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

Guggenheim Funds Trust

(Exact name of registrant as specified in charter)

805 King Farm Boulevard, Suite 600

Rockville, Maryland 20850

(Address of principal executive offices) (Zip code)

Donald C. Cacciapaglia, President

Guggenheim Funds Trust

805 King Farm Boulevard, Suite 600

Rockville, Maryland 20850

(Name and address of agent for service)

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

Date of fiscal year end:      September 30

Date of reporting period:       March 31, 2014

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.

3.31.2014

Guggenheim Funds Semi-Annual Report

Floating Rate Strategies Fund

High Yield Fund

Investment Grade Bond Fund

Limited Duration Fund

Macro Opportunities Fund

Municipal Income Fund

Total Return Bond Fund

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TABLE OF CONTENTS
DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	4
FLOATING RATE STRATEGIES FUND	8
HIGH YIELD FUND	22
INVESTMENT GRADE BOND FUND	34
LIMITED DURATION FUND	46
MACRO OPPORTUNITIES FUND	54
MUNICIPAL INCOME FUND	70
TOTAL RETURN BOND FUND	78
NOTES TO FINANCIAL STATEMENTS	90
OTHER INFORMATION	105
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	110
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	112

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  1

March 31, 2014

Dear Shareholder:

Security Investors, LLC and Guggenheim Partners Investment Management (the “Investment Advisers”) are pleased to present the semi-annual shareholder report for seven Funds in our Guggenheim Funds Trust (the “Funds”) for the six-month period ended March 31, 2014.

The Investment Advisers are part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC, (“Guggenheim”) a global, diversified financial services firm.

Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Advisers.

We encourage you to read the Economic and Market Overview section of the report, which follows this letter.

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

Sincerely,

Donald C. Cacciapaglia
President
April 30, 2014

Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.

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

2  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW March 31, 2014

Investment markets continued to rally through the six months ended March 31, 2014, thanks to a steadily improving U.S. economy and ongoing U.S. central bank easing. Contributing to performance of equities were growing confidence in the sustainability of the U.S. economic recovery, favorable corporate profit growth, supportive valuations, interest rates below their long-run level, and positive inflows, as investors concerned about the end of quantitative easing and its impact on interest rates rotated out of fixed-income investments into equities.

In January 2014, based on positive economic data and a better jobs picture, the U.S. Federal Reserve (the “Fed”) began its long-expected tapering program, reducing monthly purchases by $10 billion. The Fed continued to taper even after acknowledging in March that the economy had slowed during the winter months, which were unusually harsh for much of the U.S. By April, it was buying only $55 billion a month, down from $85 billion in December 2013.

In March 2014, while noting that the U.S. economy has not yet reached full employment, the Fed also unlinked attainment of a 6.5% unemployment level with a potential rate hike, since the unemployment rate in February was approaching that level. Revised guidance from new Fed Chair Janet Yellen seemed to indicate that a rise might not be considered until mid-2015, at the earliest, although she stressed that it would depend on labor market conditions and the inflation rate. Still, the date was earlier than many market participants had expected, which knocked the market off record highs reached earlier in the six-month period.

Even though upcoming economic reports may reflect the impacts from the severe winter weather, and international tensions remain high, the arrival of spring was expected to return the U.S. economy to its improving trend. Pent-up demand resulting from the huge gap in household formation over the prior several years continues to buoy the housing market, while a pickup in global demand bodes well for the U.S. manufacturing sector. Consumption is rising due to an increase in net worth, resulting from the rebound in housing and asset prices, which has boosted retail sales, and consumer sentiment measures. The consensus expectation for 2014 growth stands at 3.0%, compared with 1.9% for 2013.

Momentum driven by the favorable macro environment is supporting equities and moving spreads tighter, helping perpetuate the risk-on mode that has prevailed in the U.S. since 2008. Investors who want income will have to keep investing, but buying cheap securities may be a thing of the past. Recent volatility indicates that investors must guard against becoming complacent about the quality of investments they make and their inherent risks. The Fed continues pumping enormous amounts of liquidity into the system, but with little expectation that it will raise interest rates before 2015, the expansion is likely to continue. Even when the Fed does hike, it typically takes another two years before a recession threatens growth. While the economy may be entering a new era where interest rates head higher over the long term, there is likely a ceiling on how high rates can rise in advance of eventual monetary tightening.

For the six months ended March 31, 2014, the Standard & Poor’s 500^® (“S&P 500”) Index* returned 12.51%. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index* returned 6.41%. The return of the MSCI Emerging Markets Index* was 1.39%.

In the bond market, the Barclays U.S. Aggregate Bond Index* posted a 1.70% return for the period, while the Barclays U.S. Corporate High Yield Index* returned 6.67%. The return of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.03% for the six-month period.

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

*Index Definitions:

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

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

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

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

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

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

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  3

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning September 30, 2013 and ending March 31, 2014.

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)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			September 30, 2013		March 31, 2014		Period2
Table 1. Based on actual Fund return3
Floating Rate Strategies Fund
A-Class		1.05	%		3.30	%		$1,000.00		$1,033.00		$5.32
C-Class		1.80	%		2.91	%		1,000.00		1,029.10		9.11
Institutional Class		0.80	%		3.38	%		1,000.00		1,033.80		4.06
High Yield Fund
A-Class		1.24	%		8.11	%		1,000.00		1,081.10		6.43
B-Class		0.96	%		8.26	%		1,000.00		1,082.60		4.98
C-Class		1.97	%		7.76	%		1,000.00		1,077.60		10.20
Institutional Class		0.97	%		8.28	%		1,000.00		1,082.80		5.04
Investment Grade Bond Fund
A-Class		1.07	%		4.75	%		1,000.00		1,047.50		5.46
B-Class		1.82	%		4.43	%		1,000.00		1,044.30		9.28
C-Class		1.82	%		4.37	%		1,000.00		1,043.70		9.27
Institutional Class		0.82	%		4.82	%		1,000.00		1,048.20		4.19
Limited Duration Fund4
A-Class		1.30	%		0.52	%		1,000.00		1,005.20		3.79	5
C-Class		1.53	%		0.33	%		1,000.00		1,003.30		4.45	5
Institutional Class		0.54	%		0.62	%		1,000.00		1,006.20		1.57	5
Macro Opportunities Fund
A-Class		1.40	%		5.72	%		1,000.00		1,057.20		7.18
C-Class		2.14	%		5.34	%		1,000.00		1,053.40		10.96
Institutional Class		1.08	%		5.93	%		1,000.00		1,059.30		5.54
Municipal Income Fund
A-Class		0.83	%		4.63	%		1,000.00		1,046.30		4.23
C-Class		1.58	%		4.15	%		1,000.00		1,041.50		8.04
Institutional Class		0.58	%		4.67	%		1,000.00		1,046.70		2.96
Total Return Bond Fund
A-Class		1.10	%		4.97	%		1,000.00		1,049.70		5.62
C-Class		1.66	%		4.60	%		1,000.00		1,046.00		8.47
Institutional Class		0.56	%		5.13	%		1,000.00		1,051.30		2.86

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			September 30, 2013		March 31, 2014		Period2
Table 2. Based on hypothetical 5% return (before expenses)
Floating Rate Strategies Fund
A-Class		1.05	%		5.00	%		$1,000.00		$1,019.70		$5.29
C-Class		1.80	%		5.00	%		1,000.00		1,015.96		9.05
Institutional Class		0.80	%		5.00	%		1,000.00		1,020.94		4.03
High Yield Fund
A-Class		1.24	%		5.00	%		1,000.00		1,018.75		6.24
B-Class		0.96	%		5.00	%		1,000.00		1,020.14		4.84
C-Class		1.97	%		5.00	%		1,000.00		1,015.11		9.90
Institutional Class		0.97	%		5.00	%		1,000.00		1,020.09		4.89
Investment Grade Bond Fund
A-Class		1.07	%		5.00	%		1,000.00		1,019.60		5.39
B-Class		1.82	%		5.00	%		1,000.00		1,015.86		9.15
C-Class		1.82	%		5.00	%		1,000.00		1,015.86		9.15
Institutional Class		0.82	%		5.00	%		1,000.00		1,020.84		4.13
Limited Duration Fund4
A-Class		1.30	%		5.00	%		1,000.00		1,018.45		6.54	5
C-Class		1.53	%		5.00	%		1,000.00		1,017.30		7.70	5
Institutional Class		0.54	%		5.00	%		1,000.00		1,022.24		2.72	5
Macro Opportunities Fund
A-Class		1.40	%		5.00	%		1,000.00		1,017.95		7.04
C-Class		2.14	%		5.00	%		1,000.00		1,014.26		10.75
Institutional Class		1.08	%		5.00	%		1,000.00		1,019.55		5.44
Municipal Income Fund
A-Class		0.83	%		5.00	%		1,000.00		1,020.79		4.18
C-Class		1.58	%		5.00	%		1,000.00		1,017.05		7.95
Institutional Class		0.58	%		5.00	%		1,000.00		1,022.04		2.92
Total Return Bond Fund
A-Class		1.10	%		5.00	%		1,000.00		1,019.45		5.54
C-Class		1.66	%		5.00	%		1,000.00		1,016.65		8.35
Institutional Class		0.56	%		5.00	%		1,000.00		1,022.14		2.82

¹ This ratio represents annualized net expenses, which includes interest expense related to reverse repurchase agreements.Excluding interest expense, the operating expense ratios would be:

	Floating Rate		High Yield		Investment Grade		Macro Opportunities		Total Return
	Strategies Fund		Fund		Bond Fund		Fund		Bond Fund
A-Class	1.04	%	1.18	%	1.03	%	1.31	%	0.93	%
B-Class	—		0.91	%	1.78	%	—		—
C-Class	1.79	%	1.91	%	1.78	%	2.04	%	1.49	%
Institutional Class	0.80	%	0.91	%	0.78	%	0.98	%	0.40	%

2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2013 to March 31, 2014.
4	Since commencement of operations: December 16, 2013.
5	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 106/365 (to reflect the since inception period).

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THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  7

FUND PROFILE (Unaudited) March 31, 2014

FLOATING RATE STRATEGIES FUND

OBJECTIVE: Seeks to provide a high level of current income while maximizing total return.

Holdings Diversification
(Market Exposure as % of Net Assets)

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

Ten Largest Holdings (% of Total Net Assets)
Alliance Boots Ltd.	1.3	%
Scout24 AG	1.2	%
Flakt Woods	1.2	%
Infor (US), Inc.	1.1	%
HUB International Ltd.	1.0	%
Crosby Worldwide	1.0	%
National Financial Partners	0.9	%
Smart & Final Stores LLC	0.9	%
Sears Holdings Corp.	0.9	%
Chromaflo Technologies	0.9	%
Top Ten Total	10.4	%

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
Institutional Class	November 30, 2011

Portfolio Composition by Quality Rating*
Rating
Fixed Income Instruments
AAA	0.3	%
AA	1.2	%
A	1.8	%
BBB	8.0	%
BB	21.4	%
B	54.4	%
CCC	6.7	%
CC	0.2	%
NR	1.6	%
Other Instruments
Short Term Investments	4.2	%
Preferred Stocks	0.2	%
Total Investments	100.0	%

The chart above reflects percentages of the value of total investments.

* Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.

8  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2014
FLOATING RATE STRATEGIES FUND

		SHARES		VALUE
PREFERRED STOCKS† - 0.2%
Aspen Insurance Holdings Ltd. 5.95%1,2		96,000	$	2,381,760
Total Preferred Stocks
(Cost $2,400,000)				2,381,760
SHORT TERM INVESTMENTS† - 4.5%
Federated U.S. Treasury Cash Reserve Fund		59,798,206		59,798,206
Total Short Term Investments
(Cost $59,798,206)				59,798,206
		FACE
		AMOUNT
SENIOR FLOATING RATE INTERESTS†† - 80.6%
CONSUMER DISCRETIONARY - 18.5%
Alliance Boots Ltd.
3.96% due 07/09/17	$	10,521,726		17,594,093
3.46% due 07/09/15		2,986,900		4,974,731
Smart & Final Stores LLC
4.75% due 11/15/19		12,463,336		12,463,336
Sears Holdings Corp.
5.50% due 06/30/18		11,870,250		11,920,699
BJ’s Wholesale Club, Inc.
4.50% due 09/26/19		11,540,105		11,568,955
Neiman Marcus Group, Inc.
4.25% due 10/25/20		10,224,375		10,250,958
Laureate Education, Inc.
5.00% due 06/15/18		9,727,484		9,630,209
Guitar Center, Inc.
8.25% due 04/09/17		9,492,851		9,449,374
Go Daddy Operating Company LLC
4.00% due 12/17/18		8,182,388		8,198,753
Alexander Mann Solutions Ltd.
5.75% due 12/20/19		7,980,000		7,999,950
Steinway Musical Instruments, Inc.
4.75% due 09/19/19		4,389,000		4,424,683
9.25% due 09/18/20		3,300,000		3,399,000
Hilton Worldwide Holdings, Inc.
3.50% due 10/26/20		7,631,579		7,640,432
Lions Gate Entertainment Corp.
5.00% due 07/19/20		7,400,000		7,529,500
Hudson’s Bay Co.
4.75% due 11/04/20		6,250,000		6,328,125
IntraWest Holdings S.à.r.l.
7.75% due 12/10/186		5,300,000		5,096,737
5.50% due 12/09/20		1,057,350		1,070,567
CHG Healthcare Services, Inc.
4.25% due 11/19/19		5,131,410		5,137,825
Connolly Holdings, Inc.
5.00% due 01/29/21		4,937,625		4,982,903
TI Automotive Ltd.
5.50% due 03/28/19		4,950,000		4,962,375
PSAV-Audio Visual Services Corp.
4.50% due 01/25/21		4,350,000		4,371,750
William Morris Endeavor
5.25% due 03/19/21		3,400,000		3,376,642
8.25% due 03/21/22		930,000		937,561
Pinnacle Entertainment, Inc.
3.75% due 08/13/20		4,265,263		4,271,916
Playa Resorts Holdings
4.00% due 08/09/19		4,179,000		4,192,080
Landry’s, Inc.
4.00% due 04/24/18		4,053,655		4,073,924
Party City Holdings, Inc.
4.00% due 07/27/19		4,008,881		4,008,120
CPA Global
4.50% due 12/03/20		3,950,000		3,987,051
Digital Cinema
3.25% due 05/17/21		3,870,000		3,840,975
Warner Music Group
3.75% due 07/01/20		3,731,250		3,709,795
ValleyCrest Companies LLC
5.50% due 06/13/19		3,573,000		3,599,798
Ollies Bargain Outlet
5.25% due 09/28/19		3,365,444		3,352,824
Capital Automotive LP
6.00% due 04/30/20		2,000,000		2,042,500
4.00% due 04/10/19		1,141,519		1,144,019
Armored AutoGroup, Inc.
6.00% due 11/05/16		3,144,148		3,161,850
Fender Musical Instruments Corp.
5.75% due 04/03/19		2,856,000		2,866,710
Serta Simmons Holdings LLC
4.25% due 10/01/19		2,849,110		2,857,828
Arby’s
5.00% due 11/15/20		2,836,463		2,851,524
California Pizza Kitchen, Inc.
5.25% due 03/29/18		2,964,384		2,808,754
Centaur LLC
5.25% due 02/20/19		2,631,848		2,636,796
Boyd Gaming Corp.
4.00% due 08/14/20		2,447,700		2,448,924
Mitel Networks Corp.
5.25% due 01/31/20		2,384,025		2,406,387
Fleetpride Corp.
5.25% due 11/19/19		1,977,475		1,949,790
9.25% due 05/15/20		380,000		373,350
Compucom Systems, Inc.
4.25% due 05/07/20		2,277,700		2,272,712
SNL Financial
4.50% due 10/23/18		2,094,750		2,104,344
Hoyts Group Holdings LLC
4.00% due 05/29/20		2,081,763		2,080,472
NES Global Talent
6.50% due 10/03/19		1,987,500		1,987,500
Southern Graphics, Inc.
4.25% due 10/17/19		1,860,439		1,858,114
Totes Isotoner Corp.
7.25% due 07/07/17		1,599,776		1,603,775
La Quinta Intermediate Holdings
4.00% due 02/19/21		1,500,000		1,499,070
AlixPartners, LLP
4.00% due 07/10/20		1,422,755		1,424,533
1-800 Contacts, Inc.
4.25% due 01/31/21		1,300,000		1,302,275
Men’s Wearhouse
7.75% due 03/11/15†††,6		1,100,000		1,100,000
Cooper Standard Automotive, Inc.
4.00% due 03/26/21		940,000		940,592

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  9

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
FLOATING RATE STRATEGIES FUND

		FACE
		AMOUNT		VALUE
NAB Holdings LLC
7.00% due 04/24/18	$	912,500	$	915,922
Container Store, Inc.
4.25% due 04/06/19		895,380		896,499
Rite Aid Corp.
5.75% due 08/21/20		500,000		510,315
Equinox Fitness
4.25% due 01/31/20		495,000		496,648
Jacobs Entertainment, Inc.
5.25% due 10/29/18		492,500		494,963
Reynolds Group Holdings
4.00% due 12/01/18		493,762		494,903
Sleepy’s LLC
5.00% due 03/30/19		490,000		492,450
Navistar, Inc.
5.75% due 08/17/17		312,500		317,447
David’s Bridal, Inc.
5.03% due 10/11/19		246,875		246,566
Targus Group International, Inc.
12.00% due 05/24/166		231,236		191,348
CKX Entertainment, Inc.
9.00% due 06/21/176		145,875		126,911
Total Consumer Discretionary				249,251,432
INDUSTRIALS - 16.5%
Flakt Woods
8.00% due 04/01/17		12,115,820		16,191,148
Crosby Worldwide
4.00% due 11/23/20		12,967,500		12,891,898
Brickman Group Holdings, Inc.
4.00% due 12/18/20		10,077,000		10,087,984
7.50% due 12/17/21		1,400,000		1,424,500
Travelport Holdings Ltd.
6.25% due 06/26/19		5,093,883		5,206,917
9.50% due 01/31/16		4,935,000		5,095,388
US Shipping Corp.
9.00% due 04/30/18		9,707,806		9,901,963
Minimax Viking
4.50% due 08/14/20		9,452,500		9,519,424
Mitchell International, Inc.
4.50% due 10/12/20		6,384,000		6,393,576
8.50% due 10/11/21		3,050,000		3,114,813
Rexnord LLC/ RBS Global, Inc.
4.00% due 08/21/20		8,358,000		8,357,916
Doncasters Group Ltd.
9.50% due 10/09/20		6,950,000		7,054,250
5.50% due 04/09/20		1,257,300		1,262,543
US Infrastructure Corp.
4.00% due 07/10/20		6,848,250		6,835,444
Thermasys Corp.
5.25% due 05/03/19		6,739,688		6,705,989
SIRVA Worldwide, Inc.
7.50% due 03/27/19		5,940,000		6,058,800
Tank & Rast
4.06% due 12/10/19		2,340,000		3,252,015
3.81% due 12/10/18		1,750,000		2,412,847
Berlin Packaging LLC
4.75% due 04/02/19		3,582,000		3,599,910
8.75% due 04/10/20		1,900,000		1,942,750
SRA International, Inc.
6.50% due 07/20/18		5,055,529		5,065,033
Power Borrower, LLC
4.25% due 05/06/20		2,955,637		2,938,406
8.25% due 11/06/20		1,670,000		1,653,300
Quikrete
4.00% due 09/28/20		4,577,000		4,581,760
HD Supply, Inc.
4.00% due 06/28/18		4,431,106		4,432,036
IPC Systems, Inc.
7.75% due 07/31/17		4,121,091		4,120,433
NaNa Development Corp.
8.00% due 03/15/18		4,080,000		4,039,200
Filtration Group Corp.
4.50% due 11/20/20		3,840,375		3,862,764
Sutherland Global Services, Inc.
7.25% due 03/06/19		3,800,000		3,819,000
syncreon
5.25% due 10/28/20		3,790,500		3,795,238
Ceva Logistics US Holdings
6.50% due 03/19/21		3,783,251		3,767,475
Knowledge Learning Corp.
5.25% due 03/12/21		3,550,000		3,569,987
Multiplan, Inc.
4.00% due 03/31/21		3,400,000		3,391,500
Emerald Expositions
5.50% due 06/17/20		3,132,123		3,153,014
Camp Systems International
4.75% due 05/31/19		1,895,213		1,914,165
8.25% due 11/29/19		1,150,000		1,171,563
GYP Holdings III Corp.
4.75% due 03/26/21		2,800,000		2,786,000
Ceva Logistics Holdings BV (Dutch)
6.50% due 03/19/21		2,742,857		2,731,419
Mast Global
8.75% due 09/12/19†††,6		2,715,625		2,688,469
Osmose Holdings, Inc.
4.75% due 11/26/18		2,619,792		2,632,891
Ceva Group Plc (United Kingdom)
6.50% due 03/19/21		2,600,985		2,590,139
Ranpak
4.50% due 04/25/19		2,005,124		2,015,149
8.50% due 04/23/20		500,000		510,000
Univision Communications, Inc.
4.00% due 03/01/20		2,504,700		2,499,791
Nord Anglia Education Finance LLC
4.50% due 03/19/21		2,500,000		2,496,875
Realogy Corp.
3.75% due 03/05/20		2,475,047		2,482,472
MRC Global, Inc.
4.75% due 11/08/19		2,417,850		2,445,559
GCA Services Group, Inc.
4.27% due 11/01/19		1,796,465		1,798,711
9.25% due 11/01/20		200,000		202,250
Berry Plastics Corp.
3.50% due 02/08/20		1,094,472		1,089,000
3.75% due 01/06/21		900,000		897,624
ServiceMaster Co.
4.25% due 01/31/17		1,757,934		1,758,303
Dematic S.A.
4.25% due 12/28/19		1,361,681		1,363,955
CareCore National LLC
5.50% due 03/05/21		1,350,000		1,357,317

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
FLOATING RATE STRATEGIES FUND

		FACE
		AMOUNT		VALUE
Helm Financial Corp.
6.25% due 06/01/17	$	1,150,133	$	1,147,258
Travelport LLC
5.50% due 06/21/18†††,6		833,333		752,859
CPM Acquisition Corp.
6.25% due 08/29/17		379,192		381,561
10.25% due 03/01/18		325,000		329,063
Panolam Industries International, Inc.
7.25% due 08/23/17		572,763		557,012
Wireco Worldgroup, Inc.
6.00% due 02/15/17		492,500		494,963
Ceva Logistics Canada, ULC
6.50% due 03/19/21		472,906		470,934
Omnitracs, Inc.
8.75% due 05/25/21		350,000		354,375
Advanced Disposal Services, Inc.
3.75% due 10/09/19		351,369		350,442
Total Safety U.S., Inc.
5.75% due 03/13/20		198,000		198,248
9.25% due 09/13/20		99,750		99,750
Hamilton Sundstrand
4.00% due 12/13/19		257,117		256,394
SI Organization
5.50% due 11/22/16		243,759		238,124
Hunter Fan Co.
6.50% due 12/20/17		223,010		222,731
Wyle Services Corp.
5.00% due 03/26/17		190,786		190,786
Awas Aviation Holdings LLC
3.50% due 06/10/16		189,229		189,229
DynCorp International, Inc.
6.25% due 07/07/16		84,224		84,698
Total Industrials				223,249,300
INFORMATION TECHNOLOGY - 11.5%
Infor (US), Inc.
3.75% due 06/03/20		18,521,036		18,450,198
Sabre, Inc.
4.50% due 02/19/19		8,361,491		8,357,310
4.25% due 02/19/19		2,952,035		2,950,795
Active Network, Inc., The
5.50% due 11/13/20		9,875,250		9,955,536
Greenway Medical Technologies
6.00% due 11/04/20		9,975,000		9,912,656
GlobalLogic Holdings, Inc.
6.25% due 05/31/19		9,725,625		9,628,369
CallCredit Info Group Ltd.
7.75% due 03/26/21		5,300,000		8,901,809
LANDesk Group, Inc.
5.00% due 02/25/20		8,457,500		8,460,122
Aspect Software, Inc.
7.25% due 05/07/16		8,101,342		8,202,608
Applied Systems, Inc.
4.25% due 01/25/21		7,331,625		7,349,954
Activision Blizzard
3.25% due 10/12/20		6,356,250		6,349,894
ION Trading Technologies Ltd.
4.50% due 05/22/20		3,937,500		3,941,201
8.25% due 05/22/21		1,800,000		1,818,000
EIG Investors Corp.
5.00% due 11/09/19		5,409,320		5,436,366
Deltek, Inc.
4.50% due 10/10/18		5,117,024		5,142,609
P2 Energy Solutions
5.00% due 10/30/20		4,568,550		4,602,814
9.00% due 04/30/21		390,000		396,338
CDW LLC
3.25% due 04/29/20		4,950,012		4,900,511
Sophos
5.00% due 01/29/21		4,800,000		4,812,000
Paradigm Ltd
4.75% due 07/30/196		4,129,316		4,133,198
Verint Systems, Inc.
3.50% due 09/06/19		3,467,000		3,455,732
Blue Coat Systems, Inc.
4.00% due 05/31/19		3,286,000		3,291,488
Kronos, Inc.
4.50% due 10/30/19		2,424,996		2,441,365
SRS Distribution, Inc.
4.75% due 08/28/19		2,279,019		2,279,019
Eze Castle Software, Inc.
7.25% due 04/04/21		1,441,176		1,448,382
8.50% due 03/14/21		800,000		810,000
Lantiq Deutschland GmbH
11.00% due 11/16/156		1,881,406		1,862,592
Attachmate Group, Inc., The
7.25% due 11/22/17		1,119,620		1,125,923
Hyland Software, Inc.
4.75% due 02/19/21		1,089,000		1,098,529
Wall Street Systems
5.75% due 10/25/19		641,875		641,875
9.25% due 10/25/20		150,000		151,125
American Builders & Contractors
Supply Co., Inc.
3.50% due 04/16/20		696,500		694,139
Sophia, LP
4.00% due 07/19/18		382,139		382,139
Epicor Software
4.00% due 05/16/18		374,063		374,717
SumTotal Systems
6.25% due 11/16/18		331,073		329,004
Total Information Technology				154,088,317
TELECOMMUNICATION SERVICES - 10.3%
Ziggo BV
3.75% due 01/15/22		6,445,200		8,830,328
3.50% due 01/15/22		5,854,800		8,021,443
Scout24 AG
4.48% due 02/05/21		12,000,000		16,689,398
Alcatel-Lucent, Inc.
4.50% due 01/30/19		11,444,482		11,492,778
Cumulus Media, Inc.
4.25% due 12/23/20		10,967,750		11,008,879
Zayo Group LLC
4.00% due 07/02/19		9,875,481		9,877,950
Expert Global Solutions
8.50% due 04/03/18		8,973,458		8,737,905
7.80% due 04/02/176		937,500		883,575
Asurion Corp.
4.25% due 07/08/20		4,128,800		4,111,831
6.00% due 05/24/19		3,891,170		3,897,512

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  11

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
FLOATING RATE STRATEGIES FUND

		FACE
		AMOUNT		VALUE
Avaya, Inc.
6.50% due 03/31/18	$	4,933,593	$	4,938,724
4.73% due 10/26/17		2,338,791		2,281,538
Light Tower Fiber LLC
4.00% due 04/13/20		6,458,731		6,414,360
Cengage Learning Acquisitions, Inc.
7.00% due 03/06/20		5,650,000		5,708,873
Trader Media Corporation Ltd.
5.00% due 12/08/17		3,376,319		5,645,041
Gogo LLC
11.25% due 06/21/176		4,342,631		4,690,042
CBS Outdoor Americas Capital LLC
3.00% due 01/31/21		4,600,000		4,579,898
Associated Partners, Inc.
6.66% due 12/21/15†††,6		3,250,000		3,258,125
Univision Communications, Inc.
4.00% due 03/01/20		3,006,951		3,010,289
Live Nation Worldwide, Inc.
3.50% due 08/14/20		2,985,000		2,978,463
Hemisphere Media Group, Inc.
6.25% due 07/30/20		2,580,500		2,586,951
EMI Music Publishing
3.75% due 06/29/18		2,367,010		2,365,329
Virgin Media Investment Holdings Ltd.
3.50% due 06/08/20		2,000,000		1,994,660
Anaren, Inc.
5.50% due 02/18/21		1,596,000		1,603,980
9.25% due 08/18/21		275,000		277,750
Syniverse Technologies, Inc.
4.00% due 04/23/19		1,163,426		1,163,914
Level 3 Communications, Inc.
4.00% due 08/01/19		750,000		751,688
Clientlogic Corp.
6.99% due 01/30/17		250,000		252,500
Telx Group
5.25% due 09/25/17		243,789		245,312
Total Telecommunication Services				138,299,036
FINANCIALS - 9.2%
HUB International Ltd.
4.75% due 10/02/20		13,731,000		13,736,766
National Financial Partners
5.25% due 07/01/20		12,530,831		12,589,601
First Data Corp.
4.15% due 03/23/18		9,300,000		9,315,531
4.15% due 03/24/21		1,374,285		1,376,291
4.15% due 09/24/18		400,000		400,388
Magic Newco, LLC
5.00% due 12/12/18		9,903,160		9,989,813
12.00% due 06/12/19		500,000		572,500
Ceridian Corp.
4.40% due 05/09/17		5,848,903		5,869,374
American Stock Transfer & Trust
5.75% due 06/26/20		5,828,800		5,848,210
WTG Holdings
4.75% due 01/15/21		5,735,625		5,749,964
AmWINS Group, LLC
5.00% due 09/06/19		4,755,955		4,784,206
International Lease Finance
3.50% due 03/06/21		4,700,000		4,700,987
Wastequip, Inc.
5.50% due 08/09/19		4,429,031		4,462,249
Nuveen Investments, Inc.
4.15% due 05/13/17		4,000,000		4,009,280
6.50% due 02/28/19		400,000		400,500
RCS Capital
6.50% due 03/29/19		4,350,000		4,371,750
STG-Fairway Acquisitions, Inc.
6.25% due 02/28/19		2,977,505		2,984,949
10.50% due 08/28/19†††		1,300,000		1,287,000
Topaz Power Holdings LLC
5.25% due 02/26/20		3,950,000		3,864,404
Cetera Financial Group, Inc.
6.50% due 08/07/19		3,555,000		3,555,000
Lineage Logistics LLC
4.50% due 03/31/21		3,250,000		3,241,875
Fly Leasing Ltd.
4.50% due 08/09/19		2,660,078		2,685,562
Intertrust Group
4.65% due 02/04/20		2,616,000		2,605,379
Transunion Holding Co.
4.00% due 03/19/21		2,500,000		2,504,175
Grosvenor Capital Management
Holdings, LLLP
3.75% due 01/04/21		2,169,563		2,157,370
USI Holdings Corp.
4.25% due 12/27/19		1,970,125		1,976,291
iStar Financial, Inc.
4.50% due 10/15/17		1,952,824		1,957,100
Cunningham Lindsey U.S., Inc.
5.00% due 12/10/19		1,631,602		1,630,917
9.25% due 06/10/20		194,886		194,399
AssuredPartners
0.00% due 01/31/193		1,600,000		1,584,000
Alliant Holdings I, LLC
4.25% due 12/20/19		1,425,543		1,430,290
CNO Financial Group, Inc.
3.75% due 09/28/18		727,926		727,475
Knight/Getco
5.75% due 12/05/17		607,477		608,236
Hamilton Lane Advisors LLC
5.25% due 02/28/18		196,875		196,875
Total Financials				123,368,707
CONSUMER STAPLES - 4.6%
Performance Food Group
6.25% due 11/14/19		9,921,453		10,053,705
CTI Foods Holding Co. LLC
8.25% due 06/28/21		8,650,000		8,693,250
4.50% due 06/28/20		1,343,250		1,343,250
Dole Food Company, Inc.
4.50% due 11/01/18		7,980,000		8,009,925
Reddy Ice Holdings, Inc.
6.75% due 04/01/19		4,853,481		4,804,946
10.75% due 10/01/19		2,000,000		1,920,000
Arctic Glacier Holdings, Inc.
5.00% due 05/10/19		6,433,607		6,441,649
Grocery Outlet, Inc.
5.50% due 12/17/18		6,048,438		6,059,809

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
FLOATING RATE STRATEGIES FUND

		FACE
		AMOUNT		VALUE
Darling International, Inc.
3.25% due 01/08/21	$	6,000,000	$	5,987,520
Hostess Brands
6.75% due 04/09/20		2,800,000		2,908,500
DS Waters of America, Inc.
5.25% due 08/30/20		2,487,500		2,524,813
AdvancePierre Foods, Inc.
5.75% due 07/10/17		1,706,360		1,711,036
9.50% due 10/10/17		751,000		728,470
Aramark Corp.
3.25% due 02/24/21		1,220,000		1,207,544
Total Consumer Staples				62,394,417
MATERIALS - 3.5%
Chromaflo Technologies
4.50% due 12/02/19		11,720,625		11,749,926
Oxbow Carbon
8.00% due 01/19/20		4,900,000		4,998,000
4.25% due 07/19/19		3,940,158		3,958,204
WR Grace & Co.
3.00% due 02/03/21		8,842,105		8,816,286
Royal Adhesives and Sealants
5.50% due 07/31/18		5,045,605		5,105,547
CPG International, Inc.
4.75% due 09/30/20		3,710,345		3,716,541
Atkore International, Inc.
4.50% due 03/26/21		2,300,000		2,295,699
7.75% due 09/27/21		400,000		402,000
Ennis-Flint
4.25% due 03/31/21		2,100,000		2,096,073
7.75% due 09/30/21		550,000		550,000
United Central Industrial Supply
9.50% due 10/09/17†††,6		1,700,000		1,700,000
Fortescue Metals Group Ltd.
4.25% due 06/30/19		995,000		1,002,174
Kloeckner Pentaplast S.A.
4.75% due 12/21/16		285,529		288,028
Total Materials				46,678,478
HEALTH CARE - 3.1%
Community Health Systems, Inc.
4.25% due 01/27/21		10,623,375		10,705,069
Akorn, Inc.
4.50% due 11/13/20		6,300,000		6,355,125
Valeant Pharmaceuticals International, Inc.
3.75% due 08/05/20		5,602,430		5,615,652
Merge Healthcare, Inc.
6.00% due 04/23/196		4,512,406		4,241,662
Learning Care Group (US), Inc.
5.75% due 05/08/19		4,227,174		4,240,405
Harvard Drug
5.00% due 08/16/20		3,320,163		3,337,794
DJO Finance LLC
4.75% due 09/15/17		2,567,500		2,574,715
Ceramtec GMBH
4.25% due 08/30/20		2,284,515		2,286,410
Catalent Pharma Solutions, Inc.
4.25% due 09/15/17		1,178,462		1,181,149
Healthport, Inc.
5.25% due 10/04/19		748,125		755,606
Total Health Care				41,293,587
ENERGY - 2.5%
Ocean Rig ASA
6.00% due 03/31/21		7,788,691		7,926,628
Rice Energy
8.50% due 10/25/18		6,538,714		6,653,142
Pacific Drilling
4.50% due 05/18/18		5,705,631		5,724,175
PSS Companies
5.50% due 01/28/20		5,250,000		5,276,250
Panda Temple II Power
7.25% due 04/03/19		4,500,000		4,606,875
Varel International Energy Funding Corp.
9.25% due 07/17/17		956,250		963,422
Crestwood
7.00% due 06/19/19		731,855		744,209
Panda Sherman
9.00% due 09/14/18		600,000		613,500
EP Energy LLC
4.50% due 04/30/19		281,250		281,835
Sheridan Production Partners
4.25% due 10/01/19		244,375		245,494
Total Energy				33,035,530
UTILITIES - 0.9%
Astoria Generating Company
Acquisitions LLC
8.50% due 10/26/17		6,825,000		7,029,750
Linden Cogeneration Power
3.75% due 12/17/20		4,800,507		4,820,525
Total Utilities				11,850,275
Total Senior Floating Rate Interests
(Cost $1,075,198,469)				1,083,509,079
ASSET BACKED SECURITIES†† - 9.6%
Gramercy Real Estate CDO 2007-1 Ltd.
2007-1A, 0.52% due 08/15/561,4		11,647,489		9,969,087
Castlelake Aircraft Securitization Trust
2014-1, 5.25% due 02/15/29†††		4,705,825		4,752,883
2014-1, 7.50% due 02/15/29†††		3,500,000		3,535,000
Cedar Woods CRE CDO Ltd.
0.42% due 07/25/51†††		8,849,225		7,224,507
GreenPoint Mortgage Funding Trust
2005-HE4, 0.86% due 07/25/301		6,800,000		6,153,544
RAIT CRE CDO I Ltd.
2006-1X, 0.49% due 11/20/46†††,1		6,498,237		5,498,808
N-Star REL CDO VIII Ltd.
2006-8A, 0.51% due 02/01/411,4		3,250,000		2,811,900
2006-8A, 0.44% due 02/01/41†††,1,4		1,779,618		1,677,112
Structured Asset Securities Corporation
Mortgage Loan Trust
2006-OPT1, 0.41% due 04/25/361		4,300,000		3,697,200
2007-BC1, 0.28% due 02/25/371		900,000		732,559
N-Star Real Estate CDO IX Ltd.
0.51% due 02/01/41†††,6		4,804,968		4,366,275
KKR Financial CLO 2007-1 Ltd.
2007-1A, 2.49% due 05/15/211,4		4,100,000		3,942,560
Newstar Commercial Loan
Funding 2013-1 LLC
2013-1A, 4.78% due 09/20/231,4		2,750,000		2,750,000
2013-1A, 5.53% due 09/20/231,4		250,000		249,350

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
FLOATING RATE STRATEGIES FUND

		FACE
		AMOUNT		VALUE
Lehman XS Trust
2007-9, 0.27% due 06/25/371	$	3,226,703	$	2,820,500
Jasper CLO Ltd.
2005-1A, 1.14% due 08/01/171,4		3,000,000		2,813,322
Halcyon Loan Advisors Funding 2012-1 Ltd.
2012-1A, 3.24% due 08/15/231,4		2,600,000		2,594,280
Wachovia Asset Securitization
Issuance II LLC 2007-HE1 Trust
2007-HE1, 0.29% due 07/25/371,4		2,914,538		2,438,099
Highland Park CDO I Ltd.
2006-1A, 0.56% due 11/25/511,4,7		2,616,693		2,402,909
Tricadia CDO 2006-6 Ltd.
2006-6A, 0.79% due 11/05/41†††,1,4		1,750,000		1,627,675
2006-6A, 0.99% due 11/05/41†††,1,4		550,000		499,675
TCW Global Project Fund III Ltd.
2005-1A, 0.89% due 09/01/17†††,1,4		1,750,000		1,625,400
2005-1A, 1.09% due 09/01/17†††,1,4		500,000		427,250
GSAMP Trust
2005-HE6, 0.59% due 11/25/351		2,250,000		2,001,276
Duane Street CLO IV Ltd.
2007-4A, 2.49% due 11/14/211,4		2,000,000		1,907,000
West Coast Funding Ltd.
2006-1A, 0.37% due 11/02/411,4		1,853,939		1,785,714
Acis CLO 2013-2 Ltd.
4.09% due 10/14/221,4		1,800,000		1,758,780
Northwoods Capital VII Ltd.
2006-7A, 3.74% due 10/22/211,4		1,000,000		969,100
2006-7A, 1.79% due 10/22/211,4		700,000		669,550
Rockwall CDO II Ltd.
2007-1A, 0.49% due 08/01/241,4		1,740,241		1,614,073
HSI Asset Securitization Corporation Trust
2007-WF1, 0.32% due 05/25/371		1,728,004		1,597,234
DIVCORE CLO Ltd.
2013-1A B, 4.05% due 11/15/32†††		1,600,000		1,592,800
Home Equity Asset Trust
2006-3, 0.46% due 07/25/361		1,717,393		1,562,293
MCF CLO I LLC
2013-1A, 3.79% due 04/20/231,4		1,500,000		1,482,900
Copper River CLO Ltd.
2007-1A, 1.74% due 01/20/21†††,1,4		1,000,000		914,000
2007-1A, 1.04% due 01/20/211,4		500,000		452,650
New Century Home Equity Loan Trust
2004-4, 0.95% due 02/25/351		1,441,499		1,308,169
GSAA Home Equity Trust
2007-7, 0.42% due 07/25/371		1,464,803		1,269,005
Global Leveraged Capital Credit
Opportunity Fund
2006-1A, 1.24% due 12/20/181,4		1,288,000		1,238,154
Newcastle Cdo Viii 1 Ltd.
2006-8A, 0.43% due 11/25/52†††,1,4		1,201,297		1,150,242
Putnam Structured Product CDO 2002-1 Ltd.
2002-1A, 0.83% due 01/10/381,4		1,270,409		1,129,902
Grayson CLO Ltd.
2006-1A, 0.65% due 11/01/211,4		1,200,000		1,104,600
Halcyon Structured Asset Management
Long Secured/Short Unsecured 2007-1 Ltd.
2007-1A, 2.54% due 08/07/211,4		1,100,000		1,083,830
Cerberus Onshore II CLO LLC
2014-1A, 4.25% due 10/15/23†††,1,4		600,000		573,060
2014-1A, 3.75% due 10/15/23†††,1,4		500,000		486,900
Telos CLO 2007-2 Ltd.
2007-2A, 2.44% due 04/15/221,4		1,100,000		1,043,350
Genesis Funding Ltd.
2006-1A, 0.40% due 12/19/321,4		1,108,835		1,033,323
Telos CLO Ltd.
2013-3A, 4.49% due 01/17/241,4		1,050,000		1,032,675
ARES XXVI CLO Ltd.
2013-1A, 0.00% due 04/15/253,4		1,250,000		1,028,875
Salus CLO 2012-1 Ltd.
2013-1AN, 6.99% due 03/05/21†††,1,4		1,000,000		1,001,900
Aerco Ltd.
2000-2A, 1.12% due 07/15/251		1,657,879		1,001,028
Acis CLO 2013-1 Ltd.
2013-1A, 4.74% due 04/18/241,4		1,000,000		1,000,000
COA Summit CLO Ltd.
2014-1A, 4.09% due 04/20/23†††,1,4		1,000,000		996,200
Halcyon Structured Asset Management
Long Secured/Short Unsecured 2007-2 Ltd.
2007-2A, 3.99% due 10/29/211,4		1,000,000		986,200
Hewett’s Island CDO Ltd.
2007-6A, 2.49% due 06/09/191,4		1,000,000		975,400
Liberty CLO Ltd.
2005-1A, 0.74% due 11/01/171,4		1,000,000		965,600
NewStar Commercial Loan Trust
2007-1A, 2.53% due 09/30/22†††,1,4		500,000		481,750
2007-1A, 1.53% due 09/30/221,4		500,000		468,350
Churchill Financial Cayman Ltd.
2007-1A, 2.84% due 07/10/191,4		1,000,000		930,700
Airplanes Pass Through Trust
2001-1A, 0.71% due 03/15/191		1,705,538		801,603
Shackleton II CLO Ltd.
2012-2A, 4.29% due 10/20/231,4		750,000		750,375
Garrison Funding 2013-2 Ltd.
2013-2A, 4.98% due 09/25/231,4		750,000		745,125
Westchester CLO Ltd.
2007-1A, 0.58% due 08/01/221,4		750,000		705,750
KKR Financial CLO Ltd.
5.24% due 05/15/21		650,000		648,245
Drug Royalty Limited Partnership
2012-1, 5.49% due 07/15/241,4		508,462		528,274
ACA CLO 2007-1 Ltd.
2007-1A, 1.19% due 06/15/221,4		575,000		526,413
Cent CLO
2012-16A, 3.74% due 08/01/241,4		500,000		502,700
CIFC Funding 2012-II Ltd.
2012-2A, 4.49% due 12/05/241,4		500,000		501,400
Cerberus Offshore Levered I, LP
2012-1A, 6.23% due 11/30/181,4		250,000		250,575
2012-1A, 4.98% due 11/30/181,4		250,000		249,825
Fraser Sullivan CLO VI Ltd.
2011-6A, 4.74% due 11/22/221,4		500,000		500,363
Gleneagles CLO Ltd.
2005-1A, 1.14% due 11/01/171,4		500,000		475,200
Pangaea CLO Ltd.
2007-1A, 0.74% due 10/21/211,4		500,000		469,800
Kingsland III Ltd.
2006-3A, 1.84% due 08/24/211,4		500,000		464,850
Westwood CDO I Ltd.
2007-1A, 0.90% due 03/25/211,4		500,000		463,050
Kingsland IV Ltd.
2007-4A, 1.69% due 04/16/21†††,1,4		500,000		461,600

