset value per share	$	12.99
Maximum offering price per share
(Net asset value divided by 95.25%)	$	13.64
B-CLASS:
Net assets	$	830,064
Capital shares outstanding		69,455
Net asset value per share	$	11.95
C-CLASS:
Net assets	$	1,618,001
Capital shares outstanding		135,377
Net asset value per share	$	11.95
INSTITUTIONAL CLASS:
Net assets	$	1,657,718
Capital shares outstanding		92,523
Net asset value per share	$	17.92

† All or portion of this amount represents values related to Lehman Brothers International Europe prime brokerage services — See Note 9.

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2012

INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $73)	$	127,863
Interest		301
Total investment income		128,164
EXPENSES:
Management fees		72,334
Transfer agent/maintenance fees
A-Class		8,158
B-Class		1,042
C-Class		1,753
Institutional Class		1,519
Distribution and service fees:
A-Class		9,610
B-Class		4,008
C-Class		7,635
Fund accounting/administration fees		12,423
Registration fees		22,400
Custodian fees		13,763
Short sales dividend expense		3,398
Prime broker interest expense		2,428
Directors’ fees*		467
Miscellaneous		13,713
Total expenses		174,651
Less:
Expenses waived by Advisor		(39,868	)
Net expenses		134,783
Net investment loss		(6,619	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		2,490,084
Futures contracts		404,609
Foreign currency		48
Securities sold short		(2,059,328	)
Net realized gain		835,413
Net change in unrealized appreciation (depreciation) on:
Investments		2,225,570
Securities sold short		510
Futures contracts		95,137
Foreign currency		(7,056	)
Net change in unrealized appreciation (depreciation)		2,314,161
Net realized and unrealized gain		3,149,574
Net increase in net assets resulting from operations	$	3,142,955

* 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  |  73

ALPHA OPPORTUNITY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(6,619	)	$	(57,997	)
Net realized gain on investments and foreign currency transactions		835,413			969,692
Net change in unrealized appreciation (depreciation) on investments and foreign currency		2,314,161			(439,824	)
Net increase in net assets resulting from operations		3,142,955			471,871
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class*		36,993			180,654
B-Class		—			—
C-Class		—			—
Institutional Class		—			—
Cost of shares redeemed
A-Class		(1,028,073	)		(1,908,640	)
B-Class		(77,449	)		(547,550	)
C-Class		(80,819	)		(242,522	)
Institutional Class		(91,024	)		(166,305	)
Net decrease from capital share transactions		(1,240,372	)		(2,684,363	)
Net increase (decrease) in net assets		1,902,583			(2,212,492	)
NET ASSETS:
Beginning of period		10,019,599			12,232,091
End of period	$	11,922,182		$	10,019,599
Accumulated net investment loss at end of period	$	(6,619	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class*		3,163			15,900
Shares redeemed
A-Class		(84,467	)		(171,786	)
B-Class		(6,963	)		(52,155	)
C-Class		(7,123	)		(22,496	)
Institutional Class		(5,486	)		(10,264	)
Net decrease in shares		(100,876	)		(240,801	)

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

74  |  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.

