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)

Amy J. Lee

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, 2016

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

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

Item 1. Reports to Stockholders.

The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:

 

3.31.2016

Guggenheim Funds Semi-Annual Report

Guggenheim Funds Trust-Equity

Guggenheim Alpha Opportunity Fund

Guggenheim Large Cap Value Fund

Guggenheim Market Neutral Real Estate Fund

Guggenheim Risk Managed Real Estate Fund

Guggenheim Small Cap Value Fund

Guggenheim StylePlus—Large Core Fund

Guggenheim StylePlus—Mid Growth Fund

Guggenheim World Equity Income Fund

SBE-SEMI-0316x0916 guggenheiminvestments.com

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
ALPHA OPPORTUNITY FUND	8
LARGE CAP VALUE FUND	22
MARKET NEUTRAL REAL ESTATE FUND	31
RISK MANAGED REAL ESTATE FUND	39
SMALL CAP VALUE FUND	51
STYLEPLUS—LARGE CORE FUND	60
STYLEPLUS—MID GROWTH FUND	71
WORLD EQUITY INCOME FUND	82
NOTES TO FINANCIAL STATEMENTS	92
OTHER INFORMATION	106
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	110
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	114

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2016

Dear Shareholder:

Security Investors, LLC and Guggenheim Partners Investment Management (the “Investment Advisers”) are pleased to present the semi-annual shareholder report for a selection of our Funds (the “Funds”) for the six-month period ended March 31, 2016.

The Investment Advisers is 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, 2016

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 (Unaudited) March 31, 2016

Financial markets were buffeted by a variety of events over the past six months, including volatility in the oil market, weak growth in China, ongoing stimulus from global central banks, and a 25 basis point increase in the U.S. federal funds target rate in December. While the direct impact of the move was fairly insignificant, the decision to begin normalization of interest rates after seven years of unprecedented liquidity provision was not. Indeed, in 2015, risk assets posted their worst annual performance since the 2008 financial crisis, as market participants’ expectations for the start of rate hikes collided with concern about plunging commodity prices, and slowing economic growth in China and other emerging market economies.

As 2016 began, forecasts for U.S. and global economic growth were downgraded, and recession fears surged along with market volatility. Estimates for first quarter gross domestic product (“GDP”) in the U.S. were marked down, even though first quarter GDP has undershot full-year growth rates in six out of the last seven years. Risk assets rallied in the last half of the first quarter, led by a dovish pivot in the U.S. Federal Reserve’s (the “Fed”) communication that spurred a rally in crude oil and a reversal of dollar strength. The weaker dollar, along with optimism about a production freeze agreed to by a group of major oil producing countries, helped oil to rebound. After falling in the early weeks of the year to a cycle low of $26 per barrel on February 11, 2016 the front-month West Texas Intermediate (“WTI”) oil futures contract rallied as high as $40 per barrel before closing the quarter at $38 per barrel.

The outlook for economic growth outside the U.S. softened in the first quarter. A further deterioration in the euro zone inflation outlook prompted the European Central Bank (“ECB”) to announce an increase in the size of its monthly asset purchases and reduce its deposit rate to -40 basis points. European government bonds rallied following the announcement, with the 10-year German bond ending the first quarter with a yield of just 16 basis points.

Ongoing stimulus efforts in Asia also appeared likely to contribute to low U.S. rates. Chinese industrial production growth continued to slow in early 2016, prompting the People’s Bank of China (“PBOC”) to stimulate credit growth by allowing banks to hold fewer reserves against deposits. And after years of struggling with stagnant growth and low inflation, the Bank of Japan (“BOJ”) surprised markets by cutting its key interest rate to -10 basis points in January. The negative rates pushed a considerable amount of Japanese savings into foreign markets.

In an environment where global rates are moving lower and markets are already starved for yield, foreign investors began looking to the U.S. Guggenheim expects that U.S. Treasury yields will fall further as the gravitational pull of global yields gets stronger, and does not discount the possibility of 10-year U.S. Treasury yields declining to closer to 1 percent before the end of the year.

A stronger dollar has weighed on the U.S. economy, but consumer spending has been resilient. The labor market is now operating near full employment, and tight labor market conditions are beginning to spur faster wage growth. We believe the U.S. economy is fundamentally sound, and find little evidence to support the conclusion that the economy will fall into a recession in 2016.

Despite the relative health of the U.S. economy, markets are concerned that sluggish global growth will hold back the U.S. expansion, that inflation will remain below the Fed’s target for longer, and that tighter conditions in credit markets have raised recession risks. Our view is that the Fed remains focused on fulfilling its dual mandate objectives of maximum employment and price stability, and thus is biased toward normalizing policy. We expect further declines in the unemployment rate as job gains outstrip growth in the labor force. Meanwhile, core and headline inflation should move closer to the Fed’s target by year end, reflecting our forecasts for a tighter labor market and a modest rise in oil prices. Normally, this would result in at least two Fed rate hikes on the table for 2016, but the U.S. Fed is becoming more sensitive to global financial conditions and the extent of global money flows that occur as monetary policy in the U.S. diverges from Europe, Japan and China. As a result, we have reduced our expectations for a June rate hike, although it would normally be an easy call. We continue to believe a December rate hike is a near certainty. A solid macroeconomic backdrop and a rebalancing oil market should support an improving credit picture in the second half of 2016.

For the six months ended March 31, 2016, the Standard & Poor’s 500^® (“S&P 500”) Index* returned 8.49%. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index* returned 1.56%. The return of the MSCI Emerging Markets Index* was 6.41%.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2016

In the bond market, the Barclays U.S. Aggregate Bond Index* posted a 2.44% return for the period, while the Barclays U.S. Corporate High Yield Index* returned 1.22%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.11% 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 U.S. dollar 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.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, 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, 2015 and ending March 31, 2016.

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 up to the past five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

	ExpenseRatio1	Fund Return	Beginning Account Value September 30, 2015	Ending Account Value March 31, 2016	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Alpha Opportunity Fund
A-Class	2.88%	5.82%	$  1,000.00	$  1,058.20	$  14.82
C-Class	3.67%	5.40%	1,000.00	1,054.00	18.85
P-Class	3.28%	5.82%	1,000.00	1,058.20	16.88
Institutional Class	2.54%	5.95%	1,000.00	1,059.50	13.08
Large Cap Value Fund
A-Class	1.17%	5.95%	1,000.00	1,059.50	6.02
C-Class	1.92%	5.58%	1,000.00	1,055.80	9.87
P-Class	1.17%	6.03%	1,000.00	1,060.30	6.03
Institutional Class	0.91%	6.08%	1,000.00	1,060.80	4.69
Market Neutral Real Estate Fund4
A-Class	1.64%	(1.60%)	1,000.00	984.00	1.42
C-Class	2.40%	(1.68%)	1,000.00	983.20	2.08
P-Class	1.65%	(1.60%)	1,000.00	984.00	1.43
Institutional Class	1.39%	(1.60%)	1,000.00	984.00	1.21
Risk Managed Real Estate Fund
A-Class	1.81%	10.05%	1,000.00	1,100.50	9.50
C-Class	2.54%	9.62%	1,000.00	1,096.20	13.31
P-Class	1.78%	10.05%	1,000.00	1,100.50	9.35
Institutional Class	1.54%	10.20%	1,000.00	1,102.00	8.09
Small Cap Value Fund
A-Class	1.32%	7.38%	1,000.00	1,073.80	6.84
C-Class	2.07%	7.12%	1,000.00	1,071.20	10.72
P-Class	1.32%	7.46%	1,000.00	1,074.60	6.85
Institutional Class	1.07%	7.55%	1,000.00	1,075.50	5.55
StylePlus—Large Core Fund
A-Class	1.35%	7.84%	1,000.00	1,078.40	7.01
C-Class	2.32%	7.31%	1,000.00	1,073.10	12.02
P-Class	1.22%	7.75%	1,000.00	1,077.50	6.34
Institutional Class	1.02%	8.46%	1,000.00	1,084.60	5.32
StylePlus—Mid Growth Fund
A-Class	1.50%	4.12%	1,000.00	1,041.20	7.65
C-Class	2.39%	3.68%	1,000.00	1,036.80	12.17
P-Class	1.52%	3.92%	1,000.00	1,039.20	7.75
Institutional Class	1.52%	4.14%	1,000.00	1,041.40	7.76
World Equity Income Fund
A-Class	1.48%	8.15%	1,000.00	1,081.50	7.70
C-Class	2.23%	7.82%	1,000.00	1,078.20	11.59
P-Class	1.48%	8.38%	1,000.00	1,083.80	7.71
Institutional Class	1.22%	8.29%	1,000.00	1,082.90	6.35

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2015	Ending Account Value March 31, 2016	Expenses Paid During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Alpha Opportunity Fund
A-Class	2.88%	5.00%	$ 1,000.00	$ 1,010.60	$ 14.48
C-Class	3.67%	5.00%	1,000.00	1,006.65	18.41
P-Class	3.28%	5.00%	1,000.00	1,008.60	16.47
Institutional Class	2.54%	5.00%	1,000.00	1,012.30	12.78
Large Cap Value Fund
A-Class	1.17%	5.00%	1,000.00	1,019.15	5.91
C-Class	1.92%	5.00%	1,000.00	1,015.40	9.67
P-Class	1.17%	5.00%	1,000.00	1,019.15	5.91
Institutional Class	0.91%	5.00%	1,000.00	1,020.45	4.60
Market Neutral Real Estate Fund4
A-Class	1.64%	5.00%	1,000.00	1,016.80	8.27
C-Class	2.40%	5.00%	1,000.00	1,013.00	12.08
P-Class	1.65%	5.00%	1,000.00	1,016.75	8.32
Institutional Class	1.39%	5.00%	1,000.00	1,018.05	7.01
Risk Managed Real Estate Fund
A-Class	1.81%	5.00%	1,000.00	1,015.95	9.12
C-Class	2.54%	5.00%	1,000.00	1,012.30	12.78
P-Class	1.78%	5.00%	1,000.00	1,016.10	8.97
Institutional Class	1.54%	5.00%	1,000.00	1,017.30	7.77
Small Cap Value Fund
A-Class	1.32%	5.00%	1,000.00	1,018.40	6.66
C-Class	2.07%	5.00%	1,000.00	1,014.65	10.43
P-Class	1.32%	5.00%	1,000.00	1,018.40	6.66
Institutional Class	1.07%	5.00%	1,000.00	1,019.65	5.40
StylePlus—Large Core Fund
A-Class	1.35%	5.00%	1,000.00	1,018.25	6.81
C-Class	2.32%	5.00%	1,000.00	1,013.40	11.68
P-Class	1.22%	5.00%	1,000.00	1,018.90	6.16
Institutional Class	1.02%	5.00%	1,000.00	1,019.90	5.15
StylePlus—Mid Growth Fund
A-Class	1.50%	5.00	1,000.00	1,017.50	7.57
C-Class	2.39%	5.00	1,000.00	1,013.05	12.03
P-Class	1.52%	5.00	1,000.00	1,017.40	7.67
Institutional Class	1.52%	5.00	1,000.00	1,017.40	7.67
World Equity Income Fund
A-Class	1.48%	5.00	1,000.00	1,017.60	7.47
C-Class	2.23%	5.00	1,000.00	1,013.85	11.23
P-Class	1.48%	5.00	1,000.00	1,017.60	7.47
Institutional Class	1.22%	5.00	1,000.00	1,018.90	6.16

1	This ratio represents annualized net expenses, which may include short dividend and interest expenses. Excluding these expenses, the operating expense ratio for the Alpha Opportunity Fund would be 2.11%, 2.86%, 2.11% and 1.86% and the Risk Managed Real Estate Fund would be 1.30%, 2.03%, 1.27% and 1.03% for the A-Class, C-Class, P-Class and Institutional Class, respectively. Excludes expenses of the underlying funds in which the Funds invest.
2	Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2015 to March 31, 2016.
4	Since commencement of operations: February 26, 2016. Due to the limited length of Class operations, current expense ratios may not be indicative of future expense ratios. Expenses paid based on actual fund returns are calculated using 32 days from the commencement of operations. Expenses paid based on the hypothetical 5% return are calculated using 183 days.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

FUND PROFILE (Unaudited) March 31, 2016

ALPHA OPPORTUNITY FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

 

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

Inception Dates:
A-Class	July 7, 2003
C-Class	July 7, 2003
P-Class	May 1, 2015
Institutional Class	November 7, 2008

Ten Largest Long Holdings (% of Total Net Assets)
Verizon Communications, Inc.	1.2%
Cal-Maine Foods, Inc.	1.2%
AbbVie, Inc.	1.2%
Prudential Financial, Inc.	1.2%
Wal-Mart Stores, Inc.	1.1%
UGI Corp.	1.1%
Tyson Foods, Inc. — Class A	1.1%
MetLife, Inc.	1.1%
HP, Inc.	1.1%
FirstEnergy Corp.	1.1%
Top Ten Total	11.4%
“Ten Largest Long Holdings” excludes any temporary cash or derivative investments.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
ALPHA OPPORTUNITY FUND

	Shares		Value
COMMON STOCKS† - 86.6%
Consumer, Non-cyclical - 26.2%
Cal-Maine Foods, Inc.		19,261	$	999,839
AbbVie, Inc.1		16,728		955,503
Tyson Foods, Inc. — Class A1		13,580		905,243
Express Scripts Holding Co.*,1		12,614		866,456
Ingredion, Inc.1		7,736		826,127
Sanderson Farms, Inc.		9,048		815,949
HCA Holdings, Inc.*,1		9,382		732,265
Flowers Foods, Inc.1		39,622		731,422
Laboratory Corporation of America Holdings*		6,079		712,033
Quest Diagnostics, Inc.1		9,769		697,995
DaVita HealthCare Partners, Inc.*		9,385		688,671
United Therapeutics Corp.*,1		5,502		613,088
United Rentals, Inc.*		9,779		608,156
Merck & Company, Inc.		11,493		608,095
MEDNAX, Inc.*,1		8,981		580,352
St. Jude Medical, Inc.1		10,455		575,025
Johnson & Johnson		4,619		499,776
ManpowerGroup, Inc.		5,882		478,912
Total System Services, Inc.		10,015		476,514
JM Smucker Co.		3,579		464,697
Robert Half International, Inc.		9,765		454,854
Darling Ingredients, Inc.*,1		33,616		442,723
Varian Medical Systems, Inc.*		5,268		421,545
Post Holdings, Inc.*		5,923		407,325
Philip Morris International, Inc.		4,033		395,678
Dean Foods Co.1		22,507		389,821
Charles River Laboratories International, Inc.*		4,699		356,842
LifePoint Health, Inc.*,1		5,004		346,527
Dr Pepper Snapple Group, Inc.1		3,483		311,450
Whole Foods Market, Inc.1		9,788		304,505
SpartanNash Co.1		9,946		301,463
RR Donnelley & Sons Co.		18,081		296,529
Cambrex Corp.*		6,719		295,636
Mead Johnson Nutrition Co. — Class A		3,478		295,526
Owens & Minor, Inc.1		7,056		285,203
Mondelez International, Inc. — Class A		6,991		280,479
ResMed, Inc.1		4,820		278,692
Community Health Systems, Inc.*,1		14,529		268,932
Magellan Health, Inc.*		3,887		264,044
VCA, Inc.*		4,396		253,605
Cardtronics, Inc.*		6,870		247,251
Deluxe Corp.1		3,862		241,336
Chemed Corp.		1,729		234,193
Air Methods Corp.*,1		6,281		227,498
Total Consumer, Non-cyclical				21,437,775
Industrial - 14.2%
Boeing Co.1		5,047		640,666
Huntington Ingalls Industries, Inc.1		3,679		503,802
Arrow Electronics, Inc.*,1		7,701		496,021
Tech Data Corp.*,1		5,998		460,467
Fluor Corp.1		8,298		445,602
Dycom Industries, Inc.*		5,997		387,826
AECOM*		12,213		376,038
Gentex Corp.		23,721		372,183
Jabil Circuit, Inc.1		19,057		367,228
ITT Corp.1		9,648		355,915
Knight Transportation, Inc.1		13,186		344,814
CSX Corp.		13,245		341,059
Dover Corp.1		4,977		320,170
Parker-Hannifin Corp.1		2,836		315,023
Avnet, Inc.1		7,036		311,695
Harris Corp.		3,975		309,494
Vishay Intertechnology, Inc.1		24,879		303,772
Rockwell Automation, Inc.		2,640		300,300
Waters Corp.*		2,157		284,551
Union Pacific Corp.		3,572		284,152
Crane Co.1		5,270		283,842
Barnes Group, Inc.1		7,955		278,664
Briggs & Stratton Corp.1		11,442		273,693
Sanmina Corp.*		11,686		273,219
Saia, Inc.*,1		9,672		272,267
Clean Harbors, Inc.*,1		5,502		271,469
Federal Signal Corp.1		19,924		264,192
Timken Co.1		7,805		261,390
Werner Enterprises, Inc.		9,487		257,667
Trinity Industries, Inc.1		14,009		256,505
Keysight Technologies, Inc.*,1		9,005		249,799
Jacobs Engineering Group, Inc.*,1		5,672		247,016
Applied Industrial Technologies, Inc.1		5,604		243,214
Mueller Industries, Inc.1		8,064		237,243
ArcBest Corp.1		10,806		233,301
Methode Electronics, Inc.1		7,908		231,230
Total Industrial				11,655,489
Financial - 11.6%
Prudential Financial, Inc.1		13,167		950,921
MetLife, Inc.1		20,553		903,099
Unum Group		22,129		684,229
Aflac, Inc.1		10,100		637,714
Affiliated Managers Group, Inc.*		2,907		472,097
Interactive Brokers Group, Inc. — Class A		11,920		468,694
Discover Financial Services1		9,113		464,034
American Express Co.		7,003		429,984
Bank of America Corp.		27,045		365,648
Ameriprise Financial, Inc.		3,838		360,810
Selective Insurance Group, Inc.1		8,919		326,525
Old Republic International Corp.		17,811		325,585
Aspen Insurance Holdings Ltd.1		6,658		317,587
Regions Financial Corp.		40,442		317,470
Torchmark Corp.		5,778		312,936
American Financial Group, Inc.		4,362		306,954
Hanover Insurance Group, Inc.		3,382		305,124
East West Bancorp, Inc.1		8,873		288,195
American Equity Investment Life Holding Co.1		15,500		260,400

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
ALPHA OPPORTUNITY FUND

	Shares		Value
Legg Mason, Inc.		7,448	$	258,297
WP GLIMCHER, Inc.		24,745		234,830
CNO Financial Group, Inc.		12,028		215,542
Waddell & Reed Financial, Inc. — Class A1		9,137		215,085
City Office REIT, Inc.		6,354		72,436
Total Financial				9,494,196
Technology - 10.9%
HP, Inc.		72,825		897,204
Apple, Inc.1		7,890		859,931
Hewlett Packard Enterprise Co.1		45,340		803,878
Intel Corp.		22,547		729,395
International Business Machines Corp.		3,998		605,497
Skyworks Solutions, Inc.		6,209		483,681
Micron Technology, Inc.*		45,301		474,302
Convergys Corp.1		15,599		433,184
Tessera Technologies, Inc.		13,870		429,970
Cirrus Logic, Inc.*,1		10,733		390,789
Texas Instruments, Inc.		6,354		364,847
CA, Inc.1		11,818		363,876
Nuance Communications, Inc.*		17,039		318,459
CACI International, Inc. — Class A*,1		2,824		301,321
Oracle Corp.1		6,867		280,929
Sykes Enterprises, Inc.*,1		8,959		270,383
NetApp, Inc.		8,666		236,495
Cabot Microelectronics Corp.1		5,722		234,087
Mentor Graphics Corp.		11,507		233,937
Icad, Inc.*,1		40,332		205,693
Total Technology				8,917,858
Consumer, Cyclical - 9.1%
Wal-Mart Stores, Inc.1		13,461		921,944
JetBlue Airways Corp.*,1		31,237		659,725
American Eagle Outfitters, Inc.1		38,785		646,546
CVS Health Corp.1		5,494		569,893
Foot Locker, Inc.		8,060		519,870
DR Horton, Inc.		16,924		511,612
UniFirst Corp.		4,600		501,952
Walgreens Boots Alliance, Inc.		5,796		488,255
Casey’s General Stores, Inc.1		3,612		409,312
Thor Industries, Inc.1		5,485		349,778
PACCAR, Inc.1		6,093		333,226
Children’s Place, Inc.		3,845		320,942
Guess?, Inc.1		14,198		266,496
Dana Holding Corp.1		17,721		249,689
Spirit Airlines, Inc.*,1		5,173		248,201
Select Comfort Corp.*,1		12,284		238,187
Macy’s, Inc.		5,104		225,035
Total Consumer, Cyclical				7,460,663
Communications - 7.3%
Verizon Communications, Inc.1		18,644		1,008,267
AT&T, Inc.1		21,351		836,319
Viacom, Inc. — Class B1		14,970		617,961
Discovery Communications, Inc. — Class A*,1		21,079		603,492
Juniper Networks, Inc.		20,017		510,634
Level 3 Communications, Inc.*		9,092		480,512
Time Warner, Inc.1		6,356		461,128
Comcast Corp. — Class A		6,311		385,476
AMC Networks, Inc. — Class A*		4,768		309,634
eBay, Inc.*		12,782		304,978
Polycom, Inc.*,1		20,214		225,386
General Communication, Inc. — Class A*,1		11,663		213,666
Total Communications				5,957,453
Utilities - 6.8%
UGI Corp.1		22,554		908,701
FirstEnergy Corp.		24,819		892,739
NextEra Energy, Inc.1		6,091		720,809
OGE Energy Corp.1		20,566		588,805
Pinnacle West Capital Corp.1		6,799		510,401
Southwest Gas Corp.		7,224		475,700
Ameren Corp.		8,574		429,557
American Electric Power Company, Inc.1		6,249		414,934
Vectren Corp.1		7,566		382,537
Edison International		3,337		239,897
Total Utilities				5,564,080
Basic Materials - 0.4%
Mosaic Co.1		12,432		335,664
Energy - 0.1%
PBF Logistics, LP		3,000		56,520
Total Common Stocks
(Cost $67,960,942)				70,879,698
SHORT TERM INVESTMENTS† - 7.0%
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares 0.19%2		5,760,593		5,760,593
Total Short Term Investments
(Cost $5,760,593)				5,760,593
Total Investments - 93.6%
(Cost $73,721,535)			$	76,640,291
COMMON STOCKS SOLD SHORT† - (29.0)%
Industrial - (1.3)%
EnPro Industries, Inc.		4,970		(286,670	)
Louisiana-Pacific Corp.*		47,230		(808,578	)
Total Industrial				(1,095,248	)
Communications - (1.4)%
Ruckus Wireless, Inc.*		26,229		(257,306	)
Facebook, Inc. — Class A*		2,667		(304,305	)
Amazon.com, Inc.*		1,024		(607,887	)
Total Communications				(1,169,498	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
ALPHA OPPORTUNITY FUND

	Shares		Value
Technology - (2.5)%
Red Hat, Inc.*		3,229	$	(240,593	)
Medidata Solutions, Inc.*		6,449		(249,641	)
Ultimate Software Group, Inc.*		1,341		(259,483	)
CommVault Systems, Inc.*		6,075		(262,258	)
Silicon Laboratories, Inc.*		6,018		(270,569	)
Electronics for Imaging, Inc.*		7,099		(300,926	)
Cypress Semiconductor Corp.		49,671		(430,151	)
Total Technology				(2,013,621	)
Consumer, Non-cyclical - (2.5)%
Acorda Therapeutics, Inc.*		6,686		(176,845	)
Cantel Medical Corp.		3,485		(248,689	)
Monro Muffler Brake, Inc.		4,210		(300,889	)
Live Nation Entertainment, Inc.*		16,986		(378,958	)
Alexion Pharmaceuticals, Inc.*		3,138		(436,872	)
Vertex Pharmaceuticals, Inc.*		6,751		(536,637	)
Total Consumer, Non-cyclical				(2,078,890	)
Basic Materials - (5.4)%
Compass Minerals International, Inc.		3,251		(230,366	)
PolyOne Corp.		8,085		(244,571	)
NewMarket Corp.		630		(249,644	)
Worthington Industries, Inc.		7,567		(269,688	)
RPM International, Inc.		6,138		(290,512	)
HB Fuller Co.		9,127		(387,441	)
Sensient Technologies Corp.		6,855		(435,018	)
Praxair, Inc.		4,845		(554,510	)
Ecolab, Inc.		7,590		(846,437	)
Royal Gold, Inc.		17,445		(894,754	)
Total Basic Materials				(4,402,941	)
Consumer, Cyclical - (5.7)%
Popeyes Louisiana Kitchen, Inc.*		4,029		(209,750	)
Callaway Golf Co.		24,300		(221,616	)
Starbucks Corp.		3,747		(223,696	)
Scotts Miracle-Gro Co. — Class A		3,153		(229,444	)
Regis Corp.*		15,318		(232,680	)
Sonic Automotive, Inc. — Class A		12,910		(238,577	)
Motorcar Parts of America, Inc.*		6,387		(242,578	)
Crocs, Inc.*		25,329		(243,665	)
Papa John’s International, Inc.		4,622		(250,466	)
Fred’s, Inc. — Class A		17,188		(256,273	)
Mobile Mini, Inc.		7,936		(262,047	)
Pool Corp.		3,330		(292,174	)
Wendy’s Co.		27,113		(295,260	)
LKQ Corp.*		9,712		(310,104	)
Lithia Motors, Inc. — Class A		3,878		(338,666	)
O’Reilly Automotive, Inc.*		1,379		(377,377	)
Signet Jewelers Ltd.		3,634		(450,725	)
Total Consumer, Cyclical				(4,675,098	)
Financial - (10.2)%
Community Bank System, Inc.		5,688		(217,339	)
Washington Federal, Inc.		9,883		(223,850	)
Safety Insurance Group, Inc.		4,010		(228,811	)
FNB Corp.		17,607		(229,067	)
Northfield Bancorp, Inc.		14,052		(231,015	)
American Assets Trust, Inc.		5,970		(238,323	)
Pennsylvania Real Estate Investment Trust		11,154		(243,715	)
Glacier Bancorp, Inc.		9,762		(248,150	)
Liberty Property Trust		7,479		(250,247	)
Webster Financial Corp.		7,449		(267,419	)
Sovran Self Storage, Inc.		2,331		(274,941	)
Associated Banc-Corp.		16,602		(297,840	)
Assurant, Inc.		4,039		(311,609	)
EastGroup Properties, Inc.		5,224		(315,373	)
Public Storage		1,308		(360,786	)
Alexandria Real Estate Equities, Inc.		4,283		(389,282	)
Highwoods Properties, Inc.		8,206		(392,329	)
Camden Property Trust		4,764		(400,605	)
Valley National Bancorp		50,739		(484,050	)
Retail Opportunity Investments Corp.		25,747		(518,029	)
Morgan Stanley		20,911		(522,984	)
Federal Realty Investment Trust		3,478		(542,742	)
Cousins Properties, Inc.		53,316		(553,420	)
Boston Properties, Inc.		4,508		(572,876	)
Total Financial				(8,314,802	)
Total Common Stocks Sold Short
(Proceeds $23,066,701)				(23,750,098	)
Total Securities Sold Short - (29.0)%
(Proceeds $23,066,701)			$	(23,750,098	)
Other Assets & Liabilities, net - 35.4%				29,026,511
Total Net Assets - 100.0%			$	81,916,704

	Unrealized Gain (Loss)
OTC EQUITY SWAP AGREEMENTS††
Morgan Stanley February 2017 Alpha Opportunity Long Custom Basket Swap 0.43%3, Terminating 02/03/17 (Notional Value $54,948,876)	$	3,561,738
OTC EQUITY SWAP AGREEMENTS Sold short††
Morgan Stanley February 2017 Alpha Opportunity Short Custom Basket Swap 0.37%4, Terminating 02/03/17 (Notional Value $55,947,792)	$	(4,086,030	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
ALPHA OPPORTUNITY FUND

	Shares		Unrealized Gain (Loss)
CUSTOM BASKET OF LONG SECURITIES3
CenturyLink, Inc.		28,732	$	184,312
Cisco Systems, Inc.		24,980		127,454
Frontier Communications Corp.		121,431		117,939
WellCare Health Plans, Inc.*		7,414		116,772
United Continental Holdings, Inc.*		9,199		114,262
Molina Healthcare, Inc.*		11,069		104,093
Gilead Sciences, Inc.		12,488		97,684
Hartford Financial Services Group, Inc.		14,667		94,115
Xerox Corp.		54,048		91,993
Southwest Airlines Co.		13,118		91,565
Cummins, Inc.		5,200		90,949
InterDigital, Inc.		8,557		90,366
Consolidated Edison, Inc.		13,287		85,838
Telephone & Data Systems, Inc.		12,475		83,390
Computer Sciences Corp.		21,557		78,147
Everest Re Group Ltd.		4,546		76,256
UnitedHealth Group, Inc.		5,816		75,777
Public Service Enterprise Group, Inc.		13,111		75,519
Energizer Holdings, Inc.		9,543		74,536
Entergy Corp.		9,547		73,321
Raymond James Financial, Inc.		13,137		71,327
QUALCOMM, Inc.		14,810		70,342
Goodyear Tire & Rubber Co.		15,454		67,095
Delphi Automotive plc		5,506		61,354
LyondellBasell Industries N.V. — Class A		5,602		60,671
Seagate Technology plc		14,030		60,405
Principal Financial Group, Inc.		20,488		60,340
IPG Photonics Corp.*		3,959		59,292
CenterPoint Energy, Inc.		25,485		58,236
Universal Health Services, Inc. — Class B		5,618		56,082
Pitney Bowes, Inc.		16,862		49,060
Alaska Air Group, Inc.		3,743		47,573
Delta Air Lines, Inc.		15,252		44,539
Corning, Inc.		18,975		44,022
Travelers Companies, Inc.		4,442		43,695
GameStop Corp. — Class A		8,342		41,043
Dick's Sporting Goods, Inc.		5,407		40,511
Scripps Networks Interactive, Inc. — Class A		10,003		39,534
Textron, Inc.		14,313		38,825
Western Union Co.		23,851		37,505
Progressive Corp.		7,471		34,815
SYNNEX Corp.		4,816		32,112
Allstate Corp.		4,117		28,160
Great Plains Energy, Inc.		8,785		28,096
General Mills, Inc.		4,289		27,346
WR Berkley Corp.		4,236		25,119
Teradyne, Inc.		12,490		24,905
Archer-Daniels-Midland Co.		29,663		24,522
Albemarle Corp.		4,476		24,403
Best Buy Company, Inc.		6,785		23,931
SunTrust Banks, Inc.		18,083		22,278
DST Systems, Inc.		3,687		20,542