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
FLOATING RATE STRATEGIES FUND

		FACE
		AMOUNT		VALUE
MCF CLO III LLC
2014-3A, 3.46% due 01/20/24†††,1,4	$	500,000	$	459,300
ACS 2007-1 Pass Through Trust
2007-1A, 0.46% due 06/14/371,4		479,036		455,707
Northwind Holdings LLC
2007-1A, 1.02% due 12/01/371,4		456,875		419,320
Babcock & Brown Air Funding I Ltd.
2007-1A, 0.62% due 11/14/331,4		484,789		402,375
Newcastle CDO IX 1 Ltd.
2007-9A, 0.41% due 05/25/521,4,7		379,732		378,592
Aircraft Lease Securitisation Ltd.
2007-1A, 0.42% due 05/10/321,4		389,463		376,806
OFSI Fund Ltd.
2006-1A, 1.08% due 09/20/191,4		370,000		356,199
Raspro Trust
2005-1A, 0.63% due 03/23/241,4		370,274		336,949
Credit Card Pass-Through Trust
2012-BIZ, 0.00% due 12/15/49†††,3,4		369,709		317,543
Eastland CLO Ltd.
2007-1A, 0.64% due 05/01/221,4		350,000		311,675
Asset Backed Securities Corporation
Home Equity Loan Trust Series
2004-HE8, 1.20% due 12/25/341		347,746		307,280
Accredited Mortgage Loan Trust
2007-1, 0.28% due 02/25/371		324,514		302,040
Diversified Asset Securitization
Holdings II, LP
2000-1A, 0.72% due 09/15/351,4		281,963		281,737
Ivy Hill Middle Market Credit Fund Ltd.
2011-3A, 6.74% due 01/15/221,4		250,000		250,000
Black Diamond CLO 2005-2 Delaware Corp.
2005-2A, 2.03% due 01/07/181,4		250,000		238,125
Structured Asset Receivables Trust Series
2005-1A, 0.74% due 01/21/151,4		217,655		206,229
Castle Trust
2003-1AW, 0.91% due 05/15/271,4		58,623		55,692
Vega Containervessel plc
2006-1A, 5.56% due 02/10/21†††,4		44,130		43,261
Legg Mason Real Estate CDO I Ltd.
2006-1A, 0.43% due 03/25/381,4		24,969		24,544
Total Asset Backed Securities
(Cost $126,781,313)				129,775,000
CORPORATE BONDS†† - 7.4%
FINANCIALS - 2.0%
Icahn Enterprises Limited
Partnership / Icahn
Enterprises Finance Corp.
5.88% due 02/01/224		5,000,000		5,074,999
6.00% due 08/01/204		1,700,000		1,802,000
4.88% due 03/15/194		1,750,000		1,780,625
3.50% due 03/15/174		1,000,000		1,010,000
Citigroup, Inc.
5.35% due 05/29/491,2		4,000,000		3,710,000
Credit Acceptance Corp.
6.13% due 02/15/214		3,100,000		3,224,000
Wilton Re Finance LLC
5.88% due 03/30/331,4		2,750,000		2,736,250
Cabot Financial Luxembourg S.A.
6.50% due 04/01/214		1,300,000		2,171,283
Nationstar Mortgage LLC/Nationstar
Capital Corp.
6.50% due 07/01/21		2,000,000		1,885,000
Opal Acquisition, Inc.
8.88% due 12/15/214		1,775,000		1,783,875
Ally Financial, Inc.
3.50% due 01/27/19		1,750,000		1,750,000
Oxford Finance LLC / Oxford Finance
Company-Issuer, Inc.
7.25% due 01/15/184		650,000		689,000
Fidelity & Guaranty Life Holdings, Inc.
6.38% due 04/01/214		450,000		479,250
LCP Dakota Fund
10.00% due 08/17/156		30,933		30,933
Total Financials				28,127,215
ENERGY - 1.6%
Unit Corp.
6.63% due 05/15/21		4,000,000		4,240,000
Eagle Rock Energy Partners
Limited Partnership / Eagle
Rock Energy Finance Corp.
8.38% due 06/01/19		2,600,000		2,821,000
Rosetta Resources, Inc.
5.88% due 06/01/22		2,700,000		2,760,750
Midstates Petroleum Company
Incorporated / Midstates
Petroleum Co LLC
10.75% due 10/01/20		2,000,000		2,210,000
BreitBurn Energy Partners Limited
Partnership / BreitBurn Finance Corp.
7.88% due 04/15/22		2,000,000		2,165,000
Ultra Petroleum Corp.
5.75% due 12/15/184		1,750,000		1,837,500
Penn Virginia Resource Partners Limited
Partnership / Penn Virginia
Resource Finance Corp.
8.38% due 06/01/20		1,612,000		1,809,470
Atlas Energy Holdings Operating
Company LLC / Atlas Resource
Finance Corp.
9.25% due 08/15/214		1,500,000		1,650,000
Gibson Energy, Inc.
6.75% due 07/15/214		1,055,000		1,131,488
Bill Barrett Corp.
7.63% due 10/01/19		800,000		867,000
Total Energy				21,492,208
UTILITIES - 0.8%
Crestwood Midstream Partners Limited
Partnership / Crestwood Midstream
Finance Corp.
6.00% due 12/15/20		6,300,000		6,599,250
Legacy Reserves Limited Partnership / Legacy
Reserves Finance Corp.
8.00% due 12/01/20		2,750,000		2,942,500
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/234		630,000		672,525
Total Utilities				10,214,275

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
FLOATING RATE STRATEGIES FUND

		FACE
		AMOUNT		VALUE
INDUSTRIALS - 0.6%
Premier Foods Finance plc
5.52% due 03/15/201,4	$	2,750,000	$	4,660,123
Ultra Resources, Inc.
4.66% due 10/12/22†††,6		1,800,000		1,618,200
Travelport LLC
11.88% due 09/01/16		1,300,000		1,326,000
Travelport LLC / Travelport Holdings, Inc.
6.36% due 03/01/161,4		1,012,539		1,020,133
Total Industrials				8,624,456
CONSUMER DISCRETIONARY - 0.6%
GRD Holdings III Corp.
10.75% due 06/01/194		3,680,000		4,048,000
Checkers Drive-In Restaurants, Inc.
11.00% due 12/01/174		1,000,000		1,115,000
MDC Partners, Inc.
6.75% due 04/01/204		1,000,000		1,052,500
Laureate Education, Inc.
9.25% due 09/01/194		970,000		1,033,050
Continental Airlines 2012-2
Class B Pass Through Trust
5.50% due 10/29/20		400,000		421,000
Atlas Air 1999-1 Class A-1 Pass Through Trust
7.20% due 01/02/196		91,923		99,621
WMG Acquisition Corp.
11.50% due 10/01/18		50,000		56,825
Total Consumer Discretionary				7,825,996
TELECOMMUNICATION SERVICES - 0.6%
Alcatel-Lucent USA, Inc.
6.75% due 11/15/204		3,000,000		3,172,500
Virgin Media Secured Finance plc
5.38% due 04/15/214		1,800,000		1,858,500
SITEL LLC / Sitel Finance Corp.
11.00% due 08/01/174		670,000		719,413
CyrusOne Limited Partnership / CyrusOne
Finance Corp.
6.38% due 11/15/22		600,000		633,000
Avaya, Inc.
7.00% due 04/01/194		610,000		605,425
UPCB Finance VI Ltd.
6.88% due 01/15/224		530,000		577,700
Total Telecommunication Services				7,566,538
CONSUMER STAPLES - 0.4%
Harbinger Group, Inc.
7.88% due 07/15/19		2,300,000		2,524,250
Central Garden and Pet Co.
8.25% due 03/01/18		2,000,000		2,062,500
Vector Group Ltd.
7.75% due 02/15/21		1,000,000		1,075,000
Total Consumer Staples				5,661,750
MATERIALS - 0.3%
TPC Group, Inc.
8.75% due 12/15/204		2,000,000		2,192,500
Unifrax I LLC / Unifrax Holding Co.
7.50% due 02/15/194		1,525,000		1,616,500
Mirabela Nickel Ltd.
8.75% due 04/15/184,5,6		2,000,000		480,000
Total Materials				4,289,000
INFORMATION TECHNOLOGY - 0.3%
NCR Corp.
6.38% due 12/15/234		1,800,000		1,912,500
Eagle Midco, Inc.
9.00% due 06/15/184		1,400,000		1,470,000
Total Information Technology				3,382,500
HEALTH CARE - 0.2%
Valeant Pharmaceuticals International, Inc.
5.63% due 12/01/214		2,000,000		2,100,000
Total Corporate Bonds
(Cost $98,441,862)				99,283,938
COLLATERALIZED MORTGAGE OBLIGATION†† - 2.5%
Lehman XS Trust Series
2005-7N,0.42% due 12/25/351		3,147,702		2,967,112
2006-16N,0.34% due 11/25/461		3,499,141		2,851,030
HarborView Mortgage Loan Trust
2006-12,0.35% due 01/19/381		4,693,221		3,943,193
Nomura Resecuritization Trust
2012-1R,0.60% due 08/27/471,4		4,064,336		3,744,473
COMM 2006-FL12 Mortgage Trust
2006-FL12,0.45% due 12/15/201,4		2,273,925		2,255,597
2006-FL12,0.50% due 12/15/201,4		1,299,536		1,283,350
Washington Mutual Mortgage
Pass-Through Certificates WMALT
Series 2006-AR9 Trust
2006-AR9,0.97% due 11/25/461		5,219,219		3,475,013
IndyMac INDX Mortgage Loan Trust
2006-AR4,0.36% due 05/25/461		3,870,694		3,294,618
Washington Mutual Mortgage
Pass-Through Certificates WMALT
Series 2007-OA4 Trust
2007-OA4,0.89% due 04/25/471		4,062,407		3,034,041
GreenPoint Mortgage Funding Trust
2006-AR1,0.44% due 02/25/361		3,295,517		2,626,913
Structured Asset Mortgage
Investments II Trust
2006-AR1,0.38% due 02/25/361		1,842,085		1,566,881
SRERS-2011 Funding Ltd.
2011-RS,0.40% due 05/09/461,4		1,633,385		1,510,718
Bear Stearns Mortgage Funding Trust
2007-AR5,0.32% due 06/25/471		1,013,355		815,415
Total Collateralized Mortgage Obligations
(Cost $32,854,689)				33,368,354
COMMERCIAL PAPER†† - 2.2%
Pacific Gas & Electric Co.
0.19% due 04/02/144		10,000,000		9,999,948
Northeast Utilities
0.18% due 04/09/144		10,000,000		9,999,600

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

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2014
FLOATING RATE STRATEGIES FUND

		FACE
		AMOUNT		VALUE
Duke Energy Corp.
0.17% due 04/03/144	$	8,700,000	$	8,699,908
0.19% due 04/03/144		1,000,000		999,989
Total Duke Energy Corp.				9,699,897
Total Commercial Paper
(Cost $29,699,445)				29,699,445
Total Investments - 107.0%
(Cost $1,425,173,984)			$	1,437,815,782
Other Assets & Liabilities, net - (7.0)%				(94,508,087	)
Total Net Assets - 100.0%			$	1,343,307,695

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS^††

Contracts to Sell	Currency	Counterparty	Settlement Date	Settlement Value		Value at 03/31/14		Net Unrealized Appreciation/ (Depreciation)
22,700,000	Euro	BNY Mellon	04/30/14	$	31,314,196	$	31,280,143	$	34,053
21,000,000	GBP	BNY Mellon	04/30/14		34,956,810		35,021,820		(65,010	)
								$	(30,957	)

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Variable rate security. Rate indicated is rate effective at March 31, 2014.
2	Perpetual maturity.
3	Security with no rate was unsettled at March 31, 2014.
4	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $172,772,973 (Cost $169,660,792), or 12.9% of total net assets.
5	Security is in default of interest and/or principal obligations.
6	Illiquid security.
7	Security or a portion thereof is held as collateral for reverse repurchase agreements — See Note 11.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust

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

  FLOATING RATE STRATEGIES FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2014

ASSETS:
Investments, at value (cost $1,425,173,984)	$	1,437,815,782
Foreign currency, at value (cost $69,993)		69,910
Segregated cash with broker		372,000
Prepaid expenses		194,816
Receivables:
Securities sold		10,833,614
Interest		5,107,646
Fund shares sold		5,027,244
Investment advisor		194,633
Dividends		35,702
Foreign taxes reclaim		7,273
Total assets		1,459,658,620
LIABILITIES:
Due to custodian bank		5,002,262
Reverse Repurchase Agreements		1,940,631
Unfunded loan commitments, at value (commitment fees received $429,351)		366,750
Unrealized depreciation on forward foreign currency exchange contracts		30,957
Payable for:
Securities purchased		104,075,599
Fund shares redeemed		2,989,331
Management fees		720,932
Distribution and service fees		232,082
Fund accounting/administration fees		105,366
Transfer agent/maintenance fees		18,232
Trustees’ fees*		1,137
Miscellaneous		867,646
Total liabilities		116,350,925
NET ASSETS	$	1,343,307,695
NET ASSETS CONSIST OF:
Paid in capital	$	1,330,052,941
Undistributed net investment income		621,650
Accumulated net realized gain on investments		84,735
Net unrealized appreciation on investments		12,548,369
Net assets	$	1,343,307,695
A-CLASS:
Net assets	$	492,313,753
Capital shares outstanding		18,325,154
Net asset value per share		$26.87
Maximum offering price per share (Net asset value divided by 95.25%)		$28.21
C-CLASS:
Net assets	$	154,861,844
Capital shares outstanding		5,767,018
Net asset value per share		$26.85
INSTITUTIONAL CLASS:
Net assets	$	696,132,098
Capital shares outstanding		25,892,766
Net asset value per share		$26.89

STATEMENT OF OPERATIONS ( Unaudited)

Period Ended March 31, 2014

INVESTMENT INCOME:
Interest (net of foreign withholding tax of $15,606)	$	30,674,412
Dividends		71,405
Total investment income		30,745,817
EXPENSES:
Management fees		3,699,037
Transfer agent/maintenance fees
A-Class		188,725
C-Class		39,892
Institutional Class		84,241
Distribution and service fees:
A-Class		538,756
C-Class		694,973
Fund accounting/administration fees		540,621
Line of credit interest expense		54,278
Trustees’ fees*		43,800
Short interest expense		31,528
Custodian fees		1,888
Tax expense		26
Miscellaneous		357,174
Total expenses		6,274,939
Less:
Expenses waived by Advisor		(146,918)
Expenses waived by Transfer Agent
A-Class		(185,125)
C-Class		(36,399)
Institutional Class		(82,951)
Expenses waived by Distributor
A-Class		(17,769)
C-Class		(5,283)
Total expenses waived		(474,445)
Net expenses		5,800,494
Net investment income		24,945,323
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		1,436,343
Unfunded loan commitments		215,018
Foreign currency		(735,538)
Net realized gain		915,823
Net change in unrealized appreciation (depreciation) on:
Investments		10,639,140
Unfunded loan commitments		(108,662)
Foreign currency		(156,030)
Net change in unrealized appreciation (depreciation)		10,374,448
Net realized and unrealized gain		11,290,271
Net increase in net assets resulting
from operations	$	36,235,594

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

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

  FLOATING RATE STRATEGIES FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	March 31,				Year Ended
	2014			September 30,
	(Unaudited)				2013
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	24,945,323			$	22,811,058
Net realized gain on investments		915,823				1,357,739
Net change in unrealized appreciation (depreciation) on investments		10,374,448				47,569
Net increase in net assets resulting from operations		36,235,594				24,216,366
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
A-Class		(9,156,928	)			(8,633,219	)
C-Class		(2,432,740	)			(2,743,608	)
Institutional Class		(12,732,550	)			(11,457,765	)
Net realized gains
A-Class		(760,820	)			(132,969	)
C-Class		(250,718	)			(75,574	)
Institutional Class		(1,010,452	)			(201,041	)
Total distributions to shareholders		(26,344,208	)			(23,244,176	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		224,533,132				402,666,976
C-Class		42,611,471				104,350,559
Institutional Class		355,308,749				475,637,894
Distributions reinvested
A-Class		7,610,691				6,868,671
C-Class		2,269,095				2,445,945
Institutional Class		11,339,496				10,574,134
Cost of shares redeemed
A-Class		(121,993,705	)			(75,616,322	)
C-Class		(11,854,982	)			(10,919,310	)
Institutional Class		(133,150,136	)			(100,967,437	)
Net increase from capital share transactions		376,673,811				815,041,110
Net increase in net assets		386,565,197				816,013,300
NET ASSETS:
Beginning of period		956,742,498				140,729,198
End of period	$	1,343,307,695			$	956,742,498
Undistributed/(Distributions in excess of) net investment income at end of period	$	621,650			$	(1,455	)
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		8,379,532				15,101,427
C-Class		1,592,786				3,917,569
Institutional Class		13,249,945				17,831,851
Shares issued from reinvestment of distributions
A-Class		283,932				257,605
C-Class		84,691				91,877
Institutional Class		422,693				396,547
Shares redeemed
A-Class		(4,551,891	)			(2,837,771	)
C-Class		(443,714	)			(409,799	)
Institutional Class		(4,967,440	)			(3,804,751	)
Net increase in shares		14,050,534				30,544,555

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

  FLOATING RATE STRATEGIES 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			Period Ended
		March 31,		September 30,			September 30,
A-Class		2014a			2013			2012b
Per Share Data
Net asset value, beginning of period	$	26.62		$	26.10		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.58			1.30			1.09
Net gain (loss) on investments (realized and unrealized)		.29			.65			.97
Total from investment operations		.87			1.95			2.06
Less distributions from:
Net investment income		(.57	)		(1.37	)		(.96	)
Net realized gains		(.05	)		(.06	)		—
Total distributions		(.62	)		(1.43	)		(.96	)
Net asset value, end of period	$	26.87		$	26.62		$	26.10
Total Returne		3.30%			7.61%			8.37%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	492,314		$	378,324		$	44,175
Ratios to average net assets:
Net investment income (loss)		4.35%			4.90%			5.13%
Total expenses		1.17%			1.19%			1.39%
Net expensesd,f		1.05%			1.05%			1.06%
Portfolio turnover rate		26%			50%			61%
	Period Ended			Year Ended			Period Ended
		March 31,		September 30,			September 30,
C-Class		2014a			2013			2012b
Per Share Data
Net asset value, beginning of period	$	26.60		$	26.09		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.48			1.11			.93
Net gain (loss) on investments (realized and unrealized)		.29			.63			.98
Total from investment operations		.77			1.74			1.91
Less distributions from:
Net investment income		(.47	)		(1.17	)		(.82	)
Net realized gains		(.05	)		(.06	)		—
Total distributions		(.52	)		(1.23	)		(.82	)
Net asset value, end of period	$	26.85		$	26.60		$	26.09
Total Returne		2.91%			6.77%			7.72%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	154,862		$	120,606		$	24,358
Ratios to average net assets:
Net investment income (loss)		3.61%			4.19%			4.36%
Total expenses		1.88%			1.93%			2.06%
Net expensesd,f		1.80%			1.81%			1.80%
Portfolio turnover rate		26%			50%			61%

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

  FLOATING RATE STRATEGIES FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Period Ended
		March 31,		September 30,			September 30,
Institutional Class		2014a			2013			2012b
Per Share Data
Net asset value, beginning of period	$	26.64		$	26.12		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.61			1.36			1.10
Net gain (loss) on investments (realized and unrealized)		.29			.65			1.02
Total from investment operations		.90			2.01			2.12
Less distributions from:
Net investment income		(.60	)		(1.43	)		(1.00	)
Net realized gains		(.05	)		(.06	)		—
Total distributions		(.65	)		(1.49	)		(1.00	)
Net asset value, end of period	$	26.89		$	26.64		$	26.12
Total Returne		3.38%			7.86%			8.59%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	696,132		$	457,813		$	72,197
Ratios to average net assets:
Net investment income (loss)		4.60%			5.12%			5.16%
Total expenses		0.86%			0.86%			0.99%
Net expensesd,f		0.80%			0.81%			0.80%
Portfolio turnover rate		26%			50%			61%

a	Unaudited figures for the period ended March 31, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: November 30, 2011. 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 expense information reflects the expense ratios after expense waivers.
e	Total return does not reflect the impact of any applicable sales charges and has been annualized.
f	Excluding Interest expense, the operating expense ratios for the periods presented would be:

	03/31/14		09/30/13		09/30/12
A-Class	1.04	%	1.03	%	1.01	%
C-Class	1.79	%	1.78	%	1.76	%
Institutional Class	0.80	%	0.79	%	0.77	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  21

FUND PROFILE (Unaudited) March 31, 2014

HIGH YIELD FUND
OBJECTIVE:	Seeks high current income. Capital appreciation is a secondary objective.
Holdings Diversification
(Market Exposure as % of Net Assets)

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

Ten Largest Holdings (% of Total Net Assets)
Media General, Inc. — Class A	2.4	%
Flakt Woods	1.6	%
MDC Partners, Inc.	1.6	%
GRD Holdings III Corp.	1.6	%
BreitBurn Energy Partners Limited
Partnership / BreitBurn
Finance Corp.	1.5	%
Central Garden and Pet Co.	1.4	%
Credit Acceptance Corp.	1.3	%
TPC Group, Inc.	1.3	%
Gibson Energy, Inc.	1.2	%
Seaspan Corp.	1.2	%
Top Ten Total	15.1	%

Inception Dates:
A-Class	August 5, 1996
B-Class	August 5, 1996
C-Class	May 1, 2000
Institutional Class	July 11, 2008
Portfolio Composition by Quality Rating*
Rating
Fixed Income Instruments
AAA	0.1	%
A	0.6	%
BBB	6.0	%
BB	27.9	%
B	46.5	%
CCC	11.7	%
CC	0.1	%
D	0.1	%
NR	0.1	%
Other Instruments
Common Stocks	2.8	%
Preferred Stocks	2.1	%
Short Term Investments	2.0	%
Total Investments	100.0	%
The chart above reflects percentages of the value of total investments.

* Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.

22  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2014
HIGH YIELD FUND

		SHARES		VALUE
COMMON STOCKS† - 3.3%
CONSUMER DISCRETIONARY - 2.9%
Media General, Inc. — Class A*		170,963	$	3,140,591
Metro-Goldwyn-Mayer, Inc.*,†††		7,040		528,000
Sonic Automotive, Inc. — Class A		15,103		339,515
Total Consumer Discretionary				4,008,106
FINANCIALS - 0.2%
CIT Group, Inc.7		4,569		223,972
Leucadia National Corp.		81		2,268
Total Financials				226,240
ENERGY - 0.2%
Stallion Oilfield Holdings Ltd.*		8,257		222,939
CONSUMER STAPLES - 0.0%
Crimson Wine Group Ltd.*		8		71
Total Common Stocks
(Cost $1,130,781)				4,457,356
PREFERRED STOCKS† - 2.6%
Seaspan Corp.
6.38% due 04/30/19*		64,000		1,600,000
Kemper Corp.
7.38% due 02/27/54		39,000		1,003,860
Aspen Insurance Holdings Ltd.
5.95%1,2		22,000		545,820
Medianews Group, Inc.*		11,074		276,850
U.S. Shipping Corp.*,†††,7		14,718		11,774
Total Preferred Stocks
(Cost $3,665,629)				3,438,304
SHORT TERM INVESTMENTS† - 2.4%
Dreyfus Treasury Prime Cash
Management Fund		3,268,415		3,268,415
Total Short Term Investments
(Cost $3,268,415)				3,268,415
		FACE
		AMOUNT
CORPORATE BONDS†† - 85.7%
ENERGY - 15.1%
BreitBurn Energy Partners Limited
Partnership / BreitBurn Finance Corp.
7.88% due 04/15/228	$	1,900,000		2,056,749
Gibson Energy, Inc.
6.75% due 07/15/213		1,500,000		1,608,750
Crestwood Midstream Partners Limited
Partnership / Crestwood Midstream
Finance Corp.
7.75% due 04/01/198		1,000,000		1,085,000
6.13% due 03/01/223		400,000		418,000
SandRidge Energy, Inc.
7.50% due 03/15/218		1,000,000		1,067,500
8.75% due 01/15/20		295,000		317,863
Bill Barrett Corp.
7.00% due 10/15/228		800,000		842,000
7.63% due 10/01/19		500,000		541,875
Endeavor Energy Resources Limited
Partnership / EER Finance, Inc.
7.00% due 08/15/213		1,250,000		1,312,500
Eagle Rock Energy Partners Limited
Partnership / Eagle Rock Energy
Finance Corp.
8.38% due 06/01/198		1,165,000		1,264,025
Exterran Holdings, Inc.
7.25% due 12/01/188		1,065,000		1,124,906
Midstates Petroleum Company
Incorporated / Midstates
Petroleum Co LLC
10.75% due 10/01/208		1,000,000		1,105,000
Hiland Partners Limited Partnership /
Hiland Partners Finance Corp.
7.25% due 10/01/203		1,000,000		1,087,500
Penn Virginia Resource Partners Limited
Partnership / Penn Virginia Resource
Finance Corp.
8.25% due 04/15/188		1,000,000		1,045,000
Atlas Energy Holdings Operating Company
LLC / Atlas Resource Finance Corp.
9.25% due 08/15/213		700,000		770,000
Precision Drilling Corp.
6.63% due 11/15/208		700,000		749,000
Unit Corp.
6.63% due 05/15/21		700,000		742,000
Memorial Production Partners Limited
Partnership / Memorial Production
Finance Corp.
7.63% due 05/01/213		600,000		633,000
Ultra Petroleum Corp.
5.75% due 12/15/183		600,000		630,000
SESI LLC
7.13% due 12/15/21		400,000		446,000
SM Energy Co.
6.50% due 11/15/21		350,000		378,000
Pacific Drilling S.A.
5.38% due 06/01/203		350,000		347,375
Rosetta Resources, Inc.
5.88% due 06/01/22		300,000		306,750
Carrizo Oil & Gas, Inc.
7.50% due 09/15/20		225,000		247,500
IronGate Energy Services LLC
11.00% due 07/01/183		100,000		99,500
SemGroup, LP
8.75% due 11/15/15†††,7		1,300,000		–
Total Energy				20,225,793
CONSUMER DISCRETIONARY - 14.0%
MDC Partners, Inc.
6.75% due 04/01/203		2,000,000		2,105,000
GRD Holdings III Corp.
10.75% due 06/01/193		1,900,000		2,090,000
Checkers Drive-In Restaurants, Inc.
11.00% due 12/01/173		1,400,000		1,561,000
Continental Airlines 2012-2 Class B
Pass Through Trust
5.50% due 10/29/20		1,450,000		1,526,125
Laureate Education, Inc.
9.25% due 09/01/193		1,290,000		1,373,850

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
HIGH YIELD FUND

		FACE
		AMOUNT		VALUE
Sabre GLBL, Inc.
8.50% due 05/15/193	$	1,150,000	$	1,270,750
AmeriGas Finance LLC / AmeriGas
Finance Corp.
7.00% due 05/20/228		1,150,000		1,256,375
Travelport LLC / Travelport
Holdings, Inc.
13.88% due 03/01/163		1,163,256		1,227,235
WMG Acquisition Corp.
11.50% due 10/01/188		655,000		744,408
6.00% due 01/15/213		200,000		208,500
Dufry Finance SCA
5.50% due 10/15/203		650,000		677,144
DreamWorks Animation SKG, Inc.
6.88% due 08/15/203		600,000		649,500
CPG Merger Sub LLC
8.00% due 10/01/213		600,000		645,000
Sirius XM Holdings, Inc.
5.88% due 10/01/203		550,000		578,875
Stanadyne Corp.
10.00% due 08/15/14		525,000		523,031
Vail Resorts, Inc.
6.50% due 05/01/19		365,000		383,706
Whirlpool Corp.
2.40% due 03/01/198		350,000		347,082
Suburban Propane Partners Limited
Partnership/Suburban Energy
Finance Corp.
7.50% due 10/01/18		168,000		178,500
7.38% due 08/01/21		149,000		164,273
Live Nation Entertainment, Inc.
7.00% due 09/01/203		300,000		328,125
GLP Capital Limited Partnership / GLP
Financing II, Inc.
4.88% due 11/01/203		300,000		307,875
Seminole Hard Rock Entertainment
Incorporated / Seminole Hard Rock
International LLC
5.88% due 05/15/213		250,000		251,875
Gibson Brands, Inc.
8.88% due 08/01/183		125,000		133,125
Stanadyne Holdings, Inc.
11.99% due 02/15/154		170,000		128,350
Total Consumer Discretionary				18,659,704
INDUSTRIALS - 12.5%
Guitar Center, Inc.
6.50% due 04/15/193		1,550,000		1,540,312
Deutsche Raststatten
6.75% due 12/30/20		800,000		1,201,604
Virgin Media Finance plc
6.38% due 04/15/233		950,000		1,007,000
CEVA Group plc
9.00% due 09/01/213		400,000		409,000
7.00% due 03/01/213		400,000		407,000
FTI Consulting, Inc.
6.00% due 11/15/228		800,000		815,999
Marquette Transportation Company
LLC / Marquette Transportation
Finance Corp.
10.88% due 01/15/178		755,000		794,637
ADT Corp.
6.25% due 10/15/213		750,000		770,625
Odebrecht Offshore Drilling
Finance Ltd.
6.63% due 10/01/223		700,000		724,500
AmeriGas Finance LLC / AmeriGas
Finance Corp.
6.75% due 05/20/208		650,000		703,625
WMG Acquisition Corp.
6.75% due 04/15/223		550,000		550,000
5.63% due 04/15/223		150,000		152,250
Briggs & Stratton Corp.
6.88% due 12/15/208		600,000		666,000
Amsted Industries, Inc.
5.00% due 03/15/223		650,000		653,250
CSC Holdings LLC
7.63% due 07/15/18		500,000		581,250
Ultra Resources, Inc.
4.51% due 10/12/20†††,7		600,000		558,660
HCA, Inc.
5.00% due 03/15/24		350,000		350,656
3.75% due 03/15/19		200,000		200,750
Greektown Holdings LLC/Greektown
Mothership Corp.
8.88% due 03/15/193		500,000		516,250
Building Materials Corporation of America
6.75% due 05/01/213		400,000		434,000
Travelport LLC / Travelport Holdings, Inc.
6.36% due 03/01/161,3		405,015		408,053
Nielsen Finance LLC / Nielsen
Finance Co.
5.00% due 04/15/223		400,000		401,000
Nissan Motor Acceptance Corp.
2.35% due 03/04/193		400,000		397,574
Audatex North America, Inc.
6.13% due 11/01/233		350,000		372,313
Level 3 Financing, Inc.
6.13% due 01/15/213		350,000		369,250
Knowledge Universe Education LLC
7.75% due 02/01/153		350,000		350,438
USG Corp.
5.88% due 11/01/213		300,000		319,500
ARAMARK Corp.
5.75% due 03/15/20		300,000		316,875
Grifols Worldwide Operations Ltd.
5.25% due 04/01/223		300,000		306,750
Spectrum Brands, Inc.
6.63% due 11/15/22		225,000		244,969
Travelport LLC
11.88% due 09/01/16		200,000		204,000
Total Industrials				16,728,090
FINANCIALS - 11.3%
Icahn Enterprises Limited
Partnership / Icahn Enterprises
Finance Corp.
6.00% due 08/01/203		1,400,000		1,484,000
5.88% due 02/01/223		300,000		304,500
4.88% due 03/15/193		200,000		203,500
3.50% due 03/15/173		150,000		151,500

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
HIGH YIELD FUND

		FACE
		AMOUNT		VALUE
Credit Acceptance Corp.
6.13% due 02/15/213	$	1,700,000	$	1,768,000
Opal Acquisition, Inc.
8.88% due 12/15/213		1,550,000		1,557,750
Kennedy-Wilson, Inc.
8.75% due 04/01/198		1,200,000		1,311,000
5.88% due 04/01/24		200,000		200,000
Lancashire Holdings Ltd.
5.70% due 10/01/223		1,000,000		1,028,836
Nationstar Mortgage LLC /
Nationstar Capital Corp.
6.50% due 08/01/188		700,000		703,500
6.50% due 06/01/22		350,000		324,625
American Equity Investment
Life Holding Co.
6.63% due 07/15/21		800,000		853,000
ARC Properties Operating Partnership
Limited Partnership/Clark
Acquisition LLC
3.00% due 02/06/193		700,000		696,811
Wilton Re Finance LLC
5.88% due 03/30/331,3		650,000		646,750
AIA Group Ltd.
2.25% due 03/11/193,8		650,000		642,444
Oxford Finance LLC / Oxford
Finance Company-Issuer, Inc.
7.25% due 01/15/183		600,000		636,000
Nielsen Company Luxembourg SARL
5.50% due 10/01/213		500,000		521,875
ING US, Inc.
5.65% due 05/15/531		475,000		472,150
Cabot Financial Luxembourg S.A.
6.50% due 04/01/213		200,000		334,044
Majid AL Futtaim Holding
7.12% due 12/31/49		300,000		321,648
DuPont Fabros Technology, LP
5.88% due 09/15/21		300,000		317,250
Jefferies Finance LLC / JFIN
Company-Issuer Corp.
7.38% due 04/01/203		300,000		315,000
Fidelity & Guaranty Life Holdings, Inc.
6.38% due 04/01/213		250,000		266,250
Total Financials				15,060,433
INFORMATION TECHNOLOGY - 8.1%
First Data Corp.
8.75% due 01/15/223		1,050,000		1,147,125
6.75% due 11/01/203		850,000		913,750
Eagle Midco, Inc.
9.00% due 06/15/183		1,300,000		1,364,999
Aspect Software, Inc.
10.63% due 05/15/178		1,235,000		1,306,013
IAC
4.75% due 12/15/22		495,000		484,481
4.88% due 11/30/18		400,000		417,500
Activision Blizzard, Inc.
5.63% due 09/15/213		700,000		749,000
Audatex North America, Inc.
6.00% due 06/15/213		700,000		747,250
iGATE Corp.
9.00% due 05/01/16		350,000		367,500
4.75% due 04/15/193		350,000		351,313
CyrusOne Limited Partnership /
CyrusOne Finance Corp.
6.38% due 11/15/228		650,000		685,750
NCR Corp.
5.88% due 12/15/213		400,000		421,000
6.38% due 12/15/233		200,000		212,500
ViaSat, Inc.
6.88% due 06/15/20		500,000		536,250
Alcatel-Lucent USA, Inc.
8.88% due 01/01/203		400,000		454,000
Stratus Technologies Bermuda
Limited / Stratus Technologies, Inc.
12.00% due 03/29/15		366		406,260
Brocade Communications Systems, Inc.
4.63% due 01/15/233		275,000		262,625
Total Information Technology				10,827,316
UTILITIES - 6.6%
Legacy Reserves Limited Partnership /
Legacy Reserves Finance Corp.
6.63% due 12/01/21		940,000		937,650
8.00% due 12/01/20		465,000		497,550
LBC Tank Terminals Holding
Netherlands BV
6.88% due 05/15/233		1,150,000		1,227,625
Atlas Pipeline Partners Limited
Partnership / Atlas Pipeline
Finance Corp.
6.63% due 10/01/208		1,000,000		1,065,000
Sabine Pass Liquefaction LLC
6.25% due 03/15/223		700,000		729,750
5.63% due 04/15/23		200,000		199,000
Atlas Energy Holdings Operating
Company LLC / Atlas Resource
Finance Corp.
7.75% due 01/15/218		850,000		892,500
NGL Energy Partners Limited
Partnership / NGL Energy
Finance Corp.
6.88% due 10/15/213		750,000		780,000
AES Corp.
5.50% due 03/15/24		650,000		645,125
Crestwood Midstream Partners
Limited Partnership / Crestwood
Midstream Finance Corp.
6.00% due 12/15/20		400,000		419,000
Access Midstream Partners
Limited Partnership / ACMP
Finance Corp.
4.88% due 03/15/24		400,000		399,000
Summit Midstream Holdings
LLC / Summit Midstream
Finance Corp.
7.50% due 07/01/213		350,000		374,500
Jones Energy Holdings LLC /
Jones Energy Finance Corp.
6.75% due 04/01/223		300,000		305,625

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
HIGH YIELD FUND

		FACE
		AMOUNT		VALUE
Midstates Petroleum Company
Incorporated / Midstates
Petroleum Co LLC
9.25% due 06/01/21	$	200,000	$	209,000
Exterran Partners Limited
Partnership / EXLP Finance Corp.
6.00% due 04/01/21		125,000		124,375
Total Utilities				8,805,700
CONSUMER STAPLES - 6.1%
Central Garden and Pet Co.
8.25% due 03/01/188		1,750,000		1,804,688
Vector Group Ltd.
7.75% due 02/15/21		1,440,000		1,548,000
Harbinger Group, Inc.
7.88% due 07/15/198		1,340,000		1,470,650
Premier Foods plc
6.50% due 03/15/213		500,000		856,255
Bumble Bee Holdco SCA
9.63% due 03/15/183		700,000		735,000
KeHE Distributors LLC / KeHE
Finance Corp.
7.63% due 08/15/213		650,000		698,750
US Foods, Inc.
8.50% due 06/30/198		395,000		427,390
Diamond Foods, Inc.
7.00% due 03/15/193		300,000		310,500
Darling International, Inc.
5.38% due 01/15/223		300,000		308,250
Total Consumer Staples				8,159,483
TELECOMMUNICATION SERVICES - 5.1%
UPCB Finance VI Ltd.
6.88% due 01/15/223		1,200,000		1,307,999
SITEL LLC / Sitel Finance Corp.
11.00% due 08/01/173		1,150,000		1,234,813
Univision Communications, Inc.
5.13% due 05/15/233		450,000		460,125
6.75% due 09/15/223		295,000		326,344
Zayo Group LLC / Zayo Capital, Inc.
8.13% due 01/01/20		550,000		603,625
Avaya, Inc.
7.00% due 04/01/193		600,000		595,500
Unitymedia Hessen GmbH &
Company KG / Unitymedia
NRW GmbH
5.50% due 01/15/233		550,000		561,000
DISH DBS Corp.
6.75% due 06/01/21		300,000		336,000
5.88% due 07/15/22		150,000		160,125
Expo Event Transco, Inc.
9.00% due 06/15/213		400,000		407,000
Alcatel-Lucent USA, Inc.
6.75% due 11/15/203		350,000		370,125
Baker & Taylor Acquisitions Corp.
15.00% due 04/01/173,7		268,000		214,400
Virgin Media Secured Finance plc
5.38% due 04/15/213		200,000		206,500
Total Telecommunication Services				6,783,556
MATERIALS - 4.7%
TPC Group, Inc.
8.75% due 12/15/203		1,595,000		1,748,519
KGHM International Ltd.
7.75% due 06/15/193		1,150,000		1,213,249
Clearwater Paper Corp.
4.50% due 02/01/23		675,000		649,688
Kaiser Aluminum Corp.
8.25% due 06/01/20		575,000		648,313
Pretium Packaging LLC / Pretium
Finance, Inc.
11.50% due 04/01/16		550,000		588,500
Eldorado Gold Corp.
6.13% due 12/15/203		425,000		425,000
Unifrax I LLC / Unifrax Holding Co.
7.50% due 02/15/193		350,000		371,000
Reynolds Group Issuer Incorporated /
Reynolds Group Issuer LLC /
Reynolds Group Issuer Lu
6.88% due 02/15/21		300,000		324,000
Steel Dynamics, Inc.
7.63% due 03/15/20		250,000		270,625
Mirabela Nickel Ltd.
8.75% due 04/15/183,5,7		435,000		104,400
Total Materials				6,343,294
HEALTH CARE - 2.2%
Valeant Pharmaceuticals
International, Inc.
5.63% due 12/01/213		600,000		629,999
6.75% due 08/15/183		400,000		440,000
Catalent Pharma Solutions, Inc.
7.88% due 10/15/188		750,000		762,188
Symbion, Inc.
8.00% due 06/15/16		475,000		498,750
Physio-Control International, Inc.
9.88% due 01/15/193		309,000		346,853
Catamaran Corp.
4.75% due 03/15/21		200,000		202,750
Total Health Care				2,880,540
Total Corporate Bonds
(Cost $111,353,798)				114,473,909
SENIOR FLOATING RATE INTERESTS†† - 25.9%
INDUSTRIALS - 6.5%
Flakt Woods
8.00% due 04/01/17		1,600,000		2,138,182
Mitchell International, Inc.
8.50% due 10/11/21		1,250,000		1,276,562
Travelport Holdings Ltd.
9.50% due 01/31/16		988,752		1,020,886
GCA Services Group, Inc.
9.25% due 11/01/20		800,000		809,000
syncreon
5.25% due 10/28/20		608,475		609,236
US Shipping Corp.
9.00% due 04/30/18		547,122		558,064
CareCore National LLC
5.50% due 03/05/21		500,000		502,710