A-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Year Ended September 30, 2008j			Year Ended September 30, 2007
Per Share Data
Net asset value, beginning of period	$	9.82		$	9.70		$	8.56		$	9.37		$	13.94		$	12.23
Income (loss) from investment operations:
Net investment income (loss)b		—	g		(.04	)		(.06	)		(.04	)		(.16	)		(.01	)
Net gain (loss) on investments (realized and unrealized)		3.17			.16			1.20			(.77	)		(1.68	)		2.99
Total from investment operations		3.17			.12			1.14			(.81	)		(1.84	)		2.98
Less distributions from:
Net realized gains		—			—			—			—			(2.57	)		(1.27	)
Return of capital		—			—			—			—			(.16	)		—
Total distributions		—			—			—			—			(2.73	)		(1.27	)
Net asset value, end of period	$	12.99		$	9.82		$	9.70		$	8.56		$	9.37		$	13.94
Total Returnc		32.28	%		1.13	%		13.43	%		(8.64	%)		(15.99	%)		26.10	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,816		$	6,708		$	8,138		$	9,752		$	30,615		$	25,072
Ratios to average net assets:
Net investment income (loss)		—	i		(0.33	%)		(0.71	%)		(0.50	%)		(1.44	%)		(0.08	%)
Total expensesd		2.90	%		3.39	%		3.51	%		3.82	%		3.41	%		2.88	%
Net expensese		2.22	%		2.15	%		2.21	%		2.00	%		3.32	%		2.82	%
Operating expensesf		2.11	%		2.11	%		2.05	%		1.95	%		3.06	%		2.62	%
Portfolio turnover rate		338	%		868	%		954	%		422	%		1,248	%		1,697	%
B-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Year Ended September 30, 2008j			Year Ended September 30, 2007
Per Share Data
Net asset value, beginning of period	$	9.07		$	9.03		$	8.04		$	8.87		$	13.42		$	11.90
Income (loss) from investment operations:
Net investment lossb		(.04	)		(.12	)		(.12	)		(.09	)		(.23	)		(.09	)
Net gain (loss) on investments (realized and unrealized)		2.92			.16			1.11			(.74	)		(1.59	)		2.88
Total from investment operations		2.88			.04			.99			(.83	)		(1.82	)		2.79
Less distributions from:
Net realized gains		—			—			—			—			(2.57	)		(1.27	)
Return of capital		—			—			—			—			(.16	)		—
Total distributions		—			—			—			—			(2.73	)		(1.27	)
Net asset value, end of period	$	11.95		$	9.07		$	9.03		$	8.04		$	8.87		$	13.42
Total Returnc		31.75	%		0.44	%		12.31	%		(9.36	%)		(16.66	%)		25.14	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	830		$	693		$	1,161		$	1,635		$	5,391		$	3,154
Ratios to average net assets:
Net investment loss		(0.73	%)		(1.10	%)		(1.47	%)		(1.24	%)		(2.18	%)		(0.77	%)
Total expensesd		3.69	%		4.19	%		4.27	%		4.57	%		4.16	%		3.59	%
Net expensese		2.96	%		2.90	%		2.96	%		2.75	%		4.04	%		3.53	%
Operating expensesf		2.86	%		2.86	%		2.80	%		2.69	%		3.78	%		3.33	%
Portfolio turnover rate		338	%		868	%		954	%		422	%		1,248	%		1,697	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  75

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.

C-Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009			Year Ended September 30, 2008j			Year Ended September 30, 2007
Per Share Data
Net asset value, beginning of period	$	9.07		$	9.03		$	8.02		$	8.87		$	13.43		$	11.90
Income (loss) from investment operations:
Net investment lossb		(.04	)		(.11	)		(.12	)		(.09	)		(.23	)		(.10	)
Net gain (loss) on investments (realized and unrealized)		2.92			.15			1.13			(.76	)		(1.60	)		2.90
Total from investment operations		2.88			.04			1.01			(.85	)		(1.83	)		2.80
Less distributions from:
Net realized gains		—			—			—			—			(2.57	)		(1.27	)
Return of capital		—			—			—			—			(.16	)		—
Total distributions		—			—			—			—			(2.73	)		(1.27	)
Net asset value, end of period	$	11.95		$	9.07		$	9.03		$	8.02		$	8.87		$	13.43
Total Returnc		31.75	%		0.44	%		12.59	%		(9.58	%)		(16.63	%)		25.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,618		$	1,292		$	1,490		$	1,996		$	4,935		$	4,216
Ratios to average net assets:
Net investment loss		(0.75	%)		(1.08	%)		(1.46	%)		(1.24	%)		(2.21	%)		(0.77	%)
Total expensesd		3.67	%		4.14	%		4.28	%		4.67	%		4.16	%		3.60	%
Net expensese		2.97	%		2.90	%		2.95	%		2.75	%		4.09	%		3.54	%
Operating expensesf		2.86	%		2.86	%		2.80	%		2.69	%		3.83	%		3.34	%
Portfolio turnover rate		338	%		868	%		954	%		422	%		1,248	%		1,697	%

Institutional Class	Period Ended March 31, 2012a			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2009h
Per Share Data
Net asset value, beginning of period	$	13.53		$	13.33		$	11.73		$	10.00
Income (loss) from investment operations:
Net investment income (loss)b		.02			(.01	)		(.06	)		(.01	)
Net gain on investments (realized and unrealized)		4.37			.21			1.66			1.74
Total from investment operations		4.39			.20			1.60			1.73
Net asset value, end of period	$	17.92		$	13.53		$	13.33		$	11.73
Total Returnc		32.45	%		1.50	%		13.64	%		17.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,658		$	1,326		$	1,444		$	2,155
Ratios to average net assets:
Net investment income (loss)		0.26	%		(0.08	%)		(0.48	%)		(0.07	%)
Total expensesd		2.64	%		3.12	%		3.28	%		3.94	%
Net expensese		1.97	%		1.90	%		1.96	%		1.76	%
Operating expensesf		1.86	%		1.86	%		1.80	%		1.70	%
Portfolio turnover rate		338	%		868	%		954	%		422	%

76  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS (concluded)

^a Unaudited figures for the period ended March 31, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

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

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

^e  Net expense information reflects the expense ratios after expense waivers.