F5 Networks, Inc.*	2,673		20,010
ConAgra Foods, Inc.	7,503		19,635
Teradata Corp.*	10,343		18,947
Carlisle Companies, Inc.	2,413		17,991
Cognizant Technology Solutions Corp. — Class A*	3,821		17,960
Cardinal Health, Inc.	7,568		17,785
EMCOR Group, Inc.	5,261		16,107
Mallinckrodt plc*	11,964		14,973
JPMorgan Chase & Co.	15,369		14,540
First Solar, Inc.*	7,026		14,489
AGCO Corp.	9,161		14,128
Snap-on, Inc.	1,703		13,858
Synchrony Financial*	9,897		12,962
Altria Group, Inc.	6,049		12,712
Microsoft Corp.	4,260		12,136
PepsiCo, Inc.	3,397		11,920
Amsurg Corp. — Class A*	5,671		11,296
Fifth Third Bancorp	14,606		8,983
Lincoln National Corp.	17,281		8,756
Ford Motor Co.	18,261		7,730
Visa, Inc. — Class A	2,990		6,353
Procter & Gamble Co.	3,346		4,064
Atlantic Tele-Network, Inc.	7,656		(1,519	)
Citigroup, Inc.	9,530		(2,011	)
Michael Kors Holdings Ltd.*	4,178		(2,513	)
Amgen, Inc.	5,077		(2,550	)
McKesson Corp.	3,036		(3,669	)
Hologic, Inc.*	12,144		(10,123	)
Kroger Co.	15,187		(26,679	)
Biogen, Inc.*	2,409		(29,672	)
Total Custom Basket of Long Securities			3,530,566
CUSTOM BASKET OF SHORT SECURITIES4
CF Industries Holdings, Inc.	(11,108	)	53,421
Hanesbrands, Inc.	(15,804	)	43,169
Intercontinental Exchange, Inc.	(1,607	)	42,285
AutoNation, Inc.*	(4,194	)	26,129
Cree, Inc.*	(6,876	)	21,657
Tangoe, Inc.*	(30,728	)	14,523
HCP, Inc.	(29,682	)	14,450
Celgene Corp.*	(3,852	)	12,816
International Flavors & Fragrances, Inc.	(2,916	)	11,292
Bank of the Ozarks, Inc.	(5,597	)	9,842
Goldman Sachs Group, Inc.	(3,925	)	5,127
NIKE, Inc. — Class B	(4,630	)	5,072
Domino's Pizza, Inc.	(1,822	)	4,156
Buffalo Wild Wings, Inc.*	(1,814	)	3,751
Boston Beer Company, Inc. — Class A*	(1,175	)	3,086
Crown Castle International Corp.	(6,185	)	2,802
TripAdvisor, Inc.*	(4,074	)	2,672
Macerich Co.	(2,826	)	1,506
Reynolds American, Inc.	(4,413	)	338

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
ALPHA OPPORTUNITY FUND

	Shares			Unrealized Loss
Expedia, Inc.		(2,346	)	$	(390	)
Taubman Centers, Inc.		(3,068	)		(544	)
Royal Caribbean Cruises Ltd.		(5,057	)		(1,407	)
Hormel Foods Corp.		(5,164	)		(1,540	)
Under Armour, Inc. — Class A*		(9,186	)		(2,102	)
Edwards Lifesciences Corp.*		(4,252	)		(3,544	)
WhiteWave Foods Co. — Class A*		(5,556	)		(4,851	)
Signature Bank*		(2,618	)		(5,697	)
Leucadia National Corp.		(23,811	)		(5,719	)
Intersil Corp. — Class A		(16,687	)		(6,833	)
Ross Stores, Inc.		(5,063	)		(6,913	)
Deere & Co.		(7,554	)		(7,976	)
Orbital ATK, Inc.		(4,556	)		(8,603	)
Nasdaq, Inc.		(3,592	)		(8,605	)
Dollar Tree, Inc.*		(11,963	)		(10,079	)
Cheesecake Factory, Inc.		(4,381	)		(10,167	)
PayPal Holdings, Inc.*		(7,012	)		(10,585	)
Illumina, Inc.*		(2,210	)		(10,757	)
Marsh & McLennan Companies, Inc.		(3,841	)		(11,010	)
Core-Mark Holding Company, Inc.		(3,859	)		(11,205	)
Tractor Supply Co.		(3,191	)		(11,802	)
Automatic Data Processing, Inc.		(3,646	)		(11,906	)
Douglas Emmett, Inc.		(11,034	)		(12,284	)
Equity One, Inc.		(17,020	)		(12,297	)
Regency Centers Corp.		(5,782	)		(12,714	)
Weingarten Realty Investors		(7,403	)		(13,414	)
Panera Bread Co. — Class A*		(1,553	)		(13,783	)
VF Corp.		(8,787	)		(14,393	)
Twenty-First Century Fox, Inc. — Class A		(9,111	)		(14,805	)
Bristol-Myers Squibb Co.		(7,329	)		(15,172	)
Stillwater Mining Co.*		(16,000	)		(15,410	)
Apartment Investment & Management Co. — Class A		(5,924	)		(15,808	)
Kite Realty Group Trust		(16,821	)		(16,036	)
Host Hotels & Resorts, Inc.		(16,188	)		(16,136	)
M&T Bank Corp.		(2,654	)		(16,206	)
Group 1 Automotive, Inc.		(4,475	)		(16,567	)
Mattel, Inc.		(12,536	)		(17,161	)
Advance Auto Parts, Inc.		(1,922	)		(17,241	)
Semtech Corp.*		(13,121	)		(18,165	)
Post Properties, Inc.		(6,838	)		(18,360	)
Carnival Corp.		(4,578	)		(18,465	)
Eversource Energy		(4,269	)		(18,737	)
MSCI, Inc. — Class A		(3,183	)		(19,276	)
Urban Edge Properties		(10,183	)		(19,416	)
Equity Residential		(7,874	)		(19,501	)
Medical Properties Trust, Inc.		(19,161	)		(20,941	)
National Retail Properties, Inc.		(8,325	)		(22,100	)
Kaiser Aluminum Corp.		(3,425	)		(22,169	)
Balchem Corp.		(4,629	)		(22,764	)
Healthcare Realty Trust, Inc.		(13,618	)		(23,343	)
Nielsen Holdings plc		(4,462	)		(23,477	)
Alliant Energy Corp.		(3,755	)		(24,119	)
BlackRock, Inc. — Class A		(1,316	)		(24,572	)
UDR, Inc.		(10,102	)		(24,632	)
MDU Resources Group, Inc.		(18,929	)		(25,045	)
Woodward, Inc.		(4,450	)		(27,555	)
Netflix, Inc.*		(4,032	)		(28,427	)
Dominion Resources, Inc.		(5,735	)		(29,268	)
Education Realty Trust, Inc.		(10,530	)		(29,996	)
Garmin Ltd.		(10,014	)		(31,836	)
Tanger Factory Outlet Centers, Inc.		(7,930	)		(32,459	)
New York Community Bancorp, Inc.		(55,830	)		(32,908	)
Aerovironment, Inc.*		(11,593	)		(32,952	)
General Electric Co.		(9,701	)		(33,109	)
Intuit, Inc.		(4,812	)		(33,407	)
Welltower, Inc.		(5,472	)		(35,150	)
People's United Financial, Inc.		(24,250	)		(35,212	)
Xylem, Inc.		(5,862	)		(36,136	)
Omega Healthcare Investors, Inc.		(10,093	)		(37,334	)
South Jersey Industries, Inc.		(11,031	)		(37,617	)
Kilroy Realty Corp.		(5,835	)		(38,019	)
PulteGroup, Inc.		(17,990	)		(38,077	)
DreamWorks Animation SKG, Inc. — Class A*		(36,270	)		(39,108	)
Cooper Companies, Inc.		(1,926	)		(39,250	)
Simon Property Group, Inc.		(1,972	)		(40,466	)
McGraw Hill Financial, Inc.		(2,687	)		(41,120	)
Extra Space Storage, Inc.		(6,653	)		(41,270	)
Sealed Air Corp.		(8,720	)		(41,729	)
Yum! Brands, Inc.		(4,813	)		(41,947	)
SL Green Realty Corp.		(9,605	)		(42,167	)
CME Group, Inc. — Class A		(7,332	)		(42,267	)
Duke Realty Corp.		(17,869	)		(42,874	)
Headwaters, Inc.*		(12,171	)		(45,010	)
Vornado Realty Trust		(6,003	)		(46,471	)
Corporate Office Properties Trust		(13,209	)		(47,154	)
Air Products & Chemicals, Inc.		(4,333	)		(47,219	)
Five Below, Inc.*		(8,621	)		(47,480	)
AvalonBay Communities, Inc.		(2,480	)		(48,472	)
Lennar Corp. — Class A		(6,984	)		(48,655	)
KBR, Inc.		(29,056	)		(48,705	)
PPG Industries, Inc.		(3,103	)		(49,338	)
Mack-Cali Realty Corp.		(13,741	)		(50,821	)
Ingersoll-Rand plc		(4,021	)		(52,987	)
Itron, Inc.*		(6,433	)		(54,030	)
Realty Income Corp.		(10,787	)		(55,249	)
Sherwin-Williams Co.		(2,025	)		(56,120	)
American Campus Communities, Inc.		(13,959	)		(57,022	)
American Tower Corp. — Class A		(5,982	)		(60,885	)
Rayonier, Inc.		(23,154	)		(62,495	)
Dunkin' Brands Group, Inc.		(10,501	)		(62,890	)
Eagle Materials, Inc.		(3,941	)		(62,906	)
Essex Property Trust, Inc.		(3,210	)		(67,072	)
Prologis, Inc.		(14,714	)		(69,843	)
Ventas, Inc.		(8,488	)		(71,115	)
Mercury General Corp.		(7,967	)		(72,775	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
ALPHA OPPORTUNITY FUND

	Shares			Unrealized Loss
Kansas City Southern		(5,579	)	$	(73,531	)
Autodesk, Inc.*		(7,536	)		(75,029	)
Olin Corp.		(39,466	)		(82,823	)
Ashland, Inc.		(5,953	)		(98,641	)
FMC Corp.		(23,209	)		(102,750	)
Wynn Resorts Ltd.		(4,073	)		(123,480	)
Martin Marietta Materials, Inc.		(5,164	)		(131,695	)
Vulcan Materials Co.		(8,858	)		(134,419	)
CarMax, Inc.*		(19,202	)		(135,428	)
J.C. Penney Company, Inc.*		(42,725	)		(149,800	)
Kate Spade & Co.*		(20,280	)		(155,548	)
Total Custom Basket of Short Securities					(4,008,170	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	All or a portion of this security is pledged as short security collateral at March 31, 2016.
2	Rate indicated is the 7 day yield as of March 31, 2016.
3	Total Return is based on the return of the custom basket of long securities +/- financing at a variable rate. Rate indicated is the rate effective at March 31, 2016.
4	Total Return is based on the return of the custom basket of short securities +/- financing at a variable rate. Rate indicated is the rate effective at March 31, 2016.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Common Stocks	$	70,879,698	$	—	$	—	$	—	$	70,879,698
Equity Swap Agreements		—		—		3,561,738		—		3,561,738
Short Term Investments		5,760,593		—		—		—		5,760,593
Total	$	76,640,291	$	—	$	3,561,738	$	—	$	80,202,029
Investments in Securities (Liabilities)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Common Stocks	$	23,750,098	$	—	$	—	$	—	$	23,750,098
Equity Swap Agreements		—		—		4,086,030		—		4,086,030
Total	$	23,750,098	$	—	$	4,086,030	$	—	$	27,836,128

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

For the period ended March 31, 2016, there were no transfers between levels.

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

ALPHA OPPORTUNITY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments, at value (cost $73,721,535)	$	76,640,291
Segregated cash with broker		27,166,732
Unrealized appreciation on swap agreements		3,561,738
Prepaid expenses		17,217
Cash		6,225
Receivables:
Fund shares sold		1,691,995
Securities sold		1,086,356
Dividends		74,887
Other assets		156
Total assets		110,245,597
Liabilities:
Securities sold short, at value (proceeds $23,066,701)		23,750,098
Unrealized depreciation on swap agreements		4,086,030
Payable for:
Securities purchased		128,503
Fund shares redeemed		115,579
Management fees		93,903
Swap settlement		69,781
Fund accounting/administration fees		6,245
Distribution and service fees		5,832
Transfer agent/maintenance fees		4,805
Trustees' fees*		729
Miscellaneous		67,388
Total liabilities		28,328,893
Net assets	$	81,916,704
Net assets consist of:
Paid in capital	$	83,593,129
Accumulated net investment loss		(222,779	)
Accumulated net realized loss on investments		(3,164,713	)
Net unrealized appreciation on investments		1,711,067
Net assets	$	81,916,704
A-Class:
Net assets	$	20,101,488
Capital shares outstanding		1,033,013
Net asset value per share	$	19.46
Maximum offering price per share (Net asset value divided by 95.25%)	$	20.43
C-Class:
Net assets	$	1,971,457
Capital shares outstanding		113,545
Net asset value per share	$	17.36
P-Class:
Net assets	$	2,766,736
Capital shares outstanding		142,162
Net asset value per share	$	19.46
Institutional Class:
Net assets	$	57,077,023
Capital shares outstanding		2,093,766
Net asset value per share	$	27.26

* 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 | 15

ALPHA OPPORTUNITY FUND

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016

Investment Income:
Dividends	$	566,056
Interest		701
Total investment income		566,757
Expenses:
Management fees		429,500
Transfer agent/maintenance fees:
A-Class		9,762
C-Class		1,412
P-Class		384
Institutional Class		6,042
Distribution and service fees:
A-Class		15,612
C-Class		7,133
P-Class		1,201
Fund accounting/administration fees		31,538
Short sales dividend expense		219,384
Registration fees		69,772
Prime broker interest expense		13,841
Custodian fees		9,248
Trustees’ fees*		2,225
Miscellaneous		57,692
Total expenses		874,746
Net investment loss		(307,989	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	(1,255,788	)
Swap agreements		638,863
Securities sold short		1,363,293
Net realized gain		746,368
Net change in unrealized appreciation (depreciation) on:
Investments		5,749,092
Securities sold short		(1,822,175	)
Swap agreements		(439,082	)
Net change in unrealized appreciation (depreciation)		3,487,835
Net realized and unrealized gain		4,234,203
Net increase in net assets resulting from operations	$	3,926,214

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

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

ALPHA OPPORTUNITY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment loss	$	(307,989	)	$	(514,996	)
Net realized gain on investments		746,368			666,067
Net change in unrealized appreciation (depreciation) on investments		3,487,835			(1,613,916	)
Net increase (decrease) in net assets resulting from operations		3,926,214			(1,462,845	)
Distributions to shareholders from:
Net investment income
A-Class		—			(1,982	)
C-Class		—			(278	)
Institutional Class		—			(297	)
Total distributions to shareholders		—			(2,557	)
Capital share transactions:
Proceeds from sale of shares
A-Class		9,475,404			5,408,836
B-Class		—			235
C-Class		847,431			265,649
P-Class		2,702,456			139,796	*
Institutional Class		6,430,827			50,445,467
Distributions reinvested
A-Class		—			1,956
C-Class		—			273
Institutional Class		—			297
Cost of shares redeemed
A-Class		(1,618,930	)		(2,010,069	)
B-Class		—			(93	)
C-Class		(169,607	)		(182,978	)
P-Class		(150,951	)		(4,920	)*
Institutional Class		(2,651,110	)		(225,328	)
Net increase from capital share transactions		14,865,520			53,839,121
Net increase in net assets		18,791,734			52,373,719
Net assets:
Beginning of period		63,124,970			10,751,251
End of period	$	81,916,704		$	63,124,970
(Accumulated net investment loss)/Undistributed net investment income at end of period	$	(222,779	)	$	85,210

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

ALPHA OPPORTUNITY FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		495,349			288,180
C-Class		50,557			15,608
P-Class		142,667			7,535	*
Institutional Class		241,798			1,897,857
Shares issued from reinvestment of distributions
A-Class		—			103
C-Class		—			16
Institutional Class		—			11
Shares redeemed
A-Class		(86,840	)		(107,421	)
C-Class		(10,053	)		(11,312	)
P-Class		(7,771	)		(269	)*
Institutional Class		(103,112	)		(8,239	)
Net increase in shares		722,595			2,082,069

* Since commencement of operations: May 1, 2015.

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

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Per Share Data
Net asset value, beginning of period	$	18.39		$	18.01		$	16.22		$	13.33		$	9.82		$	9.70
Income (loss) from investment operations:
Net investment income (loss)b		(.11	)		(.35	)		(.13	)		.03			(—	)c		(.04	)
Net gain (loss) on investments (realized and unrealized)		1.18			.73			1.92			2.86			3.48			.16
Payments by affiliates		—			—			—			—			.03	e		—
Total from investment operations		1.07			.38			1.79			2.89			3.51			.12
Less distributions from:
Net investment income		—			(—	)d		—			—			—			—
Total distributions		—			(—	)d		—			—			—			—
Net asset value, end of period	$	19.46		$	18.39		$	18.01		$	16.22		$	13.33		$	9.82
Total Returnf		5.82	%		2.13	%		11.04	%		21.38	%		35.74	%e		1.13	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	20,101		$	11,485		$	7,989		$	7,749		$	7,250		$	6,708
Ratios to average net assets:
Net investment income (loss)		(1.17	%)		(1.88	%)		(0.73	%)		0.19	%		(0.01	%)		(0.33	%)
Total expensesh		2.88	%		3.92	%		3.25	%		3.99	%		2.99	%		3.39	%
Net expensesi,j		2.88	%		2.94	%		2.12	%		2.14	%		2.21	%		2.15	%
Portfolio turnover rate		134	%		124	%		—			488	%		707	%		868	%

C-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Per Share Data
Net asset value, beginning of period	$	16.47		$	16.25		$	14.74		$	12.21		$	9.07		$	9.03
Income (loss) from investment operations:
Net investment income (loss)b		(.16	)		(.44	)		(.23	)		(.07	)		(.09	)		(.11	)
Net gain (loss) on investments (realized and unrealized)		1.05			.66			1.74			2.60			3.21			.15
Payments by affiliates		—			—			—			—			.02	e		—
Total from investment operations		.89			.22			1.51			2.53			3.14			.04
Less distributions from:
Net investment income		—			(—	)d		—			—			—			—
Total distributions		—			(—	)d		—			—			—			—
Net asset value, end of period	$	17.36		$	16.47		$	16.25		$	14.74		$	12.21		$	9.07
Total Returnf		5.40	%		1.38	%		10.24	%		20.48	%		34.62	%e		0.44	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,971		$	1,203		$	1,117		$	1,206		$	1,497		$	1,292
Ratios to average net assets:
Net investment income (loss)		(1.91	%)		(2.64	%)		(1.46	%)		(0.56	%)		(0.76	%)		(1.08	%)
Total expensesh		3.67	%		4.81	%		4.11	%		4.84	%		3.80	%		4.14	%
Net expensesi,j		3.67	%		3.68	%		2.87	%		2.89	%		2.96	%		2.90	%
Portfolio turnover rate		134	%		124	%		—			488	%		707	%		868	%

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

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Period Ended March 31, 2016a			Period Ended September 30, 2015g
Per Share Data
Net asset value, beginning of period	$	18.39		$	19.11
Income (loss) from investment operations:
Net investment income (loss)b		(.13	)		(.13	)
Net gain (loss) on investments (realized and unrealized)		1.20			(.59	)
Total from investment operations		1.07			(.72	)
Net asset value, end of period	$	19.46		$	18.39
Total Returnf		5.82	%		(3.77	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,767		$	134
Ratios to average net assets:
Net investment income (loss)		(1.41	%)		(1.77	%)
Total expensesh		3.28	%		3.31	%
Net expensesi,j		3.28	%		2.87	%
Portfolio turnover rate		134	%		124	%

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

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Per Share Data
Net asset value, beginning of period	$	25.73		$	25.13		$	22.58		$	18.52		$	13.53		$	13.33
Income (loss) from investment operations:
Net investment income (loss)b		(.11	)		(.40	)		(.12	)		.09			.04			(.01	)
Net gain (loss) on investments (realized and unrealized)		1.64			1.00			2.67			3.97			4.82			.21
Payments by affiliates		—			—			—			—			.13	e		—
Total from investment operations		1.53			.60			2.55			4.06			4.99			.20
Less distributions from:
Net investment income		—			(—	)d		—			—			—			—
Total distributions		—			(—	)d		—			—			—			—
Net asset value, end of period	$	27.26		$	25.73		$	25.13		$	22.58		$	18.52		$	13.53
Total Returnf		5.95	%		2.41	%		11.29	%		21.60	%		36.88	%e		1.50	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	57,077		$	50,304		$	1,645		$	1,740		$	1,518		$	1,326
Ratios to average net assets:
Net investment income (loss)		(.83	%)		(1.55	%)		(0.48	%)		0.43	%		0.24	%		(0.08	%)
Total expensesh		2.54	%		2.80	%		2.90	%		3.67	%		2.68	%		3.12	%
Net expensesi,j		2.54	%		2.80	%		1.87	%		1.90	%		1.96	%		1.90	%
Portfolio turnover rate		134	%		124	%		—			488	%		707	%		868	%

a	Unaudited figures for the period ended March 31, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Net investment income is less than $0.01 per share.
d	Distributions from net investment income are less than $0.01 per share.
e	For the year ended September 30, 2012, 0.30%, 0.22% and 0.96% of the Fund’s A-Class, C-Class and Institutional Class, respectively, total return consisted of a voluntary reimbursement by the Adviser for losses incurred during fund trading. Excluding this item, total return would have been 35.44%, 34.40% and 35.92% for the Fund’s A-Class, C-Class and Institutional Class, respectively.
f	Total return does not reflect the impact of any applicable sales charges.
g	Since commencement of operations: May 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
h	Does not include expenses of the underlying funds in which the Fund invests.
i	Net expense information reflects the expense ratios after expense waivers.
j	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the periods presented would be:

	03/31/16	09/30/15	09/30/14	09/30/13	09/30/12	09/30/11
A-Class	2.11%	2.11%	2.11%	2.11%	2.11%	2.11%
C-Class	2.86%	2.86%	2.86%	2.86%	2.86%	2.86%
P-Class	2.11%	2.10%	—	—	—	—
Institutional Class	1.86%	1.86%	1.86%	1.86%	1.86%	1.86%

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

FUND PROFILE (Unaudited) March 31, 2016

LARGE CAP VALUE FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

 

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

Inception Dates:
A-Class	August 7, 1944
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	June 7, 2013

Ten Largest Holdings (% of Total Net Assets)
JPMorgan Chase & Co.	3.3%
American International Group, Inc.	3.1%
Republic Services, Inc. — Class A	3.1%
Wells Fargo & Co.	3.0%
Johnson & Johnson	2.8%
Citigroup, Inc.	2.6%
Edison International	2.6%
Cisco Systems, Inc.	2.4%
Chevron Corp.	2.4%
Dow Chemical Co.	2.3%
Top Ten Total	27.6%
“Ten Largest Holdings” excludes any temporary cash investments.

22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
LARGE CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 96.6%
Financial - 25.0%
JPMorgan Chase & Co.		31,787	$	1,882,425
American International Group, Inc.		32,912		1,778,893
Wells Fargo & Co.		35,209		1,702,708
Citigroup, Inc.		35,846		1,496,571
Zions Bancorporation		40,548		981,667
Allstate Corp.		13,296		895,752
MasterCard, Inc. — Class A		7,349		694,481
Assured Guaranty Ltd.		24,484		619,445
Sun Communities, Inc.		7,881		564,358
PNC Financial Services Group, Inc.		6,348		536,850
BB&T Corp.		16,038		533,584
Bank of America Corp.		35,208		476,012
Charles Schwab Corp.		13,649		382,445
Simon Property Group, Inc.		1,795		372,804
Synchrony Financial*		12,824		367,536
Equity Residential		4,532		340,036
Unum Group		9,051		279,857
KeyCorp		25,002		276,022
Total Financial				14,181,446
Consumer, Non-cyclical - 16.4%
Johnson & Johnson		14,664		1,586,644
UnitedHealth Group, Inc.		8,554		1,102,611
Pfizer, Inc.		25,702		761,807
Bunge Ltd.		12,386		701,915
Hershey Co.		7,057		649,879
HCA Holdings, Inc.*		8,260		644,693
Medtronic plc		8,583		643,725
Quest Diagnostics, Inc.		8,697		621,401
Zimmer Biomet Holdings, Inc.		5,817		620,267
Sanderson Farms, Inc.		5,985		539,727
Philip Morris International, Inc.		4,633		454,544
Mondelez International, Inc. — Class A		9,916		397,830
Henry Schein, Inc.*		2,061		355,790
United Rentals, Inc.*		3,581		222,702
Total Consumer, Non-cyclical				9,303,535
Industrial - 12.5%
Republic Services, Inc. — Class A		37,138		1,769,625
FLIR Systems, Inc.		30,200		995,090
General Electric Co.		26,811		852,322
CH Robinson Worldwide, Inc.		8,453		627,466
Huntington Ingalls Industries, Inc.		4,244		581,173
TE Connectivity Ltd.		7,254		449,168
WestRock Co.		10,855		423,671
Harris Corp.		3,800		295,868
Eaton Corporation plc		4,622		289,152
Honeywell International, Inc.		2,534		283,935
CSX Corp.		10,858		279,594
Jabil Circuit, Inc.		14,381		277,122
Total Industrial				7,124,186
Energy - 9.4%
Chevron Corp.		14,386		1,372,424
Exxon Mobil Corp.		15,608		1,304,673
Kinder Morgan, Inc.		36,145		645,550
Marathon Oil Corp.		49,723		553,914
Hess Corp.		10,503		552,983
Whiting Petroleum Corp.*		36,433		290,735
Rowan Companies plc — Class A		14,757		237,588
Oasis Petroleum, Inc.*		27,332		198,977
Superior Energy Services, Inc.		12,674		169,705
Total Energy				5,326,549
Utilities - 8.2%
Edison International		20,690		1,487,403
Public Service Enterprise Group, Inc.		21,804		1,027,841
Ameren Corp.		12,863		644,436
OGE Energy Corp.		22,213		635,958
Exelon Corp.		9,831		352,540
UGI Corp.		8,575		345,487
Duke Energy Corp.		2,116		170,719
Total Utilities				4,664,384
Consumer, Cyclical - 7.5%
CVS Health Corp.		10,563		1,095,700
Lear Corp.		7,911		879,466
Target Corp.		7,523		618,992
Wal-Mart Stores, Inc.		8,880		608,191
J.C. Penney Company, Inc.*		31,110		344,077
PVH Corp.		3,280		324,917
Goodyear Tire & Rubber Co.		8,615		284,123
AutoNation, Inc.*		2,602		121,461
Total Consumer, Cyclical				4,276,927
Technology - 7.1%
Intel Corp.		30,932		1,000,649
QUALCOMM, Inc.		18,375		939,698
Lam Research Corp.		7,312		603,971
Applied Materials, Inc.		27,914		591,219
Microsoft Corp.		10,381		573,343
Texas Instruments, Inc.		5,207		298,986
Total Technology				4,007,866
Communications - 6.2%
Cisco Systems, Inc.		48,683		1,386,005
AT&T, Inc.		20,254		793,349
DigitalGlobe, Inc.*		29,741		514,519
Scripps Networks Interactive, Inc. — Class A		7,345		481,098
Yahoo!, Inc.*		9,052		333,204
Total Communications				3,508,175

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
LARGE CAP VALUE FUND

	Shares		Value
Basic Materials - 4.3%
Dow Chemical Co.		26,117	$	1,328,310
Reliance Steel & Aluminum Co.		10,315		713,695
Olin Corp.		16,753		291,000
Freeport-McMoRan, Inc.		13,123		135,692
Total Basic Materials				2,468,697
Total Common Stocks
(Cost $52,021,050)				54,861,765
SHORT TERM INVESTMENTS† - 3.8%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.18%1		2,183,782		2,183,782
Total Short Term Investments
(Cost $2,183,782)				2,183,782
Total Investments - 100.4%
(Cost $54,204,832)			$	57,045,547
Other Assets & Liabilities, net - (0.4)%				(223,369	)
Total Net Assets - 100.0%			$	56,822,178

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
1	Rate indicated is the 7 day yield as of March 31, 2016.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Common Stocks	$	54,861,765	$	—	$	—	$	54,861,765
Short Term Investments		2,183,782		—		—		2,183,782
Total	$	57,045,547	$	—	$	—	$	57,045,547

For the period ended March 31, 2016, there were no transfers between levels.