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
HIGH YIELD FUND

		FACE
		AMOUNT		VALUE
SIRVA Worldwide, Inc.
7.50% due 03/27/19	$	396,000	$	403,920
Knowledge Learning Corp.
5.25% due 03/12/21		300,000		301,689
GYP Holdings III Corp.
7.75% due 03/25/22		250,000		250,938
Mast Global
8.75% due 09/12/19†††,7		246,875		244,406
Panolam Industries International, Inc.
7.25% due 08/23/17		204,558		198,933
Ceva Logistics US Holdings
6.50% due 03/19/21		98,522		98,111
NaNa Development Corp.
8.00% due 03/15/18		88,889		88,000
Ceva Logistics Holdings BV (Dutch)
6.50% due 03/19/21		71,429		71,131
Ceva Group Plc (United Kingdom)
6.50% due 03/19/21		67,734		67,452
Ceva Logistics Canada, ULC
6.50% due 03/19/21		12,315		12,264
Total Industrials				8,651,484
CONSUMER DISCRETIONARY - 4.7%
Steinway Musical Instruments, Inc.
9.25% due 09/18/20		1,050,000		1,081,500
Lions Gate Entertainment Corp.
5.00% due 07/19/20		600,000		610,500
IntraWest Holdings S.à r.l.
5.50% due 12/09/20		598,500		605,981
NES Global Talent
6.50% due 10/03/19		596,250		596,250
Alexander Mann Solutions Ltd.
5.75% due 12/20/19		498,750		499,997
National Vision, Inc.
6.75% due 03/11/22		450,000		451,125
PSAV-Audio Visual Services Corp.
4.50% due 01/25/21		400,000		402,000
Tectum Holdings, Inc.
10.25% due 03/12/19		375,000		374,063
Neiman Marcus Group, Inc.
4.25% due 10/25/20		339,525		340,408
Hilton Worldwide Holdings, Inc.
3.50% due 10/26/20		328,158		328,539
Men’s Wearhouse
7.75% due 03/11/15†††,7		250,000		250,000
Fleetpride Corp.
9.25% due 05/15/20		240,000		235,800
Connolly Holdings, Inc.
5.00% due 01/29/21		199,500		201,329
Targus Group International, Inc.
12.00% due 05/24/16,7		231,861		191,865
Cooper Standard Automotive, Inc.
4.00% due 03/26/21		80,000		80,050
Total Consumer Discretionary				6,249,407
TELECOMMUNICATION SERVICES - 4.3%
Scout24 AG
4.48% due 02/05/21		1,000,000		1,390,783
Expert Global Solutions
8.50% due 04/03/18		1,395,064		1,358,444
Associated Partners, Inc.
6.66% due 12/21/15†††,7		1,000,000		1,002,500
Anaren, Inc.
9.25% due 08/18/21		500,000		505,000
Cengage Learning Acquisitions, Inc.
7.00% due 03/06/20		300,000		303,126
0.00% due 07/31/176		139,630		131,496
MergerMarket Ltd.
4.50% due 02/04/21		300,000		298,500
Avaya, Inc.
6.50% due 03/31/18		295,673		295,981
Cumulus Media, Inc.
4.25% due 12/23/20		249,267		250,202
Hemisphere Media Group, Inc.
6.25% due 07/30/20		223,313		223,871
Total Telecommunication Services				5,759,903
INFORMATION TECHNOLOGY - 3.4%
Greenway Medical Technologies
9.25% due 11/04/21		550,000		555,500
6.00% due 11/04/20		349,125		346,943
Applied Systems, Inc.
4.25% due 01/25/21		598,500		599,996
Wall Street Systems
9.25% due 10/25/20		500,000		503,750
SumTotal Systems
6.25% due 11/16/18		444,755		441,975
EIG Investors Corp.
5.00% due 11/09/19		398,000		399,990
Infor (US), Inc.
3.75% due 06/03/20		399,000		397,504
Sophos
5.00% due 01/29/21		300,000		300,750
Flexera Software LLC
8.00% due 04/02/21		250,000		250,000
P2 Energy Solutions
5.00% due 10/30/20		199,500		200,996
GlobalLogic Holdings, Inc.
6.25% due 05/31/19		199,500		197,505
LANDesk Group, Inc.
5.00% due 02/25/20		179,100		179,156
Sabre, Inc.
4.25% due 02/19/19		110,305		110,258
Active Network, Inc., The
5.50% due 11/13/20		99,750		100,561
Total Information Technology				4,584,884
FINANCIALS - 1.8%
Magic Newco, LLC
12.00% due 06/12/19		500,000		572,500
5.00% due 12/12/18		198,991		200,732
Cunningham Lindsey U.S., Inc.
9.25% due 06/10/20		623,636		622,077
Cetera Financial Group, Inc.
6.50% due 08/07/19		493,750		493,750
National Financial Partners
5.25% due 07/01/20		248,128		249,292
STG-Fairway Acquisitions, Inc.
6.25% due 02/28/19		248,125		248,746

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

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2014
HIGH YIELD FUND

		FACE
		AMOUNT		VALUE
Knight/Getco
5.75% due 12/05/17	$	18,692	$	18,715
Total Financials				2,405,812
CONSUMER STAPLES - 1.6%
AdvancePierre Foods, Inc.
9.50% due 10/10/17		751,000		728,470
Reddy Ice Holdings, Inc.
6.75% due 04/01/19		594,000		588,060
CTI Foods Holding Co. LLC
8.25% due 06/28/21		340,000		341,700
Performance Food Group
6.25% due 11/14/19		248,125		251,433
Arctic Glacier Holdings, Inc.
5.00% due 05/10/19		213,315		213,581
Total Consumer Staples				2,123,244
ENERGY - 1.4%
Varel International Energy Funding Corp.
9.25% due 07/17/17		717,188		722,566
PSS Companies
5.50% due 01/28/20		500,000		502,500
Panda Sherman
9.00% due 09/14/18		425,000		434,563
Rice Energy
8.50% due 10/25/18		247,500		251,831
Total Energy				1,911,460
UTILITIES - 1.0%
Astoria Generating Company
Acquisitions LLC
8.50% due 10/26/17		1,267,500		1,305,525
HEALTH CARE - 0.9%
Nextech Systems LLC
6.00% due 10/28/18†††,7		296,250		290,324
Catalent Pharma Solutions, Inc.
6.50% due 12/31/17		250,000		252,500
Learning Care Group (US), Inc.
5.75% due 05/08/19		248,125		248,902
Merge Healthcare, Inc.
6.00% due 04/23/19,7		225,620		212,083
Community Health Systems, Inc.
4.25% due 01/27/21		149,625		150,776
Total Health Care				1,154,585
MATERIALS - 0.3%
Atkore International, Inc.
7.75% due 09/27/21		450,000		452,250
Total Senior Floating Rate Interests
(Cost $34,158,108)				34,598,554
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 0.4%
SRERS-2011 Funding Ltd.
2011-RS,0.40% due 05/09/461,3		544,462		503,573
Total Collateralized Mortgage Obligations
(Cost $503,355)				503,573
ASSET BACKED SECURITIES†† - 0.1%
Bristol Bay Funding Ltd.
2004-1A, 1.24% due 02/01/161,3		130,269		129,461
Total Asset Backed Securities
(Cost $129,166)				129,461
Total Investments - 120.4%
(Cost $154,209,252)			$	160,869,572
Other Assets & Liabilities, net - (20.4)%				(27,260,960	)
Total Net Assets - 100.0%			$	133,608,612

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS^††

Contracts to Sell	Currency	Counterparty	Settlement Date	Settlement Value		Value at 03/31/14		Net Unrealized Appreciation/ (Depreciation)
1,800,000	Euro	BNY Mellon	04/30/14	$	2,483,064	$	2,480,364	$	2,700
700,000	GBP	BNY Mellon	04/30/14		1,165,227		1,167,592		(2,365	)
								$	335

*	Non-income producing security.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Variable rate security. Rate indicated is rate effective at March 31, 2014.
2	Perpetual maturity.
3	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $65,400,981 (cost $63,721,151), or 48.9% of total net assets.
4	Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
5	Security is in default of interest and/or principal obligations.
6	Security with no rate was unsettled at March 31, 2014.
7	Illiquid security.
8	Security or a portion thereof is held as collateral for reverse repurchase agreements — See Note 11.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust

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

  HIGH YIELD FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
March 31, 2014
ASSETS:
Investments, at value (cost $154,209,252)	$	160,869,572
Unrealized appreciation on forward foreign
currency exchange contracts		335
Prepaid expenses		54,170
Receivables:
Interest		2,481,659
Securities sold		746,325
Fund shares sold		371,111
Dividends		8,559
Investment advisor		3,317
Foreign taxes reclaim		442
Total assets		164,535,490
LIABILITIES:
Reverse Repurchase Agreements		19,413,394
Overdraft due to custodian bank		46,394
Payable for:
Securities purchased		10,913,175
Fund shares redeemed		210,422
Management fees		68,257
Distribution and service fees		29,630
Transfer agent/maintenance fees		11,507
Fund accounting/administration fees		10,807
Security Investors		1,077
Trustees’ fees*		624
Miscellaneous		221,591
Total liabilities		30,926,878
NET ASSETS	$	133,608,612
NET ASSETS CONSIST OF:
Paid in capital	$	127,393,380
Accumulated net investment loss		(246,320	)
Accumulated net realized loss on investments		(193,345	)
Net unrealized appreciation on investments		6,654,897
Net assets	$	133,608,612
A-CLASS:
Net assets	$	93,569,148
Capital shares outstanding		7,604,644
Net asset value per share		$12.30
Maximum offering price per share
(Net asset value divided by 95.25%)		$12.91
B-CLASS:
Net assets	$	1,394,940
Capital shares outstanding		114,149
Net asset value per share		$12.22
C-CLASS:
Net assets	$	12,703,182
Capital shares outstanding		1,024,234
Net asset value per share		$12.40
INSTITUTIONAL CLASS:
Net assets	$	25,941,342
Capital shares outstanding		2,569,215
Net asset value per share		$10.10

STATEMENT OF OPERATIONS (Unaudited)
Period Ended March 31, 2014
INVESTMENT INCOME:
Interest	$	4,158,443
Dividends		18,043
Total investment income		4,176,486
EXPENSES:
Management fees		346,055
Transfer agent/maintenance fees
A-Class		50,630
B-Class		8,141
C-Class		9,018
Institutional Class		4,446
Distribution and service fees:
A-Class		100,445
C-Class		52,560
Fund accounting/administration fees		54,563
Short interest expense		28,816
Line of credit interest expense		5,422
Trustees’ fees*		5,316
Custodian fees		910
Tax expense		2
Miscellaneous		96,514
Total expenses		762,838
Less:
Expenses waived by Advisor		(44,637	)
Net expenses		718,201
Net investment income		3,458,285
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		661,603
Foreign currency		(45,480	)
Net realized gain		616,123
Net change in unrealized appreciation
(depreciation) on:
Investments		4,095,861
Foreign currency		(5,423	)
Net change in unrealized appreciation
(depreciation)		4,090,438
Net realized and unrealized gain		4,706,561
Net increase in net assets resulting
from operations	$	8,164,846

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

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

  HIGH YIELD FUND

STATEMENTS OF CHANGES IN NET ASSETS
	Period Ended
	March 31,			Year Ended
	2014			September 30,
	(Unaudited)			2013
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	3,458,285		$	6,288,703
Net realized gain (loss) on investments		616,123			(84,912	)
Net change in unrealized appreciation (depreciation) on investments		4,090,438			2,346,050
Net increase in net assets resulting from operations		8,164,846			8,549,841
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
A-Class		(2,787,985	)		(4,965,936	)
B-Class		(55,183	)		(159,633	)
C-Class		(325,536	)		(643,147	)
Institutional Class		(819,876	)		(1,199,068	)
Net realized gains
A-Class		–			(1,585,188	)
B-Class		–			(52,625	)
C-Class		–			(230,586	)
Institutional Class		–			(428,291	)
Total distributions to shareholders		(3,988,580	)		(9,264,474	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		30,087,146			38,631,261
B-Class		28,300			372,026
C-Class		3,848,171			3,038,894
Institutional Class		11,005,678			12,079,625
Redemption fees collected
A-Class		19,955			39,291
B-Class		337			1,267
C-Class		2,576			5,860
Institutional Class		5,973			9,020
Distributions reinvested
A-Class		2,431,195			5,926,872
B-Class		51,984			202,480
C-Class		243,656			709,020
Institutional Class		516,165			934,337
Cost of shares redeemed
A-Class		(12,359,486	)		(37,955,365	)
B-Class		(436,804	)		(1,020,724	)
C-Class		(1,240,857	)		(3,278,088	)
Institutional Class		(5,133,642	)		(3,983,265	)
Net increase from capital share transactions		29,070,347			15,712,511
Net increase in net assets		33,246,613			14,997,878
NET ASSETS:
Beginning of period		100,361,999			85,364,121
End of period	$	133,608,612		$	100,361,999
(Distributions in excess of)/Undistributed net investment income at end of period	$	(246,320	)	$	283,975
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		2,480,103			3,257,493
B-Class		2,362			31,410
C-Class		314,027			252,867
Institutional Class		1,103,217			1,230,655
Shares issued from reinvestment of distributions
A-Class		200,056			500,071
B-Class		4,309			17,194
C-Class		19,917			59,371
Institutional Class		51,770			95,923
Shares redeemed
A-Class		(1,019,902	)		(3,182,863	)
B-Class		(36,390	)		(86,562	)
C-Class		(101,796	)		(272,695	)
Institutional Class		(512,021	)		(407,628	)
Net increase in shares		2,505,652			1,495,236

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

  HIGH YIELD 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			Period Ended			Year Ended			Year Ended			Year Ended
	March 31,			September 30,			September 30,			December 31,			December 31,			December 31,
A-Class	2014a			2013			2012b			2011			2010			2009
Per Share Data
Net asset value, beginning of period	$	11.85		$	11.95		$	11.12		$	12.89		$	12.07		$	7.70
Income (loss) from investment operations:
Net investment income (loss)c		.36			.81			.58			.87			.96			.90
Net gain (loss) on investments (realized and unrealized)		.45			.27			.84			(1.30	)		.78			4.30
Total from investment operations		.81			1.08			1.42			(.43	)		1.74			5.20
Less distributions from:
Net investment income		(.36	)		(.90	)		(.59	)		(1.07	)		(.92	)		(.83	)
Net realized gains		—			(.29	)		—			(.27	)		—			—
Return of capital		—			—			—			—			—			(—	)d
Total distributions		(.36	)		(1.19	)		(.59	)		(1.34	)		(.92	)		(.83	)
Redemption fees collected		—	e		.01			—	e		—			—			—
Net asset value, end of period	$	12.30		$	11.85		$	11.95		$	11.12		$	12.89		$	12.07
Total Returng		8.11%			9.54%			12.93%			(3.50%	)		14.92%			70.53%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	93,569		$	70,451		$	64,174		$	86,041		$	172,443		$	155,899
Ratios to average net assets:
Net investment income (loss)		6.03%			6.84%			7.19%			6.92%			7.69%			8.49%
Total expenses		1.32%			1.41%			1.44%			1.34%			1.28%			1.41%
Net expensesf,i		1.24%			1.18%			1.17%			1.18%			1.14%			1.10%
Portfolio turnover rate		25%			101%			55%			102%			77%			53%
	Period Ended			Year Ended			Period Ended			Year Ended			Year Ended			Year Ended
	March 31,			September 30,			September 30,			December 31,			December 31,			December 31,
B-Class	2014a,h			2013h			2012h,b			2011h			2010h			2009h
Per Share Data
Net asset value, beginning of period	$	11.77		$	11.89		$	11.07		$	12.84		$	12.05		$	7.67
Income (loss) from investment operations:
Net investment income (loss)c		.38			.84			.62			.92			1.00			.92
Net gain (loss) on investments (realized and unrealized)		.45			.26			.81			(1.32	)		.78			4.30
Total from investment operations		.83			1.10			1.43			(.40	)		1.78			5.22
Less distributions from:
Net investment income		(.38	)		(.94	)		(.61	)		(1.10	)		(.99	)		(.84	)
Net realized gains		—			(.29	)		—			(.27	)		—			—
Return of capital		—			—			—			—			—			(—	)d
Total distributions		(.38	)		(1.23	)		(.61	)		(1.37	)		(.99	)		(.84	)
Redemption fees collected		—	e		.01			—	e		—			—			—
Net asset value, end of period	$	12.22		$	11.77		$	11.89		$	11.07		$	12.84		$	12.05
Total Returng		8.26%			9.79%			13.20%			(3.32%	)		15.28%			71.07%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,395		$	1,693		$	2,162		$	2,777		$	4,872		$	6,996
Ratios to average net assets:
Net investment income (loss)		6.29%			7.10%			7.43%			7.38%			8.01%			9.08%
Total expenses		1.99%			1.89%			1.62%			1.10%			1.04%			1.19%
Net expensesf,i		0.96%			0.93%			0.92%			0.94%			0.89%			0.85%
Portfolio turnover rate		25%			101%			55%			102%			77%			53%

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

  HIGH YIELD FUND

FINANCIAL HIGHLIGHTS (continued)

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

	Period Ended			Year Ended			Period Ended			Year Ended			Year Ended			Year Ended
		March 31,		September 30,			September 30,			December 31,			December 31,			December 31,
C-Class		2014a			2013			2012b			2011			2010			2009
Per Share Data
Net asset value, beginning of period	$	11.95		$	12.03		$	11.20		$	12.97		$	12.14		$	7.73
Income (loss) from investment operations:
Net investment income (loss)c		.32			.73			.56			.79			.87			.83
Net gain (loss) on investments (realized and unrealized)		.45			.27			.80			(1.32	)		.79			4.33
Total from investment operations		.77			1.00			1.36			.53			1.66			5.16
Less distributions from:
Net investment income		(.32	)		(.80	)		(.53	)		(.97	)		(.83	)		(.75	)
Net realized gains		—			(.29	)		—			(.27	)		—			—
Return of capital		—			—			—			—			—			(—	)d
Total distributions		(.32	)		(1.09	)		(.53	)		(1.24	)		(.83	)		(.75	)
Redemption fees collected		—	e		.01			—	e		—			—			—
Net asset value, end of period	$	12.40		$	11.95		$	12.03		$	11.20		$	12.97		$	12.14
Total Returng		7.76%			8.69%			12.33%			(4.30%	)		14.07%			69.42%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	12,703		$	9,463		$	9,054		$	7,991		$	10,264		$	8,048
Ratios to average net assets:
Net investment income (loss)		5.30%			6.10%			6.37%			6.32%			6.92%			8.11%
Total expenses		2.09%			2.17%			2.19%			2.08%			2.04%			2.19%
Net expensesf,i		1.97%			1.93%			1.92%			1.94%			1.89%			1.85%
Portfolio turnover rate		25%			101%			55%			102%			77%			53%

	Period Ended			Year Ended			Period Ended			Year Ended			Year Ended			Year Ended
		March 31,		September 30,			September 30,			December 31,			December 31,			December 31,
Institutional Class		2014a			2013			2012b			2011			2010			2009
Per Share Data
Net asset value, beginning of period	$	9.74		$	9.90		$	9.26		$	10.96		$	10.47		$	6.74
Income (loss) from investment operations:
Net investment income (loss)c		.31			.70			.55			.79			.86			.81
Net gain (loss) on investments (realized and unrealized)		.36			.22			.64			(1.12	)		.68			3.76
Total from investment operations		.67			.92			1.19			(.33	)		1.54			4.57
Less distributions from:
Net investment income		(.31	)		(.80	)		(.55	)		(1.10	)		(1.05	)		(.84	)
Net realized gains		—			(.29	)		—			(.27	)		—			—
Return of capital		—			—			—			—			—			(—	)d
Total distributions		(.31	)		(1.09	)		(.55	)		(1.37	)		(1.05	)		(.84	)
Redemption fees collected		—	e		.01			—	e		—			—			—
Net asset value, end of period	$	10.10		$	9.74		$	9.90		$	9.26		$	10.96		$	10.47
Total Returng		8.28%			9.97%			13.17%			(3.30%	)		15.33%			71.18%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	25,941		$	18,755		$	9,974		$	7,900		$	2,785		$	2,649
Ratios to average net assets:
Net investment income (loss)		6.29%			7.12%			7.42%			7.61%			7.99%			8.79%
Total expenses		0.97%			1.01%			1.11%			1.08%			1.02%			1.16%
Net expensesf,i		0.97%			0.93%			0.92%			0.95%			0.89%			0.85%
Portfolio turnover rate		25%			101%			55%			102%			77%			53%

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

  HIGH YIELD FUND

FINANCIAL HIGHLIGHTS (concluded)

a	Unaudited figures for the period ended March 31, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	The Fund changed its fiscal year end from December 31 to September 30.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Distributions from return of capital are less than $0.01 per share.
e	Redemption fees collected are less than $0.01 per share.
f	Net expense information reflects the expense ratios after expense waivers.
g	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
h	Effective December 31, 2006, B-Class shares ceased charging 12b-1 fees in accordance with FINRA (formerly NASD). Sales cap regulations, per share information reflects this change. This fee will be reinstated when sales reach above the sales cap limit.
i	Excluding interest expense, the operating expense ratios for the period presented would be:

	03/31/14
A-Class	1.18	%
B-Class	0.91	%
C-Class	1.91	%
Institutional Class	0.91	%

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

FUND PROFILE (Unaudited) March 31, 2014

INVESTMENT GRADE BOND FUND
OBJECTIVE:	Seeks to provide current income.
Holdings Diversification
(Market Exposure as % of Net Assets)

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

Ten Largest Holdings (% of Total Net Assets)
Willis Engine Securitization Trust II — Class A	2.3	%
Guggenheim Limited Duration Fund — Institutional Class	1.8	%
Northwoods Capital VIII Ltd. — Class D	1.7	%
Prudential Financial, Inc.	1.6	%
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series 2005-W3 — Class A2D	1.5	%
T2 Income Fund CLO Ltd. — Class C	1.4	%
Northeast Utilities	1.4	%
CBS Corp.	1.3	%
JPMorgan Chase & Co.	1.3	%
Garanti Diversified Payment Rights Finance Co.	1.2	%
Top Ten Total	15.5	%

Inception Dates:
A-Class	August 15, 1985
B-Class	October 19, 1993
C-Class	May 1, 2000
Institutional Class	January 29, 2013
Portfolio Composition by Quality Rating*
Rating
Fixed Income Instruments
AAA	2.1%
AA	11.1%
A	25.2%
BBB	35.2%
BB	2.6%
B	11.5%
CCC	2.3%
CC	0.5%
D	1.4%
NR	0.9%
Other Instruments
Preferred Stocks	3.8%
Mutual Funds	1.7%
Short Term Investments	1.6%
Common Stocks	0.1%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

* Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.

34  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2014
INVESTMENT GRADE BOND FUND

		SHARES		VALUE
COMMON STOCKS† - 0.1%
FINANCIALS - 0.1%
Rescap Liquidating Trust*,††		5,199	$	76,685
CONSUMER DISCRETIONARY - 0.0%
Harry & David Holdings, Inc.*		7		882
MATERIALS - 0.0%
Constar International Holdings LLC*,†††,7		68		–
Total Common Stocks
(Cost $263,058)				77,567
PREFERRED STOCKS† - 4.0%
Aspen Insurance Holdings Ltd.
5.95%1,2		40,000		992,400
Seaspan Corp.
6.38% due 04/30/19*		22,000		550,000
Woodbourne Capital Trust III
0.01%*,†††,1,2,3		950,000		504,545
Woodbourne Capital Trust I
0.01%*,†††,1,2,3		950,000		504,545
Woodbourne Capital Trust II
0.01%*,†††,1,2,3		950,000		504,545
Woodbourne Capital Trust IV
0.01%*,†††,1,2,3		950,000		504,545
Wells Fargo & Co.
5.85%1,2		15,000		373,500
Morgan Stanley
7.13%1,2		10,000		265,300
AgriBank FCB
6.88%1,2		1,500		154,641
City National Corp.		4,000		110,840
Constar International
Holdings LLC*,†††,7		7		–
Total Preferred Stocks
(Cost $6,243,354)				4,464,861
MUTUAL FUNDS† - 1.8%
Guggenheim Limited Duration
Fund - Institutional Class6		80,032		2,000,800
Total Mutual Funds
(Cost $2,000,000)				2,000,800
SHORT TERM INVESTMENTS† - 1.7%
Dreyfus Treasury Prime Cash
Management Fund		1,920,631		1,920,631
Total Short Term Investments
(Cost $1,920,631)				1,920,631
		FACE
		AMOUNT
ASSET BACKED SECURITIES†† - 43.8%
Willis Engine Securitization Trust II
2012-A, 5.50% due 09/15/37†††,3	$	2,581,418		2,595,616
Northwoods Capital VIII Ltd.
2007-8A, 2.24% due 07/28/221,3		1,950,000		1,886,820
T2 Income Fund CLO Ltd.
2007-1A, 1.74% due 07/15/191,3		1,600,000		1,548,800
2007-1X, 1.74% due 07/15/191		250,000		242,000
Castlelake Aircraft Securitization Trust
2014-1, 5.25% due 02/15/29†††		1,238,375		1,250,759
2014-1, 7.50% due 02/15/29†††		500,000		505,000
Argent Securities Incorporated
Asset-Backed Pass-Through
Certificates Series
2005-W3, 0.49% due 11/25/351		1,746,830		1,646,555
Emerald Aviation Finance Ltd.
2013-1, 4.65% due 10/15/383		1,217,448		1,229,622
2013-1, 6.35% due 10/15/383		243,490		247,434
Garanti Diversified Payment Rights
Finance Co.
2007-A, 0.43% due 07/09/17†††		1,456,000		1,379,560
Grayson CLO Ltd.
2006-1A, 0.65% due 11/01/211,3		1,400,000		1,288,700
Telos CLO Ltd.
2013-3A, 3.24% due 01/17/241,3		1,250,000		1,232,750
Gramercy Real Estate CDO 2007-1 Ltd.
2007-1A, 0.52% due 08/15/561,3		1,430,393		1,224,274
CKE Restaurant Holdings, Inc.
2013-1A, 4.47% due 03/20/433		1,132,750		1,144,189
Telos CLO 2007-2 Ltd.
2007-2A, 2.44% due 04/15/221,3		1,100,000		1,043,350
Great Lakes CLO 2012-1 Ltd.
2012-1A, 4.34% due 01/15/231,3		1,000,000		1,008,800
Fraser Sullivan CLO VI Ltd.
2011-6A, 4.74% due 11/22/223		1,000,000		1,000,726
Figueroa CLO 2013-1 Ltd.
2013-1A, 2.98% due 03/21/241,3		1,000,000		991,500
Venture XIV CLO Ltd.
2013-14A, 2.98% due 08/28/251,3		1,000,000		982,700
ALM VII R Ltd.
2013-7RA, 2.84% due 04/24/241,3		1,000,000		978,700
KKR Financial CLO 2007-1 Ltd.
2007-1A, 2.49% due 05/15/211,3		1,000,000		961,600
Rockwall CDO II Ltd.
2007-1A, 0.79% due 08/01/241,3		1,100,000		936,760
West Coast Funding Ltd.
2006-1A, 0.37% due 11/02/411,3		930,292		896,057
RAIT CRE CDO I Ltd.
2006-1X, 0.49% due 11/20/46†††,1		1,055,963		893,556
MCF CLO I LLC
2013-1A, 3.79% due 04/20/231,3		900,000		889,740
N-Star Real Estate CDO IX Ltd.
0.51% due 02/01/41†††,7		978,790		889,426
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/48†††,3		890,137		880,523
ICE EM CLO
2007-1A, 0.93% due 08/15/221,3		850,000		801,125
COA Summit CLO Limited
2014-1A, 3.04% due 04/20/23†††,1,3		800,000		796,720
Drug Royalty II Limited Partnership
2012-1, 4.24% due 01/15/251,3		751,858		768,774
Newstar Trust
2012-2A, 3.49% due 01/20/231,3		750,000		751,725
OZLM Funding Ltd.
2012-2A, 3.49% due 10/30/231,3		750,000		750,000

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
INVESTMENT GRADE BOND FUND

		FACE
		AMOUNT		VALUE
ARES XII CLO Ltd.
2007-12A, 3.48% due 11/25/201,3	$	750,000	$	742,875
Tricadia CDO 2006-6 Ltd.
2006-6A, 0.79% due 11/05/41†††,1,3		750,000		697,575
Icon Brands Holdings LLC
2013-1A, 4.35% due 01/25/43†††,3		670,918		667,899
Ivy Hill Middle Market Credit Fund VII Ltd.
2013-7A, 3.69% due 10/20/251,3		600,000		598,500
Black Diamond CLO 2012-1 Ltd.
2013-1A, 3.49% due 02/01/231,3		550,000		550,000
Halcyon Structured Asset Management Long
Secured/Short Unsecured 2007-2 Ltd.
2007-2A, 3.99% due 10/29/211,3		550,000		542,410
Structured Asset Securities Corporation
Mortgage Loan Trust
2006-OPT1, 0.41% due 04/25/361		600,000		515,888
Newcastle Cdo Viii 1 Ltd.
2006-8A, 0.43% due 11/25/52†††,1,3		528,571		506,107
Cent CLO
2012-16A, 3.74% due 08/01/241,3		500,000		502,700
Apidos CDO IX
2012-9A, 3.99% due 07/15/231,3		500,000		501,900
Triton Container Finance LLC
2012-1A, 4.21% due 05/14/273		490,000		491,483
Acis CLO 2013-1 Ltd.
2013-1A, 3.19% due 04/18/241,3		500,000		487,000
Textainer Marine Containers Ltd.
2012-1A, 4.21% due 04/15/273		485,000		485,447
MCF CLO III LLC
2014-3A, 3.21% due 01/20/24†††,1,3		500,000		478,250
Golub Capital Partners Fundings Ltd.
2007-1A, 0.98% due 03/15/221,3		500,000		463,850
Cerberus Offshore Levered I, LP
2012-1A, 4.98% due 11/30/181,3		450,000		449,685
N-Star REL CDO VIII Ltd.
2006-8A, 0.51% due 02/01/411,3		500,000		432,600
Lehman XS Trust
2007-9, 0.27% due 06/25/371		488,444		426,955
Eastland CLO Ltd.
2007-1A, 0.64% due 05/01/221,3		450,000		400,725
Westwood CDO I Ltd.
2007-1A, 0.90% due 03/25/211,3		400,000		370,440
Halcyon Loan Advisors Funding 2012-2 Ltd.
2012-2A, 4.73% due 12/20/241,3		350,000		351,365
Newstar Commercial Loan Funding 2013-1 LLC
2013-1A, 4.78% due 09/20/231,3		350,000		350,000
Northwoods Capital VII Ltd.
2006-7A, 1.79% due 10/22/211,3		350,000		334,775
CIFC Funding 2012-II Ltd.
2012-2A, 4.49% due 12/05/241,3		300,000		300,840
Salus CLO 2012-1 Ltd.
2013-1AN, 3.99% due 03/05/21†††,1,3		300,000		300,570
DIVCORE CLO Ltd.
2013-1A B, 4.05% due 11/15/32†††		300,000		298,650
GreenPoint Mortgage Funding Trust
2005-HE4, 0.86% due 07/25/301		300,000		271,480
TICC CLO 2012-1 LLC
2012-1A, 4.98% due 08/25/231,3		250,000		251,150
Ivy Hill Middle Market Credit Fund Ltd.
2011-3A, 6.24% due 01/15/221,3		250,000		251,075
Garrison Funding 2013-2 Ltd.
2013-2A, 3.73% due 09/25/23†††,1,3		250,000		249,350
Golub Capital Partners CLO 17 Ltd.
2013-17A, 3.99% due 10/25/251,3		250,000		248,875
Acis CLO 2013-2 Ltd.
3.45% due 10/14/221,3		250,000		247,600
Cerberus Onshore II CLO LLC
2014-1A, 2.95% due 10/15/23†††,1,3		250,000		247,550
Race Point IV CLO Ltd.
2007-4A, 2.24% due 08/01/211,3		250,000		237,625
Carlyle Global Market Strategies
CLO 2012-3 Ltd.
2012-3A, 0.00% due 10/04/243,9		250,000		234,600
STORE Master Funding LLC
2013-2A, 4.37% due 07/20/43†††,3		99,025		100,639
2013-1A, 4.16% due 03/20/433		98,457		99,094
GSAA Home Equity Trust
2007-7, 0.42% due 07/25/371		219,721		190,351
New Century Home Equity Loan Trust
2005-1, 0.87% due 03/25/351		171,479		149,390
Credit-Based Asset Servicing and
Securitization LLC
2005-CB5, 0.41% due 08/25/351		143,100		142,136
Avis Budget Rental Car Funding AESOP LLC
2013-2A, 4.00% due 05/21/183		100,000		103,900
Newcastle CDO IX 1 Ltd.
2007-9A, 0.41% due 05/25/521,3		78,565		78,329
First Franklin Mortgage Loan Trust
2006-FF1, 0.49% due 01/25/361		50,000		43,289
Legg Mason Real Estate CDO I Ltd.
2006-1A, 0.43% due 03/25/381,3		16,646		16,363
Total Asset Backed Securities
(Cost $48,030,495)				49,055,146
CORPORATE BONDS†† - 29.9%
FINANCIALS - 16.9%
Prudential Financial, Inc.
5.63% due 06/15/431,8		1,750,000		1,785,000
JPMorgan Chase & Co.
5.15% due 12/31/491,2		1,500,000		1,406,251
Icahn Enterprises Limited Partnership /
Icahn Enterprises Finance Corp.
6.00% due 08/01/203		800,000		848,000
4.88% due 03/15/193		450,000		457,875
Kaupthing Bank HF
3.49% due 01/15/103,4		5,000,000		1,187,500
Susquehanna Bancshares, Inc.
5.38% due 08/15/22		1,200,000		1,175,462
EPR Properties
5.25% due 07/15/23		1,000,000		1,016,193
5.75% due 08/15/22		100,000		105,949
PNC Financial Services Group, Inc.
4.85% due 05/29/491,2		1,100,000		1,031,250
General Electric Capital Corp.
5.25% due 06/29/491,2		750,000		729,525
7.13% due 12/15/491,2		250,000		285,000
AmTrust Financial Services, Inc.
6.13% due 08/15/233		1,000,000		992,930
Lancashire Holdings Ltd.
5.70% due 10/01/223		900,000		925,952

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
INVESTMENT GRADE BOND FUND

		FACE
		AMOUNT			VALUE
Macquarie Group Ltd.
6.25% due 01/14/213,8	$	800,000		$	894,480
Hospitality Properties Trust
4.50% due 06/15/23		900,000			891,633
Fifth Third Bancorp
5.10% due 12/31/491,2		920,000			846,400
Leucadia National Corp.
5.50% due 10/18/238		800,000			833,468
Nuveen Investments, Inc.
9.13% due 10/15/173		760,000			803,700
StanCorp Financial Group, Inc.
5.00% due 08/15/228		600,000			611,286
Credit Suisse AG
6.50% due 08/08/233,8		500,000			548,750
National Rural Utilities Cooperative
Finance Corp.
4.75% due 04/30/431		500,000			472,500
Bank of New York Mellon Corp.
4.50% due 12/31/491,2		440,000			400,400
CICRMT 2014-A A
4.89% due 10/08/21		300,000			300,000
Emigrant Bancorp, Inc.
6.25% due 06/15/143		100,000			100,641
Prosight Global Inc.
7.50% due 11/20/20†††,7		100,000			98,910
TIG Holdings, Inc.
8.60% due 01/15/273		34,000			30,303
Total Financials					18,779,358
CONSUMER DISCRETIONARY - 4.6%
Sabre GLBL, Inc.
8.50% due 05/15/193		1,150,000			1,270,750
Hawaiian Airlines 2013-1 Class A
Pass Through Certificates			��
3.90% due 01/15/26		800,000			773,000
Northern Group Housing LLC
6.80% due 08/15/533		600,000			630,690
GLP Capital Limited Partnership / GLP
Financing II, Inc.
4.88% due 11/01/203		350,000			359,187
4.38% due 11/01/183		150,000			153,938
QVC, Inc.
4.38% due 03/15/23		500,000			492,734
Continental Airlines 2012-2 Class B
Pass Through Trust
5.50% due 10/29/20		400,000			421,000
AmeriGas Finance LLC / AmeriGas
Finance Corp.
7.00% due 05/20/22		350,000			382,375
GRD Holdings III Corp.
10.75% due 06/01/193		250,000			275,000
Stanadyne Corp.
10.00% due 08/15/14		240,000			239,100
Continental Airlines 2012-1 Class B
Pass Through Trust
6.25% due 04/11/20		118,665			126,675
Total Consumer Discretionary					5,124,449
MATERIALS - 2.9%
Newcrest Finance Pty Ltd.
4.20% due 10/01/223,11		1,200,000			1,035,143
4.45% due 11/15/213		500,000			447,641
AngloGold Ashanti Holdings plc
5.13% due 08/01/228		1,250,000			1,165,474
Barrick Gold Corp.
4.10% due 05/01/238		625,000			592,897
Mosaic Global Holdings, Inc.
7.38% due 08/01/18		18,000			20,551
Constar International, Inc
11.00% due 12/31/17†††,7		5,747			—
Total Materials					3,261,706
ENERGY - 2.4%
Midstates Petroleum Company
Incorporated / Midstates
Petroleum Co LLC
10.75% due 10/01/20		600,000			663,000
BreitBurn Energy Partners Limited
Partnership / BreitBurn Finance Corp.
7.88% due 04/15/22		600,000			649,500
Eagle Rock Energy Partners Limited
Partnership / Eagle Rock Energy
Finance Corp.
8.38% due 06/01/19		455,000			493,675
SESI LLC
7.13% due 12/15/21		250,000			278,750
Hiland Partners Limited Partnership /
Hiland Partners Finance Corp.
7.25% due 10/01/203		250,000			271,875
Crestwood Midstream Partners Limited
Partnership / Crestwood Midstream
Finance Corp.
7.75% due 04/01/19		150,000			162,750
Penn Virginia Resource Partners Limited
Partnership / Penn Virginia Resource
Finance Corp.
8.38% due 06/01/20		114,000			127,965
Williams Companies, Inc.
8.75% due 03/15/32		12,000			14,466
Total Energy					2,661,981
INDUSTRIALS - 1.2%
Chicago Bridge & Iron Co.
5.15% due 12/27/22†††,7		750,000			721,575
SBM Baleia Azul Sarl
5.50% due 09/15/27†††,7		471,900			457,696
ADT Corp.
6.25% due 10/15/213		150,000			154,125
Total Industrials					1,333,396
UTILITIES - 1.1%
Legacy Reserves Limited Partnership /
Legacy Reserves Finance Corp.
8.00% due 12/01/20		1,200,000			1,284,000
TELECOMMUNICATION SERVICES - 0.6%
Avaya, Inc.
7.00% due 04/01/193		650,000			645,125
Nortel Networks Ltd.
6.88% due 09/01/234		31,000			15,190
Total Telecommunication Services					660,315

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
INVESTMENT GRADE BOND FUND

		FACE
		AMOUNT		VALUE
INFORMATION TECHNOLOGY - 0.2%
First Data Corp.
8.75% due 01/15/223	$	250,000	$	273,125
Total Corporate Bonds
(Cost $37,261,065)				33,378,330
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 7.8%
Alternative Loan Trust
2003-18CB,5.25% due 09/25/33		1,123,390		1,166,837
Hilton USA Trust
2013-HLT,4.41% due 11/05/303		1,100,000		1,118,992
Boca Hotel Portfolio Trust
2013-BOCA,3.21% due 08/15/261,3		1,000,000		1,001,347
MASTR Adjustable Rate
Mortgages Trust 2003-5
2003-5,2.09% due 11/25/331		986,245		945,672
Madison Avenue Trust
4.03% due 10/12/321,3		875,000		861,169
BBCMS Trust
2013-TYSN,3.71% due 09/05/323		900,000		822,261
Washington Mutual Mortgage Pass-Through
Certificates WMALT Series 2006-AR9 Trust
2006-AR9,0.97% due 11/25/461		809,181		538,762
Motel 6 Trust
2012-MTL6,3.78% due 10/05/253		500,000		503,531
Spirit Master Funding LLC
2007-1A,5.74% due 03/20/253		358,558		367,899
2006-1A,5.76% due 03/20/243		123,413		128,658
Residential Asset Securitization Trust
2006-A12,6.25% due 11/25/36		512,941		394,396
Nomura Resecuritization Trust
2012-1R,0.60% due 08/27/471,3		366,156		337,340
SRERS-2011 Funding Ltd.
2011-RS,0.40% due 05/09/461,3		362,975		335,715
Credit Suisse Mortgage Capital Certificates
2006-TF2A,0.56% due 10/15/211,3		200,000		193,662
JP Morgan Mortgage Trust 2006-A3
2006-A3,2.86% due 04/25/361		37,269		33,176
Total Collateralized Mortgage Obligations
(Cost $8,719,407)				8,749,417
SENIOR FLOATING RATE INTERESTS†† - 6.7%
CONSUMER DISCRETIONARY - 2.8%
Landry’s, Inc.
4.00% due 04/24/18		754,168		757,940
Compucom Systems, Inc.
4.25% due 05/07/20		756,190		754,534
Neiman Marcus Group, Inc.
4.25% due 10/25/20		448,875		450,042
Ollies Bargain Outlet
5.25% due 09/28/19		395,002		393,521
Arby’s
5.00% due 11/15/20		349,125		350,979
1-800 Contacts, Inc.
4.25% due 01/31/21		200,000		200,350
NES Global Talent
6.50% due 10/03/19		149,063		149,063
Total Consumer Discretionary				3,056,429
INDUSTRIALS - 1.9%
Rise Ltd.
4.74% due 02/12/39		746,094		751,690
Travelport Holdings Ltd.
6.25% due 06/26/19		496,250		507,262
AABS Ltd.
4.87% due 01/15/38†††		466,146		469,642
VAT Holding AG
4.75% due 02/11/21		250,000		251,145
Emerald Expositions
5.50% due 06/17/20		99,250		99,912
Total Industrials				2,079,651
TELECOMMUNICATION SERVICES - 0.9%
MergerMarket Ltd.
4.50% due 02/04/21		600,000		597,000
Asurion Corp.
6.00% due 05/24/19		461,196		461,948
Total Telecommunication Services				1,058,948
INFORMATION TECHNOLOGY - 0.6%
P2 Energy Solutions
5.00% due 10/30/20		349,125		351,743
Greenway Medical Technologies
6.00% due 11/04/20		349,125		346,943
Total Information Technology				698,686
FINANCIALS - 0.3%
Magic Newco, LLC
5.00% due 12/12/18		248,112		250,283
American Stock Transfer & Trust
5.75% due 06/26/20		97,147		97,470
Total Financials				347,753
CONSUMER STAPLES - 0.1%
Performance Food Group
6.25% due 11/14/19		99,749		101,078
HEALTH CARE - 0.1%
Akorn, Inc.
4.50% due 11/13/20		100,000		100,875
Total Senior Floating Rate Interests
(Cost $7,396,926)				7,443,420
MORTGAGE BACKED SECURITIES†† - 2.2%
Fannie Mae5
2013-28,3.00% due 04/25/43		915,373		741,938
2013-34,3.00% due 04/25/43		441,256		393,407
2013-17,2.50% due 03/25/43		327,689		273,164
2013-54,3.00% due 06/25/33		146,195		121,682
1990-108,7.00% due 09/25/20		8,798		9,751
Freddie Mac5
2013-4184,3.00% due 03/15/43		515,637		419,776
2013-4180,3.00% due 03/15/43		425,996		364,668
2013-4224,3.00% due 07/15/43		101,262		92,090
Ginnie Mae
#518436, 7.25% due 09/15/29		9,623		11,172
#1849, 8.50% due 08/20/24		1,154		1,322
Total Mortgage Backed Securities
(Cost $2,817,177)				2,428,970

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

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2014
INVESTMENT GRADE BOND FUND