^f  Operating expenses exclude interest and dividend expense from securities sold short and prime broker interest expense.

^g  Net investment income is less than $0.01 per share.

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

ⁱ  Less than 0.01%.

^j  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.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  77

NOTES TO FINANCIAL STATEMENTS (Unaudited)

1. Organization and Significant Accounting Policies Organization

Security Equity Fund (the “Trust”), is registered under the Investment Company Act of 1940 (the “1940 Act”), as a non-diversified, open-ended investment company. The Trust is authorized to issue an unlimited number of shares. The shares of the Trust are currently issued in multiple series, with each series, in effect, representing a separate Fund (the “Fund,” or collectively the “Funds”). 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 (the “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%. 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 were offered without a front-end sales charge, but were subject to a CDSC of up to 5% 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 31, 2012, the Trust consisted of nine 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. Rydex Distributors, LLC (“RDL”) acts as principal underwriter to the Funds. GI, RFS and RDL are affiliated entities.

Mainstream Investment Advisors, LLC 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 subadvisor 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

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles 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. Security Valuation – 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, yield 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 held by the Trust 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 held by the Trust are valued using the average bid price (for long options), or average ask price (for short options) obtained from one or more security dealers.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

The value of futures contracts purchased and sold by the Trust 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 WEBS^®. 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.

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) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, 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) other information and considerations, including current values in related markets.

B. Foreign Currency Transactions – The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain

expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.

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

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

C. Futures – Returns may be enhanced by purchasing futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. There are several risks in connection with the use of futures contracts. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. 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. 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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  79

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

D. Options Written – 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).

E. Securities Sold Short – Certain Funds 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 Funds’ 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 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 which 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 of securities sold short may continually increase, although a Fund may mitigate such losses by replacing the securities sold short before 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 Statements 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.

F. Security Transactions and Investment Income – 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.

G. Expenses – Expenses directly attributable to a Fund are charged directly to the Fund. Other expenses common to various Funds within the Fund complex are generally allocated amongst such Funds on the basis of average net assets.

H. Distributions to Shareholders – 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. generally accepted accounting principles.

I. Earnings Credits – Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. For the period ended March 31, 2012, there were no earnings credits received.

J. Indemnifications – 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’

80  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

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. Fees and Other Transactions with Affiliates

Management fees are paid monthly to GI, based on the following annual rates for the period ended March 31, 2012:

	Management Fees (as a % of  net assets)
Large Cap Core Fund	0.75%
All Cap Value Fund	0.70%
Mid Cap Value Fund	0.78%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:

	Fund Accounting/ Administrative Fees (as a % of net  assets)
Large Cap Core Fund	0.095%
All Cap Value 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	$25,0001
Certain out-of-pocket charges	Varies

¹  GI has agreed not to charge the $25,000 minimum fee on the All Cap Value Fund.

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 the Fund.

Annual charge per account	$5.00 – $8.00
Transaction fee	$0.60 – $1.10
Minimum annual charge per Fund	$25,0001
Certain out-of-pocket charges	Varies

¹  GI has agreed not to charge the $25,000 minimum fee on the All Cap Value Fund.