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

LARGE CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments, at value (cost $54,204,832)	$	57,045,547
Prepaid expenses		33,723
Receivables:
Dividends		70,819
Fund shares sold		6,915
Foreign taxes reclaim		1,288
Total assets		57,158,292
Liabilities:
Overdraft due to custodian bank		376
Payable for:
Securities purchased		185,693
Fund shares redeemed		50,257
Management fees		25,662
Transfer agent/maintenance fees		21,988
Direct shareholders expense		20,733
Distribution and service fees		14,021
Fund accounting/administration fees		4,480
Trustees’ fees*		3,623
Miscellaneous		9,281
Total liabilities		336,114
Net assets	$	56,822,178
Net assets consist of:
Paid in capital	$	53,224,084
Undistributed net investment income		514,199
Accumulated net realized gain on investments		243,180
Net unrealized appreciation on investments		2,840,715
Net assets	$	56,822,178
A-Class:
Net assets	$	52,699,428
Capital shares outstanding		1,377,433
Net asset value per share	$	38.26
Maximum offering price per share (Net asset value divided by 95.25%)	$	40.17
C-Class:
Net assets	$	3,582,254
Capital shares outstanding		100,768
Net asset value per share	$	35.55
P-Class:
Net assets	$	512,062
Capital shares outstanding		13,400
Net asset value per share	$	38.21
Institutional Class:
Net assets	$	28,434
Capital shares outstanding		743
Net asset value per share	$	38.27

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016

Investment Income:
Dividends	$	832,064
Interest		190
Total investment income		832,254
Expenses:
Management fees		171,441
Transfer agent/maintenance fees:
A-Class		32,557
C-Class		3,980
P-Class		143
Institutional Class		203
Distribution and service fees:
A-Class		58,937
C-Class		17,805
P-Class		261
Fund accounting/administration fees		25,056
Registration fees		39,930
Line of credit fees		3,263
Trustees’ fees*		2,082
Custodian fees		73
Tax expense		6
Miscellaneous		19,941
Total expenses		375,678
Less:
Expenses waived by Adviser		(57,623	)
Net expenses		318,055
Net investment income		514,199
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		346,422
Net realized gain		346,422
Net change in unrealized appreciation (depreciation) on:
Investments		2,383,509
Net change in unrealized appreciation (depreciation)		2,383,509
Net realized and unrealized gain		2,729,931
Net increase in net assets resulting from operations	$	3,244,130

* 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 | 25

LARGE CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	514,199		$	475,990
Net realized gain on investments		346,422			8,151,325
Net change in unrealized appreciation (depreciation) on investments		2,383,509			(13,238,675	)
Net increase (decrease) in net assets resulting from operations		3,244,130			(4,611,360	)
Distributions to shareholders from:
Net investment income
A-Class		(433,473	)		(402,108	)
B-Class		—			(14,969	)
C-Class		(6,564	)		(10,590	)
P-Class		(6,451	)		—	*
Institutional Class		(31,516	)		(35,334	)
Net realized gains
A-Class		(3,188,410	)		(1,529,881	)
B-Class		—			(41,043	)
C-Class		(263,930	)		(138,586	)
P-Class		(38,749	)		—	*
Institutional Class		(178,457	)		(102,374	)
Total distributions to shareholders		(4,147,550	)		(2,274,885	)
Capital share transactions:
Proceeds from sale of shares
A-Class		9,166,685			12,175,794
B-Class		—			65,624
C-Class		488,913			879,081
P-Class		3,957,241			10,000	*
Institutional Class		41,718			264,341
Distributions reinvested
A-Class		3,509,323			1,855,957
B-Class		—			55,872
C-Class		266,749			146,562
P-Class		45,199			—	*
Institutional Class		209,973			137,708
Cost of shares redeemed
A-Class		(4,802,171	)		(22,897,730	)
B-Class		—			(1,365,292	)
C-Class		(414,704	)		(1,209,560	)
P-Class		(3,501,789	)		—	*
Institutional Class		(2,457,977	)		(887,546	)
Net increase (decrease) from capital share transactions		6,509,160			(10,769,189	)
Net increase (decrease) in net assets		5,605,740			(17,655,434	)
Net assets:
Beginning of period		51,216,438			68,871,872
End of period	$	56,822,178		$	51,216,438
Undistributed net investment income at end of period	$	514,199		$	478,004

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

LARGE CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		252,959			283,554
B-Class		—			1,656
C-Class		13,564			21,744
P-Class		103,245			229	*
Institutional Class		1,060			6,257
Shares issued from reinvestment of distributions
A-Class		92,667			43,212
B-Class		—			1,419
C-Class		7,563			3,646
P-Class		1,194			—	*
Institutional Class		5,548			3,208
Shares redeemed
A-Class		(127,059	)		(544,300	)
B-Class		—			(34,996	)
C-Class		(12,305	)		(30,302	)
P-Class		(91,268	)		—	*
Institutional Class		(70,811	)		(20,632	)
Net increase (decrease) in shares		176,357			(265,305	)

* Since commencement of operations: May 1, 2015.

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

LARGE CAP VALUE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011f
Per Share Data
Net asset value, beginning of period	$	39.11		$	43.80		$	38.28		$	31.25		$	24.58		$	26.08
Income (loss) from investment operations:
Net investment income (loss)b		.38			.36			.30			.29			.25			.16
Net gain (loss) on investments (realized and unrealized)		1.91			(3.36	)		5.51			7.03			6.58			(1.54	)
Total from investment operations		2.29			(3.00	)		5.81			7.32			6.83			(1.38	)
Less distributions from:
Net investment income		(.37	)		(.35	)		(.29	)		(.29	)		(.16	)		(.12	)
Net realized gains		(2.77	)		(1.34	)		—			—			—			—
Total distributions		(3.14	)		(1.69	)		(.29	)		(.29	)		(.16	)		(.12	)
Net asset value, end of period	$	38.26		$	39.11		$	43.80		$	38.28		$	31.25		$	24.58
Total Returnc		5.95	%		(7.19	%)		15.25	%		23.62	%		27.90	%		(5.38	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	52,699		$	45,318		$	60,281		$	47,307		$	41,173		$	41,036
Ratios to average net assets:
Net investment income (loss)		1.99	%		0.85	%		0.72	%		0.82	%		0.86	%		0.56	%
Total expensesd		1.38	%		1.35	%		1.48	%		1.48	%		1.65	%		1.52	%
Net expensese		1.17	%i		1.16	%i		1.17	%i		1.15	%		1.18	%		1.15	%
Portfolio turnover rate		32	%		60	%		40	%		43	%		16	%		26	%

C-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011f
Per Share Data
Net asset value, beginning of period	$	36.38		$	40.91		$	35.86		$	29.30		$	23.08		$	24.60
Income (loss) from investment operations:
Net investment income (loss)b		.22			.04			(.02	)		.02			.03			(.05	)
Net gain (loss) on investments (realized and unrealized)		1.79			(3.13	)		5.16			6.62			6.19			(1.47	)
Total from investment operations		2.01			(3.09	)		5.14			6.64			6.22			(1.52	)
Less distributions from:
Net investment income		(.07	)		(.10	)		(.09	)		(.08	)		—			—
Net realized gains		(2.77	)		(1.34	)		—			—			—			—
Total distributions		(2.84	)		(1.44	)		(.09	)		(.08	)		—			—
Net asset value, end of period	$	35.55		$	36.38		$	40.91		$	35.86		$	29.30		$	23.08
Total Returnc		5.58	%		(7.89	%)		14.35	%		22.73	%		26.95	%		(6.18	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,582		$	3,345		$	3,963		$	3,494		$	2,257		$	2,013
Ratios to average net assets:
Net investment income (loss)		1.23	%		0.10	%		(0.04	%)		0.08	%		0.12	%		(0.20	%)
Total expensesd		2.22	%		2.16	%		2.33	%		2.47	%		2.45	%		2.27	%
Net expensese		1.92	%i		1.91	%i		1.92	%i		1.90	%		1.93	%		1.90	%
Portfolio turnover rate		32	%		60	%		40	%		43	%		16	%		26	%

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

LARGE CAP VALUE 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.

P-Class	Period Ended March 31, 2016a			Period Ended September 30, 2015h
Per Share Data
Net asset value, beginning of period	$	39.13		$	43.64
Income (loss) from investment operations:
Net investment income (loss)b		.85			.22
Net gain (loss) on investments (realized and unrealized)		1.46			(4.73	)
Total from investment operations		2.31			(4.51	)
Less distributions from:
Net investment income		(.46	)		—
Net realized gains		(2.77	)		—
Total distributions		(3.23	)		—
Net asset value, end of period	$	38.21		$	39.13
Total Returnc		6.03	%		(10.38	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	512		$	9
Ratios to average net assets:
Net investment income (loss)		4.41	%		1.21	%
Total expensesd		1.38	%		3.29	%
Net expensese,i		1.17	%		1.16	%
Portfolio turnover rate		32	%		60	%

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

LARGE CAP VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Period Ended September 30, 2013g
Per Share Data
Net asset value, beginning of period	$	39.17		$	43.87		$	38.32		$	36.84
Income (loss) from investment operations:
Net investment income (loss)b		.43			.47			.40			.13
Net gain (loss) on investments (realized and unrealized)		1.93			(3.37	)		5.51			1.35
Total from investment operations		2.36			(2.90	)		5.91			1.48
Less distributions from:
Net investment income		(.49	)		(.46	)		(.36	)		—
Net realized gains		(2.77	)		(1.34	)		—			—
Total distributions		(3.26	)		(1.80	)		(.36	)		—
Net asset value, end of period	$	38.27		$	39.17		$	43.87		$	38.32
Total Returnc		6.08	%		(6.97	%)		15.52	%		4.02	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	28		$	2,544		$	3,339		$	2,831
Ratios to average net assets:
Net investment income (loss)		2.21	%		1.09	%		0.96	%		1.12	%
Total expensesd		1.02	%		0.98	%		1.08	%		1.12	%
Net expensese		0.91	%i		0.91	%i		0.92	%i		0.89	%
Portfolio turnover rate		32	%		60	%		40	%		43	%

a	Unaudited figures for the period ended March 31, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers.
f	Reverse share split — Per share amounts for the period presented through April 8, 2011 have been restated to reflect a 1:4 reverse share split effective April 8, 2011.
g	Since commencement of operations: June 7, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
h	Since commencement of operations: May 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
i	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the periods presented would be:

	03/31/16	09/30/15	09/30/14
A-Class	1.15%	1.15%	1.15%
C-Class	1.90%	1.90%	1.90%
P-Class	1.15%	1.15%	—
Institutional Class	0.90%	0.90%	0.90%

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

FUND PROFILE (Unaudited) March 31, 2016

MARKET NEUTRAL REAL ESTATE FUND

OBJECTIVE: Seeks to provide capital appreciation, while limiting exposure to general stock market risk.

Holdings Diversification (Market Exposure as % of Net Assets)

 

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

Inception Dates:
A-Class	February 26, 2016
C-Class	February 26, 2016
P-Class	February 26, 2016
Institutional Class	February 26, 2016

Ten Largest Holdings (% of Total Net Assets)
Sun Communities, Inc.	4.8%
Extra Space Storage, Inc.	4.7%
Equinix, Inc.	4.5%
Monogram Residential Trust, Inc.	4.4%
Equity Commonwealth	4.3%
Gramercy Property Trust	4.0%
Duke Realty Corp.	3.9%
American Tower Corp. — Class A	3.9%
American Assets Trust, Inc.	3.9%
Federal Realty Investment Trust	3.4%
Top Ten Total	41.8%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
MARKET NEUTRAL REAL ESTATE FUND

	Shares		Value
COMMON STOCKS† - 102.9%
REITs - 100.1%
REITs-Diversified - 27.4%
Equinix, Inc.		676	$	223,560
Duke Realty Corp.		8,536		192,401
American Tower Corp. — Class A		1,877		192,148
American Assets Trust, Inc.		4,784		190,977
NorthStar Realty Finance Corp.		9,467		124,207
Cousins Properties, Inc.		11,411		118,446
Retail Properties of America, Inc. — Class A		7,330		116,181
STORE Capital Corp.		4,033		104,374
NorthStar Realty Europe Corp.		7,599		88,148
Total REITs-Diversified				1,350,442
REITs-Office Property - 13.0%
Equity Commonwealth*		7,571		213,654
Gramercy Property Trust		23,211		196,133
New York REIT, Inc.		11,451		115,655
Parkway Properties, Inc.		7,323		114,678
Total REITs-Office Property				640,120
REITs-Apartments - 12.4%
Monogram Residential Trust, Inc.		21,849		215,432
American Campus Communities, Inc.		3,477		163,732
Camden Property Trust		1,481		124,537
Education Realty Trust, Inc.		2,567		106,787
Total REITs-Apartments				610,488
REITs-Warehouse/Industries - 10.0%
QTS Realty Trust, Inc. — Class A		2,865		135,744
EastGroup Properties, Inc.		2,189		132,150
CyrusOne, Inc.		2,579		117,731
First Industrial Realty Trust, Inc.		4,727		107,492
Total REITs-Warehouse/Industries				493,117
REITs-Health Care - 8.1%
Healthcare Trust of America, Inc. — Class A		5,500		161,810
Care Capital Properties, Inc.		4,938		132,536
Omega Healthcare Investors, Inc.		2,991		105,582
Total REITs-Health Care				399,928
REITs-Manufactured Homes - 7.5%
Sun Communities, Inc.		3,270		234,164
Equity LifeStyle Properties, Inc.		1,879		136,660
Total REITs-Manufactured Homes				370,824
REITs-Storage - 6.7%
Extra Space Storage, Inc.		2,455		229,445
National Storage Affiliates Trust		4,796		101,675
Total REITs-Storage				331,120
REITs-Shopping Centers - 5.9%
Federal Realty Investment Trust		1,078		168,222
Equity One, Inc.		4,248		121,748
Total REITs-Shopping Centers				289,970
REITs-Regional Malls - 5.7%
General Growth Properties, Inc.		4,822		143,358
Simon Property Group, Inc.		650		134,999
Total REITs-Regional Malls				278,357
REITs-Hotels - 3.4%
Chatham Lodging Trust		7,682		164,625
Total REITs				4,928,991
Hotels & Motels - 1.7%
Starwood Hotels & Resorts Worldwide, Inc.		1,001		83,513
Investment Management/Advisory Services - 1.1%
NorthStar Asset Management Group, Inc.		4,685		53,175
Total Common Stocks
(Cost $4,709,812)				5,065,679
Total Investments - 102.9%
(Cost $4,709,812)			$	5,065,679
Other Assets & Liabilities, net - (2.9)%				(144,059	)
Total Net Assets - 100.0%			$	4,921,620

	Unrealized Loss
OTC Equity SWAP AGREEMENTS sold short ††
Morgan Stanley June 2017 Market Neutral Real Estate Short Custom Basket Swap 0.37%1, Terminating 06/15/17 (Notional Value $5,101,512)	$	(443,873	)

	Shares
CUSTOM BASKET OF SHORT SECURITIES1
Annaly Mortgage Management		(12,975	)	(706	)
LTC Properties, Inc.		(2,274	)	(2,002	)
Lexington Realty Trust		(12,038	)	(2,368	)
HCP, Inc.		(3,214	)	(3,180	)
National Retail Properties, Inc.		(1,645	)	(3,809	)
Realty Income Corp.		(1,220	)	(4,683	)
DDR Corp.		(6,013	)	(6,695	)
Piedmont Office Realty		(8,984	)	(8,119	)
CBL & Associates Properties		(16,576	)	(8,243	)
Weingarten Realty Investors		(4,290	)	(8,379	)
WP Glimcher, Inc.		(8,990	)	(8,442	)
FelCor Lodging Trust, Inc.		(13,493	)	(8,544	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
MARKET NEUTRAL REAL ESTATE FUND

	Shares			Unrealized Loss
Ryman Hospitality Properties		(2,251	)	$	(9,082	)
Urban Edge Properties		(6,722	)		(9,578	)
Entertainment Properties Trust		(2,341	)		(10,494	)
Sunstone Hotel Investor,s Inc.		(11,077	)		(12,122	)
DuPont Fabros Technology, Inc.		(2,509	)		(12,352	)
UDR, INC.		(3,668	)		(14,949	)
Host Hotels & Resorts, Inc.		(10,553	)		(14,987	)
Kilroy Realty Corp.		(2,232	)		(15,245	)
Healthcare Realty Trust, Inc.		(8,005	)		(15,782	)
Lamar Advertising Co.		(3,154	)		(16,203	)
Liberty Property Trust		(3,410	)		(16,296	)
Mid-America Apartment Communities, Inc.		(1,667	)		(17,882	)
Douglas Emmett, Inc.		(5,781	)		(18,645	)
Apartment Investment & Management Co.		(3,774	)		(19,886	)
STAG Industrial, Inc.		(9,332	)		(26,878	)
Iron Mountain, Inc.		(6,440	)		(27,635	)
Government Properties Income Trust		(13,784	)		(41,346	)
iShares Dow Jones US Real Estate Index Fund		(9,886	)		(56,592	)
Total Custom Backet of Short Securities					(421,124	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Total Return is based on the return of the custom basket of short securities +/- financing at a variable rate. Rate indicated is the rate effective at March 31, 2016.
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Common Stocks	$	5,065,679	$	—	$	—	$	—	$	5,065,679
Investments in Securities (Liabilities)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Equity Swap Agreements	$	—	$	—	$	443,873	$	—	$	443,873

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

For the period ended March 31, 2016, there were no transfers between levels.

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

MARKET NEUTRAL REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments, at value (cost $4,709,812)	$	5,065,679
Cash		398,834
Receivables:
Securities sold		89,697
Dividends		17,031
Investment Adviser		1,134
Total assets		5,572,375
LIABILITIES:
Unrealized depreciation on swap agreements		443,873
Payable for:
Securities purchased		137,517
Swap settlement		62,126
Transfer agent/maintenance fees		80
Trustees' fees*		614
Distribution and service fees		126
Miscellaneous		6,419
Total liabilities		650,755
Net assets	$	4,921,620
Net assets consist of:
Paid in capital	$	5,002,011
Undistributed net investment income		30,769
Accumulated net realized loss on investments		(23,154	)
Net unrealized depreciation on investments		(88,006	)
Net assets	$	4,921,620
A-Class:
Net assets	$	100,383
Capital shares outstanding		4,082
Net asset value per share	$	24.59
Maximum offering price per share (Net asset value divided by 95.25%)	$	25.82
C-Class:
Net assets	$	98,308
Capital shares outstanding		4,000
Net asset value per share	$	24.58
P-Class:
Net assets	$	98,373
Capital shares outstanding		4,000
Net asset value per share	$	24.59
Institutional Class:
Net assets	$	4,624,556
Capital shares outstanding		188,000
Net asset value per share	$	24.60

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016**

Investment Income:
Dividends	$	36,888
Interest		25
Total investment income		36,913
Expenses:
Management fees		4,755
Transfer agent/maintenance fees:
A-Class		17
C-Class		9
P-Class		6
Institutional Class		70
Distribution and service fees:
A-Class		22
C-Class		86
P-Class		22
Fund accounting/administration fees		2,192
Professional fees		1,928
Custodian fees		877
Trustees’ fees*		614
Printing expenses		614
Miscellaneous		877
Total expenses		12,089
Less:
Expenses waived by Adviser		(5,945	)
Net expenses		6,144
Net investment income		30,769
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		38,972
Swap agreements		(62,126	)
Net realized loss		(23,154	)
Net change in unrealized appreciation (depreciation) on:
Investments		355,867
Swap agreements		(443,873	)
Net change in unrealized appreciation (depreciation)		(88,006	)
Net realized and unrealized loss		(111,160	)
Net decrease in net assets resulting from operations	$	(80,391	)

*	Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
**	Since commencement of operations: February 26, 2016

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

MARKET NEUTRAL REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2016a
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	30,769
Net realized loss on investments		(23,154	)
Net change in unrealized appreciation (depreciation) on investments		(88,006	)
Net decrease in net assets resulting from operations		(80,391	)
Capital share transactions:
Proceeds from sale of shares
A-Class		102,011
C-Class		100,000
P-Class		100,000
Institutional Class		4,700,000
Net increase from capital share transactions		5,002,011
Net increase in net assets		4,921,620
Net assets:
Beginning of period		—
End of period	$	4,921,620
Undistributed net investment income at end of period	$	30,769
Capital share activity:
Shares sold
A-Class		4,082
C-Class		4,000
P-Class		4,000
Institutional Class		188,000
Net increase in shares		200,082

^a Since commencement of operations: February 26, 2016

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

MARKET NEUTRAL REAL ESTATE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Period Ended March 31, 2016a,b
Per Share Data
Net asset value, beginning of period	$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.15
Net gain (loss) on investments (realized and unrealized)		(.56	)
Total from investment operations		(.41	)
Net asset value, end of period	$	24.59
Total Returnd		(1.60	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	100
Ratios to average net assets:
Net investment income (loss)		6.89	%
Total expensese,f		3.19	%
Net expensesg,h		1.64	%
Portfolio turnover rate		18	%

C-Class	Period Ended March 31, 2016a,b
Per Share Data
Net asset value, beginning of period	$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.13
Net gain (loss) on investments (realized and unrealized)		(.55	)
Total from investment operations		(.42	)
Net asset value, end of period	$	24.58
Total Returnd		(1.68	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	98
Ratios to average net assets:
Net investment income (loss)		6.14	%
Total expensese,f		3.85	%
Net expensesg,h		2.40	%
Portfolio turnover rate		18	%

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

MARKET NEUTRAL REAL ESTATE 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.

P-Class	Period Ended March 31, 2016a,b
Per Share Data
Net asset value, beginning of period	$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.15
Net gain (loss) on investments (realized and unrealized)		(.56	)
Total from investment operations		(.41	)
Net asset value, end of period	$	24.59
Total Returnd		(1.60	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	98
Ratios to average net assets:
Net investment income (loss)		6.89	%
Total expensese,f		3.07	%
Net expensesg,h		1.65	%
Portfolio turnover rate		18	%

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

MARKET NEUTRAL REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Period Ended March 31, 2016a,b
Per Share Data
Net asset value, beginning of period	$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.15
Net gain (loss) on investments (realized and unrealized)		(.55	)
Total from investment operations		(.40	)
Net asset value, end of period	$	24.60
Total Returnd		(1.60	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,625
Ratios to average net assets:
Net investment income (loss)		7.15	%
Total expensese,f		2.76	%
Net expensesg,h		1.39	%
Portfolio turnover rate		18	%

a	Unaudited figures for the period ended March 31, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: February 26, 2016.
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.
e	Does not include expenses of the underlying funds in which the Fund invests.
f	Due to limited length of Fund operations, ratios for this period are not indicative of future performance.
g	Net expense information reflects the expense ratios after expense waivers.
h	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the period presented would be:

	03/31/16
A-Class	1.64%
C-Class	2.40%
P-Class	1.65%
Institutional Class	1.39%

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

FUND PROFILE (Unaudited) March 31, 2016

RISK MANAGED REAL ESTATE FUND

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

Holdings Diversification (Market Exposure as % of Net Assets)

 

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

Inception Dates:
A-Class	March 28, 2014
C-Class	March 28, 2014
P-Class	May 1, 2015
Institutional Class	March 28, 2014

Ten Largest Long Holdings (% of Total Net Assets)
Simon Property Group, Inc.	8.1%
Public Storage	5.5%
Equinix, Inc.	4.4%
Welltower, Inc.	3.8%
Extra Space Storage, Inc.	2.9%
General Growth Properties, Inc.	2.9%
Federal Realty Investment Trust	2.8%
Equity Residential	2.7%
AvalonBay Communities, Inc.	2.6%
Boston Properties, Inc.	2.6%
Top Ten Total	38.3%
“Ten Largest Long Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
RISK MANAGED REAL ESTATE FUND

	Shares		Value
COMMON STOCKS† - 97.3%
REITs - 96.3%
REITs-Diversified - 16.7%
Equinix, Inc.		14,868	$	4,916,997
Duke Realty Corp.		88,406		1,992,672
American Tower Corp. — Class A1		16,630		1,702,413
STORE Capital Corp.		65,490		1,694,881
NorthStar Realty Finance Corp.		119,051		1,561,949
American Assets Trust, Inc.1		33,296		1,329,176
Cousins Properties, Inc.		101,993		1,058,687
Crown Castle International Corp.1		11,979		1,036,184
Digital Realty Trust, Inc.		11,245		995,070
Vornado Realty Trust		9,933		937,973
NorthStar Realty Europe Corp.		70,539		818,252
Retail Properties of America, Inc. — Class A		46,693		740,084
Total REITs-Diversified				18,784,338
REITs-Apartments - 13.4%
Equity Residential		40,205		3,016,581
AvalonBay Communities, Inc.1		15,487		2,945,627
American Campus Communities, Inc.		43,634		2,054,725
Essex Property Trust, Inc.		8,574		2,005,116
Monogram Residential Trust, Inc.		194,563		1,918,391
Camden Property Trust1		18,846		1,584,760
Education Realty Trust, Inc.		38,026		1,581,882
Total REITs-Apartments				15,107,082
REITs-Office Property - 11.4%
Boston Properties, Inc.1		22,923		2,913,056
Gramercy Property Trust		256,167		2,164,611
Equity Commonwealth*		75,956		2,143,478
Highwoods Properties, Inc.		32,826		1,569,411
New York REIT, Inc.		152,367		1,538,907
Parkway Properties, Inc.		75,328		1,179,636
Alexandria Real Estate Equities, Inc.1		6,563		596,511
Paramount Group, Inc.		33,145		528,663
SL Green Realty Corp.		1,925		186,494
Total REITs-Office Property				12,820,767
REITs-Regional Malls - 11.2%
Simon Property Group, Inc.		43,708		9,077,715
General Growth Properties, Inc.		109,621		3,259,032
Macerich Co.		2,714		215,057
Total REITs-Regional Malls				12,551,804
REITs-Health Care - 10.8%
Welltower, Inc.		62,566		4,338,326
Ventas, Inc.		36,746		2,313,528
Healthcare Trust of America, Inc. — Class A		64,385		1,894,207
Care Capital Properties, Inc.		52,775		1,416,481
Omega Healthcare Investors, Inc.		32,619		1,151,451
HCP, Inc.		31,568		1,028,485
Total REITs-Health Care				12,142,478
REITs-Storage - 9.4%
Public Storage		22,635		6,243,413
Extra Space Storage, Inc.		35,142		3,284,371
National Storage Affiliates Trust		47,741		1,012,109
Total REITs-Storage				10,539,893
REITs-Warehouse/Industries - 9.3%
Prologis, Inc.		62,142		2,745,434
CyrusOne, Inc.		42,985		1,962,265
First Industrial Realty Trust, Inc.		68,545		1,558,713
QTS Realty Trust, Inc. — Class A		32,598		1,544,493
DCT Industrial Trust, Inc.1		37,010		1,460,785
EastGroup Properties, Inc.		20,260		1,223,096
Total REITs-Warehouse/Industries				10,494,786
REITs-Shopping Centers - 6.7%
Federal Realty Investment Trust		20,326		3,171,871
Kimco Realty Corp.		61,488		1,769,625
Regency Centers Corp.		19,256		1,441,312
Equity One, Inc.		40,401		1,157,893
Total REITs-Shopping Centers				7,540,701
REITs-Manufactured Homes - 3.7%
Sun Communities, Inc.		32,114		2,299,683
Equity LifeStyle Properties, Inc.		25,590		1,861,161
Total REITs-Manufactured Homes				4,160,844
REITs-Hotels - 1.9%
Chatham Lodging Trust		64,261		1,377,113
Summit Hotel Properties, Inc.		62,881		752,686
Host Hotels & Resorts, Inc.		2,724		45,491
Total REITs-Hotels				2,175,290
REITs-Single Tenant - 1.8%
Realty Income Corp.		18,111		1,132,118
Spirit Realty Capital, Inc.		75,716		851,805
Total REITs-Single Tenant				1,983,923
Total REITs				108,301,906
HOTELS & MOTELS – 0.7%
Starwood Hotels & Resorts Worldwide, Inc.		8,813		735,269
Investment Management/Advisory Services - 0.3%
NorthStar Asset Management Group, Inc.		34,205		388,227
Total Common Stocks
(Cost $100,206,114)				109,425,402
SHORT TERM INVESTMENTS† - 4.8%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.18%2		5,434,202		5,434,202
Total Short Term Investments
(Cost $5,434,202)				5,434,202
Total Investments - 102.1%
(Cost $105,640,316)			$	114,859,604

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
RISK MANAGED REAL ESTATE FUND

	Shares			Value
COMMON STOCKS SOLD SHORT† - (7.6)%
REITs - 7.6%
REITs-Single Tenant – (0.2%)
National Retail Properties, Inc.		(3,662	)	$	(169,184	)
REITs-Mortgage – (0.3)%
Annaly Capital Management, Inc.		(27,776	)		(284,982	)
REITs-Storage – (0.4)%
Iron Mountain, Inc.		(13,169	)		(446,561	)
REITs-Regional Malls – (0.5)%
WP GLIMCHER, Inc.		(18,187	)		(172,595	)
CBL & Associates Properties, Inc.		(37,178	)		(442,418	)
Total REITs-Regional Malls					(615,013	)
REITs-Health Care – (0.7)%
LTC Properties, Inc.		(5,065	)		(229,141	)
Healthcare Realty Trust, Inc.		(16,742	)		(517,160	)
Total REITs-Health Care					(746,301	)
REITs-Hotels – (0.7)%
FelCor Lodging Trust, Inc.		(28,164	)		(228,692	)
Ryman Hospitality Properties, Inc.		(4,547	)		(234,080	)
Sunstone Hotel Investors, Inc.		(24,147	)		(338,058	)
Total REITs-Hotels					(800,830	)
REITs-Shopping Centers – (0.8)%
DDR Corp.		(12,753	)		(226,876	)
Weingarten Realty Investors		(9,195	)		(344,996	)
Urban Edge Properties		(14,343	)		(370,623	)
Total REITs-Shopping Centers					(942,495	)
REITs-Apartments – (0.9)%
UDR, Inc.		(7,488	)		(288,513	)
Apartment Investment & Management Co. — Class A1		(7,587	)		(317,288	)
Mid-America Apartment Communities, Inc.		(3,445	)		(352,113	)
Total REITs-Apartments					(957,914	)
REITs-Office Property – (1.4)%
Kilroy Realty Corp.		(4,925	)		(304,710	)
Douglas Emmett, Inc.		(11,518	)		(346,807	)
Piedmont Office Realty Trust, Inc. — Class A		(19,837	)		(402,889	)
Government Properties Income Trust		(27,643	)		(493,428	)
Total REITs-Office Property					(1,547,834	)
REITs-Diversified – (1.6)%
DuPont Fabros Technology, Inc.		(5,287	)		(214,282	)
Liberty Property Trust		(6,695	)		(224,015	)
Lexington Realty Trust		(26,804	)		(230,514	)
EPR Properties		(5,220	)		(347,756	)
STAG Industrial, Inc.		(18,457	)		(375,785	)
Lamar Advertising Co. — Class A		(6,580	)		(404,670	)
Total REITs-Diversified					(1,797,022	)
Total REITs					(8,308,136	)
Total Common Stocks Sold Short
(Cost $(7,789,017))					(8,308,136	)
EXCHANGE-TRADED FUNDS SOLD SHORT† - (1.6)%
iShares U.S. Real Estate ETF		22,434			(1,746,711	)
Total Exchange-Traded Funds Sold Short
(Proceeds $1,629,907)					(1,746,711	)
Total Securities Sold Short- (9.1)%
(Proceeds $9,418,924)				$	(10,054,847	)
Other Assets & Liabilities, net - 7.0%					7,887,910
Total Net Assets - 100.0%				$	112,692,667