		FACE
		AMOUNT		VALUE
MUNICIPAL BONDS†† - 2.0%
NEW YORK - 0.9%
New York City Water & Sewer
System Revenue Bonds
0.30% due 06/15/331	$	1,000,000	$	1,000,000
MICHIGAN - 0.8%
City of Detroit Michigan Water
Supply System Revenue
Revenue Bonds
5.00% due 07/01/33		300,000		299,609
5.00% due 07/01/23		250,000		251,403
5.00% due 07/01/30		50,000		49,016
Detroit City School District
General Obligation Unlimited
7.75% due 05/01/39		100,000		110,742
City of Detroit Michigan Sewage
Disposal System Revenue
Revenue Bonds
5.50% due 07/01/22		100,000		100,649
Total Michigan				811,419
ILLINOIS - 0.1%
City of Chicago Illinois General
Obligation Unlimited
5.00% due 01/01/27		150,000		155,517
CALIFORNIA - 0.1%
County of Sacramento California
Revenue Bonds
7.25% due 08/01/25		100,000		109,475
ALABAMA - 0.1%
County of Jefferson Alabama
Sewer Revenue Revenue Bonds
0.00% due 10/01/34		350,000		99,943
OTHER TERRITORIES - 0.0%
Commonwealth of Puerto Rico
General Obligation Unlimited
8.00% due 07/01/35		30,000		27,994
Total Municipal Bonds
(Cost $2,179,535)				2,204,348
COMMERCIAL PAPER†† - 4.5%
Northeast Utilities
0.18% due 04/01/143		1,500,000		1,500,000
CBS Corp.
0.21% due 04/02/143		1,500,000		1,499,991
Duke Energy Corp.
0.19% due 04/03/143		1,000,000		999,989
American Water Capital Corp.
0.23% due 04/10/143		1,000,000		999,943
Total Commercial Paper
(Cost $4,999,923)				4,999,923
Total Investments - 104.5%
(Cost $121,831,571)			$	116,723,413
Other Assets & Liabilities, net - (4.5)%				(5,049,346	)
Total Net Assets - 100.0%			$	111,674,067

CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS^††

	Pay									Unrealized
	Floating	Floating	Fixed	Maturity	Notional		Market			Appreciation/
Counterparty	Rate	Rate Index	Rate	Date	Amount		Value			(Depreciation		)
Merrill Lynch	Pay	3-Month USD-LIBOR	3.89%	09/09/2043	$	1,850,000	$	127,280		$	127,280
Merrill Lynch	Pay	3-Month USD-LIBOR	1.97%	09/09/2018		5,850,000		97,110			97,110
Merrill Lynch	Pay	3-Month USD-LIBOR	3.68%	08/29/2043		1,450,000		44,950			44,950
Merrill Lynch	Pay	3-Month USD-LIBOR	1.70%	08/29/2018		5,950,000		35,105			35,105
Merrill Lynch	Pay	3-Month USD-LIBOR	3.65%	09/26/2018		450,000		10,035			10,035
Merrill Lynch	Pay	3-Month USD-LIBOR	1.59%	09/26/2018		9,300,000		(12,090	)		(12,090	)
										$	302,390

*	Non-income producing security.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Variable rate security. Rate indicated is rate effective at March 31, 2014.
2	Perpetual maturity.
3	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $65,205,558 (cost $69,672,016), or 58.4% of total net assets.
4	Security is in default of interest and/or principal obligations.
5	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.
6	Affiliated funds.
7	Illiquid security.
8	Security or a portion thereof is held as collateral for reverse repurchase agreements — See Note 11.
9	Security with no rate was unsettled at March 31, 2014.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust

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

INVESTMENT GRADE BOND FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2014

ASSETS:
Investments in unaffiliated issuers, at value (cost $119,831,571)	$	114,722,613
Investments in affiliated issuers, at value (cost $2,000,000)		2,000,800
Total Investments (cost $121,831,571)		116,723,413
Segregated cash with broker		603,244
Unrealized appreciation on swap agreements		314,480
Prepaid expenses		47,781
Receivables:
Securities sold		2,184,180
Interest		841,317
Fund shares sold		636,254
Dividends		22,595
Investment advisor		22,465
Total assets		121,395,729
LIABILITIES:
Reverse Repurchase Agreements		6,200,680
Due to broker		539,079
Due to custodian bank		310,403
Unrealized depreciation on swap agreements		12,090
Payable for:
Securities purchased		2,340,776
Fund shares redeemed		100,274
Management fees		46,735
Distribution and service fees		36,580
Transfer agent/maintenance fees		12,592
Fund accounting/administration fees		8,903
Trustees’ fees*		3,097
Miscellaneous		110,453
Total liabilities		9,721,662
NET ASSETS	$	111,674,067
NET ASSETS CONSIST OF:
Paid in capital	$	144,880,128
Accumulated net investment loss		(1,194,429	)
Accumulated net realized loss on investments		(27,188,350	)
Net unrealized depreciation on investments		(4,823,282	)
Net assets	$	111,674,067
A-CLASS:
Net assets	$	90,104,760
Capital shares outstanding		4,956,132
Net asset value per share		$18.18
Maximum offering price per share
(Net asset value divided by 95.25%)		$19.09
B-CLASS:
Net assets	$	2,437,525
Capital shares outstanding		134,640
Net asset value per share		$18.10
C-CLASS:
Net assets	$	18,915,975
Capital shares outstanding		1,044,994
Net asset value per share		$18.10
INSTITUTIONAL CLASS:
Net assets	$	215,807
Capital shares outstanding		11,887
Net asset value per share		$18.15

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2014

INVESTMENT INCOME:
Interest	$	2,454,168
Dividends		110,156
Total investment income		2,564,324
EXPENSES:
Management fees		267,153
Transfer agent/maintenance fees
A-Class		50,949
B-Class		9,447
C-Class		16,643
Institutional Class		181
Distribution and service fees:
A-Class		107,308
B-Class		13,373
C-Class		90,781
Fund accounting/administration fees		50,759
Registration fees		39,979
Short interest expense		23,076
Trustees’ fees*		5,939
Line of credit interest expense		5,616
Custodian fees		413
Tax expense		2
Miscellaneous		62,833
Total expenses		744,452
Less:
Expenses waived by Advisor		(94,650	)
Net expenses		649,802
Net investment income		1,914,522
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments in unaffiliated issuers		265,522
Swap agreements		221,971
Net realized gain		487,493
Net change in unrealized appreciation
(depreciation) on:
Investments in unaffiliated issuers		2,513,627
Investments in affiliated issuers		800
Swap agreements		(7,880	)
Net change in unrealized appreciation
(depreciation)		2,506,547
Net realized and unrealized gain		2,994,040
Net increase in net assets resulting
from operations	$	4,908,562

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

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

  INVESTMENT GRADE BOND FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	March 31,			Year Ended
	2014			September 30,
	(Unaudited)			2013
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	1,914,522		$	3,757,320
Net realized gain on investments		487,493			4,952,858
Net change in unrealized appreciation (depreciation) on investments		2,506,547			(4,987,231	)
Net increase in net assets resulting from operations		4,908,562			3,722,947
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
A-Class		(2,231,477	)		(3,408,190	)
B-Class		(59,403	)		(119,783	)
C-Class		(404,651	)		(654,081	)
Institutional Class		(5,015	)		(2,951	)
Total distributions to shareholders		(2,700,546	)		(4,185,005	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		13,590,161			22,376,229
B-Class		5,863			432,699
C-Class		2,611,906			10,703,187
Institutional Class		91,037			174,306
Distributions reinvested
A-Class		2,131,144			3,261,071
B-Class		59,233			119,401
C-Class		366,766			609,091
Institutional Class		5,015			2,451
Cost of shares redeemed
A-Class		(11,035,677	)		(39,676,207	)
B-Class		(736,916	)		(2,665,979	)
C-Class		(2,310,211	)		(14,287,993	)
Institutional Class		(58,074	)		–
Net increase (decrease) from capital share transactions		4,720,247			(18,951,744	)
Net increase (decrease) in net assets		6,928,263			(19,413,802	)
NET ASSETS:
Beginning of period		104,745,804			124,159,606
End of period	$	111,674,067		$	104,745,804
Distributions in excess of net investment income at end of period	$	(1,194,429	)	$	(425,919	)
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		754,462			1,246,284
B-Class		325			24,231
C-Class		145,180			595,542
Institutional Class		5,035			9,638
Shares issued from reinvestment of distributions
A-Class		118,223			181,120
B-Class		3,301			6,659
C-Class		20,443			33,953
Institutional Class		290			137
Shares redeemed
A-Class		(613,618	)		(2,203,124	)
B-Class		(41,195	)		(148,667	)
C-Class		(128,852	)		(795,823	)
Institutional Class		(3,213	)		–
Net increase (decrease) in shares		260,381			(1,050,050	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  41

  INVESTMENT GRADE BOND 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			Period Ended			Year Ended			Year Ended			Year Ended
	March 31,			September 30,			September 30,			December 31,			December 31,			December 31,
A-Class	2014a			2013			2012b			2011e			2010e			2009e
Per Share Data
Net asset value, beginning of period	$	17.81		$	17.92		$	17.41		$	16.71		$	16.20		$	15.12
Income (loss) from investment operations:
Net investment income (loss)c		.34			.61			.27			.42			.40			.48
Net gain (loss) on investments (realized and unrealized)		.41			(.04	)		.51			.74			.59			1.12
Total from investment operations		.75			.57			.78			1.16			.99			1.60
Less distributions from:
Net investment income		(.38	)		(.68	)		(.27	)		(.46	)		(.48	)		(.52	)
Total distributions		(.38	)		(.68	)		(.27	)		(.46	)		(.48	)		(.52	)
Net asset value, end of period	$	18.18		$	17.81		$	17.92		$	17.41		$	16.71		$	16.20
Total Returng		4.75%			3.21%			4.51%			6.94%			6.11%			10.63%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	90,105		$	83,642		$	98,063		$	108,999		$	101,971		$	104,972
Ratios to average net assets:
Net investment income (loss)		3.73%			3.40%			2.04%			2.43%			2.51%			3.04%
Total expenses		1.22%			1.21%			1.15%			1.15%			1.21%			1.31%
Net expensesd,h		1.07%			1.04%			1.00%			1.00%			0.98%			0.95%
Portfolio turnover rate		26%			119%			52%			43%			39%			89%
	Period Ended			Year Ended			Period Ended			Year Ended			Year Ended			Year Ended
	March 31,			September 30,			September 30,			December 31,			December 31,			December 31,
B-Class	2014a			2013			2012b			2011e			2010e			2009e
Per Share Data
Net asset value, beginning of period	$	17.73		$	17.82		$	17.32		$	16.62		$	16.12		$	15.04
Income (loss) from investment operations:
Net investment income (loss)c		.26			.47			.16			.29			.28			.36
Net gain (loss) on investments (realized and unrealized)		.42			(.04	)		.51			.74			.54			1.12
Total from investment operations		.68			.43			.67			1.03			.82			1.48
Less distributions from:
Net investment income		(.31	)		(.52	)		(.17	)		(.33	)		(.32	)		(.40	)
Total distributions		(.31	)		(.52	)		(.17	)		(.33	)		(.32	)		(.40	)
Net asset value, end of period	$	18.10		$	17.73		$	17.82		$	17.32		$	16.62		$	16.12
Total Returng		4.43%			2.42%			3.91%			6.35%			5.08%			9.87%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,438		$	3,054		$	5,168		$	6,993		$	11,619		$	16,249
Ratios to average net assets:
Net investment income (loss)		2.94%			2.64%			1.29%			1.72%			1.76%			2.31%
Total expenses		2.56%			2.67%			2.12%			1.92%			1.95%			2.06%
Net expensesd,h		1.82%			1.79%			1.75%			1.75%			1.73%			1.70%
Portfolio turnover rate		26%			119%			52%			43%			39%			89%

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

  INVESTMENT GRADE BOND FUND

FINANCIAL HIGHLIGHTS (continued)

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

	Period Ended			Year Ended			Period Ended			Year Ended			Year Ended			Year Ended
	March 31,			September 30,			September 30,			December 31,			December 31,			December 31,
C-Class	2014a			2013			2012b			2011e			2010e			2009e
Per Share Data
Net asset value, beginning of period	$	17.73		$	17.82		$	17.31		$	16.62		$	16.12		$	15.04
Income (loss) from investment operations:
Net investment income (loss)c		.27			.48			.17			.29			.28			.36
Net gain (loss) on investments (realized
and unrealized)		.41			(.05	)		.51			.73			.54			1.12
Total from investment operations		.68			.43			.68			1.02			.82			1.48
Less distributions from:
Net investment income		(.31	)		(.52	)		(.17	)		(.33	)		(.32	)		(.40	)
Total distributions		(.31	)		(.52	)		(.17	)		(.33	)		(.32	)		(.40	)
Net asset value, end of period	$	18.10		$	17.73		$	17.82		$	17.31		$	16.62		$	16.12
Total Returng		4.37%			2.42%			3.95%			6.32%			5.05%			9.85%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	18,916		$	17,876		$	20,929		$	22,035		$	19,284		$	20,843
Ratios to average net assets:
Net investment income (loss)		2.97%			2.65%			1.29%			1.68%			1.76%			2.28%
Total expenses		2.04%			2.03%			1.92%			1.90%			1.96%			2.05%
Net expensesd,h		1.82%			1.79%			1.75%			1.75%			1.73%			1.70%
Portfolio turnover rate		26%			119%			52%			43%			39%			89%

	Period Ended			Period Ended
	March 31,			September 30,
Institutional Class	2014a			2013f
Per Share Data
Net asset value, beginning of period	$	17.80		$	18.00
Income (loss) from investment operations:
Net investment income (loss)c		.36			.46
Net gain (loss) on investments (realized and unrealized)		.39			(.21	)
Total from investment operations		.75			.25
Less distributions from:
Net investment income		(.40	)		(.45	)
Total distributions		(.40	)		(.45	)
Net asset value, end of period	$	18.15		$	17.80
Total Returng		4.82%			1.35%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	216		$	174
Ratios to average net assets:
Net investment income (loss)		4.00%			3.85%
Total expenses		1.06%			1.17%
Net expensesd,h		0.82%			0.82%
Portfolio turnover rate		26%			119%

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

  INVESTMENT GRADE BOND FUND

FINANCIAL HIGHLIGHTS (concluded)

a	Unaudited figures for the period ended March 31, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	The Fund changed its fiscal year end from December 31 to September 30 in 2012.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Net expense information reflects the expense ratios after expense waivers, and includes interest expense, if any.
e	Per share amounts for the years ended December 31, 2009 - December 31, 2010 and the period January 1, 2011 through April 8, 2011 have been restated to reflect 1:4 reverse share split effective April 8, 2011.
f	Since commencement of operations: January 29, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
g	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
h	Excluding interest expense, the operating expense ratios for the periods presented would be:

	03/31/14	09/30/13
A-Class	1.03%	1.02%
B-Class	1.78%	1.77%
C-Class	1.78%	1.77%
Institutional Class	0.78%	0.77%

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

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THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  45

FUND PROFILE (Unaudited) March 31, 2014

LIMITED DURATION FUND

Holdings Diversification
(Market Exposure as % of Net Assets)

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

Ten Largest Holdings (% of Total Net Assets)
State Street	4.2	%
West Coast Funding Ltd. — Class A1A	4.2	%
SRERS-2011 Funding Ltd. — Class A1B1	4.1	%
Guggenheim BulletShares 2017
High Yield Corporate Bond ETF	3.0	%
Guggenheim BulletShares 2016
High Yield Corporate Bond ETF	2.6	%
Guggenheim BulletShares 2015
High Yield Corporate Bond ETF	2.6	%
H2 Asset Funding Ltd.	2.1	%
CSMC Trust 2014-SURF	2.1	%
CCR Incorporated MT100 Payment
Rights Master Trust — Class C	2.1	%
Halcyon Structured Asset
Management Long
Secured/Short Unsecured
2007-2 Ltd. — Class C	2.1	%
Top Ten Total	29.1	%

Inception Dates:
A-Class	December 16, 2013
C-Class	December 16, 2013
Institutional Class	December 16, 2013

Portfolio Composition by Quality Rating*
Rating
Fixed Income Instruments
AAA	2.2	%
AA	2.2	%
A	23.7	%
BBB	35.9	%
BB	5.2	%
B	7.2	%
CCC	8.8	%
D	1.1	%
Other Instruments
Exchanged Traded Funds	8.7	%
Repurchase Agreement	4.5	%
Preferred Stocks	0.5	%
Total Investments	100.0	%

The chart above reflects percentages of the value of total investments.

* Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.

46  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2014
LIMITED DURATION FUND

		SHARES		VALUE
PREFERRED STOCKS† - 0.5%
PNC Financial Services Group, Inc.
6.13%1,2		8,000	$	213,680
Total Preferred Stocks
(Cost $202,400)				213,680
EXCHANGE TRADED FUNDS†,5 - 8.2%
Guggenheim BulletShares 2017
High Yield Corporate Bond ETF6		52,178		1,435,939
Guggenheim BulletShares 2016
High Yield Corporate Bond ETF6		44,894		1,225,606
Guggenheim BulletShares 2015
High Yield Corporate Bond ETF6		45,200		1,221,756
Total Exchange Traded Funds
(Cost $3,865,007)				3,883,301
		FACE
		AMOUNT
ASSET BACKED SECURITIES†† - 56.5%
West Coast Funding Ltd.
2006-1A, 0.37% due 11/02/411,3	$	2,059,933		1,984,128
Castlelake Aircraft Securitization Trust
2014-1, 7.50% due 02/15/29†††		500,000		505,000
2014-1, 5.25% due 02/15/29†††		500,000		505,000
H2 Asset Funding Ltd.
2014-1, 2.15% due 03/19/37		1,000,000		1,001,000
CCR Incorporated MT100 Payment
Rights Master Trust
2010-CA, 0.60% due 07/10/171,3		1,022,946		990,212
Halcyon Structured Asset Management Long
Secured/Short Unsecured 2007-2 Ltd.
2007-2A, 3.99% due 10/29/211,3		1,000,000		986,200
Flagship CLO VI
2007-1A, 2.64% due 06/10/211,3		1,000,000		955,100
Duane Street CLO IV Ltd.
2007-4A, 2.49% due 11/14/211,3		1,000,000		953,500
San Gabriel CLO Ltd.
2007-1A, 2.49% due 09/10/211,3		1,000,000		953,400
Westbrook CLO Ltd.
2006-1A, 1.93% due 12/20/201,3		1,000,000		953,400
Black Diamond CLO 2005-2 Delaware Corp.
2005-2A, 2.03% due 01/07/181,3		1,000,000		952,500
FM Leveraged Capital Fund II
2006-2X, 3.99% due 11/15/201		750,000		748,350
Accredited Mortgage Loan Trust
2007-1, 0.28% due 02/25/371		540,856		503,400
Cent CLO
2012-16A, 3.74% due 08/01/241,3		500,000		502,700
Symphony CLO IX, LP
2012-9A, 3.49% due 04/16/221,3		500,000		502,650
Shackleton II CLO Ltd.
2012-2A, 4.29% due 10/20/231,3		500,000		500,250
OZLM Funding Ltd.
2012-2A, 3.49% due 10/30/231,3		500,000		500,000
Halcyon Loan Advisors Funding 2012-1 Ltd.
2012-1A, 3.24% due 08/15/231,3		500,000		498,900
COA Summit CLO Ltd.
2014-1A, 4.09% due 04/20/23†††,1,3		500,000		498,100
Figueroa CLO 2013-1 Ltd.
2013-1A, 2.98% due 03/21/241,3		500,000		495,750
BlueMountain CLO 2012-2 Ltd.
2012-2A, 2.98% due 11/20/241,3		500,000		494,500
Golub Capital Partners CLO Ltd.
2014-18A, 3.73% due 04/25/26†††,1,3		250,000		250,150
2014-18A, 4.23% due 04/25/26†††,1,3		250,000		242,750
Triton Container Finance LLC
2012-1A, 4.21% due 05/14/273		490,000		491,483
GSAA Home Equity Trust
2006-18, 6.00% due 11/25/36		694,301		491,299
ALM VII R-2 Ltd.
2013-7R2A, 2.84% due 04/24/241,3		500,000		490,650
Telos CLO 2013-4 Ltd.
2013-4A, 2.99% due 07/17/24†††,1,3		500,000		490,100
Structured Asset Securities Corporation
Mortgage Loan Trust
2007-BC1, 0.28% due 02/25/371		600,000		488,372
NewStar Commercial Loan Trust
2006-1A, 0.91% due 03/30/221,3		500,000		482,600
Icon Brands Holdings LLC
2013-1A, 4.35% due 01/25/43†††,3		479,227		477,071
Race Point IV CLO Ltd.
2007-4A, 2.24% due 08/01/211,3		500,000		475,250
Genesis Funding Ltd.
2006-1A, 0.40% due 12/19/321,3		506,896		472,376
Tricadia CDO 2006-6 Ltd.
2006-6A, 0.79% due 11/05/41†††,1,3		500,000		465,050
Katonah IX CLO Ltd.
2006-9A, 1.64% due 01/25/19†††,1,3		500,000		464,250
Copper River CLO Ltd.
2007-1A, 1.74% due 01/20/21†††,1,3		500,000		457,000
Connecticut Valley Structured
Credit CDO III Ltd.
2006-3A, 6.68% due 03/23/23†††,3		441,767		433,417
Gramercy Real Estate CDO 2007-1 Ltd.
2007-1A, 0.52% due 08/15/561,3		490,421		419,751
CIFC Funding 2012-III Ltd.
2013-3A, 4.49% due 01/29/251,3		400,000		401,120
GSAMP Trust
2005-HE6, 0.59% due 11/25/351		450,000		400,255
Soundview Home Loan Trust
2003-1, 2.40% due 08/25/311		354,369		361,749
Cronos Containers Program Ltd.
2012-1A, 4.21% due 05/18/273		265,417		266,157
Race Point CLO Ltd.
2014-5AR, 3.98% due 12/15/221,3		250,000		250,450
CKE Restaurant Holdings, Inc.
2013-1A, 4.47% due 03/20/433		246,250		248,737
ALM IV Ltd.
2011-4A, 2.99% due 07/18/221,3		250,000		248,150
Cerberus Onshore II CLO LLC
2014-1A, 2.95% due 10/15/23†††,1,3		250,000		247,550
Hewett’s Island CDO Ltd.
2007-6A, 2.49% due 06/09/191,3		250,000		243,850
T2 Income Fund CLO Ltd.
2007-1A, 1.74% due 07/15/191,3		250,000		242,000
Kingsland IV Ltd.
2007-4A, 1.69% due 04/16/21†††,1,3		250,000		230,800

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
LIMITED DURATION FUND

		FACE
		AMOUNT		VALUE
Textainer Marine Containers Ltd.
2012-1A, 4.21% due 04/15/273	$	202,083	$	202,269
OFSI Fund V Ltd.
2013-5A, 3.44% due 04/17/251,3		200,000		200,000
Total Asset Backed Securities
(Cost $26,645,021)				26,618,696
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 10.8%
SRERS-2011 Funding Ltd.
2011-RS,0.40% due 05/09/461,3		2,068,955		1,913,576
CSMC Trust 2014-SURF
2.40% due 02/15/291,3		1,000,000		997,183
First Horizon Alternative Mortgage
Securities Trust
2006-FA1,5.75% due 04/25/36		559,235		495,330
HarborView Mortgage Loan Trust
2006-12,0.35% due 01/19/381		589,283		495,109
Residential Asset Securitization Trust
2006-A12,6.25% due 11/25/36		637,710		490,330
Hilton USA Trust
2013-HLT,4.41% due 11/05/303		450,000		457,770
Motel 6 Trust
2012-MTL6,3.78% due 10/05/253		250,000		251,765
Total Collateralized Mortgage Obligations
(Cost $5,104,445)				5,101,063
SENIOR FLOATING RATE INTERESTS†† - 8.2%
INDUSTRIALS - 3.5%
Rise Ltd.
4.74% due 02/12/39		497,396		501,126
AABS Ltd.
4.87% due 01/15/38		463,542		467,018
HD Supply, Inc.
4.00% due 06/28/18		400,000		400,084
Dematic S.A.
4.25% due 12/28/19		250,000		250,418
Total Industrials				1,618,646
CONSUMER DISCRETIONARY - 1.6%
Smart & Final Stores LLC
4.75% due 11/15/19		324,496		324,496
Acosta, Inc.
4.25% due 03/03/18		250,000		250,875
Arby’s
5.00% due 11/15/20		199,500		200,559
Total Consumer Discretionary				775,930
MATERIALS - 1.1%
Fortescue Metals Group Ltd.
4.25% due 06/30/19		498,747		502,343
INFORMATION TECHNOLOGY - 1.1%
Blue Coat Systems, Inc.
4.00% due 05/31/19		200,000		200,334
Sabre, Inc.
4.25% due 02/19/19		199,495		199,411
Epicor Software
4.00% due 05/16/18		99,750		99,925
Total Information Technology				499,670
CONSUMER STAPLES - 0.5%
Diamond Foods, Inc.
4.25% due 08/20/18		250,000		250,470
TELECOMMUNICATION SERVICES - 0.4%
Asurion Corp.
6.00% due 05/24/19		200,000		200,326
Total Senior Floating Rate Interests
(Cost $3,854,242)				3,847,385
CORPORATE BONDS†† - 6.8%
FINANCIALS - 4.4%
Macquarie Bank Ltd.
1.02% due 03/24/171,3		500,000		500,729
Schahin II Finance Company SPV Ltd.
5.88% due 09/25/223		417,900		402,751
Icahn Enterprises Limited Partnership /
Icahn Enterprises Finance Corp.
3.50% due 03/15/173		350,000		353,500
Citigroup, Inc.
5.35% due 05/29/491,2		300,000		278,249
Emigrant Bancorp, Inc.
6.25% due 06/15/143		250,000		251,603
Ally Financial, Inc.
3.50% due 01/27/19		250,000		250,000
Total Financials				2,036,832
INDUSTRIALS - 1.1%
AmeriGas Finance LLC / AmeriGas
Finance Corp.
6.75% due 05/20/20		250,000		270,625
ADT Corp.
4.13% due 04/15/19		250,000		248,048
Total Industrials				518,673
INFORMATION TECHNOLOGY - 0.5%
Jabil Circuit, Inc.
4.70% due 09/15/22		250,000		247,188
MATERIALS - 0.4%
KGHM International Ltd.
7.75% due 06/15/193		200,000		211,000

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

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2014
LIMITED DURATION FUND

		FACE
		AMOUNT		VALUE
ENERGY - 0.4%
Precision Drilling Corp.
6.63% due 11/15/20	$	190,000	$	203,300
Total Corporate Bonds
(Cost $3,209,642)				3,216,993
REPURCHASE AGREEMENT††,4 - 4.2%
Jefferies & Company, Inc. issued 03/20/14
at 2.66% due 04/10/14		838,000		838,000
Jefferies & Company, Inc. issued 03/27/14
at 2.66% due 04/10/14		500,000		500,000
Jefferies & Company, Inc. issued 03/10/14
at 2.66% due 04/10/14		250,000		250,000
Jefferies & Company, Inc. issued 03/25/14
at 2.66% due 04/10/14		249,000		249,000
Jefferies & Company, Inc. issued 03/14/14
at 2.66% due 04/10/14		161,000		161,000
Total Repurchase Agreement
(Cost $1,998,000)				1,998,000
Total Investments - 95.2%
(Cost $44,878,757)			$	44,879,118
Other Assets & Liabilities, net - 4.8%				2,284,703
Total Net Assets - 100.0%			$	47,163,821

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Variable rate security. Rate indicated is rate effective at March 31, 2014.
2	Perpetual maturity.
3	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $26,954,148 (cost $26,979,696), or 57.2% of total net assets.
4	Repurchase Agreement — See Note 9.
5	Investment in a product that pays a management fee to a party related to the advisor.
6	Affiliated funds.

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

  LIMITED DURATION FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2014

ASSETS:
Investments, in unaffiliated issuers, at value (cost $39,015,750)	$	38,997,817
Investments, in affiliated issuers, at value (cost $3,865,007)		3,883,301
Repurchase agreements, at value (cost $1,998,000)		1,998,000
Total investments (cost $44,878,757)		44,879,118
Cash		1,543,282
Prepaid expenses		50,435
Receivables:
Fund shares sold		3,299,674
Interest		127,500
Investment advisor		43,446
Total assets		49,943,455
LIABILITIES:
Payable for:
Securities purchased		2,733,625
Management fees		13,606
Fund accounting/administration fees		2,948
Transfer agent/maintenance fees		146
Distribution and service fees		99
Trustees’ fees*		7
Miscellaneous		29,203
Total liabilities		2,779,634
NET ASSETS	$	47,163,821
NET ASSETS CONSIST OF:
Paid in capital	$	47,166,010
Undistributed net investment income		348
Accumulated net realized loss on investments		(2,898	)
Net unrealized appreciation on investments		361
Net assets	$	47,163,821
A-CLASS:
Net assets	$	3,809,980
Capital shares outstanding		152,337
Net asset value per share		$25.01
Maximum offering price per share
(Net asset value divided by 95.25%)		$25.59
C-CLASS:
Net assets	$	280,799
Capital shares outstanding		11,233
Net asset value per share		$25.00
INSTITUTIONAL CLASS:
Net assets	$	43,073,042
Capital shares outstanding		1,722,669
Net asset value per share		$25.00

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2014

INVESTMENT INCOME:
Interest	$	153,515
Dividends from affiliated issuers		17,464
Total investment income		170,979
EXPENSES:
Management fees		26,552
Transfer agent/maintenance fees
A-Class		155
C-Class		130
Institutional Class		33
Distribution and service fees:
A-Class		35
C-Class		196
Fund accounting/administration fees		5,605
Legal fees		27,578
Printing expenses		11,137
Registration fees		9,965
Professional fees		5,250
Custodian fees		1,260
Trustees’ fees*		308
Miscellaneous		33
Total expenses		88,237
Less:
Expenses waived by Advisor		(55,867	)
Net expenses		32,370
Net investment income		138,609
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(2,898	)
Net realized loss		(2,898	)
Net change in unrealized appreciation (depreciation) on:
Investments, in unaffiliated issuers		(17,933	)
Investments, in affiliated issuers		18,294
Net change in unrealized appreciation (depreciation)		361
Net realized and unrealized loss		(2,537	)
Net increase in net assets resulting from operations	$	136,072

* Relates to Trustees 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.

  LIMITED DURATION FUND

STATEMENT OF CHANGES IN NET ASSETS
	Period Ended
	March 31,
	20141
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	138,609
Net realized loss on investments		(2,898	)
Net change in unrealized appreciation (depreciation) on investments		361
Net increase in net assets resulting from operations		136,072
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
A-Class		(265	)
C-Class		(285	)
Institutional Class		(137,711	)
Total distributions to shareholders		(138,261	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		4,109,614
C-Class		281,279
Institutional Class		43,000,095
Distributions reinvested
A-Class		265
C-Class		283
Institutional Class		75,458
Cost of shares redeemed
A-Class		(300,150	)
C-Class		(834	)
Institutional Class		–
Net increase from capital share transactions		47,166,010
Net increase in net assets		47,163,821
NET ASSETS:
Beginning of year		–
End of year	$	47,163,821
Undistributed net investment income at end of year	$	348
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		164,327
C-Class		11,255
Institutional Class		1,719,652
Shares issued from reinvestment of distributions
A-Class		11
C-Class		11
Institutional Class		3,017
Shares redeemed
A-Class		(12,001	)
C-Class		(33	)
Institutional Class		–
Net increase in shares		1,886,239

¹ Since commencement of operations: December 16, 2013.

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

  LIMITED DURATION 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			Period Ended			Period Ended
	March 31,			March 31,			March 31,
	2014			2014			2014
	A-Classa			C-Classa			Institutional Classa
Per Share Data
Net asset value, beginning of period	$	25.00		$	25.00		$	25.00
Income (loss) from investment operations:
Net investment income (loss)b		.14			.10			.17
Net gain on investments (realized and unrealized)		(.01	)		(.02	)		(.01	)
Total from investment operations		25.13			25.08			25.16
Less distributions from:
Net investment income		(.12	)		(.08	)		(.16	)
Total distributions		(.12	)		(.08	)		(.16	)
Net asset value, end of period	$	25.01		$	25.00		$	25.00
Total Returne		0.52%			0.33%			0.62%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,810		$	281		$	43,073
Ratios to average net assets:
Net investment income (loss)		2.07%			1.37%			2.32%
Total expensesc		4.59%			3.23%			1.46%
Net expensesd		1.30%			1.53%			0.54%
Portfolio turnover rate		4%			4%			4%

a	Since commencement of operations: December 16, 2013. 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	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers.
e	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

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

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THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  53

FUND PROFILE (Unaudited) March 31, 2014

MACRO OPPORTUNITIES FUND

OBJECTIVE:  Seeks to provide total return, comprised of current income and capital appreciation.

Holdings Diversification
(Market Exposure as % of Net Assets)

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

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Limited Duration Fund - Institutional Class	1.7	%
West Coast Funding Ltd. — Class A1A	1.3	%
Gramercy Real Estate CDO 2007-1 Ltd. — Class A1	1.2	%
Cedar Woods CRE CDO Ltd.	1.2	%
Nomura Resecuritization Trust — Class A	1.2	%
N-Star Real Estate CDO IX Ltd.	1.1	%
Seaspan Corp.	1.1	%
iShares MSCI Spain Capped ETF	1.0	%
Bank of America Corp.	1.0	%
Emigrant Bancorp, Inc.	1.0	%
Top Ten Total	11.8	%

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
Institutional Class	November 30, 2011

Portfolio Composition by Quality Rating*
Rating
Fixed Income Instruments
AAA	1.9	%
AA	4.1	%
A	7.5	%
BBB	15.7	%
BB	11.1	%
B	32.1	%
CCC	13.6	%
CC	0.7	%
D	0.8	%
NR	0.2	%
Other Instruments
Short Term Investments	4.1	%
Preferred Stocks	2.6	%
Mutual Funds	2.3	%
Exchanged Traded Funds	1.7	%
Common Stocks	0.8	%
Other	0.9	%
Total Investments	100.0	%

The chart above reflects percentages of the value of total investments.

* Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.

54  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2014
MACRO OPPORTUNITIES FUND

			SHARES		VALUE
COMMON STOCKS† - 0.9%
MATERIALS - 0.9%
Newmont Mining Corp.			443,746	$	10,401,406
Total Common Stocks
	(Cost $10,979,297)				10,401,406
PREFERRED STOCKS† - 3.0%
	Seaspan Corp.
	6.38% due 04/30/19*		490,000		12,250,000
	Aspen Insurance Holdings Ltd.
	5.95%1,2		320,000		7,939,200
	Goldman Sachs Group, Inc.
	5.50%1		260,000		6,198,400
	Morgan Stanley
	7.13%1,2		105,000		2,785,650
	GSC Partners CDO Fund Limited /
	GSC Partners CDO Fund Corp.
	due 11/20/16*,1,3		5,200		2,332,096
	Alm Loan Funding
	due 06/20/23*,1		1,373		1,262,199
	City National Corp.		24,000		665,040
	WhiteHorse II Ltd.
	due 06/15/17*,1,3		2,100,000		105,000
Total Preferred Stocks
	(Cost $33,169,418)				33,537,585
EXCHANGE TRADED FUNDS† - 2.0%
	iShares MSCI Spain Capped ETF		286,530		11,690,424
	SPDR EURO STOXX 50 ETF		253,600		10,818,576
Total Exchange Traded Funds
	(Cost $18,779,085)				22,509,000
MUTUAL FUNDS† - 2.6%
	Guggenheim Limited Duration Fund -
	Institutional Class4		800,261		20,006,521
	Guggenheim Risk Managed Real Estate
	Fund - Institutional Class*,4		400,000		10,080,000
Total Mutual Funds
	(Cost $30,012,532)				30,086,521
SHORT TERM INVESTMENTS† - 4.7%
Federated U.S. Treasury Cash Reserve Fund			53,523,572		53,523,572
Total Short Term Investments
	(Cost $53,523,572)				53,523,572
			FACE
			AMOUNT
ASSET BACKED SECURITIES†† - 33.2%
	Castlelake Aircraft Securitization Trust
	2014-1, 5.25% due 02/15/29†††	$	8,520,020		8,605,220
	2014-1, 7.50% due 02/15/29†††		6,400,000		6,464,000
	West Coast Funding Ltd.
	2006-1A, 0.37% due 11/02/411,3		15,505,977		14,935,357
	Gramercy Real Estate CDO 2007-1 Ltd.
	2007-1A, 0.52% due 08/15/561,3		16,020,407		13,711,866
	Cedar Woods CRE CDO Ltd.
	0.42% due 07/25/51†††		16,609,314		13,559,844
	N-Star Real Estate CDO IX Ltd.
	0.51% due 02/01/41†††,9		14,236,943		12,937,110
	GSAA Home Equity Trust
	2007-7, 0.42% due 07/25/371		5,529,633		4,790,493
	2006-18, 6.00% due 11/25/36		4,985,850		3,528,072
	2006-14, 0.40% due 09/25/361		5,579,509		3,318,536
	RAIT CRE CDO I Ltd.
	2006-1X, 0.49% due 11/20/46†††,1		12,996,474		10,997,616
	KKR Financial CLO 2007-1 Ltd.
	2007-1A, 2.49% due 05/15/211,3		10,850,000		10,433,360
	CCR Incorporated MT100
	Payment Rights Master Trust
	2010-CA, 0.60% due 07/10/171,3		9,305,513		9,007,736
	GreenPoint Mortgage Funding Trust
	2005-HE4, 0.86% due 07/25/301		8,000,000		7,239,464
	N-Star REL CDO VIII Ltd.
	2006-8A, 0.51% due 02/01/411,3		5,350,000		4,628,820
	2006-8A, 0.44% due 02/01/41†††,1,3		2,713,917		2,557,596
	Emerald Aviation Finance Ltd.
	2013-1, 6.35% due 10/15/383		6,817,708		6,928,155
	Turbine Engines Securitization Ltd.
	2013-1A, 5.13% due 12/13/48†††,3		4,153,971		4,109,108
	2013-1A, 6.38% due 12/13/48†††,3		2,810,286		2,766,445
	Highland Park CDO I Ltd.
	2006-1A, 0.56% due 11/25/511,3,11		7,445,115		6,836,849
	Jasper CLO Ltd.
	2005-1A, 1.14% due 08/01/171,3		7,000,000		6,564,418
	Structured Asset Securities
	Corporation Mortgage Loan Trust
	2006-OPT1, 0.41% due 04/25/361		6,613,922		5,686,743
	Willis Engine Securitization Trust II
	2012-A, 5.50% due 09/15/37†††,3,11		5,632,184		5,663,161
	Lehman XS Trust
	2007-9, 0.27% due 06/25/371		6,317,916		5,522,567
	Home Equity Asset Trust
	2006-3, 0.46% due 07/25/361		3,042,239		2,767,491
	2005-7, 0.60% due 01/25/361		3,250,000		2,739,461
	New Century Home Equity Loan Trust
	2004-4, 0.95% due 02/25/351		3,632,577		3,296,585
	2005-1, 0.87% due 03/25/351		2,357,840		2,054,108
	ARES XXVI CLO Ltd.
	2013-1A, 0.00% due 04/15/253,7		6,450,000		5,308,995
	Accredited Mortgage Loan Trust
	2007-1, 0.28% due 02/25/371		5,588,848		5,201,802
	NewStar Commercial Loan Trust
	2006-1A, 0.91% due 03/30/221,3		3,200,000		3,088,640
	2007-1A, 2.53% due 09/30/22†††,1,3		1,000,000		963,500
	2007-1A, 1.53% due 09/30/221,3		1,000,000		936,700
	Genesis Funding Ltd.
	2006-1A, 0.40% due 12/19/321,3		5,316,072		4,954,048
	AMMC CDO
	2012-11A, 0.00% due 10/30/233,7		5,650,000		4,705,320
	Putnam Structured Product
	CDO 2002-1 Ltd.
	2002-1A, 0.83% due 01/10/381,3		5,081,636		4,519,607
	Telos CLO Ltd.
	2013-3A, 4.49% due 01/17/241,3		2,550,000		2,507,925
	2013-3A, 3.24% due 01/17/241,3		1,750,000		1,725,850
	Newstar Commercial Loan Funding
	2013-1 LLC
	2013-1A, 4.78% due 09/20/231,3		3,250,000		3,250,000
	2013-1A, 5.53% due 09/20/231,3		750,000		748,050