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, dividends 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:

	Limit			Effective Date		Contract End Date
All Cap Value Fund – A-Class		1.27	%		02/01/10		02/01/13
All Cap Value Fund – C-Class		2.02	%		02/01/10		02/01/13
All Cap Value Institutional Fund		1.02	%		02/01/10		02/01/13
Mid Cap Value Institutional Fund		0.90	%		04/13/09		03/31/12

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

	Limit			Effective Date		Contract End Date
Small Cap Value Fund – A-Class		1.30	%		08/24/09		02/01/13
Small Cap Value Fund – C-Class		2.05	%		08/24/09		02/01/13
Small Cap Value Fund – Institutional Class		1.05	%		08/24/09		02/01/13
Large Cap Concentrated Growth Fund – A-Class		1.35	%		01/11/07		02/01/13
Large Cap Concentrated Growth Fund – B-Class		2.10	%		01/11/07		02/01/13
Large Cap Concentrated Growth Fund – C-Class		2.10	%		01/11/07		02/01/13
Large Cap Concentrated Growth Fund – Institutional Class		1.10	%		02/01/11		02/01/13
MSCI EAFE Equal Weight Fund – A-Class		1.61	%		04/29/11		02/01/13
MSCI EAFE Equal Weight Fund – B-Class		2.36	%		04/29/11		02/01/13
MSCI EAFE Equal Weight Fund – C-Class		2.36	%		04/29/11		02/01/13
MSCI EAFE Equal Weight Fund – Institutional Class		1.36	%		04/29/11		02/01/13
Alpha Opportunity Fund – A-Class		2.11	%		02/01/10		02/01/13
Alpha Opportunity Fund – B-Class		2.86	%		02/01/10		02/01/13
Alpha Opportunity Fund – C-Class		2.86	%		02/01/10		02/01/13
Alpha Opportunity Fund – Institutional Class		1.86	%		02/01/10		02/01/13

GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. At March 31, 2012, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

	Fees Waived		Expires In
All Cap Value Fund	$	28,390		2015
		49,063		2014
		59,326		2013
		32,870		2012
	$	169,649
Mid Cap Value Institutional Fund	$	195,806		2015
		443,419		2014
		209,976		2013
		62,277		2012
	$	911,478
Small Cap Value Fund	$	94,111		2015
		118,145		2014
		90,347		2013
		49,716		2012
	$	352,319
Large Cap Concentrated Growth Fund	$	93,359		2015
		140,783		2014
		150,104		2013
		75,872		2012
	$	460,118
MSCI EAFE Equal Weight Fund	$	200,364		2015
		26,732		2014
	$	227,096
Alpha Opportunity Fund	$	39,868		2015
		157,924		2014
		176,815		2013
		69,053		2012
	$	443,660

For the period ended March 31, 2012, 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.

82  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

During the period ended March 31, 2012, RDL retained sales charges of $97,211 relating to sales of A-Class shares of the Fund.

Certain officers and directors of the Trust are also officers of GI, RFS and RDL.

At March 31, 2012, GI and its subsidiaries owned over five percent of the outstanding shares of the Fund, as follows:

	Percent of outstanding shares owned
Large Cap Core Fund		15	%
All Cap Value Fund		32	%
Small Cap Growth Fund		25	%
Large Cap Concentrated Growth Fund		19	%
MSCI EAFE Equal Weight Fund		14	%
Alpha Opportunity Fund		16	%

3. 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 and seeks to simplify some of the tax provisions applicable to regulated investment companies and the tax reporting to their shareholders, and to improve the tax efficiency of certain fund structures. The changes are generally effective for taxable years beginning after the date of enactment.

One of the more prominent changes addresses capital loss carryforwards. Funds will be 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.

At Mach 31, 2012, 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	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Gain (Loss)
Large Cap Core Fund	$	160,833,465	$	32,226,078	$	(4,606,198	)	$	27,619,880
All Cap Value Fund		2,971,658		622,491		(128,589	)		493,902
Mid Cap Value Fund		1,152,731,185		284,804,232		(95,545,875	)		189,258,357
Mid Cap Value Institutional Fund		480,042,844		100,584,032		(33,988,948	)		66,595,084
Small Cap Growth Fund		12,602,481		4,229,944		(642,587	)		3,587,357
Small Cap Value Fund		34,078,053		5,705,489		(1,260,059	)		4,445,430
Large Cap Concentrated Growth Fund		29,545,965		4,130,533		(315,323	)		3,815,210
MSCI EAFE Equal Weight Fund		82,597,757		4,141,937		(9,298,424	)		(5,156,487	)
Alpha Opportunity Fund		12,338,843		2,261,997		(835,237	)		1,426,760

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

4. Fair Value Measurement

In accordance with U.S. generally accepted accounting principles, 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 31, 2012:

	Level 1 Investments In Securities		Level 1 Other Financial Instruments*		Level 2 Investments In Securities		Level 3 Investments In Securities		Total
Assets
Large Cap Core Fund	$	188,453,344	$	—	$	—	$	—	$	188,453,344
All Cap Value Fund		3,465,560		—		—		—		3,465,560
Mid Cap Value Fund		1,307,935,683		—		34,053,859		—		1,341,989,542
Mid Cap Value Institutional Fund		525,029,573		—		21,608,356		—		546,637,929
Small Cap Growth Fund		16,189,838		—		—		—		16,189,838
Small Cap Value Fund		38,414,040		—		109,444		—		38,523,484
Large Cap Concentrated Growth Fund		33,361,174		—		—		—		33,361,174
MSCI EAFE Equal Weight Fund		76,608,558		—		832,712		—		77,441,270
Alpha Opportunity Fund		12,067,124		5,083		1,698,479		—		13,770,686
Liabilities
Alpha Opportunity Fund	$	633,506	$	—	$	—	$	7,341,377	$	7,974,883

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

For the period ended March 31, 2012, there were no transfers between levels.

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 31, 2012:

LEVEL 3 – Fair value measurement using significant unobservable inputs

	Securities Sold Short		Total
Alpha Opportunity Fund
Liabilities:
Beginning Balance	$	7,341,377	$	7,341,377
Total realized gains or losses included in earnings		—		—
Total unrealized gains or losses included in earnings		—		—
Purchases, sales, issuances, and settlements		—		—
Transfers in and/or out of Level 3		—		—
Ending Balance	$	7,341,377	$	7,341,377

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

5. Repurchase Agreements

At March 31, 2012, the collateral for the repurchase agreements in the joint account was as follows:

Fund	Counterparty and Terms of Agreement	Face Value		Repurchase Price		Collateral	Par Value		Fair Value
Alpha Opportunity Fund	State Street 0.01% Due 04/02/12	$	1,173,153	$	1,173,154	Federal Home Loan Bank 0.17% - 0.28% 02/13/13 - 08/02/13	$	1,205,000	$	1,205,270
Mid Cap Value Fund	UMB Financial Corp. 0.03% Due 04/02/12		18,872,000		18,872,047	Fannie Mae 2.50% 03/01/27		18,885,988		19,250,173
Mid Cap Value Institutional Fund	UMB Financial Corp. 0.03% Due 04/02/12		16,164,000		16,164,040	Fannie Mae 2.50% 03/01/27		9,544,050		9,728,091
						Ginnie Mae 2.00% 02/20/38		6,743,734		6,759,189

6. Derivative Investment Holdings Categorized by Risk Exposure

U.S. generally accepted accounting principles 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.

During the period ended March 31, 2012, certain Funds sought to gain exposure to their respective benchmarks by investing in financial-linked derivative instruments, including options and futures.

The following Funds entered into futures contracts and options written for the following purposes:

	Futures		Options
Fund	Index Exposure	Hedging	Equity Markets Exposure	Liquidity
Large Cap Core Fund			x	x
All Cap Value Fund			x	x
Mid Cap Value Fund			x	x
Mid Cap Value Institutional Fund			x	x
Small Cap Value Fund			x	x
Alpha Opportunity Fund	x	x

The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Fund’s 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 Fund’s Statements of Assets and Liabilities as of March 31, 2012:

Location on the Statements of Assets and Liabilities

Derivative Investments Type	Asset Derivatives	Liability Derivatives
Futures – equity contracts	Variation margin	Variation margin

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

The following table sets forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 31, 2012:

Asset Derivative Investments Value

	Futures Equity Contracts*		Total Value at March 31, 2012
Alpha Opportunity Fund	$	5,083	$	5,083

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

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended March 31, 2012:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Futures – equity contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts
Options Written – equity contracts	Net realized gain (loss) on options written
	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 31, 2012:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations

	Futures Equity Contracts		Options Written Equity Contracts		Total
Large Cap Core Fund	$	—	$	21,832	$	21,832
All Cap Value Fund		—		2,504		2,504
Mid Cap Value Fund		—		2,464,577		2,464,577
Mid Cap Value Institutional Fund		—		998,246		998,246
Small Cap Value Fund		—		16,363		16,363
Alpha Opportunity Fund		404,609		—		404,609

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations

	Futures Equity Contracts		Options Written Equity Contracts			Total
Large Cap Core Fund	$	—	$	(4,934	)	$	(4,934	)
All Cap Value Fund		—		(116	)		(116	)
Mid Cap Value Fund		—		865,561			865,561
Mid Cap Value Institutional Fund		—		343,903			343,903
Small Cap Value Fund		—		1,033			1,033
Alpha Opportunity Fund		95,137		—			95,137

7. Other Liabilities

Large Cap Core Fund, Mid Cap Value Fund and Mid Cap Value Institutional 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 31, 2012.