	Unrealized Gain (Loss)
OTC Equity SWAP AGREEMENTS ††
Morgan Stanley June 2017 Risk Managed Real Estate Long Custom Basket Swap 0.43%3, Terminating 06/15/17 (Notional Value $31,809,187)	$	2,233,020
OTC Equity SWAP AGREEMENTS SOLD SHORT ††
Morgan Stanley June 2017 Risk Managed Real Estate Short Custom Basket Swap 0.37%4, Terminating 06/15/17 (Notional Value $32,350,750)	$	(2,743,963	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
RISK MANAGED REAL ESTATE FUND

	Shares			Unrealized Gain (Loss)
CUSTOM BASKET OF LONG SECURITIES3
Equinix, Inc.		4,061		$	232,076
Equity LifeStyle Properties, Inc.		11,826			192,946
Gramercy Property Trust		146,196			178,375
Duke Realty Corp.		53,462			167,418
Federal Realty Investment Trust		6,826			158,448
Extra Space Storage, Inc.		15,426			146,308
Sun Communities, Inc.		20,704			137,939
Equity One, Inc.		26,975			107,932
General Growth Properties, Inc.		29,959			106,173
National Storage Affiliates Trust		19,975			101,650
American Campus Communities, Inc.		21,782			100,624
CyrusOne, Inc.		16,271			97,893
American Tower Corp. — Class A		11,839			95,576
Simon Property Group, Inc.		3,881			91,625
Education Realty Trust, Inc.		16,007			89,855
Starwood Hotels & Resorts Worldwide, Inc.		6,022			82,992
Camden Property Trust		9,086			79,405
Cousins Properties, Inc.		70,447			78,232
Retail Properties of America, Inc. — Class A		45,420			77,382
Monogram Residential Trust, Inc.		138,474			73,860
Equity Commonwealth*		48,006			54,808
NorthStar Realty Europe Corp.		47,607			31,685
EastGroup Properties, Inc.		13,707			29,839
STORE Capital Corp.		24,979			27,812
Healthcare Trust of America, Inc. — Class A		34,034			25,815
QTS Realty Trust, Inc. — Class A		17,331			22,500
American Assets Trust, Inc.		30,318			6,579
Omega Healthcare Investors, Inc.		18,664			4,074
Chatham Lodging Trust		47,655			1,606
First Industrial Realty Trust, Inc.		28,202			(3,023	)
New York REIT, Inc.		71,466			(6,403	)
Parkway Properties, Inc.		45,690			(33,220	)
NorthStar Asset Management Group, Inc.		28,985			(66,306	)
Care Capital Properties, Inc.		30,643			(130,883	)
NorthStar Realty Finance Corp.		58,184			(235,378	)
Total Custom Basket of Long Securities					2,126,214
CUSTOM BASKET OF SHORT SECURITIES4
CBL & Associates Properties, Inc.		(107,729	)		222,816
WP GLIMCHER, Inc.		(52,561	)		136,359
Host Hotels & Resorts, Inc.		(65,864	)		65,247
Ryman Hospitality Properties, Inc.		(14,039	)		27,422
Kilroy Realty Corp.		(14,741	)		4,658
Lexington Realty Trust		(77,682	)		(15,280	)
Douglas Emmett, Inc.		(35,561	)		(19,178	)
HCP, Inc.		(20,718	)		(20,496	)
Liberty Property Trust		(20,669	)		(31,441	)
Annaly Capital Management, Inc.		(83,566	)		(37,870	)
LTC Properties, Inc.		(14,678	)		(50,619	)
Piedmont Office Realty Trust, Inc. — Class A		(58,380	)		(52,758	)
DDR Corp.		(37,518	)		(56,386	)
National Retail Properties, Inc.		(10,612	)		(58,050	)
Weingarten Realty Investors		(26,947	)		(65,177	)
Realty Income Corp.		(7,872	)		(74,804	)
FelCor Lodging Trust, Inc.		(84,134	)		(91,549	)
Apartment Investment & Management Co. — Class A		(23,104	)		(93,374	)
STAG Industrial, Inc.		(56,984	)		(94,848	)
Lamar Advertising Co. — Class A		(19,739	)		(98,239	)
UDR, Inc.		(22,319	)		(109,668	)
EPR Properties		(15,128	)		(175,868	)
Iron Mountain, Inc.		(40,656	)		(176,167	)
Urban Edge Properties		(42,196	)		(180,124	)
Sunstone Hotel Investors, Inc.		(72,873	)		(192,973	)
Government Properties Income Trust		(85,345	)		(193,847	)
DuPont Fabros Technology, Inc.		(16,205	)		(200,970	)
Mid-America Apartment Communities, Inc.		(10,272	)		(217,284	)
Healthcare Realty Trust, Inc.		(49,850	)		(346,329	)
iShares U.S. Real Estate ETF		(65,075	)		(402,444	)
Total Custom Basket of Short Securities					(2,599,239	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	All or a portion of this security is pledged as short security collateral at March 31, 2016.
2	Rate indicated is the 7 day yield as of March 31, 2016.
3	Total Return is based on the return of the custom basket of long securities +/ - financing at a variable rate. Rate indicated is the rate effective at March 31, 2016.
4	Total Return is based on the return of the custom basket of short securities +/- financing at a variable rate. Rate indicated is the rate effective at March 31, 2016.
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
RISK MANAGED REAL ESTATE FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Common Stocks	$	109,425,402	$	—	$	—	$	—	$	109,425,402
Short Term Investments		5,434,202		—		—		—		5,434,202
Equity Swap Agreements		—		—		2,233,020		—		2,233,020
Total	$	114,859,604	$	—	$	2,233,020	$	—	$	117,092,624
Investments in Securities (Liabilities)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Common Stocks	$	8,308,136	$	—	$	—	$	—	$	8,308,136
Exchange-Traded Funds		1,746,711		—		—		—		1,746,711
Equity Swap Agreements		—		—		2,743,963		—		2,743,963
Total	$	10,054,847	$	—	$	2,743,963	$	—	$	12,798,810

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

For the period ended March 31, 2016, there were no transfers between levels.

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

RISK MANAGED REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments, at value (cost $105,640,316)	$	114,859,604
Segregated cash with broker		9,796,869
Unrealized appreciation on swap agreements		2,233,020
Prepaid expenses		34,395
Receivables:
Securities sold		1,041,634
Dividends		264,111
Swap settlement		186,061
Other assets		3
Total assets		128,415,697
Liabilities:
Securities sold short, at value (proceeds $9,418,924)		10,054,847
Unrealized depreciation on swap agreements		2,743,963
Overdraft due to custodian bank		710,032
Payable for:
Securities purchased		2,017,430
Management fees		64,937
Fund accounting/administration fees		8,738
Transfer agent/maintenance fees		4,451
Trustees' fees*		2,610
Distribution and service fees		331
Fund shares redeemed		216
Miscellaneous		115,475
Total liabilities		15,723,030
Net assets	$	112,692,667
Net assets consist of:
Paid in capital	$	109,574,885
Accumulated net investment loss		(134,331	)
Accumulated net realized loss on investments		(4,820,309	)
Net unrealized appreciation on investments		8,072,422
Net assets	$	112,692,667
A-Class:
Net assets	$	503,704
Capital shares outstanding		18,127
Net asset value per share	$	27.79
Maximum offering price per share (Net asset value divided by 95.25%)	$	29.18
C-Class:
Net assets	$	265,680
Capital shares outstanding		9,590
Net asset value per share	$	27.70
P-Class:
Net assets	$	44,170
Capital shares outstanding		1,582
Net asset value per share	$	27.92
Institutional Class:
Net assets	$	111,879,113
Capital shares outstanding		3,985,327
Net asset value per share	$	28.07

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

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

RISK MANAGED REAL ESTATE FUND

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016

Investment Income:
Dividends	$	1,184,062
Interest		182
Total investment income		1,184,244
Expenses:
Management fees		404,249
Transfer agent/maintenance fees:
A-Class		1,786
C-Class		1,053
P-Class		46
Institutional Class		11,736
Distribution and service fees:
A-Class		646
C-Class		1,166
P-Class		46
Fund accounting/administration fees		51,204
Short sales dividend expense		253,770
Registration fees		49,544
Prime broker interest expense		14,159
Custodian fees		10,510
Line of credit fees		6,270
Trustees’ fees*		4,998
Miscellaneous		23,620
Total expenses		834,803
Less:
Expenses waived by Adviser		(4,160	)
Net expenses		830,643
Net investment income		353,601
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	23,965
Swap agreements		(462,543	)
Securities sold short		144,097
Net realized loss		(294,481	)
Net change in unrealized appreciation (depreciation) on:
Investments		12,104,353
Securities sold short		(1,280,730	)
Swap agreements		(337,039	)
Net change in unrealized appreciation (depreciation)		10,486,584
Net realized and unrealized gain		10,192,103
Net increase in net assets resulting from operations	$	10,545,704

* 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 | 45

RISK MANAGED REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income (loss)	$	353,601		$	(400,544	)
Net realized gain (loss) on investments		(294,481	)		13,509,189
Net change in unrealized appreciation (depreciation) on investments		10,486,584			(934,660	)
Net increase in net assets resulting from operations		10,545,704			12,173,985
Distributions to shareholders from:
Net investment income
A-Class		(12,079	)		(2,130	)
C-Class		(6,326	)		—
P-Class		(1,032	)		—	*
Institutional Class		(3,147,751	)		(110,810	)
Net realized gains
A-Class		(43,834	)		(5,715	)
C-Class		(32,752	)		(362	)
P-Class		(4,335	)		—	*
Institutional Class		(13,211,585	)		(534,120	)
Total distributions to shareholders		(16,459,694	)		(653,137	)
Capital share transactions:
Proceeds from sale of shares
A-Class		482,738			1,724,691
C-Class		199,775			205,333
P-Class		15,119			30,035	*
Institutional Class		3,253,082			2,482,274
Distributions reinvested
A-Class		51,563			6,954
C-Class		38,858			362
P-Class		5,367			—	*
Institutional Class		12,495,556			488,786
Cost of shares redeemed
A-Class		(381,907	)		(1,496,971	)
C-Class		(46,230	)		(164,753	)
P-Class		(4,729	)		—	*
Institutional Class		(3,874,957	)		(12,576,840	)
Net increase (decrease) from capital share transactions		12,234,235			(9,300,129	)
Net increase in net assets		6,320,245			2,220,719
Net assets:
Beginning of period		106,372,422			104,151,703
End of period	$	112,692,667		$	106,372,422
(Accumulated net investment loss)/Undistributed net investment income at end of period	$	(134,331	)	$	2,679,256

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

RISK MANAGED REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		16,512			56,206
C-Class		6,730			6,656
P-Class		559			999	*
Institutional Class		121,443			79,259
Shares issued from reinvestment of distributions
A-Class		1,918			229
C-Class		1,451			12
P-Class		199			���	*
Institutional Class		459,551			16,219
Shares redeemed
A-Class		(12,582	)		(48,126	)
C-Class		(1,813	)		(5,377	)
P-Class		(175	)		—	*
Institutional Class		(136,287	)		(406,035	)
Net increase (decrease) in shares		457,506			(299,958	)

* Since commencement of operations: May 1, 2015.

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

RISK MANAGED REAL ESTATE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	29.77		$	26.99		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.05			(.21	)		.02
Net gain (loss) on investments (realized and unrealized)		2.76			3.18			2.06
Total from investment operations		2.81			2.97			2.08
Less distributions from:
Net investment income		(.98	)		(.05	)		(.09	)
Net realized gains		(3.81	)		(.14	)		—
Total distributions		(4.79	)		(.19	)		(.09	)
Net asset value, end of period	$	27.79		$	29.77		$	26.99
Total Returnd		10.05	%		10.97	%		8.35	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	504		$	366		$	107
Ratios to average net assets:
Net investment income (loss)		0.37	%		(0.67	%)		0.16	%
Total expensese		2.47	%		3.41	%		4.22	%h
Net expensesf,i		1.81	%		3.04	%		3.32	%
Portfolio turnover rate		109	%		214	%		57	%

C-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	29.56		$	26.95		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.03	)		(.43	)		(.23	)
Net gain (loss) on investments (realized and unrealized)		2.71			3.18			2.19
Total from investment operations		2.68			2.75			1.96
Less distributions from:
Net investment income		(.73	)		—			(.01	)
Net realized gains		(3.81	)		(.14	)		—
Total distributions		(4.54	)		(.14	)		(.01	)
Net asset value, end of period	$	27.70		$	29.56		$	26.95
Total Returnd		9.62	%		10.20	%		7.85	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	266		$	95		$	52
Ratios to average net assets:
Net investment income (loss)		(0.20	%)		(1.42	%)		(1.60	%)
Total expensese		3.42	%		5.76	%		9.33	%h
Net expensesf,i		2.54	%		3.76	%		2.67	%
Portfolio turnover rate		109	%		214	%		57	%

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

RISK MANAGED REAL ESTATE 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.

P-Class	Period Ended March 31, 2016a			Period Ended September 30, 2015g
Per Share Data
Net asset value, beginning of period	$	29.77		$	30.89
Income (loss) from investment operations:
Net investment income (loss)c		.09			.04
Net gain (loss) on investments (realized and unrealized)		2.72			(1.16	)
Total from investment operations		2.81			(1.12	)
Less distributions from:
Net investment income		(.85	)		—
Net realized gains		(3.81	)		—
Total distributions		(4.66	)		—
Net asset value, end of period	$	27.92		$	29.77
Total Returnd		10.05	%		(3.63	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	44		$	30
Ratios to average net assets:
Net investment income (loss)		0.66	%		0.30	%
Total expensese		2.02	%		4.04	%h
Net expensesf,i		1.78	%		2.94	%
Portfolio turnover rate		109	%		214	%

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

RISK MANAGED REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	29.90		$	27.00		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.09			(.11	)		.02
Net gain (loss) on investments (realized and unrealized)		2.78			3.18			2.09
Total from investment operations		2.87			3.07			2.11
Less distributions from:
Net investment income		(.89	)		(.03	)		(.11	)
Net realized gains		(3.81	)		(.14	)		—
Total distributions		(4.70	)		(.17	)		(.11	)
Net asset value, end of period	$	28.07		$	29.90		$	27.00
Total Returnd		10.20	%		11.36	%		8.44	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	111,879		$	105,882		$	103,993
Ratios to average net assets:
Net investment income (loss)		0.66	%		(0.35	%)		0.11	%
Total expensese		1.54	%		2.70	%		2.69	%h
Net expensesf,i		1.54	%		2.70	%		2.58	%
Portfolio turnover rate		109	%		214	%		57	%

a	Unaudited figures for the period ended March 31, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: March 28, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Does not include expenses of the underlying funds in which the Fund invests.
f	Net expense information reflects the expense ratios after expense waivers.
g	Since commencement of operations: May 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
h	Due to limited length of Fund operations, ratios for this period are not indicative of future performance.
i	Net expenses may include expenses that are excluded from the expense limitation agreement and recouped amounts. Excluding these expenses, the operating expense ratios for the periods presented would be:

	03/31/16	09/30/15	09/30/14
A-Class	1.30%	1.30%	1.30%
C-Class	2.03%	2.05%	2.05%
P-Class	1.27%	1.30%	—
Institutional Class	1.03%	0.99%	1.10%

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

FUND PROFILE (Unaudited) March 31, 2016

SMALL CAP VALUE FUND

OBJECTIVE: Seeks long-term capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

 

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

Inception Dates:
A-Class	July 11, 2008
C-Class	July 11, 2008
P-Class	May 1, 2015
Institutional Class	July 11, 2008

Ten Largest Holdings (% of Total Net Assets)
CubeSmart	3.2%
Laclede Group, Inc.	2.8%
Emergent BioSolutions, Inc.	2.7%
FLIR Systems, Inc.	2.4%
Berkshire Hills Bancorp, Inc.	2.4%
Apartment Investment & Management Co. — Class A	2.3%
Navigators Group, Inc.	2.2%
Black Hills Corp.	2.0%
Camden Property Trust	2.0%
Sun Communities, Inc.	1.9%
Top Ten Total	23.9%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
SMALL CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 98.2%
Financial - 34.5%
CubeSmart		17,502	$	582,817
Berkshire Hills Bancorp, Inc.		16,305		438,441
Apartment Investment & Management Co. — Class A		10,302		430,829
Navigators Group, Inc.*		4,908		411,634
Camden Property Trust		4,303		361,839
Sun Communities, Inc.		4,882		349,600
Hanover Insurance Group, Inc.		3,560		321,183
Zions Bancorporation		11,697		283,184
Fulton Financial Corp.		20,015		267,801
Trustmark Corp.		11,602		267,194
Cathay General Bancorp		9,350		264,886
Endurance Specialty Holdings Ltd.		4,041		264,039
1st Source Corp.		8,171		260,165
Corrections Corporation of America		7,997		256,304
Argo Group International Holdings Ltd.		4,126		236,791
Wintrust Financial Corp.		4,747		210,482
BancorpSouth, Inc.		8,494		181,007
Horace Mann Educators Corp.		5,460		173,027
Parkway Properties, Inc.		8,706		136,336
Hanmi Financial Corp.		6,122		134,807
TriCo Bancshares		5,304		134,297
Prosperity Bancshares, Inc.		2,870		133,139
Lexington Realty Trust		11,180		96,148
Equity Commonwealth*		3,241		91,461
Umpqua Holdings Corp.		3,150		49,959
Monogram Residential Trust, Inc.		4,460		43,976
Total Financial				6,381,346
Consumer, Non-cyclical - 13.6%
Emergent BioSolutions, Inc.*		13,735		499,266
Invacare Corp.		15,923		209,706
Sanderson Farms, Inc.		1,944		175,310
Darling Ingredients, Inc.*		12,989		171,065
Navigant Consulting, Inc.*		9,940		157,151
Surgical Care Affiliates, Inc.*		3,069		142,033
Premier, Inc. — Class A*		4,030		134,441
ICU Medical, Inc.*		1,225		127,523
HealthSouth Corp.		3,050		114,772
Patterson Companies, Inc.		2,050		95,387
Kindred Healthcare, Inc.		7,574		93,539
Carriage Services, Inc. — Class A		4,310		93,139
WEX, Inc.*		1,107		92,280
FTI Consulting, Inc.*		2,544		90,337
Everi Holdings, Inc.*		38,569		88,323
United Rentals, Inc.*		1,155		71,829
Universal Corp.		1,145		65,047
Community Health Systems, Inc.*		2,809		51,995
ICF International, Inc.*		1,391		47,809
Total Consumer, Non-cyclical				2,520,952
Industrial - 13.6%
FLIR Systems, Inc.		13,563		446,901
Marten Transport Ltd.		11,600		217,151
Benchmark Electronics, Inc.*		8,900		205,145
Knight Transportation, Inc.		7,210		188,542
Oshkosh Corp.		4,441		181,504
Ryder System, Inc.		2,643		171,214
Argan, Inc.		4,250		149,430
Werner Enterprises, Inc.		5,298		143,894
Scorpio Tankers, Inc.		22,984		133,997
Gentex Corp.		8,126		127,497
Kirby Corp.*		1,697		102,312
Celadon Group, Inc.		9,380		98,302
Colfax Corp.*		3,264		93,318
ITT Corp.		2,480		91,487
LMI Aerospace, Inc.*		8,686		73,918
Terex Corp.		1,823		45,356
Rand Logistics, Inc.*		34,819		33,078
Total Industrial				2,503,046
Consumer, Cyclical - 10.5%
International Speedway Corp. — Class A		8,456		312,111
J.C. Penney Company, Inc.*		25,027		276,799
Century Communities, Inc.*		10,190		173,943
Essendant, Inc.		4,854		154,987
La-Z-Boy, Inc.		5,790		154,825
UniFirst Corp.		1,300		141,856
Tuesday Morning Corp.*		14,740		120,573
ScanSource, Inc.*		2,820		113,872
WESCO International, Inc.*		1,919		104,912
CalAtlantic Group, Inc.		2,819		94,211
Caleres, Inc.		3,326		94,093
Unifi, Inc.*		3,498		80,139
Sonic Automotive, Inc. — Class A		2,990		55,255
Tenneco, Inc.*		1,026		52,849
Total Consumer, Cyclical				1,930,425
Technology - 9.4%
Maxwell Technologies, Inc.*		48,100		285,713
Silicon Graphics International Corp.*		40,028		284,999
ManTech International Corp. — Class A		7,705		246,483
Mercury Systems, Inc.*		8,690		176,407
IXYS Corp.		14,972		167,986
Cree, Inc.*		4,910		142,881
Super Micro Computer, Inc.*		3,970		135,298
Brooks Automation, Inc.		11,160		116,064
Photronics, Inc.*		8,405		87,496
Diebold, Inc.		1,726		49,899
MKS Instruments, Inc.		1,240		46,686
Total Technology				1,739,912
Utilities - 8.7%
Laclede Group, Inc.		7,769		526,350
Black Hills Corp.		6,030		362,584

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
SMALL CAP VALUE FUND

	Shares		Value
Avista Corp.		7,683	$	313,313
Portland General Electric Co.		7,660		302,493
ALLETE, Inc.		1,800		100,926
Total Utilities				1,605,666
Basic Materials - 3.8%
Calgon Carbon Corp.		14,000		196,281
Reliance Steel & Aluminum Co.		2,412		166,886
Stillwater Mining Co.*		8,511		90,642
Olin Corp.		5,027		87,319
Landec Corp.*		7,636		80,178
Luxfer Holdings plc ADR		7,099		75,320
Total Basic Materials				696,626
Communications - 2.6%
DigitalGlobe, Inc.*		14,908		257,908
Finisar Corp.*		12,440		226,906
Total Communications				484,814
Energy - 1.5%
Rowan Companies plc — Class A		7,640		123,004
Oasis Petroleum, Inc.*		15,580		113,423
Sanchez Energy Corp.*		6,288		34,521
Total Energy				270,948
Total Common Stocks
(Cost $17,554,903)				18,133,735
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Thermoenergy Corp.*,1		6,250		13
Total Convertible Preferred Stocks
(Cost $5,968)				13
SHORT TERM INVESTMENTS† - 1.7%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.18%2		313,627		313,627
Total Short Term Investments
(Cost $313,627)				313,627
Total Investments - 99.9%
(Cost $17,874,498)			$	18,447,375
Other Assets & Liabilities, net - 0.1%				27,452
Total Net Assets - 100.0%			$	18,474,827

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4
†††	Value determined based on Level 3 inputs — See Note 4.
1	PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
2	Rate indicated is the 7 day yield as of March 31, 2016.
	ADR — American Depositary Receipt
	plc — Public Limited Company
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Common Stocks	$	18,133,735	$	—	$	—	$	18,133,735
Convertible Preferred Stocks		—		—		13		13
Short Term Investments		313,627		—		—		313,627
Total	$	18,447,362	$	—	$	13	$	18,447,375

For the period ended March 31, 2016, there were no transfers between levels.

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

SMALL CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments, at value (cost $17,874,498)	$	18,447,375
Prepaid expenses		7,918
Receivables:
Securities sold		40,821
Dividends		28,697
Fund shares sold		13,106
Total assets		18,537,917
Liabilities:
Payable for:
Fund shares redeemed		30,133
Distribution and service fees		6,915
Management fees		6,334
Transfer agent/maintenance fees		5,490
Direct shareholders expense		3,395
Legal fees		3,292
Fund accounting/administration fees		1,437
Trustees’ fees*		659
Miscellaneous		5,435
Total liabilities		63,090
Net assets	$	18,474,827
Net assets consist of:
Paid in capital	$	18,539,056
Accumulated net investment loss		(20,327	)
Accumulated net realized loss on investments		(616,779	)
Net unrealized appreciation on investments		572,877
Net assets	$	18,474,827
A-Class:
Net assets	$	12,835,981
Capital shares outstanding		1,008,759
Net asset value per share	$	12.72
Maximum offering price per share (Net asset value divided by 95.25%)	$	13.35
C-Class:
Net assets	$	5,221,711
Capital shares outstanding		442,705
Net asset value per share	$	11.80
P-Class:
Net assets	$	10,157
Capital shares outstanding		798
Net asset value per share	$	12.73
Institutional Class:
Net assets	$	406,978
Capital shares outstanding		34,748
Net asset value per share	$	11.71

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016

Investment Income:
Dividends (net of foreign withholding tax of $182)	$	125,622
Interest		47
Total investment income		125,669
Expenses:
Management fees		89,940
Transfer agent/maintenance fees:
A-Class		15,272
C-Class		6,098
P-Class		28
Institutional Class		473
Distribution and service fees:
A-Class		15,571
C-Class		25,251
P-Class		12
Fund accounting/administration fees		8,544
Registration fees		51,468
Custodian fees		2,363
Line of credit fees		1,302
Trustees’ fees*		920
Miscellaneous		21,848
Total expenses		239,090
Less:
Expenses waived by Adviser		(102,474	)
Net expenses		136,616
Net investment loss		(10,947	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(477,196	)
Net realized loss		(477,196	)
Net change in unrealized appreciation (depreciation) on:
Investments		1,781,515
Net change in unrealized appreciation (depreciation)		1,781,515
Net realized and unrealized gain		1,304,319
Net increase in net assets resulting from operations	$	1,293,372

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

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

SMALL CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment loss	$	(10,947	)	$	(21,279	)
Net realized gain (loss) on investments		(477,196	)		2,580,686
Net change in unrealized appreciation (depreciation) on investments		1,781,515			(3,368,440	)
Net increase (decrease) in net assets resulting from operations		1,293,372			(809,033	)
Distributions to shareholders from:
Net investment income
A-Class		—			(85,715	)
Institutional Class		—			(60,526	)
Net realized gains
A-Class		(955,328	)		(3,174,844	)
C-Class		(396,113	)		(1,734,594	)
P-Class		(707	)		—	*
Institutional Class		(41,348	)		(145,234	)
Total distributions to shareholders		(1,393,496	)		(5,200,913	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,516,458			4,411,252
C-Class		644,807			563,350
P-Class		425			10,100	*
Institutional Class		238,319			415,494
Distributions reinvested
A-Class		939,682			3,225,514
C-Class		387,206			1,687,462
P-Class		707			—	*
Institutional Class		31,740			119,479
Cost of shares redeemed
A-Class		(2,444,138	)		(8,280,585	)
C-Class		(940,543	)		(3,649,333	)
P-Class		—			—	*
Institutional Class		(306,725	)		(608,113	)
Net increase (decrease) from capital share transactions		67,938			(2,105,380	)
Net decrease in net assets		(32,186	)		(8,115,326	)
Net assets:
Beginning of period		18,507,013			26,622,339
End of period	$	18,474,827		$	18,507,013
Accumulated net investment loss at end of period	$	(20,327	)	$	(9,380	)

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

SMALL CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		120,178			298,616
C-Class		56,550			41,676
P-Class		36			706	*
Institutional Class		20,797			31,665
Shares issued from reinvestment of distributions
A-Class		74,756			230,223
C-Class		33,151			127,935
P-Class		56			—	*
Institutional Class		2,743			9,233
Shares redeemed
A-Class		(193,257	)		(552,933	)
C-Class		(79,774	)		(271,052	)
Institutional Class		(27,608	)		(46,285	)
Net increase (decrease) in shares		7,628			(130,216	)

* Since commencement of operations: May 1, 2015.

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

SMALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Per Share Data
Net asset value, beginning of period	$	12.78		$	16.82		$	17.81		$	15.04		$	11.66		$	14.35
Income (loss) from investment operations:
Net investment income (loss)b		.01			.02			(.03	)		(—	)c		(.03	)		(.07	)
Net gain (loss) on investments (realized and unrealized)		.92			(.60	)		.26			4.05			3.73			(.63	)
Total from investment operations		.93			(.58	)		.23			4.05			3.70			(.70	)
Less distributions from:
Net investment income		—			(.09	)		(.03	)		(.01	)		—			—
Net realized gains		(.99	)		(3.37	)		(1.19	)		(1.27	)		(.32	)		(1.99	)
Total distributions		(.99	)		(3.46	)		(1.22	)		(1.28	)		(.32	)		(1.99	)
Net asset value, end of period	$	12.72		$	12.78		$	16.82		$	17.81		$	15.04		$	11.66
Total Returnd		7.38	%		(5.23	%)		1.07	%		29.39	%		32.19	%		(7.31	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	12,836		$	12,866		$	17,342		$	16,487		$	12,294		$	7,592
Ratios to average net assets:
Net investment income (loss)		0.08	%		0.13	%		(0.14	%)		(0.02	%)		(0.24	%)		(0.52	%)
Total expenses		2.46	%		1.99	%		1.85	%		1.91	%		2.14	%		2.33	%
Net expensese		1.32	%g		1.32	%g		1.32	%g		1.30	%		1.30	%		1.30	%
Portfolio turnover rate		31	%		62	%		45	%		34	%		62	%		70	%

C-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Per Share Data
Net asset value, beginning of period	$	11.95		$	15.96		$	17.05		$	14.54		$	11.36		$	14.13
Income (loss) from investment operations:
Net investment income (loss)b		(.04	)		(.09	)		(.15	)		(.12	)		(.14	)		(.18	)
Net gain (loss) on investments (realized and unrealized)		.88			(.55	)		.25			3.90			3.64			(.60	)
Total from investment operations		.84			(.64	)		.10			3.78			3.50			(.78	)
Less distributions from:
Net realized gains		(.99	)		(3.37	)		(1.19	)		(1.27	)		(.32	)		(1.99	)
Total distributions		(.99	)		(3.37	)		(1.19	)		(1.27	)		(.32	)		(1.99	)
Net asset value, end of period	$	11.80		$	11.95		$	15.96		$	17.05		$	14.54		$	11.36
Total Returnd		7.12	%		(5.97	%)		0.30	%		28.34	%		31.35	%		(8.07	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,222		$	5,173		$	8,527		$	5,885		$	3,026		$	2,305
Ratios to average net assets:
Net investment income (loss)		(0.67	%)		(0.65	%)		(0.87	%)		(0.75	%)		(1.00	%)		(1.26	%)
Total expenses		3.20	%		2.72	%		2.51	%		2.58	%		2.70	%		3.07	%
Net expensese		2.07	%g		2.08	%g		2.07	%g		2.05	%		2.05	%		2.05	%
Portfolio turnover rate		31	%		62	%		45	%		34	%		62	%		70	%

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

SMALL CAP VALUE 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.