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
MACRO OPPORTUNITIES FUND

		FACE
		AMOUNT		VALUE
Northwoods Capital VII Ltd.
2006-7A, 3.74% due 10/22/211,3	$	2,000,000	$	1,938,200
2006-7A, 1.79% due 10/22/211,3		1,600,000		1,530,400
Grayson CLO Ltd.
2006-1A, 0.65% due 11/01/211,3,11		3,700,000		3,405,850
CIT Mortgage Loan Trust
2007-1, 1.60% due 10/25/371,3		3,750,000		3,397,046
Golub Capital Partners CLO Ltd.
2014-18A, 3.73% due 04/25/26†††,1,3		2,200,000		2,201,320
2014-18A, 4.23% due 04/25/26†††,1,3		1,200,000		1,165,200
First Franklin Mortgage Loan Trust
2006-FF1, 0.49% due 01/25/361		2,750,000		2,380,903
2006-FF1, 0.59% due 01/25/361		1,225,000		937,523
Rockwall CDO II Ltd.
2007-1A, 0.49% due 08/01/241,3		2,592,421		2,404,470
2007-1A, 0.79% due 08/01/241,3		1,050,000		894,180
DIVCORE CLO Ltd.
2013-1A B, 4.05% due 11/15/32†††		3,250,000		3,235,375
Marathon CLO II Ltd.
2005-2A, 2.03% due 12/20/191,3		2,050,000		2,004,695
2005-2A, 0.00% due 12/20/193,7		2,250,000		1,122,750
Great Lakes CLO 2012-1 Ltd.
2012-1A, % due 01/15/23†††,3		3,250,000		2,941,900
Battalion Clo 2007-I Ltd.
2007-1A, 2.39% due 07/14/22†††,1,3		3,100,000		2,941,125
KVK CLO Ltd.
2014-1A, 3.13% due 05/15/261,3		3,000,000		2,938,500
Wachovia Asset Securitization
Issuance II LLC 2007-HE1 Trust
2007-HE1, 0.29% due 07/25/371,3		3,462,384		2,896,388
Newcastle Cdo Viii 1 Ltd.
2006-8A, 0.43% due 11/25/52†††,1,3		3,003,243		2,875,605
Finn Square CLO Ltd.
2012-1A, 0.00% due 12/24/233,7		3,250,000		2,735,200
Atlas Senior Loan Fund II Ltd.
2012-2A, 0.00% due 01/30/243,7		2,850,000		2,703,795
Icon Brands Holdings LLC
2013-1A, 4.35% due 01/25/43†††,3		2,683,673		2,671,596
Citigroup Mortgage Loan Trust 2007-WFHE2
2007-WFH2, 0.50% due 03/25/371		3,200,000		2,666,605
Sands Point Funding Ltd.
2006-1A, 0.50% due 07/18/201,3		2,592,342		2,570,567
Halcyon Structured Asset Management Long
Secured/Short Unsecured 2007-2 Ltd.
2007-2A, 3.99% due 10/29/211,3		2,600,000		2,564,120
ACA CLO 2007-1 Ltd.
2007-1A, 1.19% due 06/15/221,3		2,800,000		2,563,400
Flagship CLO VI
2007-1A, 2.64% due 06/10/211,3		2,670,000		2,550,117
Park Place Securities Incorporated Series
2005-WHQ2, 0.61% due 05/25/351		3,000,000		2,533,281
Callidus Debt Partners Clo Fund VI Ltd.
2007-6A, 3.24% due 10/23/211,3		2,100,000		2,022,090
2007-6A, 1.49% due 10/23/211,3		500,000		470,950
Wells Fargo Home Equity Asset-Backed
Securities 2005-4 Trust
2006-1, 0.41% due 05/25/361		2,800,000		2,429,823
HSI Asset Securitization Corporation Trust
2007-WF1, 0.32% due 05/25/371		2,592,006		2,395,851
San Gabriel CLO Ltd.
2007-1A, 2.49% due 09/10/211,3		2,450,000		2,335,830
Global Leveraged Capital Credit
Opportunity Fund
2006-1A, 1.24% due 12/20/181,3		2,376,000		2,284,049
Bear Stearns Asset Backed Securities Trust
2005-3, 0.90% due 09/25/351		2,250,000		2,121,957
Acis CLO 2013-1 Ltd.
2013-1A, 4.74% due 04/18/241,3		2,100,000		2,100,000
Halcyon Structured Asset Management
Long Secured/Short
Unsecured 2007-1 Ltd.
2007-1A, 2.54% due 08/07/211,3		2,100,000		2,069,130
Ableco Capital LLC
2013-1, 4.92% due 05/31/191,9		2,000,000		2,000,000
Salus CLO 2012-1 Ltd.
2013-1AN, 6.99% due 03/05/21†††,1,3		1,200,000		1,202,280
2013-1AN, 4.99% due 03/05/21†††,1,3		750,000		751,425
Cerberus Onshore II CLO LLC
2014-1A, 3.75% due 10/15/23†††,1,3		1,000,000		973,800
2014-1A, 4.25% due 10/15/23†††,1,3		1,000,000		955,100
TCW Global Project Fund III Ltd.
2005-1A, 0.89% due 09/01/17†††,1,3		1,500,000		1,393,200
2005-1A, 1.09% due 09/01/17†††,1,3		600,000		512,700
Airplanes Pass Through Trust
2001-1A, 0.71% due 03/15/191		3,990,370		1,875,474
Churchill Financial Cayman Ltd.
2007-1A, 1.49% due 07/10/191,3		1,000,000		942,600
2007-1A, 2.84% due 07/10/191,3		1,000,000		930,700
TCW Global Project Fund II Ltd.
2004-1A, 1.59% due 06/15/16†††,1,3		2,000,000		1,860,600
Acis CLO 2013-2 Ltd.
4.09% due 10/14/221,3		1,800,000		1,758,780
Kingsland III Ltd.
2006-3A, 1.84% due 08/24/211,3		1,890,000		1,757,133
Shackleton II CLO Ltd.
2012-2A, 4.29% due 10/20/231,3		1,750,000		1,750,875
Liberty CLO Ltd.
2005-1A, 0.74% due 11/01/171,3		1,750,000		1,689,800
Carlyle Global Market Strategies
CLO 2012-3 Ltd.
2012-3A, 0.00% due 10/04/243,7		1,800,000		1,689,120
Landmark VIII CDO Ltd.
2006-8A, 1.69% due 10/19/201,3		1,650,000		1,577,235
Ares XXV CLO Ltd.
2013-3A, 0.00% due 01/17/243,7		2,000,000		1,572,800
Asset Backed Securities Corporation
Home Equity Loan Trust Series OOMC
2006-HE5, 0.29% due 07/25/361		1,695,446		1,567,743
Telos CLO 2007-2 Ltd.
2007-2A, 2.44% due 04/15/221,3		1,650,000		1,565,025
MCF CLO I LLC
2013-1A, 3.79% due 04/20/231,3		1,500,000		1,482,900
ALM VI Ltd.
2012-6A, 0.00% due 06/14/233,7		1,600,000		1,470,880
Westwood CDO II Ltd.
2007-2X, 2.04% due 04/25/221		1,550,000		1,429,410
Black Diamond CLO 2005-2 Delaware Corp.
2005-2A, 2.03% due 01/07/181,3		1,500,000		1,428,750
Bacchus 2006-1 Ltd.
2006-1A, 1.79% due 01/20/191,3		1,500,000		1,417,200
Race Point CLO Ltd.
2014-5AR, 3.98% due 12/15/221,3		1,400,000		1,402,520

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
MACRO OPPORTUNITIES FUND

			FACE
			AMOUNT		VALUE
	Kingsland IV Ltd.
	2007-4A, 1.69% due 04/16/21†††,1,3	$	1,500,000	$	1,384,800
	Copper River CLO Ltd.
	2007-1A, 1.74% due 01/20/21†††,1,3		1,000,000		914,000
	2007-1A, 1.04% due 01/20/211,3		500,000		452,650
	Cerberus Offshore Levered I, LP
	2012-1A, 6.23% due 11/30/181,3		1,350,000		1,353,105
	Duane Street CLO IV Ltd.
	2007-4A, 2.49% due 11/14/211,3		1,400,000		1,334,900
	Structured Asset Investment Loan Trust
	2005-2, 0.89% due 03/25/351		1,500,000		1,293,671
	Ivy Hill Middle Market Credit Fund Ltd.
	2011-3A, 6.74% due 01/15/221,3		1,250,000		1,250,000
	COA Summit CLO Ltd.
	2014-1A, 4.09% due 04/20/23†††,1,3		1,250,000		1,245,250
	KKR Financial CLO 2007-A Corp.
	2007-AA, 4.74% due 10/15/171,3		1,212,324		1,217,537
	Blade Engine Securitization Ltd.
	2006-1A, 3.16% due 09/15/411,3		1,076,986		613,882
	2006-1A, 1.16% due 09/15/411		840,292		588,205
	Fannie Mae5
	2013-52, 3.00% due 06/25/4311		1,482,590		1,197,048
	ICE EM CLO
	2007-1A, 1.18% due 08/15/221,3		1,250,000		1,146,875
	Newcastle CDO IX 1 Ltd.
	2007-9A, 0.41% due 05/25/521,3,11		1,113,006		1,109,667
	Aames Mortgage Investment Trust
	2006-1, 0.47% due 04/25/361		1,183,602		1,103,813
	T2 Income Fund CLO Ltd.
	2007-1A, 2.99% due 07/15/191,3		700,000		675,430
	2007-1A, 1.74% due 07/15/191,3		400,000		387,200
	Tricadia CDO 2006-6 Ltd.
	2006-6A, 0.99% due 11/05/41†††,1,3		1,150,000		1,044,775
	Black Diamond CLO 2006-1 Luxembourg S.A.
	2007-1A, 0.93% due 04/29/191,3		1,100,000		1,002,650
	Fortress Credit Opportunities
	0.57% due 07/15/1911		1,100,000		969,430
	Pacifica CDO V Corp.
	2006-5A, 5.81% due 01/26/203		950,000		968,620
	Aerco Ltd.
	2000-2A, 1.12% due 07/15/251,11		1,578,545		953,126
	Gleneagles CLO Ltd.
	2005-1A, 1.14% due 11/01/171,3		1,000,000		950,400
	Pangaea CLO Ltd.
	2007-1A, 0.74% due 10/21/211,3		1,000,000		939,600
	MCF CLO III LLC
	2014-3A, 3.46% due 01/20/24†††,1,3		1,000,000		918,600
	Eastland CLO Ltd.
	2007-1A, 0.64% due 05/01/221,3		1,000,000		890,500
	Babcock & Brown Air Funding I Ltd.
	2007-1A, 0.62% due 11/14/331,3		1,020,430		846,957
	KKR Financial CLO Ltd.
	5.24% due 05/15/21		800,000		797,840
	Garrison Funding 2013-2 Ltd.
	2013-2A, 4.98% due 09/25/231,3		750,000		745,125
	Central Park CLO Ltd.
	2011-1A, 3.44% due 07/23/221,3		750,000		738,750
	ACS 2007-1 Pass Through Trust
	2007-1A, 0.46% due 06/14/371,3		766,458		729,131
	Credit Card Pass-Through Trust
	2012-BIZ, 0.00% due 12/15/49†††,3,7		821,576		705,652
	Asset Backed Securities Corporation
	Home Equity Loan Trust Series
	2004-HE8, 1.20% due 12/25/341		745,171		658,458
	Northwind Holdings LLC
	2007-1A, 1.02% due 12/01/371,3		706,563		648,483
	Westwood CDO I Ltd.
	2007-1A, 0.90% due 03/25/211,3		700,000		648,270
	Fraser Sullivan CLO VI Ltd.
	2011-6A, 4.74% due 11/22/221,3		600,000		600,436
	Structured Asset Receivables Trust Series
	2005-1A, 0.74% due 01/21/151,3		574,066		543,928
	Summit Lake CLO Ltd.
	2005-1A, 0.00% due 02/24/183,7		1,550,000		538,160
	MC Funding Limited/MC
	Funding 2006-1 LLC
	2006-1A, 1.18% due 12/20/201,3		500,000		476,800
	Connecticut Valley Structured
	Credit CDO III Ltd.
	2006-3A, 6.68% due 03/23/23†††,3		441,767		433,417
	Diversified Asset Securitization Holdings II, LP
	2000-1A, 0.72% due 09/15/351,3		425,604		425,263
	OFSI Fund Ltd.
	2006-1A, 1.08% due 09/20/191,3		370,000		356,199
	Garanti Diversified Payment Rights Finance Co.
	2007-A, 0.43% due 07/09/17†††		364,000		344,890
	Raspro Trust
	2005-1A, 0.63% due 03/23/241,3		345,589		314,486
	Drug Royalty Limited Partnership
	2012-1, 5.49% due 07/15/241,3		271,179		281,746
	Tricadia CDO 2005-4 Ltd.
	2005-4A, 0.79% due 12/11/401,3		268,873		262,957
	Aircraft Lease Securitisation Ltd.
	2007-1A, 0.42% due 05/10/321,3		256,692		248,349
	Vega Containervessel plc
	2006-1A, 5.56% due 02/10/21†††,3		164,486		161,246
	SBI Home Equity Loan Trust 2006-1
	2006-1A, 0.30% due 04/25/351,3		72,195		70,163
	Castle Trust
	2003-1AW, 0.91% due 05/15/271,3		69,896		66,401
	Legg Mason Real Estate CDO I Ltd.
	2006-1A, 0.43% due 03/25/381,3		48,273		47,452
	BlackRock Senior Income Series
	2004-1X, 0.00% due 09/15/167		2,400,000		240
Total Asset Backed Securities
	(Cost $372,854,256)				377,114,992
CORPORATE BONDS†† - 29.0%
FINANCIALS - 13.3%
	Bank of America Corp.
	5.20% due 12/29/491,2		12,200,000		11,467,999
	Emigrant Bancorp, Inc.
	6.25% due 06/15/143		11,150,000		11,221,482
	Fifth Third Bancorp
	5.10% due 12/31/491,2		11,720,000		10,782,399
	Icahn Enterprises Limited Partnership/
	Icahn Enterprises Finance Corp.
	4.88% due 03/15/193,11		6,500,000		6,613,749
	6.00% due 08/01/203		3,450,000		3,657,000
	5.88% due 02/01/223		300,000		304,500

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
MACRO OPPORTUNITIES FUND

			FACE
			AMOUNT		VALUE
	Citigroup, Inc.
	5.35% due 05/29/491,2	$	6,725,000	$	6,237,438
	5.95% due 12/29/491,2		3,800,000		3,714,500
	Nationstar Mortgage LLC/
	Nationstar Capital Corp.
	6.50% due 06/01/22		5,635,000		5,226,463
	6.50% due 07/01/21		3,050,000		2,874,625
	7.88% due 10/01/20		815,000		823,150
	6.50% due 08/01/18		340,000		341,700
	JPMorgan Chase & Co.
	5.15% due 12/31/491,2,11		8,875,000		8,320,313
	ING US, Inc.
	5.65% due 05/15/531		7,500,000		7,455,000
	EPR Properties
	5.75% due 08/15/2211		4,350,000		4,608,764
	5.25% due 07/15/23		2,000,000		2,032,388
	CICRMT 2014-A A
	4.89% due 10/08/21		6,500,000		6,500,000
	General Electric Capital Corp.
	5.25% due 06/29/491,2		6,500,000		6,322,549
	PNC Financial Services Group, Inc.
	4.85% due 05/29/491,2,11		6,150,000		5,765,625
	Wilton Re Finance LLC
	5.88% due 03/30/331,3		5,750,000		5,721,250
	Oxford Finance LLC/Oxford Finance
	Company-Issuer, Inc.
	7.25% due 01/15/183		3,801,000		4,029,060
	Prudential Financial, Inc.
	5.63% due 06/15/431,11		3,800,000		3,876,000
	Opal Acquisition, Inc.
	8.88% due 12/15/213		3,650,000		3,668,250
	Barclays plc
	8.25% due 12/15/181,2		3,150,000		3,307,500
	Kennedy-Wilson, Inc.
	8.75% due 04/01/1911		2,925,000		3,195,563
	Fidelity & Guaranty Life Holdings, Inc.
	6.38% due 04/01/213		2,900,000		3,088,500
	Nuveen Investments, Inc.
	9.13% due 10/15/173		2,490,000		2,633,175
	Schahin II Finance Company SPV Ltd.
	5.88% due 09/25/223,11		2,490,800		2,400,509
	Nationwide Mutual Insurance Co.
	9.38% due 08/15/393,11		1,400,000		2,058,893
	Bank of New York Mellon Corp.
	4.50% due 12/31/491,2		2,200,000		2,002,000
	Credit Acceptance Corp.
	6.13% due 02/15/213		1,900,000		1,976,000
	QBE Capital Funding III Ltd.
	7.25% due 05/24/411,3,11		1,650,000		1,765,500
	Jefferies LoanCore LLC / JLC Finance Corp.
	6.88% due 06/01/203		1,700,000		1,725,500
	Itau Unibanco Holding S.A./Cayman Island
	5.13% due 05/13/233		1,450,000		1,392,000
	Susquehanna Bancshares, Inc.
	5.38% due 08/15/2211		1,400,000		1,371,373
	Jefferies Finance LLC / JFIN
	Company-Issuer Corp.
	7.38% due 04/01/203		1,075,000		1,128,750
	Prosight Global Inc.
	7.50% due 11/20/20†††,9		850,000		840,735
	American Equity Investment
	Life Holding Co.
	6.63% due 07/15/21		500,000		533,125
	Ironshore Holdings US, Inc.
	8.50% due 05/15/203		315,000		367,237
	Scottrade Financial Services, Inc.
	6.13% due 07/11/213		125,000		126,819
	LCP Dakota Fund
	10.00% due 08/17/159		74,110		74,110
Total Financials					151,551,493
ENERGY - 3.1%
	Penn Virginia Resource Partners Limited
	Partnership / Penn Virginia
	Resource Finance Corp.
	8.38% due 06/01/20		4,846,000		5,439,635
	Crestwood Midstream Partners Limited
	Partnership / Crestwood Midstream
	Finance Corp.
	7.75% due 04/01/19		2,745,000		2,978,325
	6.13% due 03/01/223		2,300,000		2,403,500
	Eagle Rock Energy Partners Limited
	Partnership/Eagle Rock Energy
	Finance Corp.
	8.38% due 06/01/1911		4,650,000		5,045,250
	BreitBurn Energy Partners Limited
	Partnership / BreitBurn Finance Corp.
	7.88% due 04/15/22		4,075,000		4,411,187
	Memorial Production Partners Limited
	Partnership / Memorial Production
	Finance Corp.
	7.63% due 05/01/213		2,290,000		2,415,949
	Gibson Energy, Inc.
	6.75% due 07/15/213		1,800,000		1,930,500
	SandRidge Energy, Inc.
	7.50% due 03/15/21		1,525,000		1,627,938
	7.50% due 02/15/23		250,000		265,000
	Midstates Petroleum Company Incorporated /
	Midstates Petroleum Co LLC
	10.75% due 10/01/20		1,450,000		1,602,250
	Pacific Drilling S.A.
	5.38% due 06/01/203		1,400,000		1,389,500
	Unit Corp.
	6.63% due 05/15/21		1,150,000		1,219,000
	Atlas Energy Holdings Operating Company
	LLC / Atlas Resource Finance Corp.
	9.25% due 08/15/213		1,060,000		1,166,000
	Endeavor Energy Resources Limited
	Partnership / EER Finance, Inc.
	7.00% due 08/15/213		850,000		892,500
	Precision Drilling Corp.
	6.63% due 11/15/20		800,000		856,000
	IronGate Energy Services LLC
	11.00% due 07/01/183		500,000		497,500
	Bill Barrett Corp.
	7.00% due 10/15/22		300,000		315,750
	7.63% due 10/01/19		77,000		83,449
	Ultra Petroleum Corp.
	5.75% due 12/15/183		200,000		210,000
Total Energy					34,749,233

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
MACRO OPPORTUNITIES FUND

			FACE
			AMOUNT		VALUE
INDUSTRIALS - 2.8%
	Infor US, Inc.
	9.38% due 04/01/19	$	7,250,000	$	8,165,313
	Guitar Center, Inc.
	6.50% due 04/15/193		4,500,000		4,471,875
	CEVA Group plc
	9.00% due 09/01/213		2,000,000		2,045,000
	7.00% due 03/01/213		200,000		203,500
	Premier Foods Finance plc
	5.52% due 03/15/201,3		1,250,000		2,118,238
	ADT Corp.
	6.25% due 10/15/213		2,000,000		2,055,000
	Princess Juliana International
	Airport Operating Company N.V.
	5.50% due 12/20/273		2,030,282		1,999,827
	Chicago Bridge & Iron Co.
	5.15% due 12/27/22†††,9		1,650,000		1,587,465
	Marquette Transportation Company LLC /
	Marquette Transportation Finance Corp.
	10.88% due 01/15/17		1,340,000		1,410,350
	Ultra Resources, Inc.
	4.51% due 10/12/20†††,9		1,500,000		1,396,650
	Odebrecht Offshore Drilling Finance Ltd.
	6.63% due 10/01/223		1,250,000		1,293,750
	WMG Acquisition Corp.
	6.75% due 04/15/223		1,250,000		1,250,000
	Greektown Holdings LLC/Greektown
	Mothership Corp.
	8.88% due 03/15/193		1,100,000		1,135,750
	SBM Baleia Azul Sarl
	5.50% due 09/15/27†††,9		1,038,180		1,006,931
	Level 3 Financing, Inc.
	6.13% due 01/15/213		500,000		527,500
	Travelport LLC
	11.88% due 09/01/16		250,000		255,000
	Quality Distribution LLC / QD Capital Corp.
	9.88% due 11/01/18		200,000		218,500
	Virgin Media Finance plc
	6.38% due 04/15/233		200,000		212,000
	Victor Technologies Group, Inc.
	9.00% due 12/15/17		96,000		102,960
Total Industrials					31,455,609
CONSUMER DISCRETIONARY - 2.3%
	MDC Partners, Inc.
	6.75% due 04/01/203		8,500,000		8,946,249
	GRD Holdings III Corp.
	10.75% due 06/01/193		3,605,000		3,965,500
	Laureate Education, Inc.
	9.25% due 09/01/193		2,931,000		3,121,515
	Sabre GLBL, Inc.
	8.50% due 05/15/193		2,000,000		2,210,000
	WMG Acquisition Corp.
	11.50% due 10/01/18		1,440,000		1,636,560
	CPG Merger Sub LLC
	8.00% due 10/01/213		1,050,000		1,128,750
	Stanadyne Corp.
	10.00% due 08/15/14		1,100,000		1,095,875
	AmeriGas Finance LLC / AmeriGas
	Finance Corp.
	7.00% due 05/20/22		600,000		655,500
	Continental Airlines 2012-2 Class B
	Pass Through Trust
	5.50% due 10/29/20		500,000		526,249
	Checkers Drive-In Restaurants, Inc.
	11.00% due 12/01/173		450,000		501,750
	PF Chang’s China Bistro, Inc.
	10.25% due 06/30/203		465,000		489,413
	Gibson Brands, Inc.
	8.88% due 08/01/183		450,000		479,250
	DreamWorks Animation SKG, Inc.
	6.88% due 08/15/203		400,000		433,000
	Seminole Hard Rock Entertainment
	Incorporated / Seminole Hard Rock
	International LLC
	5.88% due 05/15/213		400,000		403,000
	Continental Airlines 2009-2 Class B
	Pass Through Trust
	9.25% due 05/10/17		243,849		273,111
	Live Nation Entertainment, Inc.
	7.00% due 09/01/203		190,000		207,813
	Continental Airlines 2012-1 Class B
	Pass Through Trust
	6.25% due 04/11/20		189,865		202,681
	Empire Today LLC / Empire Today
	Finance Corp.
	11.38% due 02/01/173		110,000		111,788
	Atlas Air 1999-1 Class A-1 Pass Through Trust
	7.20% due 01/02/199		91,923		99,621
Total Consumer Discretionary					26,487,625
UTILITIES - 2.0%
	Legacy Reserves Limited Partnership/Legacy
	Reserves Finance Corp.
	8.00% due 12/01/20		5,000,000		5,350,000
	6.63% due 12/01/21		2,500,000		2,493,750
	Atlas Pipeline Partners Limited
	Partnership/Atlas Pipeline Finance Corp.
	5.88% due 08/01/2311		4,750,000		4,690,625
	4.75% due 11/15/21		1,750,000		1,662,500
	LBC Tank Terminals Holding
	Netherlands BV
	6.88% due 05/15/233		3,150,000		3,362,625
	NGL Energy Partners Limited
	Partnership/NGL Energy Finance Corp.
	6.88% due 10/15/213		2,800,000		2,912,000
	Atlas Energy Holdings Operating
	Company LLC/Atlas Resource
	Finance Corp.
	7.75% due 01/15/21		1,100,000		1,155,000
	Exterran Partners Limited
	Partnership/EXLP Finance Corp.
	6.00% due 04/01/21		900,000		895,500
	Midstates Petroleum Company
	Incorporated/Midstates
	Petroleum Co LLC
	9.25% due 06/01/21		450,000		470,250
	FPL Energy National Wind LLC
	5.61% due 03/10/243		53,687		52,192
Total Utilities					23,044,442

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
MACRO OPPORTUNITIES FUND

			FACE
			AMOUNT		VALUE
MATERIALS - 1.8%
	TPC Group, Inc.
	8.75% due 12/15/203,11	$	7,300,000	$	8,002,625
	Clearwater Paper Corp.
	4.50% due 02/01/23		2,750,000		2,646,875
	Barrick Gold Corp.
	4.10% due 05/01/23		2,500,000		2,371,588
	Eldorado Gold Corp.
	6.13% due 12/15/203		2,250,000		2,250,000
	KGHM International Ltd.
	7.75% due 06/15/193		1,435,000		1,513,925
	AngloGold Ashanti Holdings plc
	5.13% due 08/01/22		1,450,000		1,351,951
	Mirabela Nickel Ltd.
	8.75% due 04/15/183,6,9		2,948,000		707,520
	Unifrax I LLC / Unifrax Holding Co.
	7.50% due 02/15/193		500,000		530,000
	Pretium Packaging LLC / Pretium
	Finance, Inc.
	11.50% due 04/01/16		342,000		365,940
	Kaiser Aluminum Corp.
	8.25% due 06/01/20		250,000		281,875
	Alcoa, Inc.
	5.87% due 02/23/22		250,000		263,614
Total Materials					20,285,913
TELECOMMUNICATION SERVICES - 1.4%
	Avaya, Inc.
	7.00% due 04/01/193,11		5,705,000		5,662,212
	Alcatel-Lucent USA, Inc.
	8.88% due 01/01/203		2,200,000		2,497,000
	6.75% due 11/15/203		1,000,000		1,057,500
	SITEL LLC / Sitel Finance Corp.
	11.00% due 08/01/173		2,020,000		2,168,975
	Expo Event Transco, Inc.
	9.00% due 06/15/213		1,975,000		2,009,563
	Unitymedia Hessen GmbH & Company
	KG/Unitymedia NRW GmbH
	5.50% due 01/15/233		1,200,000		1,224,000
	CyrusOne Limited Partnership/CyrusOne
	Finance Corp.
	6.38% due 11/15/22		675,000		712,125
	UPCB Finance VI Ltd.
	6.88% due 01/15/223		400,000		436,000
Total Telecommunication Services					15,767,375
INFORMATION TECHNOLOGY - 1.2%
	Stream Global Services, Inc.
	11.25% due 10/01/14		3,880,000		3,880,000
	Aspect Software, Inc.
	10.63% due 05/15/17		3,514,000		3,716,055
	Eagle Midco, Inc.
	9.00% due 06/15/183		3,050,000		3,202,500
	IAC
	4.88% due 11/30/18		1,000,000		1,043,750
	ViaSat, Inc.
	6.88% due 06/15/20		750,000		804,375
	First Data Corp.
	8.75% due 01/15/223		300,000		327,750
	6.75% due 11/01/203		300,000		322,500
	Stratus Technologies Bermuda
	Limited/Stratus Technologies, Inc.
	19.99% due 03/29/15		321		356,310
	Audatex North America, Inc.
	6.00% due 06/15/213		300,000		320,250
Total Information Technology					13,973,490
CONSUMER STAPLES - 1.0%
	Vector Group Ltd.
	7.75% due 02/15/2111		4,475,000		4,810,626
	Harbinger Group, Inc.
	7.88% due 07/15/19		2,400,000		2,634,000
	Premier Foods plc
	6.50% due 03/15/213		1,000,000		1,712,511
	Bumble Bee Holdings, Inc.
	9.00% due 12/15/173		826,000		900,340
	Central Garden and Pet Co.
	8.25% due 03/01/18		525,000		541,406
	KeHE Distributors LLC / KeHE Finance Corp.
	7.63% due 08/15/213		500,000		537,500
	Diamond Foods, Inc.
	7.00% due 03/15/193		200,000		207,000
Total Consumer Staples					11,343,383
HEALTH CARE - 0.1%
	Symbion, Inc.
	8.00% due 06/15/16		600,000		630,000
	Physio-Control International, Inc.			��
	9.88% due 01/15/193		303,000		340,118
Total Health Care					970,118
Total Corporate Bonds
	(Cost $329,031,261)				329,628,681
SENIOR FLOATING RATE INTERESTS†† - 25.9%
INDUSTRIALS - 7.3%
	Travelport Holdings Ltd.
	6.25% due 06/26/19		10,217,787		10,444,520
	9.50% due 01/31/16		3,222,799		3,327,540
	4.19% due 12/01/16		653,144		667,840
	Rise Ltd.
	4.74% due 02/12/39		6,963,542		7,015,768
	SIRVA Worldwide, Inc.
	7.50% due 03/27/19		3,861,000		3,938,220
	AABS Ltd.
	4.87% due 01/15/38†††		3,661,979		3,689,444
	Flakt Woods
	8.00% due 04/01/17		2,650,000		3,541,365
	Multiplan, Inc.
	4.00% due 03/31/21		3,000,000		2,992,500
	syncreon
	5.25% due 10/28/20		2,842,875		2,846,429
	Berlin Packaging LLC
	4.75% due 04/02/19		1,990,000		1,999,950
	8.75% due 04/10/20		600,000		613,500
	Nord Anglia Education Finance LLC
	4.50% due 03/19/21		2,600,000		2,596,750
	ServiceMaster Co.
	4.25% due 01/31/17		2,468,750		2,469,268
	Knowledge Learning Corp.
	5.25% due 03/12/21		2,400,000		2,413,512

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
MACRO OPPORTUNITIES FUND

			FACE
			AMOUNT		VALUE
	Thermasys Corp.
	5.25% due 05/03/19	$	2,379,875	$	2,367,976
	MRC Global, Inc.
	4.75% due 11/08/19		2,238,750		2,264,406
	GYP Holdings III Corp.
	4.75% due 03/26/21		2,000,000		1,990,000
	7.75% due 03/25/22		200,000		200,750
	Ceva Logistics US Holdings
	6.50% due 03/19/21		2,009,852		2,001,471
	IPC Systems, Inc.
	7.75% due 07/31/17		1,685,497		1,683,768
	Mast Global
	8.75% due 09/12/19†††,9		1,678,750		1,661,963
	Emerald Expositions
	5.50% due 06/17/20		1,488,756		1,498,686
	AlliedBarton Security Services LLC
	4.25% due 02/12/21		1,476,190		1,470,197
	Ceva Logistics Holdings BV (Dutch)
	6.50% due 03/19/21		1,457,143		1,451,067
	Dematic S.A.
	4.25% due 12/28/19		1,432,406		1,434,798
	Sutherland Global Services, Inc.	��
	7.25% due 03/06/19		1,425,000		1,432,125
	Ceva Group Plc (United Kingdom)
	6.50% due 03/19/21		1,381,773		1,376,011
	Doncasters Group Ltd.
	9.50% due 10/09/20		1,350,000		1,370,250
	Power Borrower, LLC
	4.25% due 05/06/20		1,092,098		1,085,732
	8.25% due 11/06/20		275,000		272,250
	CPM Acquisition Corp.
	6.25% due 08/29/17		815,262		820,357
	10.25% due 03/01/18		450,000		455,625
	US Shipping Corp.
	9.00% due 04/30/18		1,250,550		1,275,561
	CareCore National LLC
	5.50% due 03/05/21		1,050,000		1,055,691
	NaNa Development Corp.
	8.00% due 03/15/18		1,040,000		1,029,600
	Exopack Holdings SA
	5.25% due 05/08/19		997,500		1,007,784
	Mitchell International, Inc.
	8.50% due 10/11/21		900,000		919,125
	GCA Services Group, Inc.
	9.25% due 11/01/20		440,000		444,950
	4.27% due 11/01/19		328,937		329,348
	Ranpak
	8.50% due 04/23/20		650,000		663,000
	SRA International, Inc.
	6.50% due 07/20/18		660,000		661,241
	Hunter Fan Co.
	6.50% due 12/20/17		579,826		579,101
	VAT Holding AG
	4.75% due 02/11/21		500,000		502,290
	Panolam Industries International, Inc.
	7.25% due 08/23/17		433,663		421,738
	Travelport LLC
	5.50% due 06/21/18†††,9		416,667		376,430
	Ceva Logistics Canada, ULC
	6.50% due 03/19/21		251,232		250,184
	Helm Financial Corp.
	6.25% due 06/01/17		137,524		137,181
	Camp Systems International
	8.25% due 11/29/19		120,000		122,250
Total Industrials					83,169,512
CONSUMER DISCRETIONARY - 5.4%
	Lions Gate Entertainment Corp.
	5.00% due 07/19/20		7,650,000		7,783,876
	Landry’s, Inc.
	4.00% due 04/24/18		4,430,740		4,452,894
	Neiman Marcus Group, Inc.
	4.25% due 10/25/20		4,240,875		4,251,901
	David’S Bridal, Inc.
	5.03% due 10/11/19		2,913,125		2,909,484
	William Morris Endeavor
	5.25% due 03/19/21		2,500,000		2,482,825
	8.25% due 03/21/22		210,000		211,707
	National Vision, Inc.
	4.00% due 03/12/21		2,700,000		2,679,750
	La Quinta Intermediate Holdings
	4.00% due 02/19/21		2,500,000		2,498,450
	CHG Healthcare Services, Inc.
	4.25% due 11/19/19		2,318,031		2,320,929
	Fleetpride Corp.
	5.25% due 11/19/19		2,123,496		2,093,767
	9.25% due 05/15/20		150,000		147,375
	Sears Holdings Corp.
	5.50% due 06/30/18		2,194,500		2,203,827
	J. Crew Group, Inc.
	4.00% due 03/05/21		1,900,000		1,894,775
	IntraWest Holdings S.à r.l.
	5.50% due 12/09/20		1,097,250		1,110,966
	7.75% due 12/10/189		750,000		721,236
	Stuart Weitzman Acquisition Co.
	4.50% due 03/04/20		1,800,000		1,796,256
	TI Automotive Ltd.
	5.50% due 03/28/19		1,633,500		1,637,584
	Southern Graphics, Inc.
	4.25% due 10/17/19		1,534,863		1,532,944
	Guitar Center, Inc.
	8.25% due 04/09/17		1,481,877		1,475,091
	Alexander Mann Solutions Ltd.
	5.75% due 12/20/19		1,296,750		1,299,992
	NES Global Talent
	6.50% due 10/03/19		1,291,875		1,291,875
	Capital Automotive LP
	6.00% due 04/30/20		1,250,000		1,276,563
	Jacobs Entertainment, Inc.
	5.25% due 10/29/18		1,231,250		1,237,406
	Men’s Wearhouse
	7.75% due 03/11/15†††,9		1,100,000		1,100,000
	Laureate Education, Inc.
	5.00% due 06/15/18		1,035,476		1,025,121
	1-800 Contacts, Inc.
	4.25% due 01/31/21		1,000,000		1,001,750
	Ollies Bargain Outlet
	5.25% due 09/28/19		988,001		984,296
	ValleyCrest Companies LLC
	5.50% due 06/13/19		893,250		899,949

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
MACRO OPPORTUNITIES FUND

			FACE
			AMOUNT			VALUE
	California Pizza Kitchen, Inc.
	5.25% due 03/29/18	$	948,603		$	898,801
	Fender Musical Instruments Corp.
	5.75% due 04/03/19		803,250			806,262
	PSAV-Audio Visual Services Corp.
	4.50% due 01/25/21		650,000			653,250
	Steinway Musical Instruments, Inc.
	9.25% due 09/18/20		625,000			643,750
	Armored AutoGroup, Inc.
	6.00% due 11/05/16		620,801			624,296
	Acosta, Inc.
	4.25% due 03/03/18		600,000			602,100
	Horseshoe Baltimore
	8.25% due 07/02/20		550,000			572,000
	Mitel Networks Corp.
	5.25% due 01/31/20		438,900			443,017
	Go Daddy Operating Company LLC
	4.00% due 12/17/18		336,428			337,100
	Navistar, Inc.
	5.75% due 08/17/17		298,611			303,338
	Cooper Standard Automotive, Inc.
	4.00% due 03/26/21		240,000			240,151
	Arby’s
	5.00% due 11/15/20		199,500			200,559
	Targus Group International, Inc.
	12.00% due 05/24/169		231,236			191,348
	NAB Holdings LLC
	7.00% due 04/24/18		159,688			160,286
	Rite Aid Corp.
	5.75% due 08/21/20		100,000			102,063
	Container Store, Inc.
	4.25% due 04/06/19		80,786			80,887
	Totes Isotoner Corp.
	7.25% due 07/07/17		74,209			74,394
	CKX Entertainment, Inc.
	9.00% due 06/21/179		43,475			37,823
Total Consumer Discretionary						61,294,014
FINANCIALS - 3.5%
	Magic Newco, LLC
	5.00% due 12/12/18		3,423,949			3,453,909
	12.00% due 06/12/19		1,075,000			1,230,875
	Intertrust Group
	4.65% due 02/04/20		4,360,000			4,342,299
	STG-Fairway Acquisitions, Inc.
	6.25% due 02/28/19		2,828,630			2,835,701
	10.50% due 08/28/19†††		1,400,000			1,386,000
	First Data Corp.
	4.15% due 03/23/18		3,110,000			3,115,194
	4.15% due 03/24/21		178,213			178,473
	iStar Financial, Inc.
	4.50% due 10/15/17		2,733,953			2,739,940
	Transunion Holding Co.
	4.00% due 03/19/21		2,600,000			2,604,342
	Lineage Logistics LLC
	4.50% due 03/31/21		2,500,000			2,493,750
	RCS Capital
	6.50% due 03/29/19		2,000,000			2,010,000
	National Financial Partners
	5.25% due 07/01/20		1,935,399			1,944,476
	USI Holdings Corp.
	4.25% due 12/27/19		1,920,872			1,926,884
	Topaz Power Holdings LLC
	5.25% due 02/26/20		1,826,875			1,787,287
	Ceridian Corp.
	4.40% due 05/09/17		1,603,465			1,609,077
	American Stock Transfer & Trust
	5.75% due 06/26/20		1,602,920			1,608,258
	AssuredPartners
	0.00% due 01/31/197		1,300,000			1,287,000
	7.75% due 03/31/22		200,000			199,500
	Cunningham Lindsey U.S., Inc.
	5.00% due 12/10/19		691,250			690,960
	9.25% due 06/10/20		116,932			116,639
	Nuveen Investments, Inc.
	4.15% due 05/13/17		800,000			801,856
	HDV Holdings
	5.75% due 12/18/18		662,344			657,376
	Cetera Financial Group, Inc.
	6.50% due 08/07/19		493,750			493,750
	Knight/Getco
	5.75% due 12/05/17		42,056	��		42,109
Total Financials						39,555,655
INFORMATION TECHNOLOGY - 3.1%
	Greenway Medical Technologies
	6.00% due 11/04/20		3,640,875			3,618,119
	9.25% due 11/04/21		550,000			555,500
	P2 Energy Solutions
	5.00% due 10/30/20		2,992,500			3,014,944
	9.00% due 04/30/21		600,000			609,750
	EIG Investors Corp.
	5.00% due 11/09/19		2,755,584			2,769,362
	Blue Coat Systems, Inc.
	4.00% due 05/31/19		2,668,844			2,673,301
	LANDesk Group, Inc.
	5.00% due 02/25/20		2,238,750			2,239,444
	Sabre, Inc.
	4.25% due 02/19/19		2,210,550			2,209,621
	Deltek, Inc.
	4.50% due 10/10/18		2,174,232			2,185,104
	Paradigm Ltd
	4.75% due 07/30/199		2,148,343			2,150,362
	Wall Street Systems
	5.75% due 10/25/19		1,431,875			1,431,875
	9.25% due 10/25/20		600,000			604,500
	Active Network, Inc., The
	5.50% due 11/13/20		1,496,250			1,508,415
	Flexera Software LLC
	4.50% due 04/02/20		900,000			900,000
	8.00% due 04/02/21		350,000			350,000
	SumTotal Systems
	6.25% due 11/16/18		1,252,997			1,245,165
	Sophos
	5.00% due 01/29/21		1,200,000			1,203,000
	Applied Systems, Inc.
	4.25% due 01/25/21		1,197,000			1,199,993
	GlobalLogic Holdings, Inc.
	6.25% due 05/31/19		1,197,000			1,185,030

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
MACRO OPPORTUNITIES FUND

			FACE
			AMOUNT		VALUE
	Aspect Software, Inc.
	7.25% due 05/07/16	$	776,719	$	786,428
	Hyland Software, Inc.
	4.75% due 02/19/21		640,000		645,600
	Attachmate Group, Inc., The
	7.25% due 11/22/17		610,702		614,140
	Eze Castle Software, Inc.
	7.25% due 04/04/21		400,000		402,000
	8.50% due 03/14/21		150,000		151,875
	ION Trading Technologies Ltd.
	8.25% due 05/22/21		425,000		429,250
Total Information Technology					34,682,778
TELECOMMUNICATION SERVICES - 2.8%
	Associated Partners, Inc.
	6.66% due 12/21/15†††,9		4,250,000		4,260,624
	Cengage Learning Acquisitions, Inc.
	7.00% due 03/06/20		2,750,000		2,778,655
	9.50% due 07/03/14		726,178		691,234
	0.00% due 07/31/177		707,069		665,883
	Avaya, Inc.
	6.50% due 03/31/18		2,910,734		2,913,762
	4.73% due 10/26/17		1,049,782		1,024,084
	Anaren, Inc.
	5.50% due 02/18/21		1,995,000		2,004,975
	9.25% due 08/18/21		1,500,000		1,515,000
	Scout24 AG
	4.48% due 02/05/21		2,500,000		3,476,957
	Cumulus Media, Inc.
	4.25% due 12/23/20		3,140,765		3,152,543
	Alcatel-Lucent, Inc.
	4.50% due 01/30/19		2,589,480		2,600,408
	Trader Media Corporation Ltd.
	5.00% due 12/08/17		1,000,000		1,671,951
	Expert Global Solutions
	8.50% due 04/03/18		1,596,203		1,554,303
	Gogo LLC
	11.25% due 06/21/179		1,041,367		1,124,676
	MergerMarket Ltd.
	4.50% due 02/04/21		1,000,000		995,000
	Hemisphere Media Group, Inc.
	6.25% due 07/30/20		545,875		547,240
	Max Broadcast Group LLC
	6.25% due 03/31/15†††,9		426,982		375,744
Total Telecommunication Services					31,353,039
CONSUMER STAPLES - 1.3%
	Grocery Outlet, Inc.
	5.50% due 12/17/18		2,524,181		2,528,927
	AdvancePierre Foods, Inc.
	9.50% due 10/10/17		1,696,000		1,645,120
	5.75% due 07/10/17		858,155		860,506
	Performance Food Group
	6.25% due 11/14/19		2,357,436		2,388,861
	Reddy Ice Holdings, Inc.
	10.75% due 10/01/19		1,125,000		1,080,000
	6.75% due 04/01/19		1,089,496		1,078,601
	Diamond Foods, Inc.
	4.25% due 08/20/18		1,850,000		1,853,478
	Arctic Glacier Holdings, Inc.
	5.00% due 05/10/19		1,823,423		1,825,703
	CTI Foods Holding Co. LLC
	8.25% due 06/28/21		1,205,000		1,211,025
	Hostess Brands
	6.75% due 04/09/20		565,000		586,894
	DS Waters of America, Inc.
	5.25% due 08/30/20		199,000		201,985
Total Consumer Staples					15,261,100
HEALTH CARE - 1.2%
	Nextech Systems LLC
	6.00% due 10/28/18†††,9		3,653,750		3,580,675
	Learning Care Group (US), Inc.
	5.75% due 05/08/19		2,506,063		2,513,906
	Community Health Systems, Inc.
	4.25% due 01/27/21		1,995,000		2,010,342
	Merge Healthcare, Inc.
	6.00% due 04/23/199		2,030,583		1,908,748
	Harvard Drug
	5.00% due 08/16/20		1,742,656		1,751,909
	DJO Finance LLC
	4.75% due 09/15/17		1,234,375		1,237,844
	Catalent Pharma Solutions, Inc.
	6.50% due 12/31/17		300,000		303,000
	4.25% due 09/15/17		246,875		247,438
	VWR Funding, Inc.
	3.40% due 04/03/17		197,493		197,781
Total Health Care					13,751,643
MATERIALS - 0.6%
	Ennis-Flint
	4.25% due 03/31/21		2,000,000		1,996,260
	7.75% due 09/30/21		1,150,000		1,150,000
	Atkore International, Inc.
	4.50% due 03/26/21		1,400,000		1,397,382
	7.75% due 09/27/21		850,000		854,250
	Royal Adhesives and Sealants
	5.50% due 07/31/18		840,934		850,924
	United Central Industrial Supply
	9.50% due 10/09/17†††,9		500,000		500,000
	Oxbow Carbon
	8.00% due 01/19/20		450,000		459,000
Total Materials					7,207,816
ENERGY - 0.6%
	Ocean Rig ASA
	6.00% due 03/31/21		2,095,667		2,132,781
	Panda Temple II Power
	7.25% due 04/03/19		1,000,000		1,023,750
	Varel International Energy Funding Corp.
	9.25% due 07/17/17		956,250		963,422
	Rice Energy
	8.50% due 10/25/18		891,744		907,350
	PSS Companies
	5.50% due 01/28/20		800,000		804,000
	Atlas Energy LP
	6.50% due 07/31/19		447,750		459,503
Total Energy					6,290,806