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 31, 2012 was $18,615 for Large Cap Core Fund, $473,594 for Mid Cap Value Fund and $15,940 for Mid Cap Value Institutional Fund.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

8. Securities Transactions

During the period ended March 31, 2012, purchases and sales of investment securities, excluding government securities and short-term investments, were:

	Purchases		Sales
Large Cap Core Fund	$	98,622,303	$	109,865,446
All Cap Value Fund		531,125		567,879
Mid Cap Value Fund		88,797,829		239,062,328
Mid Cap Value Institutional Fund		33,819,465		79,833,138
Small Cap Growth Fund		5,727,169		6,203,609
Small Cap Value Fund		27,791,878		7,311,225
Large Cap Concentrated Growth Fund		30,681,187		32,538,880
MSCI EAFE Equal Weight Fund		13,411,074		17,325,881
Alpha Opportunity Fund		15,295,636		17,220,577

9. 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 Guggenheim Partners, LLC, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act. Transactions for the period ended March 31, 2012 in which the portfolio company is an “affiliated person” are as follows:

Fund	Security	Value 09/30/11		Additions		Reductions			Value 03/31/12		Shares 03/31/12		Investment Income
Mid Cap Value Fund	Common Stock:
	IXYS Corp.	$	25,422,534	$	351,770	$	(43,440	)	$	31,162,956		2,360,830	$	—
	Maxwell Technologies, Inc.		29,779,169		295,400		(58,625	)		29,970,265		1,635,039		—
	Total	$	55,201,703	$	647,170	$	(102,065	)	$	61,133,221		3,995,869	$	—
Mid Cap Value Institutional Fund	Common Stock:
	HydroGen Corp.	$	18,985	$	—	$	—		$	12,530		1,265,700	$	—
	Total	$	18,985	$	—	$	—		$	12,530		1,265,700	$	—

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

10. Options Written

Transactions in options written during the period ended March 31, 2012 were as follows:

Written Call Options

	All Cap Value Fund						Mid Cap Value Fund						Mid Cap Value Institutional Fund						Small Cap Value Fund
	Number of Contracts			Premium Amount			Number of Contracts			Premium Amount			Number of Contracts			Premium Amount			Number of Contracts			Premium Amount
Balance at September 30, 2011		—		$	—			2,211		$	569,087			931		$	239,517			31		$	5,287
Options written		14			2,797			5,014			981,372			1,974			386,066			156			8,693
Options terminated in closing purchase transactions		—			—			—			—			—			—			—			—
Options expired		(2	)		(208	)		(4,119	)		(873,594	)		(1,688	)		(360,543	)		(48	)		(7,978	)
Options exercised		(12	)		(2,589	)		(3,106	)		(676,865	)		(1,217	)		(265,040	)		(139	)		(6,002	)
Balance at March 31, 2012		—		$	—			—		$	—			—		$	—			—		$	—

Written Put Options

	Large Cap Core Fund						All Cap Value Fund						Mid Cap Value Fund						Mid Cap Value Institutional Fund						Small Cap Value Fund
	Number of Contracts			Premium Amount			Number of Contracts			Premium Amount			Number of Contracts			Premium Amount			Number of Contracts			Premium Amount			Number of Contracts			Premium Amount
Balance at September 30, 2011		119		$	21,832			4		$	1,472			13,177		$	2,577,115			5,411		$	1,068,730			74		$	12,616
Options written		—			—			18			1,856			4,136			431,872			1,358			151,314			31			3,445
Options terminated in closing purchase transactions		—			—			—			—			(3,419	)		(406,921	)		(1,471	)		(175,747	)		(32	)		(3,805	)
Options expired		(119	)		(21,832	)		(22	)		(3,328	)		(7,877	)		(1,508,389	)		(2,933	)		(604,905	)		(50	)		(7,587	)
Options exercised		—			—			—			—			(6,017	)		(1,093,677	)		(2,365	)		(439,392	)		(23	)		(4,669	)
Balance at March 31, 2012		—		$	—			—		$	—			—		$	—			—		$	—			—		$	—