P-Class	Period Ended March 31, 2016a			Period Ended September 30, 2015f
Per Share Data
Net asset value, beginning of period	$	12.77		$	14.33
Income (loss) from investment operations:
Net investment income (loss)b		.01			.04
Net gain (loss) on investments (realized and unrealized)		.94			(1.60	)
Total from investment operations		.95			(1.56	)
Less distributions from:
Net realized gains		(.99	)		—
Total distributions		(.99	)		—
Net asset value, end of period	$	12.73		$	12.77
Total Returnd		7.46	%		(10.82	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10		$	9
Ratios to average net assets:
Net investment income (loss)		0.11	%		0.60	%
Total expenses		2.81	%		4.04	%
Net expensese,g		1.32	%		1.31	%
Portfolio turnover rate		31	%		62	%

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

SMALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Per Share Data
Net asset value, beginning of period	$	11.82		$	17.04		$	18.04		$	15.21		$	11.76		$	14.43
Income (loss) from investment operations:
Net investment income (loss)b		.02			.05			.01			.04			—	c		(.04	)
Net gain (loss) on investments (realized and unrealized)		.86			(.49	)		.25			4.10			3.77			(.64	)
Total from investment operations		.88			(.44	)		.26			4.14			3.77			(.68	)
Less distributions from:
Net investment income		—			(1.41	)		(.07	)		(.04	)		—			—
Net realized gains		(.99	)		(3.37	)		(1.19	)		(1.27	)		(.32	)		(1.99	)
Total distributions		(.99	)		(4.78	)		(1.26	)		(1.31	)		(.32	)		(1.99	)
Net asset value, end of period	$	11.71		$	11.82		$	17.04		$	18.04		$	15.21		$	11.76
Total Returnd		7.55	%		(5.01	%)		1.21	%		29.74	%		32.51	%		(7.11	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	407		$	459		$	753		$	22,315		$	18,591		$	638
Ratios to average net assets:
Net investment income (loss)		0.27	%		0.33	%		0.05	%		0.23	%		0.02	%		(0.30	%)
Total expenses		2.20	%		1.70	%		1.33	%		1.34	%		1.44	%		2.09	%
Net expensese		1.07	%g		1.07	%g		1.07	%g		1.05	%		1.05	%		1.05	%
Portfolio turnover rate		31	%		62	%		45	%		34	%		62	%		70	%

a	Unaudited figures for the period ended March 31, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Net investment income is less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges.
e	Net expense information reflects the expense ratios after expense waivers.
f	Since commencement of operations: May 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
g	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operation expense ratios for the periods presented would be:

	03/31/16	09/30/15	09/30/14
A-Class	1.30%	1.30%	1.30%
C-Class	2.05%	2.05%	2.05%
P-Class	1.30%	1.30%	—
Institutional Class	1.05%	1.05%	1.05%

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

FUND PROFILE (Unaudited) March 31, 2016

STYLEPLUS—LARGE CORE FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

 

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.

Inception Dates:
A-Class	September 10, 1962
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	March 1, 2012

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Strategy Fund III	35.1%
Guggenheim Strategy Fund II	25.1%
Guggenheim Strategy Fund I	11.0%
Guggenheim Limited Duration Fund - Institutional Class	8.2%
Apple, Inc.	0.7%
General Electric Co.	0.5%
Procter & Gamble Co.	0.4%
JPMorgan Chase & Co.	0.4%
PepsiCo, Inc.	0.3%
Cisco Systems, Inc.	0.3%
Top Ten Total	82.0%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
STYLEPLUS—LARGE CORE FUND

	Shares		Value
COMMON STOCKS† - 16.6%
Consumer, Non-cyclical - 4.9%
Procter & Gamble Co.		8,627	$	710,088
PepsiCo, Inc.		5,687		582,804
Merck & Company, Inc.		10,811		572,009
Gilead Sciences, Inc.		5,945		546,108
UnitedHealth Group, Inc.		4,200		541,380
Medtronic plc		6,776		508,200
Amgen, Inc.		3,369		505,114
AbbVie, Inc.		8,371		478,152
Danaher Corp.		4,438		420,989
Biogen, Inc.*		1,515		394,385
General Mills, Inc.		6,223		394,227
HCA Holdings, Inc.*		4,876		380,572
Express Scripts Holding Co.*		5,444		373,948
Sysco Corp.		7,851		366,877
Kroger Co.		9,261		354,233
Pfizer, Inc.		10,563		313,087
McKesson Corp.		1,975		310,569
Cardinal Health, Inc.		3,539		290,021
Johnson & Johnson		2,619		283,376
Tyson Foods, Inc. — Class A		3,326		221,711
Allergan plc*		543		145,540
Kraft Heinz Co.		1,262		99,143
Aetna, Inc.		759		85,274
Anthem, Inc.		564		78,390
Cigna Corp.		546		74,933
Mondelez International, Inc. — Class A		1,580		63,390
Total Consumer, Non-cyclical				9,094,520
Financial - 3.2%
JPMorgan Chase & Co.		11,496		680,793
Bank of America Corp.		41,044		554,915
Citigroup, Inc.		12,527		523,002
MetLife, Inc.		9,247		406,313
Travelers Companies, Inc.		3,331		388,761
Capital One Financial Corp.		5,429		376,284
Bank of New York Mellon Corp.		10,213		376,145
Prudential Financial, Inc.		5,101		368,394
Allstate Corp.		5,406		364,202
Aflac, Inc.		5,761		363,750
American Express Co.		5,789		355,445
Synchrony Financial*		10,365		297,061
PNC Financial Services Group, Inc.		2,962		250,496
Berkshire Hathaway, Inc. — Class B*		1,083		153,656
Wells Fargo & Co.		3,139		151,802
Charles Schwab Corp.		3,908		109,502
Chubb Ltd.		790		94,129
Visa, Inc. — Class A		1,229		93,994
Total Financial				5,908,644
Industrial - 2.3%
General Electric Co.		26,877		854,420
Boeing Co.		3,659		464,474
Union Pacific Corp.		5,338		424,638
Caterpillar, Inc.		5,459		417,832
Lockheed Martin Corp.		1,866		413,319
Eaton Corporation plc		6,086		380,740
Waste Management, Inc.		6,097		359,723
CSX Corp.		11,501		296,151
FedEx Corp.		1,623		264,094
United Parcel Service, Inc. — Class B		2,170		228,870
General Dynamics Corp.		928		121,911
Honeywell International, Inc.		866		97,035
Total Industrial				4,323,207
Technology - 1.9%
Apple, Inc.		11,823		1,288,589
Intel Corp.		16,369		529,537
Microsoft Corp.		9,317		514,578
Hewlett Packard Enterprise Co.		26,241		465,253
International Business Machines Corp.		2,016		305,323
QUALCOMM, Inc.		4,808		245,881
Broadcom Ltd.		662		102,279
Total Technology				3,451,440
Consumer, Cyclical - 1.5%
CVS Health Corp.		5,103		529,334
Wal-Mart Stores, Inc.		7,470		511,620
Walgreens Boots Alliance, Inc.		5,361		451,611
Ford Motor Co.		30,106		406,431
Delta Air Lines, Inc.		6,407		311,893
Southwest Airlines Co.		6,119		274,131
American Airlines Group, Inc.		5,505		225,760
Total Consumer, Cyclical				2,710,780
Communications - 1.4%
Cisco Systems, Inc.		20,356		579,534
Comcast Corp. — Class A		9,469		578,367
Alphabet, Inc. — Class C*		621		462,614
Time Warner, Inc.		6,012		436,171
eBay, Inc.*		8,344		199,088
Facebook, Inc. — Class A*		1,209		137,947
AT&T, Inc.		2,806		109,912
Verizon Communications, Inc.		1,781		96,316
Amazon.com, Inc.*		161		95,576
Total Communications				2,695,525
Energy - 1.1%
Exxon Mobil Corp.		6,932		579,446
Chevron Corp.		2,841		271,031
Schlumberger Ltd.		3,449		254,364
Valero Energy Corp.		1,842		118,146
EOG Resources, Inc.		1,573		114,168
ConocoPhillips		2,662		107,199

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
STYLEPLUS—LARGE CORE FUND

	Shares		Value
Marathon Petroleum Corp.		2,649	$	98,490
Apache Corp.		1,980		96,644
Hess Corp.		1,726		90,874
Occidental Petroleum Corp.		1,302		89,096
Anadarko Petroleum Corp.		1,906		88,762
Kinder Morgan, Inc.		4,223		75,423
Halliburton Co.		2,033		72,619
Williams Companies, Inc.		3,964		63,701
Total Energy				2,119,963
Basic Materials - 0.3%
LyondellBasell Industries N.V. — Class A		4,426		378,777
Dow Chemical Co.		1,832		93,176
Total Basic Materials				471,953
Utilities - 0.0%
Southern Co.		1,791		92,648
Total Common Stocks
(Cost $29,982,256)				30,868,680
MUTUAL FUNDS† - 79.4%
Guggenheim Strategy Fund III1		2,650,720		65,393,260
Guggenheim Strategy Fund II1		1,891,287		46,695,867
Guggenheim Strategy Fund I1		827,971		20,541,950
Guggenheim Limited Duration Fund - Institutional Class1		628,317		15,236,692
Total Mutual Funds
(Cost $148,952,998)				147,867,769
SHORT TERM INVESTMENTS† - 3.8%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.18%2		7,064,509		7,064,509
Total Short Term Investments
(Cost $7,064,509)				7,064,509
Total Investments - 99.8%
(Cost $185,999,763)			$	185,800,958
Other Assets & Liabilities, net - 0.2%				427,607
Total Net Assets - 100.0%			$	186,228,565

	Contracts		Unrealized Gain (Loss)
EQUITY FUTURES CONTRACTS PURCHASED†
June 2016 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $1,845,450)		18	$	37,248
	Units
OTC EQUITY INDEX SWAP AGREEMENTS††
Bank of America May 2016 S&P 500 Index Swap 0.62%3, Terminating 05/02/16 (Notional Value $47,839,521)		23,226	$	3,815,360
Goldman Sachs International April 2016 S&P 500 Index Swap 0.44%3, Terminating 04/01/16 (Notional Value $34,735,455)		16,864		1,280,628
Morgan Stanley Capital Services, Inc. July 2016 S&P 500 Total Return Swap 0.63%3, Terminating 07/05/16 (Notional Value $72,441,395)		18,703		(745,236	)
(Total Notional Value $155,016,371)			$	4,350,752

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer — See Note 8.
2	Rate indicated is the 7 day yield as of March 31, 2016.
3	Total Return based on S&P 500 Index +/- financing at a variable rate. Rate indicated is the rate effective at March 31, 2016.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
STYLEPLUS—LARGE CORE FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 1 - Other*		Level 2		Level 2 - Other*		Level 3		Total
Common Stocks	$	30,868,680	$	—	$	—	$	—	$	—	$	30,868,680
Equity Futures Contracts		—		37,248		—		—		—		37,248
Equity Index Swap Agreements		—		—		—		5,095,988		—		5,095,988
Mutual Funds		147,867,769		—		—		—		—		147,867,769
Short Term Investments		7,064,509		—		—		—		—		7,064,509
Total	$	185,800,958	$	37,248	$	—	$	5,095,988	$	—	$	190,934,194
Investments in Securities (Liabilities)	Level 1		Level 1 - Other*		Level 2		Level 2 - Other*		Level 3		Total
Equity Index Swap Agreements	$	—	$	—	$	—	$	745,236	$	—	$	745,236

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

For the period ended March 31, 2016, there were no transfers between levels.

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

STYLEPLUS—LARGE CORE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments in unaffiliated issuers, at value (cost $37,046,765)	$	37,933,189
Investments in affiliated issuers, at value (cost $148,952,998)		147,867,769
Total investments (cost $185,999,763)		185,800,958
Unrealized appreciation on swap agreements		5,095,988
Segregated cash with broker		2,463,035
Prepaid expenses		48,137
Receivables:
Securities sold		918,340
Dividends		315,739
Fund shares sold		48,047
Total assets		194,690,244
Liabilities:
Segregated cash from broker		5,015,000
Unrealized depreciation on swap agreements		745,236
Overdraft due to custodian bank		266
Payable for:
Swap settlement		1,754,492
Securities purchased		532,165
Fund shares redeemed		160,661
Management fees		111,860
Distribution and service fees		40,773
Transfer agent/maintenance fees		17,600
Fund accounting/administration fees		14,733
Trustees' fees*		9,899
Variation margin		4,230
Miscellaneous		54,764
Total liabilities		8,461,679
Net assets	$	186,228,565
Net assets consist of:
Paid in capital	$	187,253,643
Undistributed net investment income		173,415
Accumulated net realized loss on investments		(5,387,688	)
Net unrealized appreciation on investments		4,189,195
Net assets	$	186,228,565
A-Class:
Net assets	$	182,409,239
Capital shares outstanding		8,984,215
Net asset value per share	$	20.30
Maximum offering price per share (Net asset value divided by 95.25%)	$	21.31
C-Class:
Net assets	$	3,289,804
Capital shares outstanding		204,846
Net asset value per share	$	16.06
P-Class:
Net assets	$	384,201
Capital shares outstanding		19,028
Net asset value per share	$	20.19
Institutional Class:
Net assets	$	145,321
Capital shares outstanding		7,197
Net asset value per share	$	20.19

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

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

STYLEPLUS—LARGE CORE FUND

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016

Investment Income:
Dividends from securities of affiliated issuers	$	1,423,367
Dividends from securities of unaffiliated issuers		356,589
Interest		11,979
Total investment income		1,791,935
Expenses:
Management fees		698,445
Transfer agent/maintenance fees:
A-Class		119,316
C-Class		5,340
P-Class		28
Institutional Class		259
Distribution and service fees:
A-Class		227,064
C-Class		15,151
P-Class		264
Fund accounting/administration fees		88,469
Line of credit fees		21,987
Trustees’ fees*		8,471
Custodian fees		6,144
Miscellaneous		81,008
Total expenses		1,271,946
Less:
Expenses waived by Adviser		(4,458	)
Net expenses		1,267,488
Net investment income		524,447
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	598,531
Investments in affiliated issuers		(145,392	)
Swap agreements		(5,171,515	)
Futures contracts		122,765
Net realized loss		(4,595,611	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		1,574,793
Investments in affiliated issuers		(767,447	)
Swap agreements		17,130,731
Futures contracts		70,819
Net change in unrealized appreciation (depreciation)		18,008,896
Net realized and unrealized gain		13,413,285
Net increase in net assets resulting from operations	$	13,937,732

* 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 | 65

STYLEPLUS—LARGE CORE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	524,447		$	916,462
Net realized gain (loss) on investments		(4,595,611	)		21,563,771
Net change in unrealized appreciation (depreciation) on investments		18,008,896			(23,122,031	)
Net increase (decrease) in net assets resulting from operations		13,937,732			(641,798	)
Distributions to shareholders from:
Net investment income
A-Class		(1,021,091	)		(1,732,889	)
C-Class		—			(12,770	)
P-Class		(120	)		—	*
Institutional Class		(18,603	)		(1,276	)
Net realized gains
A-Class		(19,593,831	)		(24,703,723	)
B-Class		—			(495,181	)
C-Class		(390,350	)		(513,717	)
P-Class		(1,552	)		—	*
Institutional Class		(208,131	)		(14,534	)
Total distributions to shareholders		(21,233,678	)		(27,474,090	)
Capital share transactions:
Proceeds from sale of shares
A-Class		3,669,428			9,389,928
B-Class		—			73,635
C-Class		806,889			1,219,839
P-Class		362,398			15,200	*
Institutional Class		1,651,205			299,886
Distributions reinvested
A-Class		19,338,091			24,669,740
B-Class		—			493,058
C-Class		381,661			522,705
P-Class		1,672			—	*
Institutional Class		225,550			11,270
Cost of shares redeemed
A-Class		(11,441,443	)		(21,983,556	)
B-Class		—			(3,242,342	)
C-Class		(478,435	)		(1,457,727	)
Institutional Class		(1,825,086	)		(67,861	)
Net increase from capital share transactions		12,691,930			9,943,775
Net increase (decrease) in net assets		5,395,984			(18,172,113	)
Net assets:
Beginning of period		180,832,581			199,004,694
End of period	$	186,228,565		$	180,832,581
Undistributed net investment income at end of period	$	173,415		$	688,782

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

STYLEPLUS—LARGE CORE FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		180,808			407,154
B-Class		—			4,630
C-Class		49,513			63,123
P-Class		18,285			660	*
Institutional Class		78,791			13,800
Shares issued from reinvestment of distributions
A-Class		960,661			1,097,897
B-Class		—			30,473
C-Class		23,881			28,423
P-Class		83			—	*
Institutional Class		11,274			505
Shares redeemed
A-Class		(565,058	)		(959,415	)
B-Class		—			(200,041	)
C-Class		(29,748	)		(78,357	)
Institutional Class		(97,307	)		(3,130	)
Net increase in shares		631,183			405,722

* Since commencement of operations: May, 1, 2015.

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

STYLEPLUS—LARGE CORE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011h
Per Share Data
Net asset value, beginning of period	$	21.14		$	24.53		$	24.27		$	21.25		$	16.79		$	17.56
Income (loss) from investment operations:
Net investment income (loss)b		.06			.11			.20			.06			.06			.01
Net gain (loss) on investments (realized and unrealized)		1.58			(.12	)		4.45			3.04			4.42			(.74	)
Total from investment operations		1.64			(.01	)		4.65			3.10			4.48			(.73	)
Less distributions from:
Net investment income		(.13	)		(.22	)		(.06	)		(.08	)		(.02	)		(.04	)
Net realized gains		(2.35	)		(3.16	)		(4.33	)		—			—			—
Total distributions		(2.48	)		(3.38	)		(4.39	)		(.08	)		(.02	)		(.04	)
Net asset value, end of period	$	20.30		$	21.14		$	24.53		$	24.27		$	21.25		$	16.79
Total Returnc		7.84	%		(0.84	%)		21.59	%		14.64	%		26.71	%		(4.11	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	182,409		$	177,748		$	192,850		$	175,601		$	171,907		$	156,232
Ratios to average net assets:
Net investment income (loss)		0.58	%		0.48	%		0.86	%		0.26	%		0.32	%		0.06	%
Total expensesd		1.35	%		1.32	%		1.41	%		1.37	%		1.36	%		1.35	%
Net expensese		1.35	%		1.32	%		1.39	%		1.37	%		1.36	%		1.35	%
Portfolio turnover rate		36	%		65	%		107	%		217	%		101	%		92	%

C-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011h
Per Share Data
Net asset value, beginning of period	$	17.17		$	20.55		$	21.12		$	18.60		$	14.81		$	15.56
Income (loss) from investment operations:
Net investment income (loss)b		(.03	)		(.08	)		(.02	)		(.15	)		(.10	)		(.12	)
Net gain (loss) on investments (realized and unrealized)		1.27			(.06	)		3.78			2.67			3.89			(.63	)
Total from investment operations		1.24			(.14	)		3.76			2.52			3.79			(.75	)
Less distributions from:
Net investment income		—			(.08	)		—			—			—			—
Net realized gains		(2.35	)		(3.16	)		(4.33	)		—			—			—
Total distributions		(2.35	)		(3.24	)		(4.33	)		—			—			—
Net asset value, end of period	$	16.06		$	17.17		$	20.55		$	21.12		$	18.60		$	14.81
Total Returnc		7.31	%		(1.72	%)		20.40	%		13.55	%		25.59	%		(4.82	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,290		$	2,767		$	3,042		$	2,275		$	1,669		$	1,600
Ratios to average net assets:
Net investment income (loss)		(0.38	%)		(0.44	%)		(0.08	%)		(0.77	%)		(0.55	%)		(0.70	%)
Total expensesd		2.33	%		2.25	%		2.36	%		2.34	%		2.22	%		2.10	%
Net expensese		2.32	%		2.25	%		2.34	%		2.34	%		2.22	%		2.10	%
Portfolio turnover rate		36	%		65	%		107	%		217	%		101	%		92	%

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

STYLEPLUS—LARGE CORE 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.

P-Class	Period Ended March 31, 2016a			Period Ended September 30, 2015f
Per Share Data
Net asset value, beginning of period	$	21.11		$	23.12
Income (loss) from investment operations:
Net investment income (loss)b		.09			.03
Net gain (loss) on investments (realized and unrealized)		1.53			(2.04	)
Total from investment operations		1.62			(2.01	)
Less distributions from:
Net investment income		(.19	)		—
Net realized gains		(2.35	)		—
Total distributions		(2.54	)		—
Net asset value, end of period	$	20.19		$	21.11
Total Returnc		7.75	%		(8.69	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	384		$	14
Ratios to average net assets:
Net investment income (loss)		0.89	%		0.31	%
Total expensesd		1.23	%		1.38	%
Net expensese		1.22	%		1.38	%
Portfolio turnover rate		36	%		65	%

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

STYLEPLUS—LARGE CORE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Period Ended September 30, 2012g
Per Share Data
Net asset value, beginning of period	$	21.00		$	24.42		$	24.25		$	21.28		$	20.84
Income (loss) from investment operations:
Net investment income (loss)b		.08			.12			.23			.06			.07
Net gain (loss) on investments (realized and unrealized)		1.67			(.10	)		4.38			3.06			.37
Total from investment operations		1.75			.02			4.61			3.12			.44
Less distributions from:
Net investment income		(.21	)		(.28	)		(.11	)		(.15	)		—
Net realized gains		(2.35	)		(3.16	)		(4.33	)		—			—
Total distributions		(2.56	)		(3.44	)		(4.44	)		(.15	)		—
Net asset value, end of period	$	20.19		$	21.00		$	24.42		$	24.25		$	21.28
Total Returnc		8.46	%		(0.75	%)		21.50	%		14.79	%		2.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	145		$	303		$	80		$	26		$	10
Ratios to average net assets:
Net investment income (loss)		0.77	%		0.52	%		0.97	%		0.26	%		0.59	%
Total expensesd		1.02	%		1.25	%		1.39	%		1.25	%		1.12	%
Net expensese		1.02	%		1.25	%		1.37	%		1.25	%		1.12	%
Portfolio turnover rate		36	%		65	%		107	%		217	%		101	%

a	Unaudited figures for the period ended March 31, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers.
f	Since commencement of operations: May 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
g	Since commencement of operations: March 1, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
h	Reverse share split — Per share amounts for the periods presented through April 8, 2011 have been restated to reflect a 1:4 reverse share split effect April 8, 2011.

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

FUND PROFILE (Unaudited) March 31, 2016

STYLEPLUS—MID GROWTH FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

 

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.

Inception Dates:
A-Class	September 17, 1969
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	March 1, 2012

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Strategy Fund III	33.7%
Guggenheim Strategy Fund II	25.9%
Guggenheim Strategy Fund I	10.2%
Guggenheim Limited Duration Fund - Institutional Class	7.9%
United Continental Holdings, Inc.	0.2%
AmerisourceBergen Corp. — Class A	0.2%
Southwest Airlines Co.	0.2%
Constellation Brands, Inc. — Class A	0.2%
Omnicom Group, Inc.	0.2%
PACCAR, Inc.	0.2%
Top Ten Total	78.9%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 71

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
STYLEPLUS—MID GROWTH FUND

	Shares		Value
COMMON STOCKS† - 17.1%
Consumer, Non-cyclical - 6.3%
AmerisourceBergen Corp. — Class A		2,129	$	184,265
Constellation Brands, Inc. — Class A		1,083		163,630
Dr Pepper Snapple Group, Inc.		1,775		158,721
Monster Beverage Corp.*		1,169		155,921
Spectrum Brands Holdings, Inc.		1,406		153,648
Flowers Foods, Inc.		8,322		153,624
Laboratory Corporation of America Holdings*		1,309		153,323
ConAgra Foods, Inc.		3,308		147,604
Avis Budget Group, Inc.*		5,304		145,117
Zimmer Biomet Holdings, Inc.		1,310		139,686
Kellogg Co.		1,802		137,943
Mallinckrodt plc*		2,136		130,894
Molina Healthcare, Inc.*		2,028		130,786
DaVita HealthCare Partners, Inc.*		1,682		123,425
Mead Johnson Nutrition Co. — Class A		1,419		120,572
Ingredion, Inc.		1,079		115,226
St. Jude Medical, Inc.		2,089		114,895
WhiteWave Foods Co. — Class A*		2,639		107,249
Sysco Corp.		2,254		105,329
Cardinal Health, Inc.		1,266		103,749
Hologic, Inc.*		2,963		102,224
United Rentals, Inc.*		1,630		101,370
General Mills, Inc.		1,524		96,545
HCA Holdings, Inc.*		1,170		91,318
Cal-Maine Foods, Inc.		1,668		86,586
CR Bard, Inc.		426		86,337
KAR Auction Services, Inc.		2,248		85,739
HealthSouth Corp.		2,254		84,818
RR Donnelley & Sons Co.		5,136		84,230
Becton Dickinson and Co.		554		84,108
Tyson Foods, Inc. — Class A		1,251		83,392
Western Union Co.		4,218		81,365
MEDNAX, Inc.*		1,232		79,612
Robert Half International, Inc.		1,606		74,807
Universal Health Services, Inc. — Class B		558		69,593
Tenet Healthcare Corp.*		2,320		67,118
Verisk Analytics, Inc. — Class A*		759		60,659
Pilgrim’s Pride Corp.*		2,097		53,264
Zoetis, Inc.		1,172		51,955
Hershey Co.		538		49,544
Hain Celestial Group, Inc.*		1,202		49,174
LifePoint Health, Inc.*		702		48,614
Coca-Cola Enterprises, Inc.		938		47,594
Alexion Pharmaceuticals, Inc.*		332		46,221
Quintiles Transnational Holdings, Inc.*		708		46,091
DexCom, Inc.*		630		42,783
Nielsen Holdings plc		802		42,233
Amsurg Corp. — Class A*		560		41,776
Alnylam Pharmaceuticals, Inc.*		648		40,675
DENTSPLY SIRONA, Inc.		641		39,505
BioMarin Pharmaceutical, Inc.*		460		37,941
Global Payments, Inc.		496		32,389
Centene Corp.*		437		26,906
Total Consumer, Non-cyclical				4,862,093
Consumer, Cyclical - 3.0%
United Continental Holdings, Inc.*		3,155		188,859
Southwest Airlines Co.		3,958		177,319
PACCAR, Inc.		2,923		159,859
Delphi Automotive plc		1,878		140,888
DR Horton, Inc.		4,304		130,110
Liberty Interactive Corporation QVC Group — Class A*		4,982		125,796
Lear Corp.		1,128		125,400
WW Grainger, Inc.		532		124,185
JetBlue Airways Corp.*		5,120		108,134
Harley-Davidson, Inc.		1,577		80,947
Alaska Air Group, Inc.		893		73,244
Macy’s, Inc.		1,641		72,352
AutoZone, Inc.*		86		68,515
Toll Brothers, Inc.*		2,281		67,312
Spirit Airlines, Inc.*		1,278		61,318
Lions Gate Entertainment Corp.		2,754		60,175
Dollar General Corp.		679		58,122
Fastenal Co.		1,069		52,381
Tiffany & Co.		635		46,596
Ross Stores, Inc.		804		46,551
L Brands, Inc.		523		45,925
Dollar Tree, Inc.*		550		45,353
Harman International Industries, Inc.		507		45,143
American Eagle Outfitters, Inc.		2,555		42,592
Marriott International, Inc. — Class A		562		40,003
Under Armour, Inc. — Class A*		456		38,682
Chipotle Mexican Grill, Inc. — Class A*		76		35,794
Hilton Worldwide Holdings, Inc.		1,459		32,857
Total Consumer, Cyclical				2,294,412
Industrial - 2.7%
Spirit AeroSystems Holdings, Inc. — Class A*		3,431		155,630
Harris Corp.		1,723		134,153
Rockwell Automation, Inc.		1,118		127,173
TransDigm Group, Inc.*		551		121,407
Stericycle, Inc.*		927		116,978
Regal Beloit Corp.		1,817		114,635
Huntington Ingalls Industries, Inc.		831		113,797
Textron, Inc.		3,061		111,604
CSX Corp.		3,754		96,665
WestRock Co.		2,445		95,428
Carlisle Companies, Inc.		955		95,023
Roper Technologies, Inc.		442		80,784
Clean Harbors, Inc.*		1,628		80,326
Jabil Circuit, Inc.		4,149		79,951
AECOM*		2,515		77,437
AMERCO		200		71,462
Rockwell Collins, Inc.		759		69,987