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
MACRO OPPORTUNITIES FUND

			FACE
			AMOUNT		VALUE
UTILITIES - 0.1%
	Astoria Generating Company
	Acquisitions LLC
	8.50% due 10/26/17	$	1,462,500	$	1,506,375
Total Senior Floating Rate Interests
	(Cost $290,937,917)				294,072,738
COLLATERALIZED MORTGAGE
OBLIGATIONS†† - 10.5%
	Lehman XS Trust Series
	2005-7N, 0.42% due 12/25/351		8,385,674		7,904,571
	2006-16N, 0.34% due 11/25/461		9,331,041		7,602,746
	Nomura Resecuritization Trust
	2012-1R, 0.60% due 08/27/471,3		14,536,410		13,392,394
	IndyMac INDX Mortgage Loan Trust
	2006-AR4, 0.36% due 05/25/461		13,157,299		11,199,098
	Washington Mutual Mortgage
	Pass-Through Certificates
	WMALT Series 2006-AR9 Trust
	2006-AR9, 0.97% due 11/25/461		12,704,145		8,458,560
	HarborView Mortgage Loan Trust
	2006-12, 0.35% due 01/19/381		9,868,392		8,291,314
	CSMC Trust 2014-SURF
	3.26% due 02/15/291,3		7,300,000		7,314,593
	GreenPoint Mortgage Funding Trust
	2006-AR1, 0.44% due 02/25/361		8,779,463		6,998,259
	SRERS-2011 Funding Ltd.
	2011-RS, 0.40% due 05/09/461,3		6,896,515		6,378,588
	Wells Fargo Alternative
	Loan 2007-PA3 Trust
	2007-PA3, 6.25% due 07/25/37		6,953,939		6,324,816
	COMM 2006-FL12 Mortgage Trust
	2006-FL12, 0.45% due 12/15/201,3		3,248,464		3,222,282
	2006-FL12, 0.50% due 12/15/201,3		2,599,072		2,566,700
	Structured Asset Mortgage
	Investments II Trust
	2006-AR1, 0.38% due 02/25/361		5,157,838		4,387,267
	Chase Mortgage Finance Trust Series
	2006-S3, 6.00% due 11/25/36		4,003,325		3,459,189
	Residential Asset Securitization Trust
	2006-A12, 6.25% due 11/25/36		4,158,977		3,197,804
	Washington Mutual Mortgage
	Pass-Through Certificates
	WMALT Series 2006-8 Trust
	2006-8, 5.77% due 10/25/36		4,483,836		3,131,735
	First Horizon Alternative Mortgage
	Securities Trust
	2006-FA1, 5.75% due 04/25/36		3,040,840		2,693,354
	Alliance Bancorp Trust
	2007-OA1, 0.39% due 07/25/371		3,936,208		2,594,536
	Washington Mutual Mortgage
	Pass-Through Certificates
	WMALT Series 2007-OA4 Trust
	2007-OA4, 0.89% due 04/25/471		3,159,650		2,359,810
	Wachovia Bank Commercial
	Mortgage Trust Series
	2007-WHL8, 0.86% due 06/15/201,3		2,190,914		2,142,589
	American Home Mortgage Assets Trust
	2006-4, 0.34% due 10/25/461		2,632,991		1,754,667
	Bear Stearns Mortgage Funding Trust
	2007-AR5, 0.32% due 06/25/471		1,925,375		1,549,289
	Resource Capital Corporation
	CRE Notes 2013 Ltd.,
	3.66% due 12/15/28†††,1,3		1,000,000		1,000,500
	Credit Suisse Mortgage Capital Certificates
	2006-TF2A,
	0.56% due 10/15/211,3		1,000,000		968,310
	BAMLL-DB Trust
	2012-OSI, 6.79% due 04/13/293		550,000		574,606
Total Collateralized Mortgage Obligations
	(Cost $118,139,334)				119,467,577
MORTGAGE BACKED SECURITIES†† - 1.3%
	Fannie Mae5,11
	2013-28, 3.00% due 04/25/43		3,203,805		2,596,781
	2013-34, 3.00% due 04/25/43		2,206,282		1,967,035
	2013-54, 3.00% due 06/25/33		1,799,670		1,480,894
	2013-17, 2.50% due 03/25/43		1,529,214		1,274,765
	2013-2, 3.00% due 02/25/43		937,036		799,258
	Freddie Mac5,11
	2013-4184, 3.00% due 03/15/43		3,179,763		2,588,621
	2013-4204, 3.00% due 05/15/43		2,910,420		2,206,579
	2013-4180, 3.00% due 03/15/43		2,129,979		1,823,340
Total Mortgage Backed Securities
	(Cost $17,443,861)				14,737,273
MUNICIPAL BONDS†† - 0.0%
OTHER TERRITORIES - 0.0%
	Commonwealth of Puerto Rico General
	Obligation Unlimited
	8.00% due 07/01/35		220,000		205,291
Total Municipal Bonds
	(Cost $204,611)				205,291
REPURCHASE AGREEMENTS††,8 - 0.8%
	Jefferies & Company, Inc. issued 03/14/14 at
	2.16% due 04/15/14		4,648,000		4,648,000
	Jefferies & Company, Inc. issued 03/31/14 at
	2.16% due 04/15/14		4,272,000		4,272,000
Total Repurchase Agreements
	(Cost $8,920,000)				8,920,000
		CONTRACTS
OPTIONS PURCHASED† - 0.2%
	Call options on:
	June 2014 U.S. Dollar/Turkish Lira
	Expiring with strike price of $2.28		120,000,000		1,277,160
	January 2015 SPDR Gold Shares Expiring
	with strike price of $140.00		4,355		1,088,750
Total Call options					2,365,910
Total Options Purchased
	(Cost $8,107,174)				2,365,910
Total Investments - 114.1%
	(Cost $1,292,102,318)			$	1,296,570,546

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

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2014
MACRO OPPORTUNITIES FUND

		CONTRACTS		VALUE
OPTIONS WRITTEN† - 0.0%
	Call options on:
	SPDR Gold Trust Expiring January 2015
	with strike price of $155.00		354	$	(38,940	)
Total Options Written
	(Premiums received $225,834)				(38,940	)
Other Assets & Liabilities, net - (14.1)%					(160,339,784	)
Total Net Assets - 100.0%				$	1,136,191,822
				UNREALIZED
				GAIN (LOSS)
CURRENCY FUTURES CONTRACTS PURCHASED†
	June 2014 U.S. Dollar Index Futures Contracts
	(Aggregate Value of Contracts $18,538,905)		231	$	120,351
		UNITS
OTC EQUITY INDEX SWAP AGREEMENTS††
	Bank of America May 2014 S&P 1500
	Education Services Sub-Industry Index
	May 2014 Swap, Terminating 05/05/14
	(Notional Value $34,718,789)		590,757		2,960,441
	Bank of America April 2014 S&P 500
	Homebuilding Index April 2014 Swap,
	Terminating 04/11/14 (Notional Value
	$27,150,699)		47,642		(29,902	)
(Total Notional Value $61,869,488)				$	2,930,539
OTC TOTAL RETURN SWAPS AGREEMENTS SOLD SHORT††
	Bank of America June 2014 Japan
	Government Bond 10 Year Future
	June 2014 Swap, Terminating 06/12/1410
	(Notional Value $77,090,055)		55,000,000	$	43,269

CENTRALLY CLEARED INTEREST RATE SWAPS AGREEMENTS^††

	Receive
	Floating	Floating	Fixed	Maturity	Notional		Market		Unrealized
Counterparty	Rate	Rate Index	Rate	Date	Amount		Value		(Depreciation		)
Merrill Lynch	Receive	3-Month USD-LIBOR	2.73%	07/02/2023	$(23,800,000	)	$(119,000	)	$	(119,000	)
Merrill Lynch	Receive	3-Month USD-LIBOR	1.59%	07/02/2018	(34,550,000	)	(190,025	)		(190,025	)
									$	(309,025	)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS^††

Contracts to Sell	Currency	Counterparty	Settlement Date	Settlement Value		Value at 03/31/14		Net Unrealized Appreciation
15,700,000	Euro	Bank of America	06/18/14	$	30,710,379	$	30,499,085	$	211,294

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Variable rate security. Rate indicated is rate effective at March 31, 2014.
2	Perpetual maturity.
3	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $430,598,369 (cost $423,659,414), or 37.9% of total net assets.
4	Affiliated funds.
5	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.
6	Security is in default of interest and/or principal obligations.
7	Security with no rate was unsettled at March 31, 2014.
8	Repurchase Agreements — See Note 9.
9	Illiquid security.
10	Total return based on Japan Government Bond 10 year Future Index +/- financing at a variable rate.
11	Security or a portion thereof is held as collateral for reverse repurchase agreements — See Note 11.
	plc    — Public Limited Company
	REIT — Real Estate Investment Trust

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

  MACRO OPPORTUNITIES FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2014

ASSETS:
Investments in unaffiliated issuers, at value
(cost $1,255,889,835)	$	1,257,564,025
Investments in affiliated issuers, at value (cost $30,012,532)		30,086,521
Repurchase agreements, at value (cost $8,920,000)		8,920,000
Total investments (cost $1,294,822,367)		1,296,570,546
Cash		3,412,317
Unrealized appreciation on swap agreements		3,003,710
Unrealized appreciation on forward foreign currency exchange contracts		211,294
Segregated cash with broker		2,136,650
Prepaid expenses		179,261
Receivables:
Fund shares sold		8,765,153
Securities sold		8,658,536
Interest		8,398,614
Dividends		224,185
Investment advisor		209,982
Variation margin		120,351
Foreign taxes reclaim		2,526
Total assets		1,331,893,125
LIABILITIES:
Reverse Repurchase Agreements		90,066,961
Due to Broker		1,114,000
Unfunded loan commitment, at value
(commitment fees received $119,155)		104,778
Unrealized depreciation on swap agreements		338,927
Options written, at value (premiums received $225,834)		38,940
Payable for:
Securities purchased		98,992,574
Fund shares redeemed		2,914,828
Management fees		822,034
Distribution and service fees		240,786
Fund accounting/administration fees		87,954
Transfer agent/maintenance fees		26,416
Trustees’ fees*		849
Miscellaneous		952,256
Total liabilities		195,701,303
NET ASSETS	$	1,136,191,822
NET ASSETS CONSIST OF:
Paid in capital	$	1,148,137,574
Accumulated net investment loss		(2,059,138	)
Accumulated net realized loss on investments		(17,542,857	)
Net unrealized appreciation on investments		7,656,243
Net assets	$	1,136,191,822
A-CLASS:
Net assets	$	389,647,123
Capital shares outstanding		14,371,483
Net asset value per share		$27.11
Maximum offering price per share
(Net asset value divided by 95.25%)		$28.46
C-CLASS:
Net assets	$	195,798,829
Capital shares outstanding		7,227,098
Net asset value per share		$27.09
INSTITUTIONAL CLASS:
Net assets	$	550,745,870
Capital shares outstanding		20,289,389
Net asset value per share		$27.14

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2014

INVESTMENT INCOME:
Interest	$	27,529,556
Dividends from securities of unaffiliated issuers		2,195,080
Dividends from securities of affiliated issuers		12,532
Total investment income		29,737,168
EXPENSES:
Management fees		4,267,908
Transfer agent/maintenance fees
A-Class		173,671
C-Class		59,905
Institutional Class		66,113
Distribution and service fees:
A-Class		423,498
C-Class		867,518
Fund accounting/administration fees		455,556
Short interest expense		449,551
Line of credit interest expense		56,627
Trustees’ fees*		32,981
Custodian fees		2,275
Tax expense		20
Miscellaneous		433,762
Total expenses		7,289,385
Less:
Expenses waived by Advisor		(544,340	)
Expenses waived by Transfer Agent
A-Class		(41,822	)
C-Class		(4,431	)
Institutional Class		(66,113	)
Total expenses waived		(656,706	)
Net expenses		6,632,679
Net investment income		23,104,489
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments in unaffiliated issuers		778,073
Swap agreements		1,734,141
Futures contracts		(197,112	)
Foreign currency		(36,609	)
Securities sold short		118,617
Options purchased		(2,359,857	)
Options written		516,281
Net realized gain		553,534
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		26,289,007
Investments in affiliated issuers		73,989
Unfunded loan commitments		5,023
Swap agreements		4,143,547
Futures contracts		120,351
Options purchased		(1,774,801	)
Options written		(61,336	)
Foreign currency		201,610
Net change in unrealized appreciation (depreciation)		28,997,390
Net realized and unrealized gain		29,550,924
Net increase in net assets resulting from operations	$	52,655,413

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

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

  MACRO OPPORTUNITIES FUND

STATEMENTS OF CHANGES IN NET ASSETS
	Period Ended
	March 31,			Year Ended
	2014			September 30,
	(Unaudited)			2013
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	23,104,489		$	34,053,445
Net realized gain (loss) on investments		553,534			(4,447,248	)
Net change in unrealized appreciation (depreciation) on investments		28,997,390			(26,368,248	)
Net increase in net assets resulting from operations		52,655,413			3,237,949
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
A-Class		(8,706,171	)		(12,522,539	)
C-Class		(3,833,605	)		(4,768,075	)
Institutional Class		(12,206,914	)		(17,291,805	)
Net realized gains
A-Class		–			(501,652	)
C-Class		–			(204,259	)
Institutional Class		–			(603,940	)
Total distributions to shareholders		(24,746,690	)		(35,892,270	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		139,917,746			444,592,091
C-Class		44,911,797			180,978,622
Institutional Class		206,386,518			608,202,900
Value of proceeds of merger
A-Class		–			12,881,126
C-Class		–			6,546,846
Institutional Class		–			2,252,116
Distributions reinvested
A-Class		6,880,773			10,739,892
C-Class		3,206,940			4,399,264
Institutional Class		10,044,864			14,904,818
Cost of shares redeemed
A-Class		(101,843,184	)		(204,778,201	)
C-Class		(20,529,055	)		(56,074,395	)
Institutional Class		(95,299,141	)		(299,893,193	)
Net increase from capital share transactions		193,677,258			724,751,886
Net increase in net assets		221,585,981			692,097,565
NET ASSETS:
Beginning of period		914,605,841			222,508,276
End of period	$	1,136,191,822		$	914,605,841
Distributions in excess of net investment loss at end of period	$	(2,059,138	)	$	(416,937	)
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		5,198,628			13,508,658	†
C-Class		1,668,580			5,550,606	†
Institutional Class		7,653,881			18,519,609	†
Shares issued from reinvestment of distributions
A-Class		256,050			391,935
C-Class		119,433			160,703
Institutional Class		373,238			544,723
Shares redeemed
A-Class		(3,805,970	)		(4,309,477	)
C-Class		(765,570	)		(740,595	)
Institutional Class		(3,557,650	)		(7,262,144	)
Net increase in shares		7,140,620			26,364,018

^† Includes 470,457 A-Class, 239,285 C-Class and 82,164 Institutional Class shares issued in connection with Fund merger.

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

  MACRO OPPORTUNITIES 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			Period Ended
	March 31,			September 30,			September 30,
A-Class	2014a			2013			2012b
Per Share Data
Net asset value, beginning of period	$	26.31		$	26.53		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.64			1.37			.99
Net gain (loss) on investments (realized and unrealized)		.85			(.04	)		1.52
Total from investment operations		1.49			1.33			2.51
Less distributions from:
Net investment income		(.69	)		(1.43	)		(.98	)
Net realized gains		—			(.12	)		—
Total distributions		(.69	)		(1.55	)		(.98	)
Net asset value, end of period	$	27.11		$	26.31		$	26.53
Total Returnf		5.72%			5.01%			10.19%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	389,647		$	334,751		$	83,081
Ratios to average net assets:
Net investment income (loss)		4.79%			5.11%			4.61%
Total expensesd		1.54%			1.56%			1.61%
Net expensese,g		1.40%			1.41%			1.37%
Portfolio turnover rate		20%			84%			46%
		Period Ended			Year Ended			Period Ended
		March 31,			September 30,			September 30,
C-Class		2014a			2013			2012b
Per Share Data
Net asset value, beginning of period	$	26.29		$	26.51		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.54			1.17			.82
Net gain (loss) on investments (realized and unrealized)		.85			(.03	)		1.53
Total from investment operations		1.39			1.14			2.35
Less distributions from:
Net investment income		(.59	)		(1.24	)		(.84	)
Net realized gains		—			(.12	)		—
Total distributions		(.59	)		(1.36	)		(.84	)
Net asset value, end of period	$	27.09		$	26.29		$	26.51
Total Returnf		5.34%			4.26%			9.54%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	195,799		$	163,129		$	32,711
Ratios to average net assets:
Net investment income (loss)		4.07%			4.36%			3.83%
Total expensesd		2.26%			2.29%			2.31%
Net expensese,g		2.14%			2.15%			2.11%
Portfolio turnover rate		20%			84%			46%

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

  MACRO OPPORTUNITIES FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Period Ended
	March 31,			September 30,			September 30,
Institutional Class	2014a			2013			2012b
Per Share Data
Net asset value, beginning of period	$	26.34		$	26.56		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.68			1.46			1.12
Net gain (loss) on investments (realized and unrealized)		.86			(.04	)		1.47
Total from investment operations		1.54			1.42			2.59
Less distributions from:
Net investment income		(.74	)		(1.52	)		(1.03	)
Net realized gains		—			(.12	)		—
Total distributions		(.74	)		(1.64	)		(1.03	)
Net asset value, end of period	$	27.14		$	26.34		$	26.56
Total Returnf		5.93%			5.35%			10.55%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	550,746		$	416,727		$	106,716
Ratios to average net assets:
Net investment income (loss)		5.13%			5.43%			5.22%
Total expensesd		1.22%			1.23%			1.31%
Net expensese,g		1.08%			1.09%			1.06%
Portfolio turnover rate		20%			84%			46%

a	Unaudited figures for the period ended March 31, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: November 30, 2011. 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	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers, and includes interest expense, if any.
f	Total return does not reflect the impact of any applicable sales charge and has not been annualized.
g	Excluding interest expense, the operating expense ratios for the periods presented would be:

	03/31/14			09/30/13			09/30/12
A-Class		1.31	%		1.29	%		1.27	%
C-Class		2.04	%		2.02	%		2.01	%
Institutional Class		0.98	%		0.96	%		0.95	%

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

FUND PROFILE (Unaudited) March 31, 2014

MUNICIPAL INCOME FUND

Holdings Diversification
(Market Exposure as % of Net Assets)

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

Ten Largest Holdings (% of Total Net Assets)
State of Illinois General
Obligation Unlimited	6.2	%
Michigan Finance Authority
Revenue Notes	5.6	%
North Texas Tollway Authority
Revenue Bonds	5.2	%
State of California General
Obligation Unlimited	3.7	%
Tustin Unified School District General
Obligation Unlimited	3.5	%
Hudson County Improvement Authority
Revenue Bonds	3.1	%
Detroit City School District General
Obligation Unlimited	2.8	%
Northern Illinois University
Revenue Bonds	2.5	%
Apple Valley Unified School District
General Obligation Unlimited	2.4	%
Oakland Unified School
District/Alameda County
General Obligation Unlimited	2.4	%
Top Ten Total	37.4	%

Inception Dates:
A-Class	April 28, 2004
C-Class	January 13, 2012
Institutional Class	January 13, 2012

Portfolio Composition by Quality Rating*
Rating
Fixed Income Instruments
AA	51.8	%
A	33.0	%
BBB	4.6	%
BB	5.9	%
Other Instruments
Short Term Investments	4.7	%
Total Investments	100.0	%

The chart above reflects percentages of the value of total investments.

* Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.

70  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2014
MUNICIPAL INCOME FUND

		SHARES		VALUE
SHORT TERM INVESTMENTS† - 4.7%
Fidelity Institutional Tax-Exempt Portfolio		2,528,738	$	2,528,738
Total Short Term Investments
(Cost $2,528,738)				2,528,738
		FACE
		AMOUNT
MUNICIPAL BONDS†† - 95.1%
CALIFORNIA - 20.5%
State of California General
Obligation Unlimited
0.02% due 05/01/341	$	2,000,000		2,000,000
5.00% due 02/01/27		750,000		851,685
Tustin Unified School District
General Obligation Unlimited
6.00% due 08/01/36		1,600,000		1,866,783
Oakland Unified School
District/Alameda County General
Obligation Unlimited
5.50% due 08/01/322		1,200,000		1,270,572
5.00% due 08/01/222		300,000		327,642
Stockton Public Financing
Authority Revenue Bonds
6.25% due 10/01/38		1,000,000		1,100,770
6.25% due 10/01/40		250,000		276,593
Apple Valley Unified School District
General Obligation Unlimited
5.00% due 08/01/28		1,180,000		1,290,329
Stockton Unified School District
General Obligation Unlimited
5.00% due 07/01/282		500,000		539,185
5.00% due 01/01/292		200,000		214,214
San Bernardino City Unified School
District General Obligation Unlimited
5.00% due 08/01/25		250,000		280,210
5.00% due 08/01/26		250,000		277,893
5.00% due 08/01/32		150,000		159,656
East Side Union High School District
General Obligation Unlimited
5.00% due 08/01/26		300,000		341,121
Los Rios Community College District
General Obligation Unlimited
5.00% due 08/01/25		200,000		230,120
Total California				11,026,773
MICHIGAN - 19.4%
Michigan Finance Authority Revenue Notes
4.38% due 08/20/14		3,000,000		3,034,259
City of Detroit Michigan Water Supply
System Revenue Revenue Bonds
5.00% due 07/01/18		1,165,000		1,170,497
5.00% due 07/01/30		300,000		289,998
5.00% due 07/01/33		280,000		276,937
4.75% due 07/01/29		230,000		228,678
5.00% due 07/01/16		200,000		200,562
4.25% due 07/01/16		125,000		124,210
5.25% due 07/01/22		95,000		94,303
Detroit City School District General
Obligation Unlimited
5.00% due 05/01/32		1,500,000		1,538,024
5.00% due 05/01/18		500,000		514,770
5.00% due 05/01/30		300,000		311,088
City of Detroit Michigan Sewage Disposal
System Revenue Revenue Bonds
5.00% due 07/01/21		540,000		532,062
5.00% due 07/01/15		500,000		501,495
5.50% due 07/01/22		200,000		201,166
5.00% due 07/01/24		155,000		154,988
5.25% due 07/01/19		100,000		100,406
Oakland University Revenue Bonds
5.00% due 03/01/32		600,000		632,436
Michigan Finance Authority
Revenue Bonds
5.00% due 11/01/27		500,000		531,215
Total Michigan				10,437,094
ILLINOIS - 15.9%
State of Illinois General Obligation Unlimited
5.00% due 02/01/22		3,000,000		3,364,560
Northern Illinois University Revenue Bonds
5.50% due 04/01/21		1,160,000		1,317,853
Will County Township High School
District No. 204 Joliet General
Obligation Limited
6.25% due 01/01/31		1,000,000		1,143,310
Southern Illinois University Revenue Bonds
5.00% due 04/01/32		1,000,000		1,057,430
Chicago Park District General
Obligation Limited
5.00% due 01/01/36		1,000,000		1,032,340
City of Chicago Illinois General
Obligation Unlimited
5.00% due 01/01/24		260,000		261,926
5.00% due 01/01/26		100,000		103,588
5.00% due 01/01/23		70,000		75,521
5.00% due 01/01/22		55,000		57,715
University of Illinois Revenue Bonds
6.00% due 10/01/29		200,000		223,804
Total Illinois				8,638,047
PENNSYLVANIA - 6.1%
State Public School Building Authority
Revenue Bonds
5.00% due 04/01/28		1,000,000		1,064,370
5.00% due 04/01/31		1,000,000		1,042,840
Pennsylvania Turnpike Commission
Revenue Bonds
1.33% due 12/01/201		500,000		506,950
5.00% due 12/01/28		200,000		220,522
Monroeville Finance Authority
Revenue Bonds
5.00% due 02/15/29		450,000		488,061
Total Pennsylvania				3,322,743

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

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2014
MUNICIPAL INCOME FUND

		FACE
		AMOUNT		VALUE
TEXAS - 5.2%
North Texas Tollway Authority
Revenue Bonds
5.75% due 01/01/40	$	2,500,000	$	2,793,775
NEW JERSEY - 5.1%
Hudson County Improvement
Authority Revenue Bonds
6.00% due 01/01/40		1,500,000		1,662,375
New Jersey State Turnpike
Authority Revenue Bonds
5.00% due 01/01/28		1,000,000		1,111,170
Total New Jersey				2,773,545
WASHINGTON - 3.6%
Greater Wenatchee Regional Events
Center Public Facilities Dist Revenue Bonds
5.25% due 09/01/322		1,000,000		983,730
5.00% due 09/01/272		1,000,000		981,760
Total Washington				1,965,490
FLORIDA - 2.6%
City of Jacksonville Florida Revenue Bonds
5.00% due 10/01/30		600,000		658,278
County of Miami-Dade Florida Transit
System Sales Surtax Revenue Revenue Bonds
5.00% due 07/01/31		500,000		545,080
Miami-Dade County Health Facilities
Authority Revenue Bonds
5.00% due 08/01/24		200,000		216,818
Total Florida				1,420,176
OTHER TERRITORIES - 2.2%
Commonwealth of Puerto Rico General
Obligation Unlimited
8.00% due 07/01/35		1,300,000		1,214,148
MASSACHUSETTS - 2.1%
Massachusetts Development Finance
Agency Revenue Bonds
6.88% due 01/01/41		1,000,000		1,148,760
TENNESSEE - 2.0%
Memphis Center City Revenue Finance Corp.
Revenue Bonds
5.25% due 11/01/30		1,000,000		1,105,130
WEST VIRGINIA - 2.0%
West Virginia Higher Education Policy
Commission Revenue Bonds
5.00% due 04/01/29		1,000,000		1,092,210
LOUISIANA - 2.0%
Louisiana Stadium & Exposition District
Revenue Bonds
5.00% due 07/01/28		1,000,000		1,090,350
COLORADO - 2.0%
University of Colorado Hospital Authority
Revenue Bonds
5.00% due 11/15/27		1,000,000		1,088,350
MISSISSIPPI - 1.5%
Mississippi Development Bank Revenue Bonds
6.50% due 10/01/31		500,000		556,000
6.25% due 10/01/26		230,000		259,240
Total Mississippi				815,240
WYOMING - 1.0%
County of Sweetwater Wyoming
Revenue Bonds
5.00% due 09/01/242		500,000		537,670
INDIANA - 0.9%
County of Knox Indiana Revenue Bonds
5.00% due 04/01/27		470,000		497,537
OHIO - 0.6%
University of Toledo Revenue Bonds
5.00% due 06/01/30		300,000		323,166
KENTUCKY - 0.4%
City of Owensboro Kentucky Electric Light &
Power System Revenue Revenue Bonds
5.00% due 01/01/26		200,000		214,522
Total Municipal Bonds
(Cost $50,978,279)				51,504,726
Total Investments - 99.8%
(Cost $53,507,017)			$	54,033,464
Other Assets & Liabilities, net - 0.2%				130,077
Total Net Assets - 100.0%			$	54,163,541

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Variable rate security. Rate indicated is rate effective at March 31, 2014.
2	Illiquid security.

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

  MUNICIPAL INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2014

ASSETS:
Investments, at value (cost $53,507,017)	$	54,033,464
Prepaid expenses		41,179
Receivables:
Securities sold		3,782,985
Interest		697,609
Investment advisor		21,530
Fund shares sold		16,216
Total assets		58,592,983
LIABILITIES:
Payable for:
Securities purchased		3,840,752
Fund shares redeemed		441,375
Management fees		23,338
Distribution and service fees		10,604
Transfer agent/maintenance fees		4,652
Fund accounting/administration fees		4,484
Trustees’ fees*		2,820
Miscellaneous		101,417
Total liabilities		4,429,442
NET ASSETS	$	54,163,541
NET ASSETS CONSIST OF:
Paid in capital	$	82,785,554
Undistributed net investment income		159
Accumulated net realized loss on investments		(29,148,619	)
Net unrealized appreciation on investments		526,447
Net assets	$	54,163,541
A-CLASS:
Net assets	$	45,723,720
Capital shares outstanding		3,831,036
Net asset value per share		$11.94
Maximum offering price per share
(Net asset value divided by 95.25%)		$12.54
C-CLASS:
Net assets	$	884,093
Capital shares outstanding		74,108
Net asset value per share		$11.93
INSTITUTIONAL CLASS:
Net assets	$	7,555,728
Capital shares outstanding		632,768
Net asset value per share		$11.94

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2014

INVESTMENT INCOME:
Interest	$	1,098,771
Total investment income		1,098,771
EXPENSES:
Management fees		138,669
Transfer agent/maintenance fees
A-Class		31,315
Institutional Class		2,607
C-Class		1,327
Distribution and service fees:
A-Class		60,032
C-Class		4,424
Fund accounting/administration fees		26,347
Registration fees		26,242
Trustees’ fees*		4,204
Line of credit interest expense		3,273
Custodian fees		2,450
Tax expense		1
Miscellaneous		44,354
Total expenses		345,245
Less:
Expenses waived by Advisor		(119,813	)
Net expenses		225,432
Net investment income		873,339
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(142,205	)
Net realized loss		(142,205	)
Net change in unrealized appreciation
(depreciation) on:
Investments		1,755,401
Net change in unrealized appreciation
(depreciation)		1,755,401
Net realized and unrealized gain		1,613,196
Net increase in net assets resulting from operations	$	2,486,535

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  73

  MUNICIPAL INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS
	Period Ended
	March 31,			Year Ended
	2014			September 30,
	(Unaudited)			2013
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	873,339		$	2,227,579
Net realized gain (loss) on investments		(142,205	)		745,503
Net change in unrealized appreciation (depreciation) on investments		1,755,401			(6,505,597	)
Net increase (decrease) in net assets resulting from operations		2,486,535			(3,532,515	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
A-Class		(752,518	)		(2,041,962	)
C-Class		(10,561	)		(48,584	)
Institutional Class		(110,101	)		(137,034	)
Total distributions to shareholders		(873,180	)		(2,227,580	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		3,883,029			4,925,340
C-Class		133,685			1,778,562
Institutional Class		3,075,906			7,258,077
Distributions reinvested
A-Class		440,177			1,250,808
C-Class		6,529			38,482
Institutional Class		51,837			50,050
Cost of shares redeemed
A-Class		(10,440,770	)		(28,310,051	)
C-Class		(772,120	)		(1,263,296	)
Institutional Class		(2,128,975	)		(1,502,777	)
Net decrease from capital share transactions		(5,750,702	)		(15,774,805	)
Net decrease in net assets		(4,137,347	)		(21,534,900	)
NET ASSETS:
Beginning of period		58,300,888			79,835,788
End of period	$	54,163,541		$	58,300,888
Undistributed net investment income at end of period	$	159		$	–
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		332,549			388,242
C-Class		11,312			139,985
Institutional Class		263,579			582,166
Shares issued from reinvestment of distributions
A-Class		37,557			101,493
C-Class		558			3,135
Institutional Class		4,403			4,176
Shares redeemed
A-Class		(891,750	)		(2,302,372	)
C-Class		(66,704	)		(107,647	)
Institutional Class		(182,092	)		(122,904	)
Net decrease in shares		(490,588	)		(1,313,726	)

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

  MUNICIPAL INCOME 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			Period Ended			Year Ended			Year Ended			Year Ended
	March 31,			September 30,			September 30,			December 31,			December 31,			December 31,
A-Class†	2014a			2013			2012*			2011			2010			2009
Per Share Data
Net asset value, beginning of period	$	11.59		$	12.59		$	11.82		$	11.54		$	11.01		$	8.47
Income (loss) from investment operations:
Net investment income (loss)b		.18			.38			.26			.64			.71			.75
Net gain (loss) on investments (realized and unrealized)		.35			(1.00	)		.78			.54			.68			2.69
Total from investment operations		.53			(.62	)		1.03			1.08			1.29			3.33
Less distributions from:
Net investment income		(.18	)		(.38	)		(.26	)		(.80	)		(.76	)		(.79	)
Total distributions		(.18	)		(.38	)		(.26	)		(.80	)		(.76	)		(.79	)
Net asset value, end of period	$	11.94		$	11.59		$	12.59		$	11.82		$	11.54		$	11.01
Total Returne		4.63%			(5.09%	)		8.91%			9.64%			12.03%			41.34%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	45,724		$	50,463		$	77,609		$	182,150		$	177,868		$	169,674
Ratios to average net assets:
Net investment income (loss)		3.13%			3.04%			2.78%			4.60%			5.37%			6.73%
Total expenses		1.27%			1.14%			1.15%			2.09%			1.80%			1.94%
Net expensesc		0.83%			0.82%			0.87%			2.09%			1.80%			1.94%
Portfolio turnover rate		71%			91%			121%			104%			156%			151%

	Period Ended			Year Ended			Period Ended
	March 31,			September 30,			September 30,
C-Class	2014a			2013			2012d
Per Share Data
Net asset value, beginning of period	$	11.59		$	12.58		$	11.98
Income (loss) from investment operations:
Net investment income (loss)b		.14			.28			.20
Net gain (loss) on investments (realized and unrealized)		.34			(.98	)		.62
Total from investment operations		.48			(.70	)		.82
Less distributions from:
Net investment income		(.14	)		(.29	)		(.22	)
Total distributions		(.14	)		(.29	)		(.22	)
Net asset value, end of period	$	11.93		$	11.59		$	12.58
Total Returne		4.15%			(5.70%	)		7.04%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	884		$	1,495		$	1,176
Ratios to average net assets:
Net investment income (loss)		2.39%			2.30%			2.36%
Total expenses		2.19%			1.93%			1.94%
Net expensesc		1.58%			1.57%			1.55%
Portfolio turnover rate		71%			91%			121%

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

  MUNICIPAL INCOME FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Period Ended
	March 31,			September 30,			September 30,
Institutional Class	2014a			2013			2012d
Per Share Data
Net asset value, beginning of period	$	11.60		$	12.59		$	11.98
Income (loss) from investment operations:
Net investment income (loss)b		.20			.40			.29
Net gain (loss) on investments (realized and unrealized)		.34			(.98	)		.62
Total from investment operations		.54			(.58	)		.91
Less distributions from:
Net investment income		(.20	)		(.41	)		(.30	)
Total distributions		(.20	)		(.41	)		(.30	)
Net asset value, end of period	$	11.94		$	11.60		$	12.59
Total Returne		4.67%			(4.76%	)		7.76%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,556		$	6,343		$	1,051
Ratios to average net assets:
Net investment income (loss)		3.36%			3.35%			3.37%
Total expenses		0.97%			0.93%			0.86%
Net expensesc		0.58%			0.57%			0.55%
Portfolio turnover rate		71%			91%			121%

†	Effective January 13, 2012, the Fund acquired all of the assets and liabilities of the TS&W/Claymore Tax-Advantage Balance Fund(“TYW”), a registered closed-end management investment company. The A-Class financial highlights for the periods prior to that date reflect performance of TYW.
*	Prior to January 13, 2012, the Fund’s fiscal year end was December 31. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
a	Unaudited figures for the period ended March 31, 2014. 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 expense information reflects the expense ratios after expense waivers.
d	Since commencement of operations: January 13, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
e	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

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

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THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  77

FUND PROFILE (Unaudited) March 31, 2014

TOTAL RETURN BOND FUND
OBJECTIVE:	Seeks to provide total return, comprised of current income and capital appreciation.

Holdings Diversification

(Market Exposure as% of Net Assets)

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

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Limited Duration
Fund — Institutional Class	2.4	%
Princess Juliana International
Airport Operating Company N.V.	1.4	%
PNC Financial Services Group, Inc.	1.4	%
KKR Financial CLO 2007-1 Ltd. — Class D	1.3	%
RAIT CRE CDO I Ltd. — Class A1B	1.3	%
Rockwall CDO Ltd. — Class A1LB	1.3	%
N-Star Real Estate CDO IX Ltd.	1.2	%
Itau Unibanco Holding S.A./Cayman
Island	1.2	%
Castlelake Aircraft Securitization
Trust 2014-1 — Class A1	1.2	%
JPMorgan Chase & Co.	1.2	%
Top Ten Total	13.9	%

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
Institutional Class	November 30, 2011

Portfolio Composition by Quality Rating*
Rating
Fixed Income Instruments
AAA	3.9	%
AA	12.2	%
A	22.1	%
BBB	32.9	%
BB	5.4	%
B	7.3	%
CCC	5.1	%
CC	0.5	%
D	0.7	%
NR	0.9	%
Other Instruments
Short Term Investments	4.0	%
Preferred Stocks	2.7	%
Mutual Funds	2.3	%
Total Investments	100.0	%

The chart above reflects percentages of the value of total investments.

* Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.

78  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2014
TOTAL RETURN BOND FUND

		SHARES		VALUE
PREFERRED STOCKS† - 2.8%
Aspen Insurance Holdings Ltd.
5.95%1,2		80,000	$	1,984,800
Seaspan Corp.
6.38% due 04/30/19*		44,000		1,100,000
Wells Fargo & Co.
5.85%1,2		30,000		747,000
GSC Partners CDO Fund Limited/GSC
Partners CDO Fund Corp.
due 11/20/16*,1,3		1,325		594,236
Reinsurance Group of America, Inc.
6.20% due 09/15/421		20,000		529,800
Morgan Stanley
7.13%1,2		16,000		424,480
AgriBank FCB
6.88%1,2		2,500		257,735
City National Corp.		8,000		221,680
WhiteHorse II Ltd.
due 06/15/17*,1,3		450,000		22,500
Total Preferred Stocks
(Cost $5,911,625)				5,882,231
MUTUAL FUNDS† - 2.4%
Guggenheim Limited Duration
Fund - Institutional Class6		199,760		4,994,007
Total Mutual Funds
(Cost $5,000,000)				4,994,007
SHORT TERM INVESTMENTS† - 4.2%
Federated U.S. Treasury Cash Reserve Fund		8,720,276		8,720,276
Total Short Term Investments
(Cost $8,720,276)				8,720,276
		FACE
		AMOUNT
ASSET BACKED SECURITIES†† - 50.0%
Rockwall CDO II Ltd.
2007-1A, 0.79% due 08/01/241,3	$	1,900,000		1,618,040
2007-1A, 0.49% due 08/01/241,3		1,740,241		1,614,073
Castlelake Aircraft Securitization Trust
2014-1, 5.25% due 02/15/29†††		2,476,750		2,501,518
2014-1, 7.50% due 02/15/29†††		500,000		505,000
Rockwall CDO Ltd.
2006-1A, 0.74% due 08/01/211,3		2,900,000		2,728,609
2006-1A, 0.89% due 08/01/211,3		200,000		182,840
KKR Financial CLO 2007-1 Ltd.
2007-1A, 2.49% due 05/15/211,3		2,900,000		2,788,639
RAIT CRE CDO I Ltd.
2006-1X, 0.49% due 11/20/46†††,1		3,249,118		2,749,403
N-Star Real Estate CDO IX Ltd.
0.51% due 02/01/41†††,5		2,847,389		2,587,422
Emerald Aviation Finance Ltd.
2013-1, 4.65% due 10/15/383		2,045,312		2,065,766
2013-1, 6.35% due 10/15/383		438,281		445,381
CKE Restaurant Holdings, Inc.
2013-1A, 4.47% due 03/20/433		2,314,750		2,338,124
Drug Royalty II Limited Partnership
2012-1, 4.24% due 01/15/251,3		2,255,573		2,306,323
Great Lakes CLO 2012-1 Ltd.
2012-1A, 4.34% due 01/15/231,3		1,250,000		1,261,000
2012-1A, 0.00% due 01/15/23†††,3,8		1,000,000		905,200
T2 Income Fund CLO Ltd.
2007-1A, 1.74% due 07/15/191,3		1,250,000		1,210,000
2007-1X, 1.74% due 07/15/191		925,000		895,400
Telos CLO Ltd.
2013-3A, 3.24% due 01/17/241,3		2,000,000		1,972,400
TICP CLO I Ltd.
2014-1A, 3.23% due 04/26/261,3		2,000,000		1,968,400
ALM VII R Ltd.
2013-7RA, 2.84% due 04/24/241,3		2,000,000		1,957,400
GSAA Home Equity Trust
2006-18, 6.00% due 11/25/36		1,812,896		1,282,836
2007-7, 0.42% due 07/25/371		732,402		634,502
Duane Street CLO IV Ltd.
2007-4A, 2.49% due 11/14/211,3		2,000,000		1,907,000
Argent Securities Incorporated
Asset-Backed Pass-Through
Certificates Series
2005-W3, 0.49% due 11/25/351		2,018,559		1,902,686
Newstar Trust
2012-2A, 4.49% due 01/20/231,3		1,000,000		1,002,300
2012-2A, 3.49% due 01/20/231,3		750,000		751,725
Westchester CLO Ltd.
2007-1A, 0.68% due 08/01/221,3		1,850,000		1,676,840
Gramercy Real Estate CDO 2007-1 Ltd.
2007-1A, 0.52% due 08/15/561,3		1,798,209		1,539,087
ARES XXVI CLO Ltd.
2013-1A, 0.00% due 04/15/253,8		1,850,000		1,522,735
CCR Incorporated MT100 Payment
Rights Master Trust
2010-CA, 0.60% due 07/10/171,3		1,550,919		1,501,289
MCF CLO I LLC
2013-1A, 3.79% due 04/20/231,3		1,500,000		1,482,900
Octagon Investment Partners XIX Ltd.
2014-1A, 3.08% due 04/15/261,3		1,500,000		1,479,900
Greywolf CLO Ltd.
2014-1A, 3.08% due 04/22/261,3		1,500,000		1,474,800
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/48†††,3		1,483,561		1,467,539
Northwoods Capital Ltd.
2006-7X, 1.78% due 10/22/21		1,500,000		1,434,750
Willis Engine Securitization Trust II
2012-A, 5.50% due 09/15/37†††,3,7		1,408,046		1,415,790
Garanti Diversified Payment
Rights Finance Co.
2007-A, 0.43% due 07/09/17†††		1,456,000		1,379,560
West Coast Funding Ltd.
2006-1A, 0.37% due 11/02/411,3		1,388,793		1,337,686
Highland Park CDO I Ltd.
2006-1A, 0.56% due 11/25/511,3,7		1,432,951		1,315,879
Fraser Sullivan CLO VI Ltd.
2011-6A, 4.74% due 11/22/221,3		1,250,000		1,250,908
COA Summit CLO Limited 2014-1
2014-1A, 3.04% due 04/20/23†††,1,3		1,250,000		1,244,875
Venture XIV CLO Ltd.
2013-14A, 2.98% due 08/28/251,3		1,250,000		1,228,375
N-Star REL CDO VIII Ltd.
2006-8A, 0.51% due 02/01/411,3		1,400,000		1,211,280
Structured Asset Securities Corporation
Mortgage Loan Trust
2006-OPT1, 0.41% due 04/25/361		1,400,000		1,203,740