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)

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. The Fund has delivered a Notice of Termination of Loans to LBIE and the Administrator. The Fund is working to resolve these issues with LBIE and the Administrator. As of March 31, 2012, included in the Statement of Assets and Liabilities are the value of restricted long positions of $8,710,992, cash collateral of $1,174,430, restricted cash representing the value of short sale proceeds of $5,485,142 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 $(7,757,069) as of March 31, 2012 resulting in a decrease in net assets of $415,692 or (3.5%). 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 (either positively or negatively). 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, GI 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. New Accounting Pronouncement

In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” in GAAP and the International Financial Reporting Standards (“IFRSs”). ASU No. 2011-04 amends FASB ASC Topic 820, Fair Value Measurements and Disclosures, to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP and IFRSs. ASU No. 2011-04 is effective for fiscal years beginning after December 15, 2011 and for interim periods within those fiscal years. Management is currently evaluating the impact these amendments may have on the Fund’s financial statements.

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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. The proxy statement 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 January 5, 2012, the shareholders of the Funds voted on whether to approve a new investment advisory agreement between Security Equity Fund and Security Investors, LLC. A description of the number of shares voted is as follows:

Fund	Shares For		Shares Against		Shares Abstained
Large Cap Core Fund		4,217,413		103,627		117,087
All Cap Value Fund		145,600		264		5,081
Mid Cap Value Fund		18,781,507		306,876		409,290
Mid Cap Value Institutional Fund		24,790,159		89,032		87,998
Small Cap Growth Fund		652,225		8,612		6,644
Small Cap Value Fund		422,948		2,357		6,052
Large Cap Concentrated Growth Fund		2,265,642		38,578		44,575
MSCI EAFE Equal Weight Fund		4,280,139		50,544		42,439
Alpha Opportunity Fund		636,367		3,178		3,937

At a special meeting of shareholders held on November 22, 2011, the shareholders of the Funds also voted on whether to approve the election of nominees to the Board of Directors. A description of the number of shares voted is as follows:

Donald C. Cacciapaglia		Donald A. Chubb, Jr.		Harry W. Craig, Jr.
For	84,763,050	For	85,360,223	For	85,331,041
Withhold	1,612,096	Withhold	1,014,923	Withhold	1,044,105
Total	86,375,146	Total	86,375,146	Total	86,375,146
Jerry B. Farley		Richard M. Goldman		Penny A. Lumpkin
For	85,350,186	For	85,294,431	For	85,302,044
Withhold	1,024,960	Withhold	1,080,715	Withhold	1,073,102
Total	86,375,146	Total	86,375,146	Total	86,375,146
Maynard F. Oliverius
For	85,321,645
Withhold	1,053,501
Total	86,375,146

Quarterly Portfolio Schedules Information

Each of the GI Funds files a complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Forms N-Q of each such Fund are available on the Commission’s website at www.sec.gov. The Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1.800.SEC.0330. The portfolio holdings of each of the GI Funds are available on their website, www.rydex-sgi.com or by calling 1.800.820.0888.

The statement of additional information (“SAI”) includes additional information about the Funds’ Directors and is available upon request without charge by calling 1.800.820.0888.

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OTHER INFORMATION (Unaudited) (concluded)

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

Guggenheim Transaction

On September 20, 2011, Guggenheim Capital, LLC agreed to purchase the indirect holding company of Security Investors, LLC, the Fund’s investment manager (the “Investment Manager”) (the “Transaction”). Guggenheim Capital, LLC’s subsidiary, Guggenheim Partners, LLC (“Guggenheim”), is a global, independent, privately-held, diversified financial services firm with more than 1,500 dedicated professionals. The Transaction closed on February 29, 2012.

The Transaction should not result in material changes to the day-to-day management and operation of the Fund or any increase in fees.

In anticipation of the Transaction, the Board of Directors of the Fund (the “Board”) called a special meeting of shareholders (the “Meeting”), at which shareholders of the Fund of record as of October 3, 2011 were asked to consider the approval of a new investment management agreement between the Fund and the Investment Manager (the “New Agreement”). This approval was necessary because, under the Investment Company Act of 1940 (the “1940 Act”), the Transaction could result in the termination of the Fund’s current investment management agreement with the Investment Manager (the “Current Agreement”). The Fund’s shareholders approved the New Agreement, the terms of which are substantially identical to the corresponding Current Agreement, except with respect to the date of execution.