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
STYLEPLUS—MID GROWTH FUND

	Shares		Value
Tyco International plc		1,489	$	54,661
AMETEK, Inc.		1,033		51,629
Genesee & Wyoming, Inc. — Class A*		761		47,715
Stanley Black & Decker, Inc.		419		44,083
Zebra Technologies Corp. — Class A*		619		42,711
Cummins, Inc.		386		42,437
Flowserve Corp.		905		40,191
Total Industrial				2,065,867
Communications - 2.0%
Omnicom Group, Inc.		1,942		161,632
Scripps Networks Interactive, Inc. — Class A		2,266		148,422
Palo Alto Networks, Inc.*		878		143,237
IAC/InterActiveCorp		2,864		134,836
Discovery Communications, Inc. — Class A*		3,525		100,921
LinkedIn Corp. — Class A*		859		98,227
DISH Network Corp. — Class A*		1,902		87,987
Splunk, Inc.*		1,561		76,380
CommScope Holding Company, Inc.*		2,716		75,831
AMC Networks, Inc. — Class A*		1,160		75,330
Viacom, Inc. — Class B		1,684		69,516
Ciena Corp.*		3,431		65,258
Charter Communications, Inc. — Class A*		303		61,336
Expedia, Inc.		562		60,595
Twitter, Inc.*		3,498		57,892
VeriSign, Inc.*		598		52,947
Zayo Group Holdings, Inc.*		1,608		38,978
Total Communications				1,509,325
Technology - 1.8%
Skyworks Solutions, Inc.		1,712		133,365
Qorvo, Inc.*		2,391		120,530
Microchip Technology, Inc.		2,274		109,607
IHS, Inc. — Class A*		806		100,073
Teradata Corp.*		3,201		83,994
SS&C Technologies Holdings, Inc.		1,264		80,163
ServiceNow, Inc.*		1,232		75,375
Take-Two Interactive Software, Inc.*		1,901		71,611
Cerner Corp.*		1,293		68,477
Red Hat, Inc.*		904		67,357
Nuance Communications, Inc.*		3,365		62,892
Analog Devices, Inc.		1,021		60,433
Fortinet, Inc.*		1,950		59,729
Electronic Arts, Inc.*		858		56,722
Lam Research Corp.		604		49,890
Verint Systems, Inc.*		1,458		48,668
NetSuite, Inc.*		707		48,422
Rackspace Hosting, Inc.*		2,036		43,957
Fidelity National Information Services, Inc.		658		41,658
Tableau Software, Inc. — Class A*		798		36,604
Total Technology				1,419,527
Financial - 0.8%
Ameriprise Financial, Inc.		1,664		156,433
Alliance Data Systems Corp.*		661		145,421
CoreLogic, Inc.*		1,679		58,261
Interactive Brokers Group, Inc. — Class A		1,164		45,768
Jones Lang LaSalle, Inc.		365		42,821
CBRE Group, Inc. — Class A*		1,452		41,847
T. Rowe Price Group, Inc.		543		39,889
Signature Bank*		287		39,066
Equinix, Inc.		118		39,024
Crown Castle International Corp.		428		37,022
Total Financial				645,552
Basic Materials - 0.3%
Steel Dynamics, Inc.		2,343		52,741
International Paper Co.		1,235		50,684
Celanese Corp. — Class A		737		48,274
Huntsman Corp.		3,463		46,058
Total Basic Materials				197,757
Energy - 0.2%
Cabot Oil & Gas Corp. — Class A		2,112		47,964
FMC Technologies, Inc.*		1,544		42,244
ONEOK, Inc.		1,068		31,890
Total Energy				122,098
Total Common Stocks
(Cost $13,112,514)				13,116,631
MUTUAL FUNDS† - 77.7%
Guggenheim Strategy Fund III1		1,047,095		25,831,830
Guggenheim Strategy Fund II1		803,237		19,831,924
Guggenheim Strategy Fund I1		315,295		7,822,469
Guggenheim Limited Duration Fund - Institutional Class1		249,889		6,059,811
Total Mutual Funds
(Cost $59,994,211)				59,546,034
SHORT TERM INVESTMENTS† - 4.5%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.18%2		3,413,603		3,413,603
Total Short Term Investments
(Cost $3,413,603)				3,413,603
Total Investments - 99.3%
(Cost $76,520,328)			$	76,076,268
Other Assets & Liabilities, net - 0.7%				563,552
Total Net Assets - 100.0%			$	76,639,820

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
STYLEPLUS—MID GROWTH FUND

	Contracts		Unrealized Gain (Loss)
EQUITY FUTURES CONTRACTS PURCHASED†
June 2016 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Value of Contracts $864,600)		6	$	26,111
June 2016 NASDAQ-100 Index Mini Futures Contracts (Aggregate Value of Contracts $268,515)		3		7,049
June 2016 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $307,575)		3		6,208
(Total Aggregate Value of Contracts $1,440,690)			$	39,368

	Units
OTC EQUITY INDEX SWAP AGREEMENTS††
Goldman Sachs International May 2016 Russell MidCap Growth Index Swap 0.62%3, Terminating 05/04/16 (Notional Value $19,892,728)		26,876		1,933,290
Goldman Sachs International April 2016 Russell MidCap Growth Index Swap 0.44%3, Terminating 04/11/16 (Notional Value $13,569,482)		18,333		582,427
Morgan Stanley Capital Services, Inc. July 2016 Russell MidCap Growth Total Return Index Swap 0.63%3, Terminating 07/05/16 (Notional Value $28,802,837)		13,589		(1,729,498	)
(Total Notional Value $62,265,047)			$	786,219

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer — See Note 8.
2	Rate indicated is the 7 day yield as of March 31, 2016.
3	Total Return based on Russell MidCap Growth Index +/- financing at a variable rate. Rate indicated is the rate effective at March 31, 2016.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 1 - Other*		Level 2		Level 2 - Other*		Level 3		Total
Common Stocks	$	13,116,631	$	—	$	—	$	—	$	—	$	13,116,631
Equity Mini Futures Contracts		—		39,368		—		—		—		39,368
Equity Index Swap Agreements		—		—		—		2,515,717		—		2,515,717
Mutual Funds		59,546,034		—		—		—		—		59,546,034
Short Term Investments		3,413,603		—		—		—		—		3,413,603
Total	$	76,076,268	$	39,368	$	—	$	2,515,717	$	—	$	78,631,353
Investments in Securities (Liabilities)	Level 1		Level 1 - Other*		Level 2		Level 2 - Other*		Level 3		Total
Equity Index Swap Agreements	$	—	$	—	$	—	$	1,729,498	$	—	$	1,729,498

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

For the period ended March 31, 2016, there were no transfers between levels.

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

STYLEPLUS—MID GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments in unaffiliated issuers, at value (cost $16,526,117)	$	16,530,234
Investments in affiliated issuers, at value (cost $59,994,211)		59,546,034
Total investments (cost $76,520,328)		76,076,268
Segregated cash with broker		3,516,931
Unrealized appreciation on swap agreements		2,515,717
Prepaid expenses		31,445
Cash		14
Receivables:
Securities sold		644,506
Dividends		123,931
Fund shares sold		3,128
Total assets		82,911,940
Liabilities:
Segregated cash from broker		2,380,000
Unrealized depreciation on swap agreements		1,729,498
Payable for:
Swap settlement		1,555,625
Securities purchased		438,168
Management fees		45,689
Transfer agent/maintenance fees		29,992
Fund shares redeemed		21,463
Distribution and service fees		18,621
Fund accounting/administration fees		6,014
Trustees' fees*		2,485
Variation margin		990
Miscellaneous		43,575
Total liabilities		6,272,120
Net assets	$	76,639,820
Net assets consist of:
Paid in capital	$	81,075,434
Undistributed net investment income		72,019
Accumulated net realized loss on investments		(4,889,160	)
Net unrealized appreciation on investments		381,527
Net assets	$	76,639,820
A-Class:
Net assets	$	71,999,916
Capital shares outstanding		1,903,524
Net asset value per share	$	37.82
Maximum offering price per share (Net asset value divided by 95.25%)	$	39.71
C-Class:
Net assets	$	4,521,190
Capital shares outstanding		157,708
Net asset value per share	$	28.67
P-Class:
Net assets	$	60,008
Capital shares outstanding		1,597
Net asset value per share	$	37.58
Institutional Class:
Net assets	$	58,706
Capital shares outstanding		1,549
Net asset value per share	$	37.90

* 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 | 75

STYLEPLUS—MID GROWTH FUND

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016

Investment Income:
Dividends from securities of affiliated issuers	$	583,137
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $26)		80,164
Interest		5,038
Total investment income		668,339
Expenses:
Management fees		288,458
Transfer agent/maintenance fees:
A-Class		68,678
C-Class		7,665
P-Class		30
Institutional Class		129
Distribution and service fees:
A-Class		90,250
C-Class		23,210
P-Class		30
Fund accounting/administration fees		36,538
Registration fees		42,721
Line of credit fees		6,297
Trustees’ fees*		4,061
Custodian fees		3,753
Miscellaneous		26,293
Total expenses		598,113
Less:
Expenses waived by Adviser		(1,793	)
Net expenses		596,320
Net investment income		72,019
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	(155,837	)
Investments in affiliated issuers		(52,352	)
Swap agreements		(4,531,983	)
Futures contracts		(42,739	)
Net realized loss		(4,782,911	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		846,498
Investments in affiliated issuers		(319,498	)
Swap agreements		7,193,567
Futures contracts		44,206
Net change in unrealized appreciation (depreciation)		7,764,773
Net realized and unrealized gain		2,981,862
Net increase in net assets resulting from operations	$	3,053,881

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

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

STYLEPLUS—MID GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	72,019		$	82,187
Net realized gain (loss) on investments		(4,782,911	)		11,053,603
Net change in unrealized appreciation (depreciation) on investments		7,764,773			(9,948,308	)
Net increase in net assets resulting from operations		3,053,881			1,187,482
Distributions to shareholders from:
Net investment income
A-Class		(86,688	)		—
P-Class		(63	)		—	*
Institutional Class		(170	)		—
Net realized gains
A-Class		(9,333,165	)		(8,445,226	)
B-Class		—			(244,616	)
C-Class		(773,702	)		(583,423	)
P-Class		(1,713	)		—	*
Institutional Class		(7,288	)		(5,903	)
Total distributions to shareholders		(10,202,789	)		(9,279,168	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,058,806			7,359,683
B-Class		—			450
C-Class		423,786			1,397,441
P-Class		45,485			12,000	*
Institutional Class		10,103			57,374
Distributions reinvested
A-Class		9,015,453			8,149,102
B-Class		—			243,630
C-Class		758,694			567,893
P-Class		1,776			—	*
Institutional Class		6,154			3,831
Cost of shares redeemed
A-Class		(4,712,450	)		(12,353,481	)
B-Class		—			(1,780,631	)
C-Class		(817,764	)		(913,759	)
P-Class		(270	)		—	*
Institutional Class		(5,904	)		(31,110	)
Net increase from capital share transactions		5,783,869			2,712,423
Net decrease in net assets		(1,365,039	)		(5,379,263	)
Net assets:
Beginning of period		78,004,859			83,384,122
End of period	$	76,639,820		$	78,004,859
Undistributed net investment income at end of period	$	72,019		$	86,921

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

STYLEPLUS—MID GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		27,520			162,640
B-Class		—			15
C-Class		13,973			39,105
P-Class		1,295			262	*
Institutional Class		262			1,231
Shares issued from reinvestment of distributions
A-Class		236,875			187,770
B-Class		—			8,692
C-Class		26,225			16,446
P-Class		47			—	*
Institutional Class		161			88
Shares redeemed
A-Class		(124,717	)		(274,858	)
B-Class		—			(61,741	)
C-Class		(27,770	)		(25,764	)
P-Class		(7	)		—	*
Institutional Class		(162	)		(683	)
Net increase in shares		153,702			53,202

* Since commencement of operations: May 1, 2015.

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

STYLEPLUS—MID GROWTH FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015				Year Ended September 30, 2014				Year Ended September 30, 2013				Year Ended September 30, 2012				Year Ended September 30, 2011i
Per Share Data
Net asset value, beginning of period	$	41.49			$	45.82			$	43.54			$	36.40			$	28.67			$	29.44
Income (loss) from investment operations:
Net investment income (loss)b		.05				.07				.16				(.16	)			(.25	)			(.24	)
Net gain (loss) on investments (realized and unrealized)		1.69				.63				6.21				7.30				7.98				(.53	)
Total from investment operations		1.74				.70				6.37				7.14				7.73				(.77	)
Less distributions from:
Net investment income		(.05	)			—				—				—				—				—
Net realized gains		(5.36	)			(5.03	)			(4.09	)			—				—				—
Total distributions		(5.41	)			(5.03	)			(4.09	)			—				—				—
Net asset value, end of period	$	37.82			$	41.49			$	45.82			$	43.54			$	36.40			$	28.67
Total Returnc		4.12	%			1.04	%			15.61	%			19.62	%			26.96	%			(2.62	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	72,000			$	73,178			$	77,363			$	70,767			$	65,767			$	62,575
Ratios to average net assets:
Net investment income (loss)		0.24	%			0.16	%			0.36	%			(0.40	%)			(0.74	%)			(0.72	%)
Total expensesd		1.50	%			1.47	%			1.67	%			1.57	%			1.62	%			1.49	%
Net expensese		1.50	%			1.47	%			1.65	%			1.57	%			1.62	%			1.49	%
Portfolio turnover rate		36	%			75	%			112	%			214	%			149	%			157	%

C-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015				Year Ended September 30, 2014				Year Ended September 30, 2013				Year Ended September 30, 2012				Year Ended September 30, 2011i
Per Share Data
Net asset value, beginning of period	$	32.78			$	37.48			$	36.63			$	30.92			$	24.55			$	25.40
Income (loss) from investment operations:
Net investment income (loss)b		(.10	)			(.25	)			(.20	)			(.45	)			(.46	)			(.42	)
Net gain (loss) on investments (realized and unrealized)		1.35				.58				5.14				6.16				6.83				(.43	)
Total from investment operations		1.25				.33				4.94				5.71				6.37				(.85	)
Less distributions from:
Net investment income		—				—				—				—				—				—
Net realized gains		(5.36	)			(5.03	)			(4.09	)			—				—				—
Total distributions		(5.36	)			(5.03	)			(4.09	)			—				—				—
Net asset value, end of period	$	28.67			$	32.78			$	37.48			$	36.63			$	30.92			$	24.55
Total Returnc		3.68	%			0.20	%			14.56	%			18.47	%			25.95	%			(3.35	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,521			$	4,762			$	4,329			$	4,103			$	4,346			$	4,162
Ratios to average net assets:
Net investment income (loss)		(0.65	%)			(0.68	%)			(0.55	%)			(1.36	%)			(1.57	%)			(1.48	%)
Total expensesd		2.40	%			2.31	%			2.57	%			2.53	%			2.45	%			2.25	%
Net expensese		2.39	%			2.31	%			2.55	%			2.53	%			2.45	%			2.25	%
Portfolio turnover rate		36	%			75	%			112	%			214	%			149	%			157	%

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

STYLEPLUS—MID GROWTH 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.

P-Class	Period Ended March 31, 2016a			Period Ended September 30, 2015f
Per Share Data
Net asset value, beginning of period	$	41.48		$	45.96
Income (loss) from investment operations:
Net investment income (loss)b		.07			—	g
Net gain (loss) on investments (realized and unrealized)		1.59			(4.48	)
Total from investment operations		1.66			(4.48	)
Less distributions from:
Net investment income		(.20	)		—
Net realized gains		(5.36	)		—
Total distributions		(5.56	)		—
Net asset value, end of period	$	37.58		$	41.48
Total Returnc		3.92	%		(9.75	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	60		$	11
Ratios to average net assets:
Net investment income (loss)		0.37	%		0.00	%
Total expensesd		1.57	%		1.49	%
Net expensese		1.52	%		1.49	%
Portfolio turnover rate		36	%		75	%

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

STYLEPLUS—MID GROWTH FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Period Ended September 30, 2012h
Per Share Data
Net asset value, beginning of period	$	41.64		$	45.96		$	43.72		$	36.46		$	36.16
Income (loss) from investment operations:
Net investment income (loss)b		.04			.11			.11			(.07	)		(.08	)
Net gain (loss) on investments (realized and unrealized)		1.71			.60			6.22			7.33			.38
Total from investment operations		1.75			.71			6.33			7.26			.30
Less distributions from:
Net investment income		(.13	)		—			—			—			—
Net realized gains		(5.36	)		(5.03	)		(4.09	)		—			—
Total distributions		(5.49	)		(5.03	)		(4.09	)		—			—
Net asset value, end of period	$	37.90		$	41.64		$	45.96		$	43.72		$	36.46
Total Returnc		4.14	%		1.08	%		15.42	%		19.91	%		0.83	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	59		$	54		$	30		$	21		$	10
Ratios to average net assets:
Net investment income (loss)		0.22	%		0.23	%		0.24	%		(0.17	%)		(0.41	%)
Total expensesd		1.53	%		1.41	%		1.81	%		1.33	%		1.37	%
Net expensese		1.52	%		1.41	%		1.79	%		1.33	%		1.37	%
Portfolio turnover rate		36	%		75	%		112	%		214	%		149	%

a	Unaudited figures for the period ended March 31, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers.
f	Since commencement of operations: May 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
g	Net investment income is less than $0.01 per share.
h	Since commencement of operations: March 1, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
i	Reverse share split — Per share amounts for the periods presented through April 8, 2011 have been restated to reflect a 1:4 reverse share split effect April 8, 2011.

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

FUND PROFILE (Unaudited) March 31, 2016

WORLD EQUITY INCOME FUND

OBJECTIVE: Sees to provide total return comprised of capital appreciation and income.

Holdings Diversification (Market Exposure as % of Net Assets)

 

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

COUNTRY DIVERSIFICATION

At March 31, 2016, the investment diversification of the Fund by country was as follows:

Country	% of Securities	Value
United States	55%	$48,343,444
Japan	11%	9,893,085
Canada	7%	6,212,650
Australia	4%	3,635,756
United Kingdom	4%	3,390,769
Sweden	3%	2,394,827
Singapore	3%	2,382,361
Other	13%	11,456,057
Total Securities	100%	$87,708,949
“Country Diversification” exclude any temporary cash or derivative investments.

Inception Dates:
A-Class	October 1, 1993
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	May 2, 2011

Ten Largest Holdings (% of Total Net Assets)
Johnson & Johnson	1.6%
AT&T, Inc.	1.5%
Verizon Communications, Inc.	1.4%
Wells Fargo & Co.	1.4%
Procter & Gamble Co.	1.3%
Home Depot, Inc.	1.3%
Apple, Inc.	1.2%
Merck & Company, Inc.	1.2%
Pfizer, Inc.	1.2%
International Business Machines Corp.	1.2%
Top Ten Total	13.3%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

82 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
WORLD EQUITY INCOME FUND

	Shares		Value
COMMON STOCKS† - 95.7%
Consumer, Non-cyclical - 27.2%
Johnson & Johnson		13,900		1,503,979
Procter & Gamble Co.		14,282		1,175,551
Merck & Company, Inc.		21,000		1,111,110
Pfizer, Inc.		37,000		1,096,680
UnitedHealth Group, Inc.		8,200		1,056,980
Altria Group, Inc.		16,326		1,022,987
Roche Holding AG		4,100		1,009,277
PepsiCo, Inc.		9,761		1,000,307
Novartis AG		13,000		942,333
GlaxoSmithKline plc		46,400		941,063
Kimberly-Clark Corp.		6,588		886,152
Automatic Data Processing, Inc.		9,600		861,216
Dr Pepper Snapple Group, Inc.		8,542		763,826
Eli Lilly & Co.		10,400		748,904
Reynolds American, Inc.		14,450		726,980
Anthem, Inc.		5,100		708,849
Wesfarmers Ltd.		22,000		699,016
Sysco Corp.		14,516		678,333
Baxter International, Inc.		16,400		673,712
Cardinal Health, Inc.		8,200		671,990
Otsuka Holdings Company Ltd.		18,300		664,715
Clorox Co.		5,221		658,159
Transurban Group		73,300		637,733
Woolworths Ltd.		32,680		553,622
Philip Morris International, Inc.		5,236		513,704
Wm Morrison Supermarkets plc		176,995		504,901
Patterson Companies, Inc.		10,000		465,300
Nissin Foods Holdings Company Ltd.		9,718		456,779
Aetna, Inc.		3,000		337,050
Asahi Group Holdings Ltd.		10,667		332,393
Hutchison Port Holdings Trust — Class U		616,900		308,450
Quest Diagnostics, Inc.		4,000		285,800
Abbott Laboratories		6,000		250,980
General Mills, Inc.		3,827		242,440
Seven & i Holdings Company Ltd.		4,780		203,525
Colgate-Palmolive Co.		1,855		131,056
Gartner, Inc.*		1,000		89,350
Henry Schein, Inc.*		300		51,789
Total Consumer, Non-cyclical				24,966,991
Financial - 21.9%
Wells Fargo & Co.		25,600		1,238,016
Marsh & McLennan Companies, Inc.		14,300		869,297
U.S. Bancorp		21,000		852,390
CME Group, Inc. — Class A		8,500		816,425
Swedbank AB — Class A		37,600		809,986
Daito Trust Construction Company Ltd.		4,900		695,739
Intact Financial Corp.		9,900		693,203
Everest Re Group Ltd.		3,500		691,005
Nordea Bank AB		67,900		652,326
Cincinnati Financial Corp.		9,600		627,456
Allianz AG		3,800		618,092
Vicinity Centres		252,058		616,355
Svenska Handelsbanken AB — Class A		47,900		609,447
HSBC Holdings plc*		96,700		602,604
M&T Bank Corp.		5,400		599,400
Singapore Exchange Ltd.		94,300		556,216
American Capital Agency Corp. REIT		29,500		549,585
Simon Property Group, Inc.		2,600		539,994
RenaissanceRe Holdings Ltd.		4,300		515,269
Annaly Capital Management, Inc.		49,700		509,922
People’s United Financial, Inc.		31,600		503,388
Government Properties Trust, Inc.*		129,600		496,723
Japan Retail Fund Investment Corp.		200		480,163
T. Rowe Price Group, Inc.		6,200		455,452
Axis Capital Holdings Ltd.		8,100		449,226
First Capital Realty, Inc.		28,200		447,771
CapitaLand Mall Trust		283,900		440,227
H&R Real Estate Investment Trust		25,800		417,013
Tryg A/S		20,700		401,767
CI Financial Corp.		16,000		353,606
Admiral Group plc		11,500		327,392
Hannover Rueck SE		2,600		302,941
Hang Seng Bank Ltd.		15,000		265,102
Chubb Ltd.		2,200		262,130
Suncorp Group Ltd.		26,800		244,673
Bank of Montreal		4,000		242,935
PNC Financial Services Group, Inc.		2,400		202,968
JPMorgan Chase & Co.		1,100		65,142
WR Berkley Corp.		1,000		56,200
Total Financial				20,077,546
Communications - 11.6%
AT&T, Inc.		34,100		1,335,697
Verizon Communications, Inc.		24,400		1,319,552
Comcast Corp. — Class A		16,100		983,388
Vivendi S.A.		32,700		687,599
Singapore Telecommunications Ltd.		226,700		642,510
Telstra Corp., Ltd.		155,900		636,961
Thomson Reuters Corp.		15,300		619,955
Shaw Communications, Inc. — Class B		31,800		614,392
Elisa Oyj		15,000		583,205
Alphabet, Inc. — Class C*		700		521,465
TELUS Corp.		14,900		485,109
BCE, Inc.		10,500		478,581
StarHub Ltd.		175,000		434,958
Singapore Press Holdings Ltd.*		128,200		380,463
TeliaSonera AB		62,200		323,068
HKT Trust & HKT Ltd.		170,100		234,186
Rogers Communications, Inc. — Class B		4,700		188,200
TDC A/S		35,000		171,299
Total Communications				10,640,588

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
WORLD EQUITY INCOME FUND

	Shares		Value
Consumer, Cyclical - 10.9%
Home Depot, Inc.		8,700	$	1,160,841
Toyota Motor Corp.		19,700		1,041,845
McDonald’s Corp.		7,600		955,168
Wal-Mart Stores, Inc.		13,375		916,054
Costco Wholesale Corp.		4,945		779,233
Mitsui & Company Ltd.		64,800		745,621
Sumitomo Corp.		74,800		743,381
Marubeni Corp.		141,000		714,114
ITOCHU Corp.		50,600		623,143
Lawson, Inc.		7,288		610,005
Sankyo Company Ltd.		14,600		543,551
Persimmon plc		16,600		497,142
Next plc*		5,500		426,207
FamilyMart Company Ltd.		4,456		231,619
Mitsubishi Corp.		1,800		30,484
Total Consumer, Cyclical				10,018,408
Technology - 9.2%
Apple, Inc.		10,500		1,144,395
International Business Machines Corp.		7,100		1,075,295
Accenture plc — Class A		8,100		934,740
Canon, Inc.		29,000		864,499
Paychex, Inc.		15,700		847,957
CA, Inc.		24,800		763,592
Fidelity National Information Services, Inc.		10,300		652,093
Oracle Corporation Japan		10,900		612,093
Microsoft Corp.		10,900		602,007
SAP AG		6,000		485,407
Fiserv, Inc.*		4,000		410,320
Total Technology				8,392,398
Utilities - 7.2%
PPL Corp.		21,654		824,368
CLP Holdings Ltd.		81,737		739,148
Southern Co.		13,960		722,151
Duke Energy Corp.		8,773		707,806
Dominion Resources, Inc.		9,268		696,212
Terna Rete Elettrica Nazionale SpA		115,600		659,651
Snam SpA		104,500		654,574
DTE Energy Co.		4,093		371,071
Osaka Gas Company Ltd.		77,932		299,416
CenterPoint Energy, Inc.		14,212		297,315
SCANA Corp.		4,089		286,843
Sempra Energy		2,299		239,211
Fortis, Inc.		2,357		73,889
Total Utilities				6,571,655
Industrial - 4.0%
Lockheed Martin Corp.		4,000		886,000
Waste Management, Inc.		12,200		719,799
MTR Corporation Ltd.		111,000		549,464
Republic Services, Inc. — Class A		11,000		524,150
Honeywell International, Inc.		3,400		380,970
Aurizon Holdings Ltd.		81,500		247,396
General Electric Co.		6,000		190,740
CAE, Inc.		14,200		164,239
Total Industrial				3,662,758
Energy - 2.7%
Exxon Mobil Corp.		10,100		844,259
TransCanada Corp.		20,400		802,101
Royal Dutch Shell plc — Class B		21,200		517,667
Eni SpA		19,800		299,642
Total Energy				2,463,669
Basic Materials - 1.0%
Potash Corporation of Saskatchewan, Inc.		37,100		631,656
Airgas, Inc.		2,000		283,280
Total Basic Materials				914,936
Total Common Stocks
(Cost $86,056,041)				87,708,949
SHORT TERM INVESTMENTS† - 3.8%
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares 0.19%1		3,444,654		3,444,654
Total Short Term Investments
(Cost $3,444,654)				3,444,654
Total Investments - 99.5%
(Cost $89,500,695)			$	91,153,603
Other Assets & Liabilities, net - 0.5%				485,499
Total Net Assets - 100.0%			$	91,639,102

	Contracts		Unrealized Loss
CURRENCY FUTURES CONTRACTS SOLD SHORT†
June 2016 British Pound Futures Contracts (Aggregate Value of Contracts $3,860,863)		43	$	(39,337	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
WORLD EQUITY INCOME FUND

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4
1	Rate indicated is the 7 day yield as of March 31, 2016.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 1 - Other*		Level 2		Level 3		Total
Common Stocks	$	87,708,949	$	—	$	—	$	—	$	87,708,949
Short Term Investments		3,444,654		—		—		—		3,444,654
Total	$	91,153,603	$	—	$	—	$	—	$	91,153,603
Investments in Securities (Liabilities)	Level 1		Level 1 - Other*		Level 2		Level 3		Total
Currency Futures Contracts	$	—	$	39,337	$	—	$	—	$	39,337

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

For the period ended March 31, 2016, there were no transfers between levels.

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

WORLD EQUITY INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments, at value (cost $89,500,695)	$	91,153,603
Foreign currency, at value (cost $70,260)		70,357
Segregated cash with broker		88,150
Prepaid expenses		38,325
Receivables:
Dividends		370,077
Foreign taxes reclaim		246,455
Fund shares sold		22,345
Variation margin		6,181
Total assets		91,995,493
LIABILITIES:
Overdraft due to custodian bank		28,989
Payable for:
Fund shares redeemed		167,400
Management fees		60,353
Distributions to Shareholders		38,350
Distribution and service fees		22,167
Fund accounting/administration fees		11,430
Transfer agent/maintenance fees		9,590
Trustees' fees*		2,520
Miscellaneous		15,592
Total liabilities		356,391
Net assets	$	91,639,102
Net assets consist of:
Paid in capital	$	111,659,824
Accumulated net investment loss		(284,277	)
Accumulated net realized loss on investments		(21,349,191	)
Net unrealized appreciation on investments		1,612,746
Net assets	$	91,639,102
A-Class:
Net assets	$	83,010,445
Capital shares outstanding		6,316,441
Net asset value per share	$	13.14
Maximum offering price per share (Net asset value divided by 95.25%)	$	13.80
C-Class:
Net assets	$	5,886,044
Capital shares outstanding		521,498
Net asset value per share	$	11.29
P-Class:
Net assets	$	104,039
Capital shares outstanding		7,855
Net asset value per share	$	13.24
Institutional Class:
Net assets	$	2,638,574
Capital shares outstanding		202,162
Net asset value per share	$	13.05

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016

Investment Income:
Dividends (net of foreign withholding tax of $104,470)	$	1,608,232
Other income		245
Total investment income		1,608,477
Expenses:
Management fees		319,132
Transfer agent/maintenance fees:
A-Class		40,528
C-Class		7,964
P-Class		41
Institutional Class		3,421
Distribution and service fees:
A-Class		94,721
C-Class		28,796
P-Class		686
Fund accounting/administration fees		64,262
Custodian fees		9,098
Line of credit fees		5,110
Trustees’ fees*		3,656
Miscellaneous		71,117
Total expenses		648,532
Net investment income		959,945
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(1,325,849	)
Futures contracts		(74,645	)
Foreign currency		(5,035	)
Net realized loss		(1,405,529	)
Net change in unrealized appreciation (depreciation) on:
Investments		7,341,882
Futures contracts		(39,337	)
Foreign currency		12,788
Net change in unrealized appreciation (depreciation)		7,315,333
Net realized and unrealized gain		5,909,804
Net increase in net assets resulting from operations	$	6,869,749

* 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.

WORLD EQUITY INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	959,945		$	2,011,185
Net realized loss on investments		(1,405,529	)		(1,277,947	)
Net change in unrealized appreciation (depreciation) on investments		7,315,333			(6,974,344	)
Net increase (decrease) in net assets resulting from operations		6,869,749			(6,241,106	)
Distributions to shareholders from:
Net investment income
A-Class		(868,526	)		(2,093,228	)
B-Class		—			(37,182	)
C-Class		(43,846	)		(113,425	)
P-Class		(2,609	)		(87	)*
Institutional Class		(40,396	)		(100,864	)
Total distributions to shareholders		(955,377	)		(2,344,786	)
Capital share transactions:
Proceeds from sale of shares
A-Class		11,910,193			21,530,432
B-Class		—			426
C-Class		720,297			2,875,991
P-Class		1,162,169			10,001	*
Institutional Class		1,184,085			5,710,071
Distributions reinvested
A-Class		840,093			2,035,374
B-Class		—			37,174
C-Class		37,693			89,045
P-Class		2,609			87	*
Institutional Class		19,458			44,847
Cost of shares redeemed
A-Class		(8,582,513	)		(21,295,826	)
B-Class		—			(1,916,762	)
C-Class		(1,203,898	)		(1,746,534	)
P-Class		(1,056,779	)		—	*
Institutional Class		(3,362,215	)		(1,698,989	)
Net increase from capital share transactions		1,671,192			5,675,337
Net increase (decrease) in net assets		7,585,564			(2,910,555	)
Net assets:
Beginning of period		84,053,538			86,964,093
End of period	$	91,639,102		$	84,053,538
Accumulated net investment loss at end of period	$	(284,277	)	$	(288,845	)

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

WORLD EQUITY INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		938,910			1,601,893
B-Class		—			36
C-Class		65,920			249,395
P-Class		90,134			734	*
Institutional Class		93,971			430,264
Shares issued from reinvestment of distributions
A-Class		64,359			156,014
B-Class		—			3,234
C-Class		3,351			7,937
P-Class		201			7	*
Institutional Class		1,503			3,463
Shares redeemed
A-Class		(677,615	)		(1,598,406	)
B-Class		—			(167,791	)
C-Class		(110,337	)		(154,420	)
P-Class		(83,221	)		—	*
Institutional Class		(264,610	)		(130,120	)
Net increase in shares		122,566			402,240

* Since commencement of operations: May 1, 2015.