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  79

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
TOTAL RETURN BOND FUND

		FACE
		AMOUNT		VALUE
Race Point CLO Ltd.
2014-5AR, 3.08% due 12/15/221,3	$	1,100,000	$	1,103,630
Marathon CLO II Ltd.
2005-2A, 2.03% due 12/20/191,3		1,000,000		977,900
2005-2A, 0.00% due 12/20/193,8		250,000		124,750
Salus CLO 2012-1 Ltd.
2013-1A, 5.74% due 03/05/21†††,1,3		750,000		773,100
2013-1AN, 3.99% due 03/05/21†††,1,3		300,000		300,570
Telos CLO 2007-2 Ltd.
2007-2A, 2.44% due 04/15/221,3		1,100,000		1,043,350
Ivy Hill Middle Market Credit Fund VII Ltd.
2013-7A, 3.69% due 10/20/251,3		1,000,000		997,500
Global Leveraged Capital Credit
Opportunity Fund
2006-1A, 1.24% due 12/20/181,3		1,036,000		995,907
Halcyon Structured Asset Management
Long Secured/Short Unsecured 2007-2 Ltd.
2007-2A, 3.99% due 10/29/211,3		1,000,000		986,200
ACA CLO 2007-1 Ltd.
2007-1A, 1.19% due 06/15/221,3		1,075,000		984,163
Icon Brands Holdings LLC
2013-1A, 4.35% due 01/25/43†††,3		958,455		954,141
San Gabriel CLO Ltd.
2007-1A, 2.49% due 09/10/211,3		1,000,000		953,400
CCR, Inc.
2012-CA, 4.75% due 07/10/223		950,000		933,288
Churchill Financial Cayman Ltd.
2007-1A, 2.84% due 07/10/191,3		1,000,000		930,700
Genesis Funding Ltd.
2006-1A, 0.40% due 12/19/321,3		912,413		850,278
Finn Square CLO Ltd.
2012-1A, 0.00% due 12/24/233,8		1,000,000		841,600
Textainer Marine Containers Ltd.
2012-1A, 4.21% due 04/15/273		808,333		809,078
Acis CLO 2013-1 Ltd.
2013-1A, 3.19% due 04/18/241,3		800,000		779,200
ARES XII CLO Ltd.
2007-12A, 3.48% due 11/25/201,3		750,000		742,875
Central Park CLO Ltd.
2011-1A, 3.44% due 07/23/221,3		750,000		738,750
Triton Container Finance LLC
2012-1A, 4.21% due 05/14/273		726,833		729,033
Lehman XS Trust
2007-9, 0.27% due 06/25/371		828,231		723,967
GSAMP Trust
2005-HE6, 0.59% due 11/25/351		800,000		711,565
Newstar Commercial Loan Funding 2013-1 LLC
2013-1A, 4.78% due 09/20/231,3		700,000		700,000
Grayson CLO Ltd.
2006-1A, 0.65% due 11/01/211,3		750,000		690,375
Black Diamond CLO 2012-1 Ltd.
2013-1A, 3.49% due 02/01/231,3		650,000		650,000
Halcyon Loan Advisors Funding 2012-2 Ltd.
2012-2A, 4.73% due 12/20/241,3		600,000		602,340
New Century Home Equity Loan Trust
2005-1, 0.87% due 03/25/351		685,917		597,559
Babcock & Brown Air Funding I Ltd.
2007-1A, 0.62% due 11/14/331,3		715,318		593,714
Ares XXV CLO Ltd.
2013-3A, 0.00% due 01/17/243,8		750,000		589,800
Blade Engine Securitization Ltd.
2006-1A, 1.16% due 09/15/411		840,292		588,205
Newcastle Cdo Viii 1 Ltd.
2006-8A, 0.43% due 11/25/52†††,1,3		600,649		575,121
GreenPoint Mortgage Funding Trust
2005-HE4, 0.86% due 07/25/301		600,000		542,960
Pacifica CDO V Corp.
2006-5A, 5.81% due 01/26/203		500,000		509,800
Apidos CDO IX
2012-9A, 3.99% due 07/15/231,3		500,000		501,900
GoldenTree Credit Opportunities
2012-1 Financing Ltd.
2012-1A, 4.23% due 09/15/241,3		500,000		501,200
Ivy Hill Middle Market Credit Fund Ltd.
2011-3A, 6.24% due 01/15/221,3		250,000		251,075
2011-3A, 6.74% due 01/15/221,3		250,000		250,000
Cerberus Offshore Levered I, LP
2012-1A, 6.23% due 11/30/181,3		250,000		250,575
2012-1A, 4.98% due 11/30/181,3		250,000		249,825
Golub Capital Partners CLO Ltd.
2014-18A, 3.73% due 04/25/26†††,1,3		500,000		500,300
Garrison Funding 2013-2 Ltd.
2013-2A, 3.73% due 09/25/23†††,1,3		500,000		498,700
DIVCORE CLO Ltd.
2013-1A B, 4.05% due 11/15/32†††		500,000		497,750
Flagship CLO VI
2007-1A, 2.64% due 06/10/211,3		500,000		477,550
MC Funding Limited/MC
Funding 2006-1 LLC
2006-1A, 1.18% due 12/20/201,3		500,000		476,800
Gleneagles CLO Ltd.
2005-1A, 1.14% due 11/01/171,3		500,000		475,200
ICE EM CLO
2007-1A, 0.93% due 08/15/221,3		500,000		471,250
NewStar Commercial Loan Trust
2007-1A, 1.53% due 09/30/221,3		500,000		468,350
TCW Global Project Fund III Ltd.
2005-1A, 0.89% due 09/01/17†††,1,3		500,000		464,400
Golub Capital Partners Fundings Ltd.
2007-1A, 0.98% due 03/15/221,3		500,000		463,850
Westwood CDO I Ltd.
2007-1A, 0.90% due 03/25/211,3		500,000		463,050
Copper River CLO Ltd.
2007-1A, 1.04% due 01/20/211,3		500,000		452,650
Northwind Holdings LLC
2007-1A, 1.02% due 12/01/371,3		456,875		419,320
Aerco Ltd.
2000-2A, 1.12% due 07/15/251		664,169		401,025
Golub Capital Partners CLO 17 Ltd.
2013-17A, 3.99% due 10/25/251,3		400,000		398,200
Acis CLO 2013-2 Ltd.,
3.45% due 10/14/221,3		375,000		371,400
Airplanes Pass Through Trust
2001-1A, 0.71% due 03/15/191		779,254		366,250
OFSI Fund Ltd.
2006-1A, 1.08% due 09/20/191,3		370,000		356,199
TICC CLO 2012-1 LLC
2012-1A, 4.98% due 08/25/231,3		350,000		351,610
Carlyle Global Market Strategies
CLO 2012-3 Ltd.
2012-3A, 0.00% due 10/04/243,8		250,000		234,600

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
TOTAL RETURN BOND FUND

		FACE
		AMOUNT		VALUE
Eastland CLO Ltd.
2007-1A, 0.64% due 05/01/221,3	$	250,000	$	222,625
Newcastle CDO IX 1 Ltd.
2007-9A, 0.41% due 05/25/521,3,7		222,601		221,933
Avis Budget Rental Car Funding AESOP LLC
2013-2A, 4.00% due 05/21/183		200,000		207,800
Drug Royalty Limited Partnership
2012-1, 5.49% due 07/15/241,3		169,487		176,091
First Franklin Mortgage Loan Trust
2006-FF1, 0.49% due 01/25/361		150,000		129,867
Structured Asset Receivables Trust Series
2005-1A, 0.74% due 01/21/151,3		126,966		120,300
Vega Containervessel plc
2006-1A, 5.56% due 02/10/21†††,3		94,279		92,421
Raspro Trust
2005-1A, 0.63% due 03/23/241,3		98,740		89,853
Castle Trust
2003-1AW, 0.91% due 05/15/271,3		58,623		55,692
Legg Mason Real Estate CDO I Ltd.
2006-1A, 0.43% due 03/25/381,3		16,646		16,363
BlackRock Senior Income Series
2004-1X, 0.00% due 09/15/168		500,000		50
Total Asset Backed Securities
(Cost $103,410,017)				104,820,763
CORPORATE BONDS†† - 27.8%
FINANCIALS - 15.7%
General Electric Capital Corp.
7.13% due 12/15/491,2,7		1,920,000		2,188,799
5.25% due 06/29/491,2		1,000,000		972,700
EPR Properties
5.25% due 07/15/237		2,250,000		2,286,437
5.75% due 08/15/22		680,000		720,450
PNC Financial Services Group, Inc.
4.85% due 05/29/491,2		3,050,000		2,859,375
Itau Unibanco Holding S.A./Cayman Island
5.13% due 05/13/233,7		2,650,000		2,544,000
JPMorgan Chase & Co.
5.15% due 12/31/491,2,7		2,625,000		2,460,937
AmTrust Financial Services, Inc.
6.13% due 08/15/233		2,000,000		1,985,860
Icahn Enterprises Limited Partnership/Icahn
Enterprises Finance Corp.
6.00% due 08/01/203		1,550,000		1,643,000
3.50% due 03/15/173		200,000		202,000
Bank of America Corp.
5.20% due 12/29/491,2		1,950,000		1,833,000
Fifth Third Bancorp
5.10% due 12/31/491,2		1,840,000		1,692,800
Prudential Financial, Inc.
5.63% due 06/15/431,7		1,200,000		1,224,000
5.88% due 09/15/421		300,000		313,125
Bank of New York Mellon Corp.
4.50% due 12/31/491,2		1,280,000		1,164,800
Credit Suisse AG
6.50% due 08/08/233		1,000,000		1,097,500
National Rural Utilities Cooperative
Finance Corp.
4.75% due 04/30/431		1,000,000		945,000
Credit Acceptance Corp.
6.13% due 02/15/213		860,000		894,400
Ironshore Holdings US, Inc.
8.50% due 05/15/203		720,000		839,398
Schahin II Finance Company SPV Ltd.
5.88% due 09/25/223,7		835,800		805,502
StanCorp Financial Group, Inc.
5.00% due 08/15/22		650,000		662,227
Jefferies Group LLC
6.88% due 04/15/21		550,000		640,443
Kennedy-Wilson, Inc.
8.75% due 04/01/19		500,000		546,250
CICRMT 2014-A A
4.89% due 10/08/21		500,000		500,000
QBE Capital Funding III Ltd.
7.25% due 05/24/411,3		368,000		393,760
Susquehanna Bancshares, Inc.
5.38% due 08/15/22		400,000		391,821
Nationwide Mutual Insurance Co.
9.38% due 08/15/393		210,000		308,834
Allstate Corp.
5.75% due 08/15/531		250,000		262,500
Jackson National Life Insurance Co.
8.15% due 03/15/273		125,000		159,782
National Life Insurance Co.
10.50% due 09/15/393		100,000		138,914
MetLife Capital Trust IV
7.88% due 12/15/373		115,000		135,700
Scottrade Financial Services, Inc.
6.13% due 07/11/213		125,000		126,819
Prosight Global Inc.
7.50% due 11/20/20†††,5		100,000		98,910
LCP Dakota Fund
10.00% due 08/17/155		30,933		30,933
Total Financials				33,069,976
CONSUMER DISCRETIONARY - 3.3%
GLP Capital Limited Partnership/GLP
Financing II, Inc.
4.88% due 11/01/203		2,000,000		2,052,500
4.38% due 11/01/183		150,000		153,938
Hawaiian Airlines 2013-1 Class A
Pass Through Certificates
3.90% due 01/15/26		1,570,000		1,517,012
Northern Group Housing LLC
6.80% due 08/15/533		1,200,000		1,261,380
Continental Airlines 2012-2 Class B
Pass Through Trust
5.50% due 10/29/20		300,000		315,750
WMG Acquisition Corp.
6.00% due 01/15/213		300,000		312,750
Dufry Finance SCA
5.50% due 10/15/203		300,000		312,528
Continental Airlines 2012-1 Class B
Pass Through Trust
6.25% due 04/11/20		284,797		304,021
Laureate Education, Inc.
9.25% due 09/01/193		220,000		234,300
GRD Holdings III Corp.
10.75% due 06/01/193		125,000		137,500

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  81

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
TOTAL RETURN BOND FUND

		FACE
		AMOUNT		VALUE
Delta Air Lines 2011-1 Class B
Pass Through Trust
7.13% due 10/15/14	$	130,000	$	133,575
Atlas Air 1999-1 Class A-1 Pass
Through Trust
7.20% due 01/02/195		91,923		99,621
Stanadyne Corp.
10.00% due 08/15/14		60,000		59,775
Total Consumer Discretionary				6,894,650
MATERIALS - 2.9%
Barrick Gold Corp.
4.10% due 05/01/237		2,300,000		2,181,860
Newcrest Finance Pty Ltd.
4.20% due 10/01/223		850,000		733,226
4.45% due 11/15/213,7		625,000		559,551
TPC Group, Inc.
8.75% due 12/15/203		1,000,000		1,096,250
AngloGold Ashanti Holdings plc
5.13% due 08/01/22		875,000		815,833
Alcoa, Inc.
5.40% due 04/15/21		530,000		556,054
5.87% due 02/23/22		100,000		105,446
Xstrata Finance Canada Ltd.
4.95% due 11/15/213		125,000		129,203
Total Materials				6,177,423
INDUSTRIALS - 2.5%
Princess Juliana International Airport
Operating Company N.V.
5.50% due 12/20/273		3,069,030		3,022,995
Chicago Bridge & Iron Co.
5.15% due 12/27/22†††,5		750,000		721,575
ADT Corp.
4.13% due 04/15/19		650,000		644,924
SBM Baleia Azul Sarl
5.50% due 09/15/27†††,5		471,900		457,696
Embraer S.A.
5.15% due 06/15/22		200,000		207,500
Marquette Transportation Company
LLC/Marquette Transportation
Finance Corp.
10.88% due 01/15/17		120,000		126,300
Total Industrials				5,180,990
ENERGY - 1.0%
Reliance Holding USA, Inc.
5.40% due 02/14/223		550,000		575,977
Crestwood Midstream Partners Limited
Partnership/Crestwood Midstream
Finance Corp.
7.75% due 04/01/19		425,000		461,125
SESI LLC
7.13% due 12/15/21		400,000		446,000
Midstates Petroleum Company
Incorporated/Midstates
Petroleum Co LLC
10.75% due 10/01/20		200,000		221,000
Odebrecht Drilling Norbe VIII/IX Ltd.
6.35% due 06/30/213		202,500		210,094
Bill Barrett Corp.
7.63% due 10/01/19		125,000		135,469
Eagle Rock Energy Partners Limited
Partnership/Eagle Rock Energy
Finance Corp.
8.38% due 06/01/19		110,000		119,350
Total Energy				2,169,015
UTILITIES - 0.9%
Sabine Pass Liquefaction LLC
6.25% due 03/15/223		920,000		959,100
5.63% due 04/15/23		582,000		579,090
Legacy Reserves Limited Partnership/Legacy
Reserves Finance Corp.
6.63% due 12/01/21		350,000		349,125
Total Utilities				1,887,315
INDUSTRIAL - 0.5%
QVC, Inc.
4.85% due 04/01/243		1,000,000		1,013,055
TELECOMMUNICATION SERVICES - 0.4%
DISH DBS Corp.
5.88% due 07/15/22		500,000		533,750
Avaya, Inc.
7.00% due 04/01/193		250,000		248,125
Total Telecommunication Services				781,875
FINANCIAL INSTITUTIONS - 0.2%
Tri-Command Military Housing LLC
5.38% due 02/15/483		568,190		484,218
CONSUMER STAPLES - 0.2%
Bumble Bee Holdings, Inc.
9.00% due 12/15/173		224,000		244,160
Harbinger Group, Inc.
7.88% due 07/15/19		200,000		219,500
Total Consumer Staples				463,660
CAYMAN ISLANDS - 0.1%
Government of the Cayman Islands
5.95% due 11/24/193		125,000		141,250
BAHAMAS - 0.1%
Commonwealth of the Bahamas
6.95% due 11/20/293		110,000		118,360
Total Corporate Bonds
(Cost $58,600,841)				58,381,787
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 8.3%
Alternative Loan Trust
2003-18CB, 5.25% due 09/25/33		2,246,780		2,333,675
Hilton USA Trust 2013-HLT,
4.41% due 11/05/303		1,750,000		1,780,215
Boca Hotel Portfolio Trust
2013-BOCA, 3.21% due 08/15/261,3		1,700,000		1,702,289
HarborView Mortgage Loan Trust
2006-12, 0.35% due 01/19/381		1,641,575		1,379,233
BBCMS Trust
2013-TYSN, 3.71% due 09/05/323		1,500,000		1,370,435
BB-UBS Trust
2012-SHOW, 4.03% due 11/05/361,3		1,500,000		1,340,591

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

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
TOTAL RETURN BOND FUND

		FACE
		AMOUNT		VALUE
Washington Mutual Mortgage
Pass-Through Certificates WMALT
Series 2006-AR9 Trust
2006-AR9, 0.97% due 11/25/461	$	1,577,903	$	1,050,585
Wells Fargo Alternative Loan 2007-PA3 Trust
2007-PA3, 6.25% due 07/25/37		1,059,262		963,431
Spirit Master Funding LLC
2007-1A, 5.74% due 03/20/253		537,837		551,848
2006-1A, 5.76% due 03/20/243		205,689		214,431
Motel 6 Trust
2012-MTL6, 3.78% due 10/05/253		750,000		755,296
Madison Avenue Trust,
4.03% due 10/12/321,3		750,000		738,145
SRERS-2011 Funding Ltd. 2011-RS,
0.40% due 05/09/461,3		725,949		671,430
Residential Asset Securitization Trust
2006-A12, 6.25% due 11/25/36		776,342		596,923
Nomura Resecuritization Trust
2012-1R, 0.60% due 08/27/471,3		585,850		539,744
Chase Mortgage Finance Trust Series
2006-S3, 6.00% due 11/25/36		571,904		494,170
Washington Mutual Mortgage Pass-Through
Certificates WMALT Series 2006-8 Trust
2006-8, 5.77% due 10/25/36		672,575		469,760
Credit Suisse Mortgage Capital Certificates
2006-TF2A, 0.56% due 10/15/211,3		250,000		242,078
BAMLL-DB Trust
2012-OSI, 5.81% due 04/13/293		200,000		210,573
Total Collateralized Mortgage Obligations
(Cost $17,320,842)				17,404,852
SENIOR FLOATING RATE INTERESTS†† - 5.7%
INDUSTRIALS - 1.6%
Rise Ltd.
4.74% due 02/12/39		1,200,000		1,209,000
Travelport Holdings Ltd.
6.25% due 06/26/19		1,012,350		1,034,814
AABS Ltd.
4.87% due 01/15/38†††		463,542		467,018
Emerald Expositions
5.50% due 06/17/20		272,939		274,759
CPM Acquisition Corp.
6.25% due 08/29/17		170,636		171,703
10.25% due 03/01/18		70,000		70,875
Thermasys Corp.
5.25% due 05/03/19		98,750		98,256
IPC Systems, Inc.
7.75% due 07/31/17		60,000		60,000
Total Industrials				3,386,425
CONSUMER DISCRETIONARY - 1.3%
Centaur LLC
5.25% due 02/20/19		921,147		922,879
Neiman Marcus Group, Inc.
4.25% due 10/25/20		600,000		601,560
Fleetpride Corp.
5.25% due 11/19/19		543,125		535,521
9.25% due 05/15/20		60,000		58,950
1-800 Contacts, Inc.
4.25% due 01/31/21		300,000		300,525
Laureate Education, Inc.
5.00% due 06/15/18		172,183		170,462
Capital Automotive LP
6.00% due 04/30/20		100,000		102,125
Navistar, Inc.
5.75% due 08/17/17		62,500		63,489
Container Store, Inc.
4.25% due 04/06/19		35,905		35,950
Total Consumer Discretionary				2,791,461
TELECOMMUNICATION SERVICES - 1.1%
Associated Partners, Inc.
6.66% due 12/21/15†††,5		1,000,000		1,002,500
Avaya, Inc.
4.73% due 10/26/17		83982,179		958,135
Light Tower Fiber LLC
4.00% due 04/13/20		397,000		394,273
Total Telecommunication Services				2,354,908
INFORMATION TECHNOLOGY - 0.7%
EIG Investors Corp.
5.00% due 11/09/19		641,899		645,109
Sabre, Inc.
4.25% due 02/19/19		373,599		373,442
SumTotal Systems
6.25% due 11/16/18		309,334		307,400
Deltek, Inc.
4.50% due 10/10/18		197,995		198,985
Aspect Software, Inc.
7.25% due 05/07/16		16,755		16,965
Total Information Technology				1,541,901
FINANCIALS - 0.7%
Nuveen Investments, Inc.
4.15% due 05/13/17		750,000		751,741
National Financial Partners
5.25% due 07/01/20		397,005		398,867
American Stock Transfer & Trust
5.75% due 06/26/20		242,867		243,675
First Data Corp.
4.15% due 03/23/18		20,000		20,033
Total Financials				1,414,316
CONSUMER STAPLES - 0.3%
Grocery Outlet, Inc.
5.50% due 12/17/18		296,478		297,035
Arctic Glacier Holdings, Inc.
5.00% due 05/10/19		143,067		143,246
Performance Food Group
6.25% due 11/14/19		99,749		101,078
Total Consumer Staples				541,359
Total Senior Floating Rate Interests
(Cost $11,913,741)				12,030,370
MORTGAGE BACKED SECURITIES†† - 1.8%
Fannie Mae4
2013-28, 3.00% due 04/25/43		1,373,059		1,112,905
2013-34, 3.00% due 04/25/43		706,010		629,451
2013-17, 2.50% due 03/25/43		436,918		364,219
2013-54, 3.00% due 06/25/43		178,885		143,655

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  83

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	March 31, 2014
TOTAL RETURN BOND FUND

		FACE
		AMOUNT		VALUE
Freddie Mac4
2013-4184, 3.00% due 03/15/43	$	816,426	$	664,646
2013-4180, 3.00% due 03/15/43		681,593		583,469
2013-4224, 3.00% due 07/15/43		303,787		276,271
Total Mortgage Backed Securities
(Cost $4,365,723)				3,774,616
MUNICIPAL BONDS†† - 1.8%
ILLINOIS - 1.2%
County of Cook Illinois General
Obligation Unlimited
6.23% due 11/15/34		1,900,000		2,058,422
City of Chicago Illinois General
Obligation Unlimited
6.31% due 01/01/44		300,000		305,880
5.00% due 01/01/27		200,000		207,356
Total Illinois				2,571,658
MICHIGAN - 0.4%
City of Detroit Michigan Water Supply
System Revenue Revenue Bonds
5.00% due 07/01/33		600,000		599,220
5.00% due 07/01/30		50,000		49,016
City of Detroit Michigan Sewage
Disposal System Revenue Revenue Bonds
5.50% due 07/01/22		170,000		171,103
Total Michigan				819,339
CALIFORNIA - 0.1%
County of Sacramento California
Revenue Bonds
7.25% due 08/01/25		180,000		197,055
ALABAMA - 0.1%
County of Jefferson Alabama Sewer
Revenue Revenue Bonds
0.00% due 10/01/34		550,000		157,053
OTHER TERRITORIES - 0.0%
Commonwealth of Puerto Rico General
Obligation Unlimited
8.00% due 07/01/35		30,000		27,994
Total Municipal Bonds
(Cost $3,725,927)				3,773,099
Total Investments - 104.8%
(Cost $218,968,992)			$	219,782,001
Other Assets & Liabilities, net - (4.8)%				(10,060,919	)
Total Net Assets - 100.0%			$	209,721,082

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

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	March 31, 2014
TOTAL RETURN BOND FUND

CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS^††

	Receive							Unrealized
	Floating	Floating	Fixed	Maturity	Notional	Market		Appreciation/
Counterparty	Rate	Rate Index	Rate	Date	Amount	Value		(Depreciation)
Merrill Lynch	Receive	3-Month USD-LIBOR	3.89%	09/09/2043	$2,750,000	$189,200		$	189,200
Merrill Lynch	Receive	3-Month USD-LIBOR	3.68%	08/29/2043	2,000,000	62,000			62,000
Merrill Lynch	Receive	3-Month USD-LIBOR	1.70%	08/29/2018	8,200,000	48,380			48,380
Merrill Lynch	Receive	3-Month USD-LIBOR	3.65%	09/26/2018	900,000	20,070			20,070
Merrill Lynch	Receive	3-Month USD-LIBOR	1.59%	09/26/2018	18,000,000	(23,400	)		(23,400	)
								$	296,250

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Variable rate security. Rate indicated is rate effective at March 31, 2014.
2	Perpetual maturity.
3	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $119,194,488 (cost $117,334,571), or 56.8% of total net assets.
4	On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.
5	Illiquid security.
6	Affiliated funds.
7	Security or a portion thereof is held as collateral for reverse repurchase agreements — See Note 11.
8	Security with no rate was unsettled at March 31, 2014.
	plc — Public Limited Company

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  85

  TOTAL RETURN BOND FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2014

ASSETS:
Investments in unaffiliated issuers, at value
(cost $213,968,992)	$214,787,994
Investments in affiliated issuers, at value
(cost $5,000,000)	4,994,007
Total Investments (cost $218,968,992)	219,782,001
Cash	4,367,262
Segregated cash with broker	971,854
Unrealized appreciation on swap agreements	319,650
Prepaid expenses	60,674
Receivables:
Securities sold	3,821,470
Fund shares sold	1,406,215
Interest	1,304,619
Investment advisor	55,488
Dividends	46,827
Total assets	232,136,060
LIABILITIES:
Reverse Repurchase Agreements	13,164,670
Due to broker	310,079
Unrealized depreciation on swap agreements	23,400
Payable for:
Securities purchased	8,073,609
Fund shares redeemed	496,204
Management fees	83,956
Distribution and service fees	28,974
Fund accounting/administration fees	16,045
Transfer agent/maintenance fees	10,420
Trustees’ fees*	119
Miscellaneous	207,502
Total liabilities	22,414,978
NET ASSETS	$209,721,082
NET ASSETS CONSIST OF:
Paid in capital	$210,049,924
Accumulated net investment loss	(1,093,662	)
Accumulated net realized loss on investments	(344,439	)
Net unrealized appreciation on investments	1,109,259
Net assets	$209,721,082
A-CLASS:
Net assets	$74,911,014
Capital shares outstanding	2,812,279
Net asset value per share	$26.64
Maximum offering price per share
(Net asset value divided by 95.25%)	$27.97
C-CLASS:
Net assets	$16,148,513
Capital shares outstanding	606,306
Net asset value per share	$26.63
INSTITUTIONAL CLASS:
Net assets	$118,661,555
Capital shares outstanding	4,450,515
Net asset value per share	$26.66

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2014

INVESTMENT INCOME:
Interest	$4,834,783
Dividends	442,052
Other income	2,089
Total investment income	5,278,924
EXPENSES:
Management fees	438,055
Transfer agent/maintenance fees
A-Class	60,555
C-Class	9,317
Institutional Class	12,405
Distribution and service fees:
A-Class	89,299
C-Class	76,586
Fund accounting/administration fees	83,229
Short interest expense	88,349
Line of credit interest expense	12,247
Trustees’ fees*	6,868
Custodian fees	1,872
Tax expense	4
Miscellaneous	118,462
Total expenses	997,248
Less:
Expenses waived by Advisor	(198,924	)
Expenses waived by Transfer Agent
A-Class	(14,159	)
C-Class	(2,086	)
Institutional class	(12,405	)
Total expenses waived	(227,574	)
Net investment income	4,509,250
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments	203,708
Swap agreements	279,466
Net realized gain	483,174
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers	3,517,795
Investments in affiliated issuers	5,993
Swap agreements	27,639
Net change in unrealized appreciation (depreciation)	3,551,427
Net realized and unrealized gain	4,034,601
Net increase in net assets resulting from operations	$8,543,851

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

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

  TOTAL RETURN BOND FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
			March 31,				Year Ended
			2014		September 30,
			(Unaudited)		2013
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income		$	4,509,250			$	7,630,397
Net realized gain (loss) on investments			483,174				(827,535	)
Net change in unrealized appreciation (depreciation) on investments			3,551,427				(4,499,916	)
Net increase in net assets resulting from operations			8,543,851				2,302,946
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
A-Class			(2,180,880	)			(4,198,859	)
C-Class			(413,340	)			(480,541	)
Institutional Class			(2,878,190	)			(3,074,263	)
Net realized gains
A-Class			–				(123,764	)
C-Class			–				(14,771	)
Institutional Class			–				(95,407	)
Total distributions to shareholders			(5,472,410	)			(7,987,605	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class			19,201,524				137,427,154
C-Class			2,439,611				16,018,870
Institutional Class			45,648,771				85,915,365
Distributions reinvested
A-Class			1,931,121				3,973,854
C-Class			367,348				466,640
Institutional Class			2,368,614				2,862,381
Cost of shares redeemed
A-Class			(21,802,572	)			(93,839,214	)
C-Class			(2,580,743	)			(6,970,535	)
Institutional Class			(9,223,872	)			(53,732,302	)
Net increase from capital share transactions			38,349,802				92,122,213
Net increase in net assets			41,421,243				86,437,554
NET ASSETS:
Beginning of period			168,299,839				81,862,285
End of period		$	209,721,082			$	168,299,839
Distributions in excess of net investment income at end of period		$	(1,093,662	)		$	(130,502	)
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class			724,659				5,090,896
C-Class			91,972				592,730
Institutional Class			1,719,492				3,206,663
Shares issued from reinvestment of distributions
A-Class			73,012				148,154
C-Class			13,895				17,425
Institutional Class			89,447				106,608
Shares redeemed
A-Class			(826,170	)			(3,555,975	)
C-Class			(97,930	)			(261,112	)
Institutional Class			(348,877	)			(2,002,250	)
Net increase in shares			1,439,500				3,343,139

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  87

  TOTAL RETURN BOND 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			Period Ended
	March 31,			September 30,			September 30,
A-Class	2014		a	2013			2012		b
Per Share Data
Net asset value, beginning of period	$	26.16		$	26.51		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.65			1.20			1.08
Net gain (loss) on investments (realized and unrealized)		.53			(.28	)		1.35
Total from investment operations		1.18			.92			2.43
Less distributions from:
Net investment income		(.70	)		(1.23	)		(.92	)
Net realized gains		—			(.04	)		—
Total distributions		(.70	)		(1.27	)		(.92	)
Net asset value, end of period	$	26.64		$	26.16		$	26.51
Total Returnd		4.97%			3.53%			9.78%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	74,911		$	74,328		$	30,689
Ratios to average net assets:
Net investment income (loss)		4.92%			4.47%			5.10%
Total expenses		1.37%			1.27%			1.51%
Net expensese,f		1.10%			0.98%			0.85%
Portfolio turnover rate		20%			94%			69%
	Period Ended			Year Ended			Period Ended
	March 31,			September 30,			September 30,
C-Class	2014		a		2013			2012	b
Per Share Data
Net asset value, beginning of period	$	26.16		$	26.50		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.58			.99			.94
Net gain (loss) on investments (realized and unrealized)		.50			(.27	)		1.32
Total from investment operations		1.08			.72			2.26
Less distributions from:
Net investment income		(.61	)		(1.02	)		(.76	)
Net realized gains		—			(.04	)		—
Total distributions		(.61	)		(1.06	)		(.76	)
Net asset value, end of period	$	26.63		$	26.16		$	26.50
Total Returnd		4.60%			2.77%			9.09%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	16,149		$	15,654		$	6,607
Ratios to average net assets:
Net investment income (loss)		4.37%			3.70%			4.38%
Total expenses		1.91%			2.07%			2.26%
Net expensese,f		1.66%			1.77%			1.63%
Portfolio turnover rate		20%			94%			69%

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

  TOTAL RETURN BOND FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Period Ended
	March 31,			September 30,			September 30,
Institutional Class	2014		a	2013			2012		b
Per Share Data
Net asset value, beginning of period	$	26.19		$	26.54		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.72			1.28			1.06
Net gain (loss) on investments (realized and unrealized)		.50			(.27	)		1.44
Total from investment operations		1.22			1.01			2.50
Less distributions from:
Net investment income		(.75	)		(1.32	)		(.96	)
Net realized gains		—			(.04	)		—
Total distributions		(.75	)		(1.36	)		(.96	)
Net asset value, end of period	$	26.66		$	26.19		$	26.54
Total Returnd		5.13%			3.88%			10.09%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	118,662		$	78,318		$	44,566
Ratios to average net assets:
Net investment income (loss)		5.46%			4.78%			4.91%
Total expenses		0.82%			0.89%			0.99%
Net expensese,f		0.56%			0.64%			0.52%
Portfolio turnover rate		20%			94%			69%

a	Unaudited figures for the period ended March 31, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: November 30, 2011. 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	Net expense information reflects the expense ratios after expense waivers, and includes interest expense if any.
f	Excluding interest expense, the operating expense ratios for the periods presented would be:

	03/31/14		09/30/13		09/30/12
A-Class	0.93	%	0.86	%	0.82	%
C-Class	1.49	%	1.64	%	1.59	%
Institutional Class	0.40	%	0.52	%	0.50	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  89

NOTES TO FINANCIAL STATEMENTS (Unaudited)

1. Organization, and Significant Accounting Policies Organization

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

Effective January 13, 2012, the TS&W/Claymore Tax-Advantage Balance Fund (“TYW”) was reorganized with and into the Municipal Income Fund. For Financial reporting purposes, TYW’s financial and performance history prior to the reorganization has been carried forward and is reflected in the Municipal Income Fund’s financial statements and financial highlights.

The Trust offers a combination of four separate classes of shares, A-Class shares, B-Class shares, C-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. 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.

As of January 1, 2012, A-Class, C-Class and Institutional Class shares of High Yield Fund are subject to a 2% redemption fee when shares are redeemed or exchanged within 90 days of purchase.

At March 31, 2014, the Trust consisted of sixteen separate funds. This report covers certain Income Funds (the “Funds”) , while the other funds are contained in separate reports. Only A-Class, B-Class, C-Class and Institutional Class shares had been issued by the Funds.

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

Guggenheim Partners Investment Management (“GPIM”), an affiliate of GI serves as investment sub-advisor (the “Sub-Advisor”) to the Municipal Income Fund and is responsible for the day-to-day management of the Fund’s portfolio.

Significant Accounting Policies

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

A. Valuations of the Funds’ securities are supplied primarily by pricing services approved by the Board of Trustees. A Valuation Committee (“Valuation Committee”) is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed. The Valuation Committee will review the valuation of all assets which have been fair valued for reasonableness. The Trust’s officers, through the Valuation Committee under the general supervision of the Board of Trustees, 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.

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

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

90  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

Listed options are valued at the Official Settlement Price listed by the exchange, usually as of 4:00 p.m. Long options are valued using the bid price and short options are valued using the ask price. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter options are valued using the average bid price (for long options), or average ask price (for short options) obtained from one or more security dealers.

Premiums received from options written are entered in a 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 an option written 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).

Typically loans are valued using information provided by an independent third party pricing service which uses broker quotes in a non-active market, or price derived from significant observable inputs and is also compared to broker quote (matrixed). If the pricing service cannot or does not provide a valuation for a particular loan or such valuation is deemed unreliable, such loan is fair valued by the Valuation Committee.

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

The value of index swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined using the last quoted value of the index that the swap pertains to at the close of the NYSE, adjusted to include dividends accrued, and financing charges and/or interest associated with the swap agreements.

Interest rate swap agreements entered into by a Fund are accounted for using the unrealized gain or loss on the agreements that is determined using the spread priced off the previous day’s CME price

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the NYSE. The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as World Equity Benchmark Securities. In addition, the Board of Trustees 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 Trustees using methods established or ratified by the Board of Trustees. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value.” Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).

B. Senior loans in which the Funds invests generally pay interest based on rates which are periodically adjusted by reference to a base short-term, floating rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The interest rate indicated is the rate in effect at March 31, 2014.

C. 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

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

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.

D. The Funds may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Funds actually take delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Funds will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.

E. The accounting records of the Fund 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.

F. Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

G. Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain/loss. Payments received or made as a result of an agreement or termination of the agreement are recognized as realized gains or losses.

H. Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency. The change in value of the contract is recorded as unrealized appreciation or depreciation until the forward foreign currency contract is closed. When the forward foreign currency contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

I. Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses are allocated to the funds on the basis of relative net assets. Class specific expenses, such as 12b-1 fees, and transfer agent fees are borne by that class. Income, other expenses, and realized and unrealized gains and losses of a Fund are allocated to each respective class in proportion to the relative net assets of each class.

J. The Funds declare dividends from investment income daily. Each Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes.

K. 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, 2014, there were no earnings credits received.

L. Under the Funds’ organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

2. Financial Instruments

As part of their investment strategy, the Funds utilize a variety of derivative instruments including futures, options and swap agreements.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities.

A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts and related options, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to the fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as restricted cash on the Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Additionally, there is no guarantee that a Fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

An option on a security gives the purchaser of the option the right to sell, and the writer of the option the obligation to buy, the underlying security (put option) or the purchaser of the option the right to buy, and the writer of the option the obligation to sell, the underlying security (call option) at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities and 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.

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

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

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

Floating Rates Strategies Fund, High Yield Fund, Investment Grade Bond Fund, Macro Opportunities Fund and Total Return Bond Fund utilized derivatives to achieve leveraged exposure. The use of derivative instruments by a Fund to achieve leveraged exposure to the underlying index creates leveraging risk. The more a Fund invests in leveraged instruments, the more this leverage will magnify any losses on those investments. A Fund’s investment in these instruments generally requires a small investment relative to the amount of investment exposure assumed. As a result, such investments may give rise to losses that exceed the amount invested in those instruments. Since a Fund’s investment strategy involves consistently applied leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index.

3. Fees and Other Transactions with Affiliates

Management fees are paid monthly to GI based on the following annual rates:

	Management Fees
Fund	(as a% of net assets)
Floating Rate Strategies Fund	0.65	%
High Yield Fund	0.60	%
Investment Grade Bond Fund	0.50	%
Limited Duration Fund	0.45	%
Macro Opportunities Fund	0.89	%
Municipal Income Fund	0.50	%
Total Return Bond Fund	0.50	%

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

RFS 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, RFS receives the following:

	Fund Accounting/
	Administrative Fees
Fund	(as a% of net assets)
Floating Rate Strategies Fund	0.095	%
High Yield Fund	0.095	%
Investment Grade Bond Fund	0.095	%
Limited Duration Fund	0.095	%
Macro Opportunities Fund	0.095	%
Municipal Income Fund	0.095	%
Total Return Bond Fund	0.095	%
Minimum annual charge per Fund	$25,000
Certain out-of-pocket charges	Varies

RFS is paid the following for providing transfer agent services to the Funds. The transfer agent fees are assessed to the applicable class of the Funds in which they were incurred. Prior to May 1, 2012, transfer agent fees were aggregated by the High Yield Fund and Investment Grade Bond Fund, and allocated based on the 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 Fund1	$25,000
Certain out-of-pocket charges	Varies

¹ Not subject to Funds during first twelve months of operations.

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 U.S. GAAP). The limits are listed below:

				Effective		Contract
	Limit			Date		End Date
Floating Rate Strategies Fund - A-Class		1.02	%		11/30/12		02/01/15
Floating Rate Strategies Fund - C-Class		1.77	%		11/30/12		02/01/15
Floating Rate Strategies Fund - Institutional Class		0.78	%		11/30/12		02/01/15
High Yield Fund A-Class		1.16	%		11/30/12		02/01/15
High Yield Fund B-Class		1.91	%		11/30/12		02/01/15
High Yield Fund C-Class		1.91	%		11/30/12		02/01/15
High Yield Fund - Institutional Class		0.91	%		11/30/12		02/01/15
Investment Grade Bond Fund - A-Class		1.00	%		11/30/12		02/01/15
Investment Grade Bond Fund - B-Class		1.75	%		11/30/12		02/01/15
Investment Grade Bond Fund - C-Class		1.75	%		11/30/12		02/01/15
Investment Grade Bond Fund - Institutional Class*		0.75	%		11/30/12		02/01/15
Limited Duration Fund - A-Class**		0.80	%		12/01/13		02/01/15
Limited Duration Fund - C-Class**		1.55	%		12/01/13		02/01/15
Limited Duration Fund - Institutional Class**		0.55	%		12/01/13		02/01/15
Macro Opportunities Fund - A-Class		1.36	%		11/30/12		02/01/15
Macro Opportunities Fund - C-Class		2.11	%		11/30/12		02/01/15
Macro Opportunities Fund - Institutional Class		0.95	%		11/30/12		02/01/15
Municipal Income Fund - A-Class		0.80	%		11/30/12		02/01/15
Municipal Income Fund - C-Class		1.55	%		11/30/12		02/01/15
Municipal Income Fund - Institutional Class		0.55	%		11/30/12		02/01/15
Total Return Bond Fund - A-Class		0.90	%		11/30/12		02/01/15
Total Return Bond Fund - C-Class		1.65	%		11/30/12		02/01/15
Total Return Bond Fund - Institutional Class		0.50	%		11/30/12		02/01/15

*	Since the commencement of operations: January 29, 2013
**	Since the commencement of operations: December 16, 2013

94  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. At March 31, 2014, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

	Expires			Expires			Expires			Expires			Fund
Fund	2014			2015			2016			2017			Total
Floating Rate Strategies Fund		$	—		$	127,768		$	430,026		$	474,445		$	1,032,239
High Yield Fund			26,017			205,368			207,619			43,198			482,202
Investment Grade Bond Fund			5,458			165,867			234,110			94,527			499,962
Limited Duration Fund			—			—			—			55,510			55,510
Macro Opportunities Fund			—			161,466			961,870			654,733			1,778,069
Municipal Income Fund			—			192,257			236,488			119,813			548,558
Total Return Bond Fund			—			154,714			462,339			227,082			844,135

For the period ended March 31, 2014, no amounts were recouped by GI.

If a Fund invests in an affiliated fund, the investing Fund’s Adviser will determine whether to waive fees at the investing Fund level. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund.

The Funds have adopted distribution plans related to the offering of Class A, Class B and Class C shares. Each such distribution plan has been adopted pursuant to Rule 12b-1 of the Investment Company Act of 1940. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of A-Class Shares of each Fund and 1.00% of the average daily assets of B-Class and C-Class shares. Effective October 16, 2009, GFD became the sole distributor of the Funds. The distribution fees were paid to GFD effective October 16, 2009. Effective December 1, 2006, Class B shares of the High Yield Fund ceased charging 12b-1 fees in accordance with the FINRA sales cap regulations. These fees may be reinstated at any time.

During the period ended March 31, 2014, GFD retained sales charges of $139,056 relating to sales of A-Class shares of the Funds.

Certain officers and trustees of the Trust are also officers of GI, RFS and GFD.

At March 31, 2014, GI and its subsidiaries owned over twenty percent of the outstanding shares of the following Fund.

	Percent of
	outstanding
Fund	shares owned
Limited Duration Fund	60	%

4. Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

The following table summarizes the inputs used to value the Funds’ net assets at March 31, 2014:

	Level 1			Level 1			Level 2			Level 2			Level 3
	Investments			Other Financial			Investments			Other Financial			Investments
	In Securities			Instruments*			In Securities			Instruments*			In Securities			Total
Assets
Floating Rate Strategies Fund		$	62,179,966		$	—		$	1,323,518,022		$	—		$	52,117,794	$	1,437,815,782
High Yield Fund			10,624,301			—			147,359,607			335			2,885,664		160,869,907
Investment Grade Bond Fund			6,368,994			—			93,850,666			314,480			16,503,753		117,037,893
Limited Duration Fund			4,096,981			—			35,515,899			—			5,266,238		44,879,118
Macro Opportunities Fund			150,058,084			2,486,261			1,019,925,935			3,215,004			124,220,617		1,299,905,901
Municipal Income Fund			2,528,738			—			51,504,726			—			—		54,033,464
Total Return Bond Fund			19,596,514			—			178,024,978			319,650			22,160,509		220,101,651
Liabilities
Floating Rate Strategies Fund		$	—		$	—		$	—		$	30,957		$	—	$	30,957
Investment Grade Bond Fund			—			—			—			12,090			—		12,090
Macro Opportunities Fund			—			38,940			—			338,927			—		377,867
Total Return Bond Fund			—			—			—			23,400			—		23,400

* Other financial instruments may include options, forward foreign currency contracts, futures contracts and/or swaps, which are reported as unrealized gain/loss at period end.