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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) Year Elected	Principal Occupations During Past Five Years
Donald A. Chubb, Jr.** (12-14-46) 1994	Business Broker - Griffith & Blair Realtors
Harry W. Craig, Jr.** (05-11-39) 2004	Chairman, CEO, Secretary and Director - The Martin Tractor Company, Inc.
Jerry B. Farley** (09-20-46) 2005	President - Washburn University
Penny A. Lumpkin** (08-20-39) 1993	Partner - Vivian’s Gift Shop (Corporate Retail) Vice President - Palmer Companies, Inc. (Small Business and Shopping Center Development) Vice President - PLB (Real Estate Equipment Leasing)
Maynard F. Oliverius** (12-18-43) 1998	President & Chief Executive Officer - Stormont-Vail HealthCare
Donald C. Cacciapaglia* (07-01-51) 2012 (President)	Security Investors, LLC: President and CEO from April 2012 to present Guggenheim Investments: President and Chief Administrative Officer from February 2010 to present 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 32 Security Funds portfolios and serves until the next annual meeting, or until a successor has been duly elected and qualified.

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

OFFICERS*

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

Name (Date of Birth) Title – Year Elected	Principal Occupations During Past Five Years
Mark P. Bronzo (11-01-60) Vice President—2008	Current: Portfolio Manager, Security Investors, LLC 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 Dynamic Funds, Rydex Variable Trust, Rydex ETF Trust, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, Security Mid Cap Growth Fund, SBL Fund, Security Investors, LLC, and 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 and Manager, Rydex Specialized Products, LLC; Chief Executive Officer & President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; and Vice President, Security Benefit Asset Management Holdings, LLC Previous: Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) Senior Vice President (2006-2011); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Director (2009), Senior Vice President (2003-2006); and Rydex Specialized Products, LLC, Chief Financial Officer (2005-2009)
Joseph M. Arruda (09-05-66) Assistant Treasurer—2010	Current: Assistant Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; and Chief Financial Officer & Manager, Rydex Specialized Products, LLC Previous: Security Global Investors, LLC, Vice President (2010-2011); and Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2004-2011)
Amy J. Lee (06-05-61) Vice President—2007 Secretary—1987	Current: Senior Vice President & Secretary, Security Investors, LLC; Secretary and Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel and 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 & Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President and 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: Security Global Investors, LLC, Senior Vice President and Secretary (2007- 2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President and Secretary (2010-2011); and Brecek & Young Advisors, Inc., Director (2004-2008)

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

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

OFFICERS* (concluded)

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

Name (Date of Birth) Title – Year Elected	Principal Occupations During Past Five Years
Mark A. Mitchell (08-24-64) Vice President—2003	Current: Portfolio Manager, Security Investors, LLC Previous: Vice President and Portfolio Manager, Security Benefit Life Insurance Company (2003-2010)
Joseph C. O’Connor (07-15-60) Vice President—2008	Current: Portfolio Manager, Security Investors, LLC Previous: Managing Director, Nationwide Separate Accounts LLC (2003-2008)
Daniel W. Portanova (10-02-60) Vice President—2008	Current: Portfolio Manager, Security Investors, LLC Previous: Managing Director, Nationwide Separate Accounts LLC (2003-2008)
James P. Schier (12-28-57) Vice President—1998	Current: Senior Portfolio Manager, Security Investors, LLC Previous: Vice President and Senior Portfolio Manager, Security Benefit Life Insurance Company (1998-2010)
David G. Toussaint (10-10-66) Vice President—2005	Current: Portfolio Manager, Security Investors, LLC 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.

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GUGGENHEIM INVESTMENTS PRIVACY POLICIES

Rydex Funds, Guggenheim Funds, Rydex Investments, Rydex Distributors, Inc., 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, www.rydex-sgi.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.

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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 www.rydex-sgi.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.

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One Security Benefit Place

Topeka, Kansas 66636-0001

www.rydex-sgi.com

Rydex Distributors, LLC

SBE-SEMI

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 Managers of Closed-end Management Investment Companies

Not applicable

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

Not applicable.

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

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

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

Item 11. Controls and Procedures.

(a)    The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures 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 7, 2012                                                                                                              

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 7, 2012                                                                                                      

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

                                                                 Nikolaos Bonos, Treasurer

Date         June 7, 2012                                                                                                                  

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