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

WORLD EQUITY 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.

A-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015				Year Ended September 30, 2014				Year Ended September 30, 2013				Year Ended September 30, 2012				Year Ended September 30, 2011
Per Share Data
Net asset value, beginning of period	$	12.28			$	13.51			$	12.60			$	10.55			$	9.70			$	10.52
Income (loss) from investment operations:
Net investment income (loss)b		.15				.29				.38				.18				.15				.05
Net gain (loss) on investments (realized and unrealized)		.85				(1.18	)			.95				2.16				.70				(.81	)
Total from investment operations		1.00				(.89	)			1.33				2.34				.85				(.76	)
Less distributions from:
Net investment income		(.14	)			(.34	)			(.42	)			(.29	)			(—	)c			(.06	)
Total distributions		(.14	)			(.34	)			(.42	)			(.29	)			(—	)c			(.06	)
Net asset value, end of period	$	13.14			$	12.28			$	13.51			$	12.60			$	10.55			$	9.70
Total Returnd		8.15	%			(6.70	%)			10.62	%			22.58	%			8.82	%			(7.32	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	83,010			$	73,568			$	78,783			$	65,966			$	61,838			$	65,573
Ratios to average net assets:
Net investment income (loss)		2.30	%			2.21	%			2.81	%			1.59	%			1.45	%			0.04	%
Total expensese		1.48	%			1.48	%			1.66	%			1.93	%			2.05	%			1.85	%
Net expensesf		1.48	%i			1.43	%i			1.49	%i			1.59	%			1.63	%			1.82	%
Portfolio turnover rate		25	%			131	%			131	%			154	%			41	%			206	%

C-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015				Year Ended September 30, 2014				Year Ended September 30, 2013				Year Ended September 30, 2012				Year Ended September 30, 2011
Per Share Data
Net asset value, beginning of period	$	10.55			$	11.61			$	10.79			$	9.01			$	8.33			$	9.06
Income (loss) from investment operations:
Net investment income (loss)b		.08				.17				.25				.08				.06				(.04	)
Net gain (loss) on investments (realized and unrealized)		.74				(1.02	)			.81				1.84				.62				(.69	)
Total from investment operations		.82				(.85	)			1.06				1.92				.68				(.73	)
Less distributions from:
Net investment income		(.08	)			(.21	)			(.24	)			(.14	)			—				—
Total distributions		(.08	)			(.21	)			(.24	)			(.14	)			—				—
Net asset value, end of period	$	11.29			$	10.55			$	11.61			$	10.79			$	9.01			$	8.33
Total Returnd		7.82	%			(7.40	%)			9.79	%			21.57	%			8.16	%			(8.06	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,886			$	5,936			$	5,337			$	3,377			$	3,015			$	3,426
Ratios to average net assets:
Net investment income (loss)		1.52	%			1.50	%			2.13	%			0.80	%			0.68	%			(0.37	%)
Total expensese		2.23	%			2.28	%			2.62	%			2.89	%			2.88	%			2.60	%
Net expensesf		2.23	%i			2.23	%i			2.24	%i			2.35	%			2.38	%			2.58	%
Portfolio turnover rate		25	%			131	%			131	%			154	%			41	%			206	%

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

WORLD EQUITY INCOME 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.

P-Class	Period Ended March 31, 2016a			Period Ended September 30, 2015g
Per Share Data
Net asset value, beginning of period	$	12.33		$	13.62
Income (loss) from investment operations:
Net investment income (loss)b		.15			.12
Net gain (loss) on investments (realized and unrealized)		.88			(1.29	)
Total from investment operations		1.03			(1.17	)
Less distributions from:
Net investment income		(.12	)		(.12	)
Total distributions		(.12	)		(.12	)
Net asset value, end of period	$	13.24		$	12.33
Total Returnd		8.38	%		(8.64	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	104		$	9
Ratios to average net assets:
Net investment income (loss)		2.45	%		2.14	%
Total expensese		1.48	%		3.54	%
Net expensesf,i		1.48	%		1.48	%
Portfolio turnover rate		25	%		131	%

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

WORLD EQUITY 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.

Institutional Class	Period Ended March 31, 2016a			Year Ended September 30, 2015				Year Ended September 30, 2014				Year Ended September 30, 2013				Year Ended September 30, 2012				Period Ended September 30, 2011h
Per Share Data
Net asset value, beginning of period	$	12.23			$	13.45			$	12.53			$	10.50			$	9.70			$	12.37
Income (loss) from investment operations:
Net investment income (loss)b		.14				.36				.44				.28				.28				.13
Net gain (loss) on investments (realized and unrealized)		.87				(1.21	)			.90				2.10				.52				(2.80	)
Total from investment operations		1.01				(.85	)			1.34				2.38				.80				(2.67	)
Less distributions from:
Net investment income		(.19	)			(.37	)			(.42	)			(.35	)			(—	)c			—
Total distributions		(.19	)			(.37	)			(.42	)			(.35	)			(—	)c			—
Net asset value, end of period	$	13.05			$	12.23			$	13.45			$	12.53			$	10.50			$	9.70
Total Returnd		8.29	%			(6.42	%)			10.83	%			23.17	%			8.17	%			(21.58	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,639			$	4,541			$	911			$	252			$	90			$	285
Ratios to average net assets:
Net investment income (loss)		2.26	%			2.70	%			3.27	%			2.42	%			2.70	%			2.99	%
Total expensese		1.22	%			1.23	%			1.33	%			1.73	%			1.90	%			2.27	%
Net expensesf		1.22	%i			1.23	%i			1.23	%i			1.26	%			1.32	%			1.36	%
Portfolio turnover rate		25	%			131	%			131	%			154	%			41	%			206	%

a	Unaudited figures for the period ended March 31, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Distributions from net investment income are less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges.
e	Does not include expenses of the underlying funds in which the Fund invests.
f	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
g	Since commencement of operations: May 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
h	Since commencement of operations: May 2, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
i	Net expenses may include expenses that are excluded from the expense limitation agreement and recouped amounts. Excluding these expenses, the operating expense ratios for the periods presented would be:

	03/31/16	09/30/15	09/30/14
A-Class	1.46%	1.46%	1.46%
C-Class	2.21%	2.21%	2.21%
P-Class	1.46%	1.46%	—
Institutional Class	1.21%	1.21%	1.21%

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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 an 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.

The Trust offers a combination of four separate classes of shares, A-Class shares, C-Class shares, P-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. 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 previously offered have been converted to A-Class shares effective July 31, 2014 for the Alpha Opportunity Fund, and effective August 8, 2015 for the other funds in the Trust. 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 require a minimum initial investment of $2 million and a minimum account balance of $1 million. At March 31, 2016, the Trust consisted of nineteen funds.

This report covers the Alpha Opportunity Fund, Large Cap Value Fund, Market Neutral Real Estate Fund, Risk Managed Real Estate Fund, Small Cap Value Fund, StylePlus—Large Core Fund, StylePlus—Mid Growth Fund and World Equity Income Fund (the “Funds”), each a diversified investment company, with the exception of the Large Cap Value Fund, Market Neutral Real Estate Fund and Risk Managed Real Estate Fund, which are each a non-diversified investment company.

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

Significant Accounting Policies

The Funds operate as investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities 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.

The NAV of each Class of the Funds is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

A. The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities or other assets.

Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, and will review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used by, and valuations provided by, the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 a given day, the security is valued at the closing bid price on that day.

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. 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.

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”) are valued at the last quoted sales price.

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

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

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).

In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

B. 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.

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

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

D. 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.

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

F. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. 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 discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

G. Dividends from net investment income are declared quarterly in the World Equity Income Fund and Risk Managed Real Estate Fund. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions of net investment income in the remaining Funds and distributions of net realized gains, if any, in all Funds are declared at least annually and recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.

H. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net assets of each Fund included in the Trust.

I. 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

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

expense from the related earnings credits, if any. For the period ended March 31, 2016, there were no earnings credits received.

J. The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.25% at March 31, 2016.

K. 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.

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

2. Financial Instruments and Derivatives

As part of their investment strategy, the Funds utilize short sales and a variety of derivative instruments. 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. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Short Sales

A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, that Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, that Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

The Funds may utilize derivatives for the following purposes:

Duration: the use of an instrument to manage the interest rate risk of a portfolio.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.

Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.

Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.

Speculation: the use of an instrument to express macro-economic and other investment views.

For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.

Futures

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

The following table represents the Funds’ use and volume of futures on a quarterly basis:

		Average Notional
Fund	Use	Long		Short
StylePlus—Large Core Fund	Index exposure	$	1,351,841	$	—
StylePlus—Mid Growth Fund	Index exposure		631,986		—
World Equity Income Fund	Hedge		—		965,216

Swaps

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 utilizing OTC swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing. Central clearing generally reduces counterparty credit risk and increases liquidity, but central clearing does not make swap transactions risk-free. 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.

Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

agreement. A fund utilizing a total return index swap bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying index declines in value.

The following table represents the Funds’ use and volume of total return swaps on a quarterly basis:

		Average Notional
Fund	Use	Long		Short
Alpha Opportunity Fund	Hedge, Leverage	$	38,386,220	$	39,682,050
Market Neutral Real Estate Fund	Leverage		—		1,275,378
Risk Managed Real Estate Fund	Income, Leverage		31,327,663		23,541,118
StylePlus—Large Core Fund	Index exposure		158,446,156		—
StylePlus—Mid Growth Fund	Index exposure		66,789,117		—

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 31, 2016:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Equity contracts	Variation margin	Variation margin
	Unrealized appreciation on swap agreements	Unrealized depreciation on swap agreements

The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at March 31, 2016:

Asset Derivative Investments Value
Fund	Futures Equity Contracts*		Swaps Equity Contracts		Futures Currency Contracts*		Total Value at March 31, 2016
Alpha Opportunity Fund	$	—	$	3,561,738	$	—	$	3,561,738
Risk Managed Real Estate Fund		—		2,233,020		—		2,233,020
StylePlus—Large Core Fund		37,248		5,095,988		—		5,133,236
StylePlus—Mid Growth Fund		39,368		2,515,717		—		2,555,085

Liability Derivative Investments Value
Fund	Futures Equity Contracts*		Swaps Equity Contracts		Futures Currency Contracts*		Total Value at March 31, 2016
Alpha Opportunity Fund	$	—	$	4,086,030	$	—	$	4,086,030
Market Neutral Real Estate Fund		—		443,873		—		443,873
Risk Managed Real Estate Fund		—		2,743,963		—		2,743,963
StylePlus—Large Core Fund		—		745,236		—		745,236
StylePlus—Mid Growth Fund		—		1,729,498		—		1,729,498
World Equity Income Fund		—		—		39,337		39,337

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

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended March 31, 2016:

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended March 31, 2016:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Contracts			Swaps Equity Contracts			Futures Currency Contracts			Total
Alpha Opportunity Fund	$	—		$	638,863		$	��		$	638,863
Market Neutral Real Estate Fund		—			(62,126	)		—			(62,126	)
Risk Managed Real Estate Fund		—			(462,543	)		—			(462,543	)
StylePlus—Large Core Fund		122,765			(5,171,515	)		—			(5,048,750	)
StylePlus—Mid Growth Fund		(42,739	)		(4,531,983	)		—			(4,574,722	)
World Equity Income Fund		—			—			(74,645	)		(74,645	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Contracts		Swaps Equity Contracts			Futures Currency Contracts			Total
Alpha Opportunity Fund	$	—	$	(439,082	)	$	—		$	(439,082	)
Market Neutral Real Estate Fund		—		(443,873	)		—			(443,873	)
Risk Managed Real Estate Fund		—		(337,039	)		—			(337,039	)
StylePlus—Large Core Fund		70,819		17,130,731			—			17,201,550
StylePlus—Mid Growth Fund		44,206		7,193,567			—			7,237,773
World Equity Income Fund		—		—			(39,337	)		(39,337	)

In conjunction with the use of short sales and derivative instruments, 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 the Funds.

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risk may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.

Certain Funds may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically

98 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.

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

3. Fees and Other Transactions with Affiliates

Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at their annualized rates below, based on the average daily net assets of the Funds:

Fund	Management Fees (as a % of Net Assets)
Alpha Opportunity Fund	1.25%
Large Cap Value Fund	0.65%
Market Neutral Real Estate Fund	1.10%
Risk Managed Real Estate Fund	0.75%
Small Cap Value Fund	1.00%
StylePlus—Large Core Fund	0.75%
StylePlus—Mid Growth Fund	0.75%
World Equity Income Fund	0.70%

RFS is paid the following for providing transfer agent services to the Funds. Transfer agent fees are assessed to the applicable class of each Fund.

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

^† Not subject to Funds during first twelve months of operations.

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	Fund Accounting/ Administrative Fees (as a % of Net Assets)
Alpha Opportunity Fund	0.095%
Large Cap Value Fund	0.095%
Market Neutral Real Estate Fund	0.095%
Risk Managed Real Estate Fund	0.095%
Small Cap Value Fund	0.095%
StylePlus—Large Core Fund	0.095%
StylePlus—Mid Growth Fund	0.095%
World Equity Income Fund	greater of 0.150% or $60,000
Minimum annual charge per Fund	$25,000
Certain out-of-pocket charges	Varies

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Funds have adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of each Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of each Fund’s C-Class shares.

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. The limits are listed below:

	Limit	Effective Date	Contract End Date
Alpha Opportunity Fund – A-Class	2.11%	11/30/12	02/01/17
Alpha Opportunity Fund – C-Class	2.86%	11/30/12	02/01/17
Alpha Opportunity Fund – P-Class	2.11%	05/01/15	02/01/17
Alpha Opportunity Fund – Institutional Class	1.86%	11/30/12	02/01/17
Large Cap Value Fund – A-Class	1.15%	11/30/12	02/01/17
Large Cap Value Fund – C-Class	1.90%	11/30/12	02/01/17
Large Cap Value Fund – P-Class	1.15%	05/01/15	02/01/17
Large Cap Value Fund – Institutional Class	0.90%	06/05/13	02/01/17
Market Neutral Real Estate Fund – A-Class*	1.65%	02/26/16	02/01/18
Market Neutral Real Estate Fund – C-Class*	2.40%	02/26/16	02/01/18
Market Neutral Real Estate Fund – P-Class*	1.65%	02/26/16	02/01/18
Market Neutral Real Estate Fund – Institutional Class*	1.40%	02/26/16	02/01/18
Risk Managed Real Estate Fund – A-Class	1.30%	03/26/14	02/01/17
Risk Managed Real Estate Fund – C-Class	2.05%	03/26/14	02/01/17
Risk Managed Real Estate Fund – P-Class	1.30%	05/01/15	02/01/17
Risk Managed Real Estate Fund – Institutional Class	1.10%	03/26/14	02/01/17
Small Cap Value Fund – A-Class	1.30%	11/30/12	02/01/17
Small Cap Value Fund – C-Class	2.05%	11/30/12	02/01/17
Small Cap Value Fund – P-Class	1.30%	05/01/15	02/01/17
Small Cap Value Fund – Institutional Class	1.05%	11/30/12	02/01/17
World Equity Income Fund – A-Class	1.46%	08/15/13	02/01/17
World Equity Income Fund – C-Class	2.21%	08/15/13	02/01/17
World Equity Income Fund – P-Class	1.46%	05/01/15	02/01/17
World Equity Income Fund – Institutional Class	1.21%	08/15/13	02/01/17

* Commencement of operations: February 26, 2016.

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, 2016, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	Expires 2016		Expires 2017		Expires 2018		Expires 2019		Total
Alpha Opportunity Fund	$	93,166	$	126,237	$	68,666	$	—	$	288,069
Large Cap Value Fund		117,895		213,340		117,091		57,623		505,949
Market Neutral Real Estate Fund		—		—		—		5,945		5,945
Risk Managed Real Estate Fund		—		468		—		4,160		4,628
Small Cap Value Fund		103,548		199,545		153,832		102,474		559,399
World Equity Income Fund		146,093		167,150		—		—		313,244

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

During the period ended March 31, 2016, GI recouped $16,939 from the Alpha Opportunity Fund and $25,742 from World Equity Income Fund. These amounts are included in Management Fees in the Statement of Operations.

If a Fund invests in an affiliated fund, the investing Fund’s Adviser has agreed to waive fees at the investing fund level. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period March 31, 2016, the following Funds waived advisory fees related to investments in affiliated funds.

Fund	Amount
StylePlus—Large Core Fund	$	4,458
StylePlus—Mid Growth Fund		1,793

For the period ended March 31, 2016, GFD retained sales charges of $274,695 relating to sales of A-Class shares of the Trust.

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

At March 31, 2016, GI and its affiliates owned 99.96% and 55.62% of the outstanding shares of the Alpha Opportunity Fund and Market Neutral Real Estate Fund, respectively.

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.

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.

5. 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

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

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

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

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

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset In the Statements of Assets and Liabilities		Net Amount of Assets Presented on the Statements of Assets and Liabilities		Financial Instruments		Cash Collateral Received		Net Amount
Alpha Opportunity Fund	Swap equity contracts	$	3,561,738	$	—	$	3,561,738	$	3,561,738	$	—	$	—
Risk Managed Real Estate Fund	Swap equity contracts		2,233,020		—		2,233,020		2,233,020		—		—
StylePlus—Large Core Fund	Swap equity contracts		5,095,988		—		5,095,988		—		4,345,000		750,988
StylePlus—Mid Growth Fund	Swap equity contracts		2,515,717		—		2,515,717		—		2,060,000		455,717

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset In the Statements of Assets and Liabilities		Net Amount of Liabilities Presented on the Statements of Assets and Liabilities		Financial Instruments		Cash Collateral Pledged		Net Amount
Alpha Opportunity Fund	Swap equity contracts	$	4,086,030	$	—	$	4,086,030	$	3,561,738	$	524,292	$	—
Market Neutral Real Estate Fund	Swap equity contracts		443,873		—		443,873		—		443,873		—
Risk Managed Real Estate Fund	Swap equity contracts		2,743,963		—		2,743,963		2,233,020		510,943		—
StylePlus—Large Core Fund	Swap equity contracts		745,236		—		745,236		—		745,236		—
StylePlus—Mid Growth Fund	Swap equity contracts		1,729,498		—		1,729,498		—		1,729,498		—

¹ Exchange-traded futures are excluded from these reported amounts.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

6. Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax 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 Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

At March 31, 2016, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Gain (Loss)
Alpha Opportunity Fund	$	77,611,889	$	2,789,578	$	(3,761,176	)	$	(971,598	)
Large Cap Value Fund		54,303,435		6,587,367		(3,845,254	)		2,742,113
Market Neutral Real Estate Fund		4,709,812		356,319		(452	)		355,867
Risk Managed Real Estate Fund		109,216,891		7,721,766		(2,079,053	)		5,642,713
Small Cap Value Fund		17,929,029		2,190,860		(1,672,514	)		518,346
StylePlus—Large Core Fund		186,383,293		1,914,365		(2,496,700	)		(582,335	)
StylePlus—Mid Growth Fund		76,645,611		805,925		(1,375,268	)		(569,343	)
World Equity Income Fund		89,792,242		6,141,390		(4,780,029	)		1,361,361

7. Securities Transactions

For the period ended March 31, 2016, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Fund	Purchases		Sales
Alpha Opportunity Fund	$	114,920,241	$	106,149,582
Large Cap Value Fund		18,306,807		16,407,753
Market Neutral Real Estate Fund		5,606,902		936,062
Risk Managed Real Estate Fund		67,660,591		69,776,159
Small Cap Value Fund		5,542,266		6,450,207
StylePlus—Large Core Fund		65,483,723		63,366,252
StylePlus—Mid Growth Fund		27,055,433		30,505,120
World Equity Income Fund		21,431,428		22,284,391

The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of Trustees of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended March 31, 2016, the Funds did not engage in purchases and sales of securities pursuant to Rule 17a-7 of the 1940 Act.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

8. Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

The Funds may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2015 is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180415000857/gug63224-ncsr.htm.

Transactions during the period ended March 31, 2016, in which the portfolio company is an “affiliated person”, were as follows:

Affiliated issuers by Fund	Value 09/30/15		Additions		Reductions			Value 03/31/16		Shares 03/31/16		Investment Income		��	Realized Gain (Loss)
StylePlus—Large Core Fund
Guggenheim Limited Duration Fund - Institutional Class	$	—	$	15,180,483	$	—		$	15,236,692		628,317	$	30,483		$	—
Guggenheim Strategy Fund I		42,522,683		197,381		(22,090,300	)		20,541,950		827,971		197,250			(27,232	)
Guggenheim Strategy Fund II		50,215,775		5,768,185		(8,950,000	)		46,695,867		1,891,287		468,375			(118,160	)
Guggenheim Strategy Fund III		50,309,143		15,627,258		—			65,393,260		2,650,720		727,259			—
	$	143,047,601	$	36,773,307	$	(31,040,300	)	$	147,867,769			$	1,423,367		$	(145,392	)
StylePlus—Mid Growth Fund
Guggenheim Limited Duration Fund - Institutional Class	$	—	$	6,037,254	$	—		$	6,059,811		249,889	$	12,254		$	—
Guggenheim Strategy Fund I		17,393,825		1,725,810		(11,268,541	)		7,822,469		315,295		75,810			(4,077	)
Guggenheim Strategy Fund II		22,101,923		1,504,662		(3,625,000	)		19,831,924		803,237		204,662			(48,275	)
Guggenheim Strategy Fund III		22,457,513		3,590,438		—			25,831,830		1,047,095		290,411			—
	$	61,953,261	$	12,858,164	$	(14,893,541	)	$	59,546,034			$	583,137		$	(52,352	)

9. Line of Credit

The Funds, with the exception of Alpha Opportunity Fund, Capital Stewardship Fund, Diversified Income Fund and Market Neutral Real Estate Fund, secured a committed $800,000,000 line of credit from Citibank, N.A., good through October 7, 2016, at which time the line of credit may be renewed. 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 Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate (0.25% at March 31, 2016), plus 1/2 of 1%. The Funds also pay a commitment fee at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings under this agreement as of and for the period ended March 31, 2016.

10. Other Liabilities

StylePlus—Large Core Fund wrote put option contracts through Lehman Brothers Inc., (“LBI”) that were exercised prior to the option contracts’ expiration and prior to the bankruptcy filing by LBI, during September, 2008. However, these transactions have not settled and the securities have not been delivered to the Fund as of March 31, 2016.

Although the ultimate resolution of these transactions is uncertain, the Fund has recorded a liability equal to the difference between the strike price on the put options and the market price of the underlying security on the exercise date. The amount of the liability recorded in miscellaneous payables by the Fund as of March 31, 2016, was $18,615.

104 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

11. Large Shareholder Risk

As of March 31, 2016, 55.6% of the Alpha Opportunity Fund (the “Fund”) was held by Macro Opportunities Fund. The Fund may experience adverse effects if a large number of shares of the Fund are held by a single shareholder (e.g., an institutional investor, financial intermediary or another GI Fund). The Fund is subject to the risk that a redemption by those shareholders of all or a large portion of the Fund could cause the Fund to liquidate its assets at inopportune times, or at a loss or depressed value, which could adversely impact the Fund’s performance and cause the value of a shareholder’s investment to decline. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization.

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OTHER INFORMATION (Unaudited)

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 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.

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year 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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Board Considerations Regarding Approval of Investment Advisory Agreement - Guggenheim Market Neutral Real Estate Fund

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust is authorized to issue an unlimited number of shares of beneficial interest in separate series, with each such series representing interests in a portfolio of securities and other assets (each, a “Fund” and collectively, the “Funds”). On November 10, 2015, Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), an indirect subsidiary of Guggenheim Partners, LLC, a global diversified financial services firm (“Guggenheim Partners”), was approved to serve as the investment adviser to the Guggenheim Market Neutral Real Estate Fund (the “New Fund”), a new series of the Trust, pursuant to an investment advisory agreement between the Trust and GPIM, with respect to the New Fund (the “Advisory Agreement”). (Guggenheim Partners, GPIM and its affiliates may be referred to herein together as “Guggenheim.”) Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), GPIM regularly provides (or oversees the provision of) investment research, advice and supervision, a continuous investment program and the purchase and sale of securities and other investments for various Funds’ portfolios. GPIM will provide those same services to the New Fund under the Advisory Agreement.

The 1940 Act, provides, in substance, that an investment advisory agreement between a fund and its investment adviser may be entered into only if it is approved by the fund’s board of trustees, including by a vote of a majority of the trustees who are not “interested persons,” as defined by the 1940 Act, of the fund, cast in person at a meeting called for the purpose of considering such approval. At a meeting held in person on November 10, 2015 (the “November Meeting”), the Trustees who are not “interested persons” (collectively, the “Independent Trustees”) met separately from Guggenheim to consider the approval of the proposed Advisory Agreement. As part of its review process, the Independent Trustees were represented by independent legal counsel (“Independent Legal Counsel”). Independent Legal Counsel reviewed and discussed with the Independent Trustees various factors relevant to the consideration of the Advisory Agreement and the legal responsibilities of the Trustees related to such consideration and assisted the Independent Trustees in their deliberations.

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OTHER INFORMATION (Unaudited)(continued)

The Trustees, including the Independent Trustees, discussed the Advisory Agreement in light of the regulatory requirements and criteria and assessed information concerning the New Fund’s proposed investment advisory fee, investment objective and policies, investment strategies and portfolio construction process, market opportunity, fund positioning and portfolio management team (including biographies), among other things. GPIM provided 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 Independent Trustees also considered the variety of written materials, reports and oral presentations it received during the year with respect to the other series of the Trust and in connection with the Independent Trustees’ service on the boards of trustees of other registered investment companies or series thereof for which GPIM or an affiliate serves as investment adviser or sub-adviser (“Guggenheim Funds”). Thus, in connection with their consideration of the proposed Advisory Agreement, the Independent Trustees also took into account relevant material provided by Guggenheim relating to the annual contract renewal proposals for the Guggenheim Funds considered at the May 19-20, 2015 Board meeting (“Contract Renewal”), including information concerning Guggenheim’s resources and financial information, as updated at the November Meeting.

The Board considered the foregoing materials in the context of its substantial accumulated experience in governing the other Guggenheim Funds and weighed the factors and standards discussed with Independent Legal Counsel. Following an analysis and discussion of the factors identified below and in the exercise of its business judgment, the Board concluded that it was in the best interests of the New Fund to approve the Advisory Agreement for an initial term of two years.

Nature, Extent and Quality of Services to Be Provided by the Investment Adviser: With respect to the nature, extent and quality of services to be provided by the Investment Adviser for the New Fund, the Independent Trustees considered the functions to be performed by the Investment Adviser for the New Fund and the nature and quality of services provided by GPIM in the past, including the firm’s management capabilities demonstrated with respect to other Guggenheim Funds. The Independent Trustees also considered the Investment Adviser’s attention to relevant developments in the mutual fund industry and its observance of compliance and regulatory requirements and noted that on a regular basis the Board receives and reviews information from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act. The Board took into consideration the recent settlement of a regulatory matter and remedial steps taken in response by the Investment Adviser to enhance its compliance structure. In addition, the Independent Trustees took into account the various compliance and risk management initiatives undertaken by Guggenheim, including, among other things, the hiring of additional staff to support the firm’s Chief Risk Officer, initiatives related to the risks associated with the investment process and risk at the enterprise level, the organization’s risk management infrastructure and critical activities. The Independent Trustees also considered other initiatives intended to achieve greater enhancements and efficiencies in the organization’s ability to provide services to all Guggenheim Funds, including the New Fund, such as efforts to consolidate compliance manuals and align processes of the Funds with those of other funds managed by the Investment Adviser or another Guggenheim affiliate. Moreover, in connection with the Board’s evaluation of the overall package of services to be provided by the Investment Adviser, the Board considered the Investment Adviser’s administrative capabilities, including its role in monitoring and coordinating compliance responsibilities with the fund administrator, transfer agent, distributor, custodian and other service providers to the New Fund.

With respect to Guggenheim’s resources and the ability of the Investment Adviser to carry out its responsibilities under the Advisory Agreement, the Trustees considered the presentation by the Chief Financial Officer of Guggenheim Investments (the investment management business of Guggenheim Partners) in connection with Contract Renewal and his review of the audited financial statements of Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), the holding company of the investment advisers (including GPIM), broker/dealers and other entities that comprise Guggenheim Investments. In this connection, the Board took into account management’s statements set forth in a memorandum to the Board that: (i) there have been no material adverse changes to the previously provided information in connection with Contract Renewal that would affect the Trustees’ ability to fulfill their obligations under Section 15(c) of the 1940 Act; and (ii) GPIM is aware of no additional information, other than certain supplemental information provided to the Board for the November Meeting, that it believes would be relevant to the Trustees’ considerations.

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OTHER INFORMATION (Unaudited)(continued)

The Board also considered the acceptability of the terms of the Advisory Agreement (including the scope of services required to be performed by the Adviser), noting that the terms were consistent with the terms of the investment advisory agreements of other open-end Guggenheim Funds. Based on the foregoing, and based on other information received (both oral and written) at the November Meeting and in connection with Contract Renewal, as well as other considerations, including the Board’s knowledge of the Investment Adviser’s quality of performance of its duties for other Guggenheim Funds through Board meetings, discussions and reports during the year, the Board concluded that the Investment Adviser and its personnel were qualified to serve the New Fund in such capacity.