Independent pricing services are used to value a majority of the Funds’ investments. When values are not available from a pricing service, they may be computed by the Funds’ investment adviser or an affiliate. In any event, values may be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information and analysis. A significant portion of the Funds’ assets and liabilities are categorized as Level 2 or Level 3, as indicated in this report.

Indicative quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may be also used to value the Funds’ assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although Indicative quotes are typically received from established market participants, the Funds may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in an indicative quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly indicative quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates. The Funds’ fair valuation guidelines were recently revised to transition such monthly indicative quoted securities from Level 2 to Level 3.

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.

96  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

		Ending Balance
Fund	Category and Subcategory	at 03/31/14	Valuation Technique	Unobservable Inputs
	Investments, at value
Floating Rate Strategies Fund	Asset-Backed Securities	$39,713,142	Option Adjusted Spread off the	Indicative Quote
			month end broker mark over the
			3 month LIBOR
	Senior Floating Rate Interests	10,786,453	Monthly Model Priced	Trade Price
	Corporate Bonds	1,618,200	Option Adjusted Spread off the	Trade Price
			trade price over the 3 month LIBOR
High Yield Fund	Senior Floating Rate Interests	1,787,231	Monthly Model Priced	Trade Price
	Corporate Bonds	558,660	Option Adjusted Spread off the	Trade Price
			trade price over the 3 month LIBOR
Investment Grade Bond Fund	Asset-Backed Securities	12,737,749	Option Adjusted Spread off the	Indicative Quote
			month end broker mark over the
			3 month LIBOR
	Preferred Stock	2,018,180	Option Adjusted Spread off the	Indicative Quote
			month end broker mark over the
			3 month LIBOR
	Corporate Bonds	1,278,181	Option Adjusted Spread off the	Indicative Quote
			month end broker mark over the
			3 month LIBOR
	Senior Floating Rate Interests	469,642	Option Adjusted Spread off the	Indicative Quote
			month end broker mark over the
			3 month LIBOR
Limited Duration Fund	Asset-Backed Securities	5,266,238	Option Adjusted Spread off the	Indicative Quote
			month end broker mark over the
			3 month LIBOR
Macro Opportunities Fund	Asset-Backed Securities	$101,457,458	Option Adjusted Spread off the	Indicative Quote
			month end broker mark over the
			3 month LIBOR
	Senior Floating Rate Interests	13,241,436	Monthly Model Priced	Trade Price
		3,689,444	Option Adjusted Spread off the	Indicative Quote
			month end broker mark over the
			3 month LIBOR
	Total Senior Floating Rate Interests	16,930,880
	Corporate Bonds	3,435,131	Option Adjusted Spread off the	Indicative Quote
			month end broker mark over the
			3 month LIBOR
		1,396,650	Option Adjusted Spread off the	Trade Price
			trade price over the 3 month LIBOR
	Total Corporate Bonds	4,831,781
	Collateralized Mortgage Obligation	1,000,500	Option Adjusted Spread off the	Indicative Quote
			month end broker mark over the
			3 month LIBOR
Total Return Bond Fund	Asset-Backed Securities	19,412,812	Option Adjusted Spread off the	Indicative Quote
			month end broker mark over the
			3 month LIBOR
	Senior Floating Rate Interests	1,002,500	Monthly Model Priced	Trade Price
		467,018	Option Adjusted Spread off the	Indicative Quote
			month end broker mark over the
			3 month LIBOR
	Total Senior Floating Rate Interests	1,469,518
	Corporate Bonds	1,278,181	Option Adjusted Spread off the	Indicative Quote
			month end broker mark over the
			3 month LIBOR

Any remaining Level 3 securities held by the Funds and excluded from the tables above, were not considered material to the Funds.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Funds recognized transfers between the levels as of the beginning of the period. As of March 31, 2014, High Yield Fund had securities with a total value of $276,850 transfer from Level 2 to Level 1 and the Funds had transfers in/out of Level 3 due to changes in securities valuation method. See the tables below for changes to and from Level 2 and Level 3.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

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, 2014:

LEVEL 3 – Fair value measurement using significant unobservable inputs

	Total
Floating Rate Strategies Fund
Assets:
Beginning Balance		$	10,532,530
Purchases			30,280,835
Sales			(3,293,787	)
Total change in unrealized gains or losses included in earnings			408,687
Transfers into Level 3			17,129,399
Transfers out of Level 3			(2,939,870	)
Ending Balance		$	52,117,794
High Yield Fund
Assets:
Beginning Balance		$	3
Purchases			1,354,852
Sales			(6,875	)
Total change in unrealized gains or losses included in earnings			139,608
Transfers into Level 3			1,398,079
Transfers out of Level 3			(3	)
Ending Balance		$	2,885,664
Investment Grade Bond Fund
Assets:
Beginning Balance		$	382,749
Purchases			6,847,075
Sales			(1,119,641	)
Total change in unrealized gains or losses included in earnings			233,976
Transfers into Level 3			10,542,343
Transfers out of Level 3			(382,749	)
Ending Balance		$	16,503,753
Limited Duration Fund
Assets:
Beginning Balance		$	—
Purchases			5,256,995
Total change in unrealized gains or losses included in earnings			9,243
Ending Balance		$	5,266,238
Macro Opportunities Fund
Assets:
Beginning Balance		$	24,277,702
Purchases			67,765,240
Sales			(8,539,815	)
Total realized gains or losses included in earnings			(19,244	)
Total change in unrealized gains or losses included in earnings			1,372,050
Transfers into Level 3			49,391,547
Transfers out of Level 3			(10,026,863	)
Ending Balance		$	124,220,617
Total Return Bond Fund
Assets:
Beginning Balance		$	2,590,364
Purchases			10,612,527
Sales			(1,442,248	)
Total realized gains or losses included in earnings			(296	)
Total change in unrealized gains or losses included in earnings			338,107
Transfers into Level 3			12,652,418
Transfers out of Level 3			(2,590,363	)
Ending Balance		$	22,160,509

98  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

5. Securities Transactions

For the period ended March 31, 2014, the cost of purchases and proceeds from sales of investment securities, excluding government securities and short-term investments, were as follows:

Fund	Purchases			Sales
Floating Rate Strategies Fund		$	656,630,353		$	283,514,305
High Yield Fund			88,190,676			29,118,261
Investment Grade Bond Fund			32,238,271			26,465,517
Limited Duration Fund			41,403,596			786,117
Macro Opportunities Fund			452,524,229			193,859,866
Municipal Income Fund			35,826,731			42,405,160
Total Return Bond Fund			70,105,650			35,088,994

6. Derivative Investment Holdings Categorized by Risk Exposure

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

The Funds may engage in derivatives transactions for speculative purposes to enhance total return, seek to hedge against fluctuations in securities prices, interest rates or currency rates, change the effective duration of its portfolio, manage certain investment risks and/or as a substitute for the purchase or sale of securities or currencies.

The Funds utilized derivatives for the following purposes:

Fund	Index Exposure	Hedge	Duration	Leverage
Floating Rate Strategies Fund		x		x
High Yield Fund		x		x
Investment Grade Bond Fund			x	x
Macro Opportunities Fund	x	x		x
Total Return Bond Fund			x	x

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 31, 2014:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency contracts	Variation margin
Equity/Commodities contracts	Investments, at value	Options written, at value
Interest Rate contracts	Unrealized appreciation on	Unrealized depreciation
	swap agreements	on swap agreements
	Unrealized appreciation on
	forward foreign currency
	exchange contracts

The following table sets forth the fair values of the Funds’ derivative investments categorized by primary risk exposure at March 31, 2014:

Asset Derivative Investments Value
										Forward
										Foreign			Purchased			Purchased			Options			Options
	Future			Swaps			Swaps			Currency			Options			Options			Written			Written
	Currency			Equity			Interest Rate			Exchange			Currency			Commodity			Commodity			Currency
Fund	Contracts			Contracts			Contracts			Contracts			Contracts			Contracts*			Contracts			Contracts			Total
High Yield Fund		$	—		$	—		$	—		$	335		$	—		$	—		$	—		$	—		$	335
Investment Grade Bond Fund			—			—			314,480			—			—			—			—			—			314,480
Macro Opportunities Fund			120,351			2,960,441			43,269			211,294			1,277,160			1,088,750			—			—			5,701,265
Total Return Bond Fund			—			—			319,650			—			—			—			—			—			319,650

Liability Derivative Investments Value
										Forward
										Foreign			Purchased			Purchased			Options			Options
	Future			Swaps			Swaps			Currency			Options			Options			Written			Written
	Currency			Equity			Interest Rate			Exchange			Currency			Commodity			Commodity			Currency
Fund	Contracts			Contracts			Contracts			Contracts			Contracts			Contracts*			Contracts			Contracts			Total
Floating Rate Strategies Fund		$	—		$	—		$	—		$	30,957		$	—		$	—		$	—		$	—		$	30,957
Investment Grade Bond Fund			—			—			12,090			—			—			—			—			—			12,090
Macro Opportunities Fund			—			29,902			309,025			—			—			—			38,940			—			377,867
Total Return Bond Fund			—			—			23,400			—			—			—			—			—			23,400

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  99

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

The following is a summary of the location of derivative instruments on the Funds’ Statements of Operations for the period ended March 31, 2014:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Commodity/Equity/Interest Rate/Currency contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts
	Net realized gain (loss) on options purchased
	Net change in unrealized appreciation (depreciation) on options purchased
	Net realized gain (loss) on options written
	Net change in unrealized appreciation (depreciation) on options written
	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements
	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency
	exchange contracts

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, 2014:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
									Forward
									Foreign			Purchased			Purchased			Options		Options
	Future			Swaps		Swaps			Currency			Options			Options			Written		Written
	Currency			Equity		Interest Rate			Exchange			Currency			Commodity			Commodity		Currency
Fund	Contracts			Contracts		Contracts			Contracts			Contracts			Contracts*			Contracts		Contracts		Total
Floating Rate Strategies Fund	$	—		$	—	$	—		$	(735,538	)	$	—		$	—		$	—	$	—	$	(735,538	)
High Yield Fund		—			—		—			(45,480	)		—			—			—		—		(45,480	)
Investment Grade Bond Fund		—			—		221,971			—			—			—			—		—		221,971
Macro Opportunities Fund		(197,112	)		4,053,143		(1,803,523	)		(36,609	)		(1,202,738	)		(1,157,119	)		284,377		231,904		208,932
Total Return Bond Fund		—			—		279,466			—			—			—			—		—		279,466

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
								Forward
								Foreign			Purchased			Purchased			Options		Options		Options
	Future		Swaps		Swaps			Currency			Options			Options			Written		Written		Written
	Currency		Equity		Interest Rate			Exchange			Currency			Commodity			Commodity		Currency		Commodity
Fund	Contracts		Contracts		Contracts			Contracts			Contracts			Contracts*			Contracts		Contracts		Contracts			Total
Floating Rate Strategies Fund	$	—	$	—	$	—		$	(156,030	)	$	—		$	—		$	—	$	—	$	—		$	(156,030	)
High Yield Fund		—		—		—			(5,423	)		—			—			—		—		—			(5,423	)
Investment Grade Bond Fund		—		—		(7,880	)		—			—			—			—		—		—			(7,880	)
Macro Opportunities Fund		120,351		2,930,539		1,213,008			201,610			(462,840	)		(1,959,750	)		647,789		88,501		(149,837	)		2,427,761
Total Return Bond Fund		—		—		27,639			—			—			—			—		—		—			27,639

7. Options Written

Transactions in options written during the period ended March 31, 2014 were as follows:

Written Call Options

	Macro Opportunities Fund
	Number of		Premium
	contracts		amount
Balance at September 30, 2013	354		$	225,834
Options Written	13,662			231,904
Options terminated in closing purchase transactions	—			—
Options expired	(13,662	)		(231,904	)
Options exercised	—			—
Balance at March 31, 2014	354		$	225,834

Written Put Options

	Macro Opportunities Fund
	Number of		Premium
	contracts		amount
Balance at September 30, 2013	1,922		$	284,377
Options Written	—			—
Options terminated in closing purchase transactions	—			—
Options expired	(1,922	)		(284,377	)
Options exercised	—			—
Balance at March 31, 2014	—		$	—

100  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

8. 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, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three fiscal years after they are filed

The RIC Modernization Act of 2010 was signed into law on December 22, 2010 and simplified some of the tax provisions applicable to regulated investment companies, the tax reporting to their shareholders and improved the tax efficiency of certain fund structures. The greatest impact to the disclosure in the financial reports for the Funds was on the treatment of net capital losses, effective for tax years beginning after December 22, 2010.

One of the more prominent changes addresses capital loss carryforwards. The Fund is 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 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 March 31, 2014, 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:

	Tax		Tax		Tax			Net Unrealized
Fund	Cost		Unrealized Gain		Unrealized Loss			Gain/(Loss)
Floating Rate Strategies Fund	$	1,425,212,778	$	17,183,773	$	(4,580,769	)	$	12,603,004
High Yield Fund		154,209,252		7,624,666		(964,346	)		6,660,320
Investment Grade Bond Fund		121,854,946		2,049,682		(7,181,215	)		(5,131,533	)
Limited Duration Fund		44,878,757		108,307		(107,947	)		360
Macro Opportunities Fund		1,292,137,507		29,988,277		(25,555,238	)		4,433,039
Municipal Income Fund		53,507,017		1,132,360		(605,913	)		526,447
Total Return Bond Fund		219,027,730		4,245,228		(3,490,958	)		754,270

9. Loan Commitments

Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of March 31, 2014. The funds are obliged to fund these loan commitments at the borrower’s discretion.

At March 31, 2014, the Funds had the following unfunded loan commitments:

Floating Rate Strategies Fund
Borrower	Maturity Date	Amount
WR Grace & Co.	02/03/21	$	3,157,895
National Financial Partners Corp.	07/01/18		3,000,000
Blue Coat Systems, Inc.	05/31/18		1,500,000
Travelport LLC	06/21/18		1,166,667
American Stock Transfer & Trust	06/11/18		800,000
Kronos, Inc.	10/26/17		500,000
Power Buyer LLC	05/06/20		199,630
Expert Global Solutions	04/02/17		62,500
		$	10,386,692

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

Macro Opportunities Fund
Borrower	Maturity Date	Amount
National Financial Partners Corp.	07/01/18	$	1,000,000
Travelport LLC	06/21/18		583,333
AlliedBarton Security Services LLC	02/12/21		523,810
American Stock Transfer & Trust	06/11/18		400,000
Power Buyer LLC	05/06/20		73,763
		$	2,580,906

10. Repurchase Agreements

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

At March 31, 2014, the collateral for the repurchase agreements was as follows:

	Counterparty and	Face
Fund	Terms of Agreement	Value	Repurchase Price	Collateral	Par Value		Fair Value
Limited Duration Bond Fund	Jefferies & Company, Inc.			PPSI 2005-WHQ4 M2
	2.66%			4.16%
	Due 04/10/14	$1,998,000	$2,001,000	09/25/35	$	1,448,000	$	1,047,498
				Harborview Mortgage
				Loan Trust
				5.53%
				07/19/47		1,601,100		624,999
				GSAMP 2005-WMC2 A2C
				4.52%
				11/25/35		515,500		311,251
				WAMU 2004-AR13
				2.51%
				11/25/34		3,005,332		276,220
				Puerto Rico
				Electric Power Authority
				5.40%
				07/01/28		350,000		214,666
Macro Opportunities Fund	Jefferies & Company, Inc.			Puerto Rico Commonwealth
	2.16%			Aqueduct & Sewer
	Due 04/15/14	$8,920,000	$8,933,022	Authority
				5.35% - 6.00%
				07/01/27 - 07/01/44	$	12,290,000	$	8,748,031
				Puerto Rico Electric
				Power Authority
				5.25% - 6.75%
				07/01/28 - 07/01/36		4,300,000		3,145,341

In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.

11. Reverse Repurchase Agreements

Each of the Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.

102  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

For the period ended March 31, 2014, the following Funds entered into reverse repurchase agreements:

	Number of Days
Fund	outstanding	Balance at March 31, 2014		Average balance outstanding		Average interest rate
Floating Rate Strategies Fund	182	$	1,940,631	$	3,020,927	1.04	%
High Yield Fund	182		19,413,394		8,530,408	0.35	%
Investment Grade Bond Fund	182		6,200,680		6,719,645	0.34	%
Macro Opportunities Fund	182		90,066,961		88,083,153	0.51	%
Total Return Bond Fund	182		13,164,670		14,616,605	0.60	%

12. Line of Credit

The Trust secured a committed, $275,000,000 line of credit from Citibank, N.A., with no set termination date. This line of credit is reserved for emergency or temporary purposes. Fees related to borrowings, if any, vary under this arrangement between the greater of LIBOR and the Fed Funds rate, plus 1.25%. The Funds did not have any borrowings under this agreement at March 31, 2014.

In addition, on November 30, 2011, the Macro Opportunities Fund and Total Return Bond Fund (the “Funds”) entered into an unlimited credit facility agreement with an approved counterparty whereby the counterparty has agreed to provide secured financing to the Fund and the Fund will provide pledged collateral to the counterparty. The Funds did not have borrowings under this agreement as of and for the period ended March 31, 2014.

13. Fund Merger

On January 18, 2013, the Macro Opportunities Fund acquired all of the net assets of Flexible Strategies Fund, a separate series of the Rydex Series Funds, in exchange for shares of the Macro Opportunities Fund, pursuant to an agreement and plan of reorganization approved by the Board of Trustees and approved by the shareholders of the Flexible Strategies Fund. The primary reason for the transaction was to combine a smaller fund into a larger fund with a similar investment objective. The acquisition was accomplished through a combination of a tax-free exchange of the outstanding shares of the Flexible Strategies Fund (360,213 A-Class, 185,597 H-Class, 282,801 C-Class and 94,826 Institutional Class) valued at $21,680,088 ($8,501,033 A-Class, $4,380,093 H-Class, $6,546,846 C-Class, and $2,252,116 Institutional Class) for respective shares of the Macro Opportunities Fund (470,457 A-Class*, 239,285 C-Class, and 82,164 Institutional Class). For financial reporting purposes, the net assets received and shares issued by Macro Opportunities Fund were recorded at fair value; however, the Flexible Strategies Fund’s cost of the investments were carried forward to align ongoing reporting of Macro Opportunities Fund realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

Flexible Strategies Fund’s net assets on January 18, 2013 were $21,680,088 including $414,395 of unrealized appreciation. Flexible Strategies Fund’s net assets were primarily comprised of investments with a fair value of $21,674,911. The aggregate net assets of Macro Opportunities Fund immediately before and after the acquisition were $407,464,601 and $429,144,689, respectively.

The financial statements reflect the operations of the Macro Opportunities Fund for the period prior to the acquisition and the combined fund for the period subsequent to the fund merger. Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Flexible Strategies Fund that have been included in the combined fund’s Statement of Operations since the acquisition was completed. Assuming the acquisition had been completed on October 1, 2012, Macro Opportunities Fund pro-forma net investment income, net realized and unrealized loss on investments and net increase in net assets from operations for the period October 1, 2012 to September 30, 2013 would have been $34,155,336, $(30,390,985) and $3,764,351, respectively. Guggenheim Investments and its affiliates bore all of the expenses related to the reorganization.

*Includes 159,974 A-Class shares received in exchange for H-Class shares of Flexible Strategies Fund.

14. Offsetting

In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  103

NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)

exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as segregated cash with broker/ receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP.

				Net Amount
			Gross Amounts	of Liabilities
		Gross	Offset in	Presented on
		Amounts of	the Statements	the Statements		Cash
		Recognized	of Assets	of Assets	Financial	Collateral	Net
Fund	Instrument	Liabilities1	and Liabilities	and Liabilities	Instruments	Pledged2	Amount
Macro Opportunities Fund	Swap equity contracts	$      29,902	$                  —	$            29,902	$            —	$         —	$ 29,902

1	Exchange traded futures are excluded from these reported amounts.
2	Excludes maintenance margin deposits held at the broker related to derivatives. These amounts are reflected as Segregated cash with broker on the Statements of Assets and Liabilities.

104  |  THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 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 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov.

At a special meeting of shareholders held on January 24, 2014, the shareholders of the Funds voted on whether to approve the election of nominees to the Board of Directors of each corporation. A description of the number of shares voted is as follows:

	For	Withhold	Total
Randall C. Barnes	66,355,900	1,147,113	67,503,013
Roman Friedrich III	66,305,115	1,197,898	67,503,013
Robert B. Karn III	66,296,743	1,206,270	67,503,013
Ronald A. Nyberg	66,343,771	1,159,242	67,503,013
Ronald E. Toupin, Jr.	66,344,399	1,158,614	67,503,013

At a special meeting of shareholders held on January 24, 2014, the shareholders of the Funds also voted on whether to approve the Funds from Kansas Corporations into Delaware Statutory Trusts. A description of the number of shares voted is as follows:

Fund	Shares For	Shares Against	Shares Abstained
Floating Rate Strategies Fund	19,424,859	202,292	239,247
High Yield Fund	5,194,349	24,599	55,235
Investment Grade Bond Fund	3,370,662	22,580	28,584
Limited Duration Fund	—	—	—
Macro Opportunities Fund	17,755,274	166,264	240,186
Municipal Income Fund	2,397,778	158,583	46,564
Total Return Bond Fund	3,812,530	3,405	13,412

At a special meeting of shareholders held on January 8, 2014, the shareholders of the Funds also voted on whether to approve changes to the fundamental investment policies. A description of the number of shares voted is as follows:

Diversification
Fund	Shares For	Shares Against	Shares Abstained
Floating Rate Strategies Fund	19,043,248	248,689	574,461
High Yield Fund	5,181,959	52,052	40,172
Investment Grade Bond Fund	3,364,708	17,042	40,076
Limited Duration Fund	—	—	—
Macro Opportunities Fund	17,484,154	163,214	514,356
Municipal Income Fund	2,224,215	324,317	54,393
Total Return Bond Fund	3,812,291	3,405	13,651
Underwriting
Fund	Shares For	Shares Against	Shares Abstained
Floating Rate Strategies Fund	18,982,211	298,353	585,834
High Yield Fund	5,153,169	76,454	44,560
Investment Grade Bond Fund	3,300,563	82,306	38,957
Limited Duration Fund	—	—	—
Macro Opportunities Fund	17,447,610	185,719	528,395
Municipal Income Fund	2,221,466	321,638	59,821
Total Return Bond Fund	3,810,559	3,405	15,383

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OTHER INFORMATION (Unaudited) (continued)

Industry Concentration
Fund	Shares For	Shares Against	Shares Abstained
Floating Rate Strategies Fund	18,999,080	283,893	583,425
High Yield Fund	5,187,644	54,202	32,337
Investment Grade Bond Fund	3,362,605	20,041	39,180
Limited Duration Fund	—	—	—
Macro Opportunities Fund	17,479,149	170,784	511,791
Municipal Income Fund	2,224,599	322,286	56,040
Total Return Bond Fund	3,812,291	3,405	13,651
Real Estate
Fund	Shares For	Shares Against	Shares Abstained
Floating Rate Strategies Fund	19,031,621	249,074	585,703
High Yield Fund	5,187,334	55,326	31,523
Investment Grade Bond Fund	3,360,191	20,257	41,378
Limited Duration Fund	—	—	—
Macro Opportunities Fund	17,468,625	175,702	517,397
Municipal Income Fund	2,220,106	324,313	58,506
Total Return Bond Fund	3,811,136	3,406	14,805
Commodities
Fund	Shares For	Shares Against	Shares Abstained
Floating Rate Strategies Fund	19,019,533	25,723	588,142
High Yield Fund	5,162,082	69,526	42,575
Investment Grade Bond Fund	3,365,320	17,310	39,196
Limited Duration Fund	—	—	—
Macro Opportunities Fund	17,480,224	164,804	516,696
Municipal Income Fund	2,214,287	332,088	56,550
Total Return Bond Fund	3,809,404	3,406	16,537
Loans
Fund	Shares For	Shares Against	Shares Abstained
Floating Rate Strategies Fund	18,951,425	319,169	595,804
High Yield Fund	5,161,966	69,584	42,633
Investment Grade Bond Fund	3,296,742	84,534	40,550
Limited Duration Fund	—	—	—
Macro Opportunities Fund	17,430,634	201,144	529,946
Municipal Income Fund	2,210,239	333,029	59,657
Total Return Bond Fund	3,809,199	3,611	16,537
Borrowing
Fund	Shares For	Shares Against	Shares Abstained
Floating Rate Strategies Fund	18,951,276	316,849	598,273
High Yield Fund	5,164,423	67,126	42,634
Investment Grade Bond Fund	3,298,577	83,174	40,075
Limited Duration Fund	—	—	—
Macro Opportunities Fund	17,421,477	219,758	520,489
Municipal Income Fund	2,200,237	341,883	60,805
Total Return Bond Fund	3,808,865	5,677	14,805
Senior Securities
Fund	Shares For	Shares Against	Shares Abstained
Floating Rate Strategies Fund	19,023,526	249,154	593,718
High Yield Fund	5,186,498	56,161	31,524
Investment Grade Bond Fund	3,301,604	79,922	40,300
Limited Duration Fund	—	—	—
Macro Opportunities Fund	17,460,752	179,089	521,883
Municipal Income Fund	2,212,873	333,439	56,613
Total Return Bond Fund	3,808,249	4,561	16,537

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OTHER INFORMATION (Unaudited) (continued)

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Office Locations

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

330 Madison Avenue

10th Floor

New York, NY 10017

(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

Board Considerations in Approving the Investment Advisory Agreements

At a meeting held on November 11, 2013 (the “November Meeting”), in connection with other actions taken to consider whether to approve the reorganization of the funds from series of Kansas corporations (the “Predecessor Funds”) into series of a Delaware statutory trust, Guggenheim Funds Trust (the “Trust” and its series, the “New Series”), the members of the Boards of Directors of the Kansas corporations (collectively, the “Predecessor Board” and the members individually, “Directors”), including the Directors who are not “interested persons,” as defined by the Investment Company Act of 1940, as amended (the “1940 Act”), of the corporations (the “Independent Directors”) appointed the then-investment advisers and sub-advisers of the Predecessor Funds, including, as discussed below, with respect to the Guggenheim Limited Duration Fund, a newly organized series of one of the Kansas corporations, Security Income Fund (“Limited Duration Fund” or the “New Fund”), to serve in the same capacity to the corresponding New Series. The Predecessor Board also approved corresponding advisory and sub-advisory agreements, subject, for each Predecessor Fund, to approval of the reorganization of that fund by its shareholders (or, in the case of Limited Duration Fund, its sole initial shareholder) and approval of the new agreements by the initial sole shareholder of the corresponding New Series. The Directors based their approval on a variety of factors, including: the findings they had made during their May, June and August 2013 meetings at which the advisory and sub-advisory agreements of the Predecessor Funds had the most recently been approved, which are discussed in the Annual Report of the Predecessor Funds for the fiscal year ended September 30, 2013; the fact that new agreements are the same as the agreements then in place for the Predecessor Funds except for the name of the signatory, the applicable state law and the term of the agreements; and the intention that the new agreements would be subject to re-consideration after the reorganizations at meetings scheduled to be held for these purposes in April and May 2014.

Guggenheim Limited Duration Fund

At the November Meeting, each of the Independent Directors of Security Income Fund met independently of Fund management to consider the approval of the Advisory Agreement between Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”) and Security Income Fund, with respect to Limited Duration Fund. As part of its review process, the Independent Directors were represented by independent legal counsel (“Independent Legal Counsel”). Independent Legal Counsel reviewed with the Independent Directors various factors relevant to the consideration of the Advisory Agreement and the legal responsibilities of the Directors related to such consideration and assisted the Independent Directors in their deliberations.

The Directors, including the Independent Directors, discussed the Advisory Agreement in light of the regulatory requirements and criteria and assessed information concerning the Limited Duration Fund’s proposed fees and expenses, investment objective and policies, investment strategies, portfolio construction process and portfolio management team, among other things. For this purpose, management updated and supplemented materials previously

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OTHER INFORMATION (Unaudited) (continued)

provided to the Board in connection with the consideration of the Advisory Agreement between GPIM and Security Income Fund with respect to GPIM’s management of Guggenheim Total Return Bond Fund, Guggenheim Macro Opportunities Fund and Guggenheim Floating Rate Strategies Fund, other series of Security Income Fund. Among other things, GPIM provided updated organizational charts, information on significant personnel changes, schedules showing the proposed advisory fee for Limited Duration Fund compared to advisory fees charged by GPIM to other funds and to other non-fund clients with similar investment objectives to the New Fund and peer group comparisons of the proposed contractual advisory fee and total net expense ratio, as set forth in a report prepared by an independent, third party research provider, FUSE Research Networks LLC (“FUSE”). The Board also considered the variety of written materials, reports and oral presentations it received throughout the year, including information regarding performance and operating results of other registered investment companies for which GPIM serves as investment adviser or sub-adviser.

Following an analysis and discussion of the factors identified below, the Directors concluded that it was in the best interests of the Limited Duration Fund to approve the Advisory Agreement.

Nature, Extent and Quality of Services to be Provided by GPIM: With respect to the nature, extent and quality of services to be provided by GPIM, the Independent Directors considered the functions to be performed by GPIM for the Limited Duration Fund and reviewed information describing the background and experience of the persons to be responsible for the day-to-day management of the Limited Duration Fund. In this regard, the Independent Directors took into account the nature and quality of services provided by GPIM in the past, the firm’s management capabilities demonstrated with respect to the other mutual funds managed by GPIM, the professional qualifications and experience of its portfolio managers, and its investment and management oversight processes.

The Board also considered the acceptability of the terms of the Advisory Agreement, noting that the terms were consistent with the terms of the investment advisory/management agreements of other registered investment companies for which GPIM serves as investment adviser. Based on the foregoing, and based on other information received (both oral and written) at the November Meeting, as well as other considerations, the Board concluded that the Adviser and its personnel were qualified to serve the Limited Duration Fund in such capacity.

Investment Performance: With respect to performance, the Board noted that the Limited Duration Fund had no performance history and, instead, considered GPIM’s fixed-income expertise and the performance of other fixed income funds managed by GPIM.

Comparative Fees, Costs of Services to be Provided and the Profits to be Realized by GPIM from its Relationship with the Limited Duration Fund: The Board compared the Limited Duration Fund’s proposed contractual advisory fee and total net expense ratio to its peer group, as set forth in the FUSE report. The Board also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, other operating expenses, distribution fees and fee waivers/reimbursements) of the peer group of funds. In addition, the Board considered the New Fund’s proposed advisory fee as compared to the advisory fee charged by GPIM to other funds and clients with a similar investment objective and strategies, noting that although the Adviser not charge a lower advisory fee to any such registered investment companies, it does charge a lower advisory fee to certain separate account clients. In this regard, the Directors considered the Adviser’s explanation that lower fees are imposed in certain instances due to numerous factors, including the scope of contract, types of investors, applicable regulation and legal structure, tax status, redemptions, product lifecycle and economies of scale.

In considering the comparative fee and expense data, the Board noted that although the proposed contractual advisory fee for the New Fund’s Class A shares was above the peer group median, the total expense ratio was equal to the peer group median. The Board also took into account that the Adviser proposed a fee waiver/expense limitation agreement with respect to the Limited Duration Fund limiting ordinary operating expenses to 0.80% for Class A shares, 1.55% for Class C shares and 0.55% for Institutional shares. With respect to the costs of advisory services to be provided and estimated level of Profitability, on the basis of the Directors’ review of the fees to be charged by GPIM for investment advisory and related services, the Board concluded that it was too early to predict Profitability from the Limited Duration Fund, but the Directors also noted that they would have the opportunity in the future to periodically re-examine this matter.

The Board considered other benefits to be available to GPIM because of its relationship with the Limited Duration Fund and noted that GPIM may be deemed to benefit from proposed arrangements whereby an affiliate, Rydex Fund Services, LLC, will provide accounting and administration services and transfer agency services to the New Fund. In this regard, the Directors considered its prior review of the compensation arrangements for the provision of the foregoing services.

Economies of Scale to be Realized: With respect to economies of scale, the Board considered that the New Fund was in its start-up phase and concluded that the advisory fee schedule reflected an appropriate level of sharing of any economies of scale. The Directors considered management’s view that the Limited Duration Fund’s proposed advisory fee appropriately reflected the current economic environment and the competitive nature of the mutual fund market. The

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OTHER INFORMATION (Unaudited) (concluded)

Directors also noted that they would have the opportunity in the future to periodically re-examine whether the Limited Duration Fund had achieved economies of scale and the appropriateness of the advisory fees payable by the Limited Duration Fund to GPIM.

Overall Conclusions: Based on the foregoing, the Directors determined that the proposed investment advisory fee for the Limited Duration Fund is fair and reasonable in light of the extent and quality of the services to be provided and other benefits to be received and that the approval of the Advisory Agreement is in the best interests of the Limited Duration Fund and its shareholders. In reaching this conclusion, no single factor was determinative. The Board, including all of the Independent Directors, approved the Advisory Agreement with respect to the Limited Duration Fund for an initial term of two years.

Distributor Change

Effective March 3, 2014, Guggenheim Distributors, LLC (“GD”), the distributor for shares of the Funds will be consolidated into and with Guggenheim Funds Distributors, LLC (“GFD”). Following the consolidation, GFD will serve as the Funds’ distributor.

GD and GFD are both indirect, wholly-owned subsidiaries of Guggenheim Capital, LLC and, therefore, the consolidation will not result in a change of actual control of the Funds’ distributor. The primary goal of the consolidation is to achieve greater operational efficiencies and allow all of the Guggenheim funds, including funds that are not series of the Trusts, to be distributed by a single distributor.

The consolidation is not expected to affect the day-to-day management of the Funds or result in any material changes to the distribution of the Funds, including any changes to the distribution fees paid by the Funds.

Guggenheim Funds Trust

Guggenheim Funds Trust (the “Trust”), which was organized as a Delaware statutory trust on November 8, 2013, is registered with the Securities and Exchange Commission (“SEC”) as an investment company. The Trust is an open-end management investment company that, upon the demand of the investor, must redeem its shares and pay the investor the next calculated NAV. The Guggenheim Enhanced World Equity Fund (“Enhanced World Equity Fund”), Guggenheim Large Cap Value Fund (“Large Cap Value Fund”), Guggenheim Mid Cap Value Fund (“Mid Cap Value Fund”), Guggenheim Mid Cap Value Institutional Fund (“Mid Cap Value Institutional Fund”), Guggenheim Small Cap Value Fund (“Small Cap Value Fund”), Guggenheim StylePlus—Large Core Fund (“StylePlus— Large Core Fund”), Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”) and Guggenheim World Equity Income Fund (“World Equity Income Fund”) (collectively, the “Funds”) were previously series (the “Predecessor Funds”) of Security Equity Fund, Security Large Cap Value Fund and Security Mid Cap Growth Fund (the “Predecessor Corporations”), different registered open-end investment companies, which were organized as Kansas corporations. In January 2014, at special meetings of shareholders, the shareholders of each Predecessor Fund approved the reorganization of each Predecessor Fund with and into a corresponding “shell” series of the Trust. The shell series of the Trust succeeded to the accounting and performance histories of the Predecessor Funds. Any such historical information provided for a series of the Trust that relates to periods prior to January 28, 2014, therefore, is that of the corresponding Predecessor Fund.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT  |  109

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

Name, Address*	Position(s) Held	Term of Office	Principal Occupation(s)	Number of	Other Directorships
and Year of Birth	with the Trust	and Length of	During Past Five Years	Portfolios in	Held by Trustees
		Time Served**		Fund Complex
				Overseen
Independent Trustees
Randall C. Barnes	Trustee	Since 2014	Current: Private Investor (2001-present).	86	None.
(1951)
			Former: Senior Vice President and Treasurer,
			PepsiCo, Inc. (1993-1997); President, Pizza Hut
			International (1991-1993); Senior Vice
			President, Strategic Planning and New Business
			Development, PepsiCo, Inc. (1987-1990).
Donald A. Chubb, Jr.	Trustee and	Since 1994	Current: Business broker and manager of	82	None.
(1946)	Vice Chairman		commercial real estate, Griffith & Blair, Inc.
	of the Board		(1997-present).
Jerry B. Farley	Trustee and	Since 2005	Current: President, Washburn University	82	Current: Westar Energy,
(1946)	Vice Chairman		(1997-present).		Inc. (2004-present);
	of the Audit				CoreFirst Bank & Trust
	Committee				(2000-present).
Roman Friedrich III	Trustee and	Since 2014	Current: Founder and President, Roman	82	Current: Mercator Minerals
(1946)	Chairman of the		Friedrich & Company (1998-present).		Ltd. (2013-present); First
	Contracts Review				Americas Gold Corp.
	Committee		Former: Senior Managing Director, MLV & Co.		(2012-present); Zincore
			LLC (2010-2011).		Metals, Inc. (2009-present).
					Former: Blue Sky Uranium
					Corp. (2011-2012); Axiom
					Gold and Silver Corp.
					(2011-2012); Stratagold
					Corp. (2003-2009); GFM
					Resources Ltd. (2005-2010).
Robert B. Karn III	Trustee and	Since 2014	Current: Consultant (1998-present).	82	Current: Peabody Energy
(1942)	Chairman of the				Company (2003-present);
	Audit Committee		Former: Arthur Andersen (1965-1997) and		GP Natural Resource
			Managing Partner, Financial and Economic		Partners, LLC (2002- present).
			Consulting, St. Louis office (1987-1997).
Ronald A. Nyberg	Trustee and	Since 2014	Current: Partner, Nyberg & Cassioppi, LLC	88	None.
(1953)	Chairman of the		(2000-present).
	Nominating and
	Governance		Former: Executive Vice President,
	Committee		General Counsel, and Corporate Secretary,
			Van Kampen Investments (1982-1999).
Maynard F. Oliverius	Trustee and Vice	Since 1998	Retired.	82	None.
(1943)	Chairman of the
	Contracts Review		Former: President and CEO, Stormont-Vail
	Committee		HealthCare (1996-2012).
Ronald E. Toupin, Jr.	Trustee and	Since 2014	Current: Portfolio Consultant (2010-present).	85	Former: Bennett Group of
(1958)	Chairman of the				Funds (2011-2013).
	Board		Former: Vice President, Manager and Portfolio
			Manager, Nuveen Asset Management
			(1998-1999); Vice President, Nuveen
			Investment Advisory Corp. (1992-1999);
			Vice President and Manager, Nuveen Unit
			Investment Trusts (1991-1999); and Assistant
			Vice President and Portfolio Manager, Nuveen
			Unit Investment Trusts (1988-1999), each of
			John Nuveen & Co., Inc. (1982-1999).
Interested Trustee
Donald C. Cacciapaglia***	President, Chief	Since 2012	Current: President and CEO, certain other funds	214	Current: Delaware Life
(1951)	Executive Officer		in the Fund Complex (2012-present); Vice		(2013-present); Guggenheim
	and Trustee		Chairman, Guggenheim Investments		Life and Annuity Company
			(2010-present).		(2011-present); Paragon Life
					Insurance Company of
			Former: Chairman and CEO, Channel Capital		Indiana (2011-present).
			Group, Inc. (2002-2010).

*	The business address of each Trustee is c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, Maryland 20850
**	Each Trustee serves an indefinite term, until his successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of his position with the Funds’ Investment Manager and/or the parent of the Investment Manager.

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

OFFICERS
Name, Address*	Position(s) Held	Term of Office	Principal Occupation(s)
and Year of Birth	with the Trust	and Length of	During Past Five Years
		Time Served**
Joseph M. Arruda (1966)	Assistant Treasurer	Since 2010	Current: Assistant Treasurer, certain other funds in the Fund Complex (2006-present); Vice President, Security Investors, LLC (2010-present); CFO and Manager, Guggenheim Specialized Products, LLC (2009-present).
			Former: Vice President, Security Global Investors, LLC (2010-2011); Vice President, Rydex Advisors, LLC (2010); Vice President, Rydex Advisors II, LLC (2010).
William H. Belden, III (1965)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2006-present); Managing Director, Guggenheim Funds Investment Advisors, LLC (2005-present).
			Former: Vice President of Management, Northern Trust Global Investments (1999-2005).
Mark J. Furjanic (1959)	Assistant Treasurer	Since 2014	Current: Vice President, Guggenheim Investments (2005-present); Assistant Treasurer, certain other funds in the Fund Complex (2008-present).
			Former: Senior Manager, Ernst & Young LLP (1999-2005).
James Howley (1972)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
			Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Amy J. Lee	Vice President and	Since 1987	Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing
(1961)	Chief Legal Officer	(Secretary)	Director, Guggenheim Investments (2012-present).
		Since 2007
		(Vice President)	Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).
Derek Maltbie (1972)	Assistant Treasurer	Since 2014	Current: Vice President, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2011-present).
			Former: Assistant Vice President, Guggenheim Funds Investment Advisors, LLC (2005-2011); Supervisor, Mutual Fund Administration, Van Kampen Investments, Inc. (1995-2005).
Mark E. Mathiasen (1978)	Secretary	Since 2013	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director and Associate General Counsel, Guggenheim Funds Services, LLC, and affiliates (2007-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (April 2014-present); Associate, Guggenheim Investments (2012-present).
			Former: J.D., University of Kansas School of Law (2009-2012).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present).
			Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009).
Alison Santay (1974)	AML Officer	Since 2013	Current: AML Officer, certain other funds in the Fund Complex (2010-present); Director and AML Officer, Rydex Fund Services, LLC (2010-present); AML Officer, Security Investors, LLC (2010-present); Director, Shareholder Risk and Compliance, Rydex Fund Services, LLC (2004-present).
			Former: AML Officer, Guggenheim Distributors, LLC (2013-March 2014).
Kimberly Scott (1974)	Assistant Treasurer	Since 2014	Current: Vice President, Guggenheim Investments (2012-present) ; Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
			Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (April 2014-present); Director, Guggenheim Investments (2013-present).
			Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
John L. Sullivan (1955)	Chief Financial Officer and Treasurer	Since 2014	Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
			Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004).

*	The business address of each officer is c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, Maryland 20850.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.

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GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)

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

Our Commitment to You

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

The Information We Collect About You

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

How We Handle Your Personal Information

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

Opt Out Provisions

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

How We Protect Privacy Online

Our concern for the privacy of our shareholders also extends to those who use our web site, guggenheiminvestments.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Guggenheim Investments web site offers customized features that require our use of “http cookies”—tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

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.

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GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) (concluded)

We’ll Keep You Informed

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

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Item 2.	Code of Ethics.
	Not required at this time.
Item 3.	Audit Committee Financial Expert.
	Not required at this time.
Item 4.	Principal Accountant Fees and Services.
	Not required at this time.
Item 5.	Audit Committee of Listed Registrants.
	Not applicable.
Item 6.	Investments.
	The Schedule of Investments is included under Item 1 of this form.
Item 7.	Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
	Not applicable.
Item 8.	Portfolio Mangers of Closed-end Management Investment Companies
	Not applicable
Item 9.	Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
	Not applicable.
Item 10.	Submission of Matters to a Vote of Security Holders.

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

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

Item 11. Controls and Procedures.

(a)	The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and
	procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.
(b)	The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

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

SIGNATURES

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

(Registrant)	Guggenheim Funds Trust
By (Signature and Title)*	/s/ Donald C. Cacciapaglia
	Donald C. Cacciapaglia, President

Date June 6, 2014

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 6, 2014

By (Signature and Title)*	/s/ John L. Sullivan
	John L. Sullivan, Chief Financial Officer, Chief Accounting Officer and Treasurer

Date June 6, 2014

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