Investment Performance: With respect to investment performance, the Board noted that the New Fund has no operating history. As a result, the Board considered that the New Fund’s investment objective is to provide capital appreciation, while limiting exposure to general stock market risk. The Board noted that the New Fund will employ a fundamental long/short real estate equity strategy focusing on publicly-traded real estate investment trusts (or REITs) and other real estate operating companies based in the U.S. In addition, the Board noted that Guggenheim has managed the investment strategy to be employed for the New Fund in institutional accounts since September 2010 and has managed a sleeve within another Fund, the Guggenheim Risk Managed Real Estate Fund (the “Similar Fund”), in a similar manner as the proposed strategy. In this connection, Guggenheim provided performance information for an institutional composite investment strategy as compared to the Morningstar Market Neutral Category Average (institutional share class only). The Board also considered GPIM’s investment expertise generally, and the portfolio managers’ expertise and experience with this type of investment process, and determined that GPIM’s performance was expected to be acceptable.

Comparative Fees, Costs of Services to be Provided and the Profits to be Realized by GPIM from its Relationship with the New Fund: The Board compared the New Fund’s proposed contractual advisory fee and total net expense ratio to a smaller peer group and larger universe, as set forth in the FUSE report. The Board also reviewed the median and average advisory fees and expense ratios, including certain expense ratio components (e.g., distribution fees, administration fees, transfer agency fees and fee waivers/reimbursements) of the peer group of funds. The Board reviewed the proposed advisory fee and total net expense ratio for each of Class A, C, I, R6 and P, noting that in each case the advisory fee was equal to the peer group median, ranging from 25th to 33rd percentile, and the total net expense ratio (after fee caps and waivers) was below the peer group median, ranging from the 29th to 44th percentile. The Board also noted that although the proposed contractual advisory fee for the New Fund is higher than the advisory fee for the Comparable Fund, management stated that the New Fund plans to allocate a larger portion of its assets to a long-short equity strategy, which requires more extensive research and active portfolio management than is needed for the Similar Fund.

As a part of its considerations, the Board noted that GPIM proposed a fee waiver/expense limitation agreement with respect to the New Fund, limiting ordinary operating expenses to 1.65% for Class A and Class P shares, 2.40% for Class C shares and 1.40% for Class I and Class R6 shares through February 1, 2017. In addition, the Board took into account the proposed Affiliated Fund Waiver Agreement under which Guggenheim agreed, through February 1, 2017, to waive the amount of the advisory fee to the extent necessary to offset the proportionate share of any advisory fee paid by the New Fund with respect to investment in an affiliated underlying fund.

With respect to the costs of advisory services to be provided and estimated level of profitability, the Trustees noted the start-up nature of the New Fund, and that they would have the opportunity in the future to periodically reexamine this matter.

The Board considered other benefits to be available to GPIM because of its relationship with the New Fund and noted that GPIM may be deemed to benefit from arrangements whereby an affiliate, Rydex Fund Services, LLC, will receive fees for: (i) performing certain administrative functions and bookkeeping, accounting and pricing functions for the New Fund pursuant to a Fund Accounting and Administration Agreement; and (ii) acting as transfer agent for the New Fund and performing all shareholder servicing functions, including transferring record ownership, processing purchase and redemption transactions, answering inquiries, mailing shareholder communications, and acting as the dividend disbursing agent pursuant to a Transfer Agency Agreement. In this connection, the Trustees considered its prior review of the compensation arrangements for the provision of the foregoing services.

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OTHER INFORMATION (Unaudited)(concluded)

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

Overall Conclusions

Based on the foregoing, the Trustees determined that the proposed investment advisory fees for the New Fund are 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 New Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Trustee, in the exercise of his business judgment, may attribute different weights to different factors. At the November Meeting, the Board, including all of the Independent Trustees, approved the Advisory Agreement for an initial term of two years.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 109

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee	Since 2014	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	105	Current: Trustee, Purpose Investments Inc. (2014-Present).
Donald A. Chubb, Jr. (1946)	Trustee	Since 1994	Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-present).	101	Current: Midland Care, Inc. (2011-present).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	101	Current: Westar Energy, Inc. (2004-present); CoreFirst Bank & Trust (2000-present).
Roman Friedrich III (1946)	Trustee and Chairman of the Contracts Review Committee	Since 2014	Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). Former: Senior Managing Director, MLV & Co. LLC (2010-2011).	101	Current: Zincore Metals, Inc. (2009-present). Former: Axiom Gold and Silver Corp. (2011-2012).
Robert B. Karn III (1942)	Trustee and Chairman of the Audit Committee	Since 2014	Current: Consultant (1998-present). Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).	101	Current: Peabody Energy Company (2003-present); GP Natural Resource Partners, LLC (2002- present).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Nyberg & Cassioppi, LLC (2000-present). Former: Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	107	Current: Edward-Elmhurst Healthcare System (2012-present).

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - concluded
Maynard F. Oliverius (1943)	Trustee	Since 1998	Current: Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012).	101	Current: Fort Hays State University Foundation (1999-present); Stormont-Vail Foundation (2013-present); University of Minnesota HealthCare Alumni Association Foundation (2009-present).
Ronald E. Toupin, Jr. (1958)	Trustee and Chairman of the Board	Since 2014	Current: Portfolio Consultant (2010-present). 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).	104	Former: Bennett Group of Funds (2011-2013).
INTERESTED TRUSTEE
Donald C. Cacciapaglia*** (1951)	President, Chief Executive Officer and Trustee	Since 2012	Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present). Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010).	236	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present).

*	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)(continued)

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS
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).
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 (1961)	Vice President and Chief Legal Officer	Since 2007 (Vice President) Since 2014 (Chief Legal Officer)	Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Senior 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); Managing Director, Guggenheim Investments (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).

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - concluded
Adam Nelson (1979)	Assistant Treasurer	Since 2015	Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011).
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 (2013-2014).
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 (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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 113

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.

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GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded)

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.

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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3.31.2016

Guggenheim Funds Semi-Annual Report

Guggenheim Diversified Income Fund

Guggenheim High Yield Fund

Guggenheim Investment Grade Bond Fund

Guggenheim Limited Duration Fund

Guggenheim Municipal Income Fund

SBINC-SEMI-0316x0916 guggenheiminvestments.com

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
DIVERSIFIED INCOME FUND	8
HIGH YIELD FUND	16
INVESTMENT GRADE BOND FUND	32
LIMITED DURATION FUND	46
MUNICIPAL INCOME FUND	63
NOTES TO FINANCIAL STATEMENTS	74
OTHER INFORMATION	94
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	98
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	102

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2016

Dear Shareholder:

Security Investors, LLC and Guggenheim Partners Investment Management (the “Investment Advisers”) are pleased to present the semi-annual shareholder report for a selection of our Funds (the “Funds”) for the six-month period ended March 31, 2016.

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, 2016

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 (Unaudited) March 31, 2016

Financial markets were buffeted by a variety of events over the past six months, including volatility in the oil market, weak growth in China, ongoing stimulus from global central banks, and a 25 basis point increase in the U.S. federal funds target rate in December. While the direct impact of the move was fairly insignificant, the decision to begin normalization of interest rates after seven years of unprecedented liquidity provision was not. Indeed, in 2015, risk assets posted their worst annual performance since the 2008 financial crisis, as market participants’ expectations for the start of rate hikes collided with concern about plunging commodity prices, and slowing economic growth in China and other emerging market economies.

As 2016 began, forecasts for U.S. and global economic growth were downgraded, and recession fears surged along with market volatility. Estimates for first quarter gross domestic product (“GDP”) in the U.S. were marked down, even though first quarter GDP has undershot full-year growth rates in six out of the last seven years. Risk assets rallied in the last half of the first quarter, led by a dovish pivot in the U.S. Federal Reserve’s (the “Fed”) communication that spurred a rally in crude oil and a reversal of dollar strength. The weaker dollar, along with optimism about a production freeze agreed to by a group of major oil producing countries, helped oil to rebound. After falling in the early weeks of the year to a cycle low of $26 per barrel on February 11, 2016, the front-month West Texas Intermediate (“WTI”) oil futures contract rallied as high as $40 per barrel before closing the quarter at $38 per barrel.

The outlook for economic growth outside the U.S. softened in the first quarter. A further deterioration in the euro zone inflation outlook prompted the European Central Bank (“ECB”) to announce an increase in the size of its monthly asset purchases and reduce its deposit rate to -40 basis points. European government bonds rallied following the announcement, with the 10-year German bund ending the first quarter with a yield of just 16 basis points.

Ongoing stimulus efforts in Asia also appeared likely to contribute to low U.S. rates. Chinese industrial production growth continued to slow in early 2016, prompting the People’s Bank of China (“PBOC”) to stimulate credit growth by allowing banks to hold fewer reserves against deposits. And after years of struggling with stagnant growth and low inflation, the Bank of Japan (“BOJ”) surprised markets by cutting its key interest rate to -10 basis points in January. The negative rates pushed a considerable amount of Japanese savings into foreign markets.

In an environment where global rates are moving lower and markets are already starved for yield, foreign investors began looking to the U.S. Guggenheim expects that U.S. Treasury yields will fall further as the gravitational pull of global yields gets stronger, and does not discount the possibility of 10-year U.S. Treasury yields declining to closer to 1 percent before the end of the year.

A stronger dollar has weighed on the U.S. economy, but consumer spending has been resilient. The labor market is now operating near full employment, and tight labor market conditions are beginning to spur faster wage growth. We believe the U.S. economy is fundamentally sound, and find little evidence to support the conclusion that the economy will fall into a recession in 2016.

Despite the relative health of the U.S. economy, markets are concerned that sluggish global growth will hold back the U.S. expansion, that inflation will remain below the Fed’s target for longer, and that tighter conditions in credit markets have raised recession risks. Our view is that the Fed remains focused on fulfilling its dual mandate objectives of maximum employment and price stability, and thus is biased toward normalizing policy. We expect further declines in the unemployment rate as job gains outstrip growth in the labor force. Meanwhile, core and headline inflation should move closer to the Fed’s target by year end, reflecting our forecasts for a tighter labor market and a modest rise in oil prices. Normally, this would result in at least two Fed rate hikes on the table for 2016, but the U.S. Fed is becoming more sensitive to global financial conditions and the extent of global money flows that occur as monetary policy in the U.S. diverges from Europe, Japan and China. As a result, we have reduced our expectations for a June rate hike, although it would normally be an easy call. We continue to believe a December rate hike is a near certainty. A solid macroeconomic backdrop and a rebalancing oil market should support an improving credit picture in the second half of 2016.

For the six months ended March 31, 2016, the Standard & Poor’s 500^® (“S&P 500”) Index* returned 8.49%. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index* returned 1.56%. The return of the MSCI Emerging Markets Index* was 6.41%.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2016

In the bond market, the Barclays U.S. Aggregate Bond Index* posted a 2.44% return for the period, while the Barclays U.S. Corporate High Yield Index* returned 1.22%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.11% 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 U.S. dollar 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.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, 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, 2015 and ending March 31, 2016.

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 up to the past five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2015	Ending Account Value March 31, 2016	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Diversified Income Fund4
A-Class	0.78%	2.63%	$ 1,000.00	$ 1,026.30	$ 1.30
C-Class	1.52%	2.51%	1,000.00	1,025.10	2.52
P-Class	0.78%	2.62%	1,000.00	1,026.20	1.30
Institutional Class	0.57%	2.70%	1,000.00	1,027.00	0.95
High Yield Fund
A-Class	1.24%	(0.52%)	1,000.00	994.80	6.18
C-Class	1.99%	(0.96%)	1,000.00	990.40	9.90
P-Class	1.24%	(0.57%)	1,000.00	994.30	6.18
Institutional Class	0.99%	(0.47%)	1,000.00	995.30	4.94
Investment Grade Bond Fund
A-Class	1.06%	1.25%	1,000.00	1,012.50	5.33
C-Class	1.81%	0.88%	1,000.00	1,008.80	9.09
P-Class	1.05%	1.22%	1,000.00	1,012.20	5.28
Institutional Class	0.80%	1.43%	1,000.00	1,014.30	4.03
Limited Duration Fund
A-Class	0.85%	(0.19%)	1,000.00	998.10	4.25
C-Class	1.60%	(0.57%)	1,000.00	994.30	7.98
P-Class	0.86%	(0.18%)	1,000.00	998.20	4.30
Institutional Class	0.60%	(0.06%)	1,000.00	999.40	3.00
Municipal Income Fund
A-Class	0.81%	2.93%	1,000.00	1,029.30	4.11
C-Class	1.56%	2.46%	1,000.00	1,024.60	7.90
P-Class	0.82%	2.85%	1,000.00	1,028.50	4.16
Institutional Class	0.56%	2.97%	1,000.00	1,029.70	2.84

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2015	Ending Account Value March 31, 2016	Expenses Paid During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Diversified Income Fund4
A-Class	0.78%	5.00%	$ 1,000.00	$ 1,021.10	$ 3.94
C-Class	1.52%	5.00%	1,000.00	1,017.40	7.67
P-Class	0.78%	5.00%	1,000.00	1,021.10	3.94
Institutional Class	0.57%	5.00%	1,000.00	1,022.15	2.88
High Yield Fund
A-Class	1.24%	5.00%	1,000.00	1,018.80	6.26
C-Class	1.99%	5.00%	1,000.00	1,015.05	10.02
P-Class	1.24%	5.00%	1,000.00	1,018.80	6.26
Institutional Class	0.99%	5.00%	1,000.00	1,020.05	5.00
Investment Grade Bond Fund				��
A-Class	1.06%	5.00%	1,000.00	1,019.70	5.35
C-Class	1.81%	5.00%	1,000.00	1,015.95	9.12
P-Class	1.05%	5.00%	1,000.00	1,019.75	5.30
Institutional Class	0.80%	5.00%	1,000.00	1,021.00	4.04
Limited Duration Fund
A-Class	0.85%	5.00%	1,000.00	1,020.75	4.29
C-Class	1.60%	5.00%	1,000.00	1,017.00	8.07
P-Class	0.86%	5.00%	1,000.00	1,020.70	4.34
Institutional Class	0.60%	5.00%	1,000.00	1,022.00	3.03
Municipal Income Fund
A-Class	0.81%	5.00%	1,000.00	1,020.95	4.09
C-Class	1.56%	5.00%	1,000.00	1,017.20	7.87
P-Class	0.82%	5.00%	1,000.00	1,020.90	4.14
Institutional Class	0.56%	5.00%	1,000.00	1,022.20	2.83

1	Annualized and excludes expenses of the underlying funds in which the Funds invest.
2	Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2015 to March 31, 2016.
4	Since commencement of operations: January 29, 2016. Expenses paid based on actual fund return are calculated using 60 days from the commencement of operations. Expenses paid based on hypothetical 5% return are calculated using 183 days.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

FUND PROFILE (Unaudited) March 31, 2016

DIVERSIFIED INCOME FUND

OBJECTIVE: Seeks to achieve high current income with consideration for capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

 

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

Inception Dates:
A-Class	January 29, 2016
C-Class	January 29, 2016
P-Class	January 29, 2016
Institutional Class	January 29, 2016

Ten Largest Holdings (% of Total Net Assets)
Guggenheim High Yield Fund - Institutional Class	24.7%
Guggenheim Floating Rate Strategies Fund - Institutional Class	20.5%
Guggenheim Limited Duration Fund - Institutional Class	13.5%
Guggenheim S&P High Income Infrastructure ETF	10.6%
Guggenheim Investment Grade Bond Fund - Institutional Class	9.7%
Guggenheim World Equity Income Fund - Institutional Class	7.1%
Guggenheim Risk Managed Real Estate Fund - Institutional Class	4.2%
Eaton Vance Tax-Managed Buy-Write Income Fund	0.2%
Voya Global Equity Dividend and Premium Opportunity Fund	0.2%
Cohen & Steers REIT and Preferred Income Fund, Inc.	0.2%
Top Ten Total	90.9%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
DIVERSIFIED INCOME FUND

	Shares		Value
EXCHANGE-TRADED FUNDS† - 10.6%
Guggenheim S&P High Income Infrastructure ETF1		23,785	$	546,579
Total Exchange-Traded Funds
(Cost $499,952)				546,579
MUTUAL FUNDS† - 79.7%
Guggenheim High Yield Fund - Insitutional Class1		150,392		1,267,801
Guggenheim Floating Rate Strategies Fund - Institutional Class1		41,665		1,053,695
Guggenheim Limited Duration Fund - Institutional Class1		28,533		691,937
Guggenheim Investment Grade Bond Fund - Institutional Class1		27,835		498,803
Guggenheim World Equity Income Fund - Institutional Class1		27,987		365,229
Guggenheim Risk Managed Real Estate Fund - Institutional Class1		7,640		214,457
Total Mutual Funds
(Cost $4,032,423)				4,091,922
CLOSED-END FUNDS† - 8.7%
Eaton Vance Tax-Managed Buy-Write Income Fund		771		12,506
Voya Global Equity Dividend and Premium Opportunity Fund		1,760		12,479
Cohen & Steers REIT and Preferred Income Fund, Inc.		659		12,468
Avenue Income Credit Strategies Fund		1,134		12,429
Calamos Convertible and High Income Fund		1,195		12,416
John Hancock Investors Trust		798		12,321
LMP Capital and Income Fund, Inc.		995		12,308
John Hancock Preferred Income Fund II		578		12,288
Legg Mason BW Global Income Opportunities Fund, Inc.		995		12,288
Eaton Vance Tax-Managed Diversified Equity Income Fund		1,151		12,281
Western Asset High Income Fund II, Inc.		1,857		12,275
Cohen & Steers Quality Income Realty Fund, Inc.		988		12,261
Eaton Vance Enhanced Equity Income Fund II		946		12,251
New America High Income Fund, Inc.		1,517		12,242
John Hancock Premium Dividend Fund		807		12,202
Wells Fargo Global Dividend Opportunity Fund		2,043		12,197
Neuberger Berman High Yield Strategies Fund, Inc.		1,146		12,159
Eaton Vance Floating-Rate Income Trust		923		12,147
Pioneer High Income Trust		1,206		12,108
BlackRock Multi-Sector Income Trust		761		12,031
Nuveen S&P 500 Dynamic Overwrite Fund		902		12,015
Western Asset Worldwide Income Fund, Inc.		1,153		11,980
ClearBridge Energy MLP Opportunity Fund, Inc.		1,061		11,957
Western Asset Premier Bond Fund		951		11,935
PIMCO Income Strategy Fund II		1,364		11,935
Cohen & Steers Select Preferred and Income Fund, Inc.		469		11,856
BlackRock Enhanced Capital and Income Fund, Inc.		875		11,848
Nuveen Tax-Advantaged Dividend Growth Fund		863		11,823
Eaton Vance Tax-Advantaged Dividend Income Fund		616		11,821
Invesco High Income Trust II		892		11,810
Alpine Total Dynamic Dividend Fund		1,572		11,790
Nuveen Credit Strategies Income Fund		1,488		11,770
Western Asset High Yield Defined Opportunity Fund, Inc.		834		11,626
PIMCO Corporate & Income Strategy Fund		835		11,481
PIMCO Income Opportunity Fund		551		11,433
Ivy High Income Opportunities Fund		890		11,330
PIMCO Dynamic Income Fund		421		10,967
Total Closed-End Funds
(Cost $424,467)				445,034
Total Investments - 99.0%
(Cost $4,956,842)			$	5,083,535
Other Assets & Liabilities, net - 1.0%				50,290
Total Net Assets - 100.0%			$	5,133,825

	Contracts		Unrealized Loss
EQUITY FUTURES CONTRACTS SOLD SHORT†
June 2016 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $717,675)		7	$	(18,638	)

†	Value determined based on Level 1 inputs — See Note 4.
1	Affiliated issuer — See Note 7.
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
DIVERSIFIED INCOME FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 1 - Other*		Level 2		Level 3		Total
Exchange-Traded Funds	$	546,579	$	—	$	—	$	—	$	546,579
Closed-End Funds		445,034		—		—		—		445,034
Mutual Funds		4,091,922		—		—		—		4,091,922
Total	$	5,083,535	$	—	$	—	$	—	$	5,083,535

Investments in Securities (Liabilities)	Level 1		Level 1 - Other*		Level 2		Level 3		Total
Equity Futures Contracts	$	—	$	18,638	$	—	$	—	$	18,638
Total	$	—	$	18,638	$	—	$	—	$	18,638

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

For the period ended March 31, 2016, there were no transfers between levels.

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

DIVERSIFIED INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments in unaffiliated issuers, at value (cost $424,467)	$	445,034
Investments in affiliated issuers, at value (cost $4,532,375)		4,638,501
Total investments (cost $4,956,842)		5,083,535
Segregated cash with broker		33,250
Cash		20,985
Receivables:
Dividends		19,695
Management fees		4,537
Variation margin		1,645
Interest		109
Total assets		5,163,756
Liabilities:
Payable for:
Securities purchased		18,592
Professional fees		3,616
Transfer agent/maintenance fees		2,264
Legal fees		1,644
Trustees' fees*		1,151
Distribution and service fees		132
Miscellaneous		2,532
Total liabilities		29,931
NET ASSETS	$	5,133,825
Net assets consist of:
Paid in capital	$	5,034,465
Undistributed net investment income		5,313
Accumulated net realized loss on investments		(14,008	)
Net unrealized appreciation on investments		108,055
Net assets	$	5,133,825
A-Class:
Net assets	$	102,706
Capital shares outstanding		4,029
Net asset value per share	$	25.49
Maximum offering price per share (Net asset value divided by 96.00%)	$	26.55
C-Class:
Net assets	$	102,521
Capital shares outstanding		4,021
Net asset value per share	$	25.49
P-Class:
Net assets	$	102,644
Capital shares outstanding		4,026
Net asset value per share	$	25.49
Institutional Class:
Net assets	$	4,825,954
Capital shares outstanding		189,290
Net asset value per share	$	25.50

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016**

Investment Income:
Dividends from securities of affiliated issuers	$	36,786
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $34)		7,800
Interest		38
Total investment income		44,624
Expenses:
Management fees		6,164
Transfer agent/maintenance fees:
A-Class		27
C-Class		17
P-Class		5
Institutional Class		251
Distribution and service fees:
A-Class		41
C-Class		164
P-Class		41
Fund accounting/administration fees		4,109
Professional fees		3,616
Legal fees		1,644
Trustees’ fees*		1,151
Printing expenses		1,151
Custodian fees		559
Miscellaneous		822
Total expenses		19,762
Less:
Expenses waived by Adviser due to expense limit		(10,661	)
Expenses waived by Adviser due to affiliated issuers		(4,193	)
Total waived expenses		(14,854	)
Net expenses		4,908
Net investment income		39,716
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		4,781
Investments in affiliated issuers		(144	)
Futures contracts		(18,645	)
Net realized loss		(14,008	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		20,567
Investments in affiliated issuers		106,126
Futures contracts		(18,638	)
Net change in unrealized appreciation (depreciation)		108,055
Net realized and unrealized gain		94,047
Net increase in net assets resulting from operations	$	133,763

*	Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
**	Since commencement of operations: January 29, 2016.

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

DIVERSIFIED INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2016a
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	39,716
Net realized loss on investments		(14,008	)
Net change in unrealized appreciation (depreciation) on investments		108,055
Net increase in net assets resulting from operations		133,763
Distributions to shareholders from:
Net investment income
A-Class		(660	)
C-Class		(541	)
P-Class		(658	)
Institutional Class		(32,544	)
Total distributions to shareholders		(34,403	)
Capital share transactions:
Proceeds from sale of shares
A-Class		100,153
C-Class		100,000
P-Class		100,000
Institutional Class		4,700,000
Distributions reinvested
A-Class		660
C-Class		541
P-Class		658
Institutional Class		32,544
Cost of shares redeemed
A-Class		(91	)
C-Class		—
P-Class		—
Institutional Class		—
Net increase from capital share transactions		5,034,465
Net increase in net assets		5,133,825
Net assets:
Beginning of period		—
End of period	$	5,133,825
Undistributed net investment income at end of period	$	5,313
Capital share activity:
Shares sold
A-Class		4,007
C-Class		4,000
P-Class		4,000
Institutional Class		188,000
Shares issued from reinvestment of distributions
A-Class		26
C-Class		21
P-Class		26
Institutional Class		1,290
Shares redeemed
A-Class		(4	)
C-Class		—
P-Class		—
Institutional Class		—
Net increase in shares		201,366

^a Since commencement of operations: January 29, 2016.

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

DIVERSIFIED 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.

A-Class	Period Ended March 31, 2016a
Per Share Data
Net asset value, beginning of period	$	25.00
Income (loss) from investment operations:
Net investment income (loss)b		.19
Net gain (loss) on investments (realized and unrealized)		.46
Total from investment operations		.65
Less distributions from:
Net investment income		(.16	)
Total distributions		(.16	)
Net asset value, end of period	$	25.49
Total Returnd		2.63	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	103
Ratios to average net assets:
Net investment income (loss)		4.65	%
Total expensesc		2.75	%
Net expensese		0.78	%
Portfolio turnover rate		6	%

C-Class	Period Ended March 31, 2016a
Per Share Data
Net asset value, beginning of period	$	25.00
Income (loss) from investment operations:
Net investment income (loss)b		.16
Net gain (loss) on investments (realized and unrealized)		.49
Total from investment operations		.65
Less distributions from:
Net investment income		(.16	)
Total distributions		(.16	)
Net asset value, end of period	$	25.49
Total Returnd		2.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	103
Ratios to average net assets:
Net investment income (loss)		3.91	%
Total expensesc		3.44	%
Net expensese		1.52	%
Portfolio turnover rate		6	%

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

DIVERSIFIED INCOME 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.

P-Class	Period Ended March 31, 2016a
Per Share Data
Net asset value, beginning of period	$	25.00
Income (loss) from investment operations:
Net investment income (loss)b		.19
Net gain (loss) on investments (realized and unrealized)		.44
Total from investment operations		.63
Less distributions from:
Net investment income		(.14	)
Total distributions		(.14	)
Net asset value, end of period	$	25.49
Total Returnd		2.62	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	103
Ratios to average net assets:
Net investment income (loss)		4.65	%
Total expensesc		2.62	%
Net expensese		0.78	%
Portfolio turnover rate		6	%

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

DIVERSIFIED 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.

Institutional Class	Period Ended March 31, 2016a
Per Share Data
Net asset value, beginning of period	$	25.00
Income (loss) from investment operations:
Net investment income (loss)b		.20
Net gain (loss) on investments (realized and unrealized)		.47
Total from investment operations		.67
Less distributions from:
Net investment income		(.17	)
Total distributions		(.17	)
Net asset value, end of period	$	25.50
Total Returnd		2.70	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,826
Ratios to average net assets:
Net investment income (loss)		4.86	%
Total expensesc		2.37	%
Net expensese		0.57	%
Portfolio turnover rate		6	%

a	Since commencement of operations: January 29, 2016. 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	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.

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

FUND PROFILE (Unaudited) March 31, 2016

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.

Portfolio Composition by Quality Rating1
Rating
Fixed Income Instruments
AAA	0.2%
A	0.2%
BBB	6.1%
BB	45.0%
B	34.0%
CCC	9.1%
C	0.1%
D	0.4%
NR2	0.9%
Other Instruments	4.0%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

Inception Dates:
A-Class	August 5, 1996
C-Class	May 1, 2000
P-Class	May 1, 2015
Institutional Class	July 11, 2008

Ten Largest Holdings (% of Total Net Assets)
Vector Group Ltd.	1.7%
ContourGlobal Power Holdings S.A.	1.4%
WMG Acquisition Corp.	1.3%
Infor US, Inc.	1.3%
Kennedy-Wilson, Inc.	1.3%
Open Text Corp.	1.2%
First Data Corp.	1.1%
ADT Corp.	1.1%
LBC Tank Terminals Holding Netherlands BV	1.0%
Eldorado Gold Corp.	1.0%
Top Ten Total	12.4%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by 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 converts ratings to the equivalent S&P rating.

2

NR securities do not necessarily indicate low credit quality.

16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
HIGH YIELD FUND

	Shares		Value
COMMON STOCKS† - 0.2%
Consumer, Cyclical - 0.2%
Metro-Goldwyn-Mayer, Inc.*,††		7,040	$	494,560
Communications - 0.0%
Cengage Learning Acquisitions, Inc.*,††		2,107		39,243
Industrial - 0.0%
Targus Group International, Inc.*,†††,1		13,240		20,257
Energy - 0.0%
Stallion Oilfield Holdings Ltd.*,††		8,257		2,890
Diversified - 0.0%
Leucadia National Corp.		81		1,310
Basic Materials - 0.0%
Mirabela Nickel Ltd.*,†††,1		1,044,540		80
Consumer, Non-cyclical - 0.0%
Crimson Wine Group Ltd.*		8		67
Total Common Stocks
(Cost $775,580)				558,407
PREFERRED STOCKS†† - 1.9%
Industrial - 1.0%
Seaspan Corp. 6.38% due 04/30/191		80,000		1,980,800
U.S. Shipping Corp.*,1		14,718		27,596
Total Industrial				2,008,396
Financial - 0.8%
Morgan Stanley 6.38%2,3		46,000		1,199,220
Aspen Insurance Holdings Ltd. 5.95%1,2,3		19,965		528,074
Total Financial				1,727,294
Communications - 0.1%
Medianews Group, Inc.*		11,074		323,915
Total Preferred Stocks
(Cost $4,192,221)				4,059,605
EXCHANGE-TRADED FUNDS† - 0.8%
SPDR Barclays High Yield Bond ETF		50,000		1,712,500
Total Exchange-Traded Funds
(Cost $1,726,695)				1,712,500
SHORT TERM INVESTMENTS† - 1.2%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.18%4		2,670,677		2,670,677
Total Short Term Investments
(Cost $2,670,677)				2,670,677

	Face Amount9		Value
CORPORATE BONDS†† - 76.4%
Communications - 16.3%
T-Mobile USA, Inc.
6.50% due 01/15/26		2,050,000		2,129,437
6.00% due 04/15/24		1,300,000		1,316,250
MDC Partners, Inc.
6.75% due 04/01/205,6		2,000,000		2,067,500
6.50% due 05/01/246		1,200,000		1,225,500
Sprint Communications, Inc.
9.00% due 11/15/186		1,750,000		1,833,125
7.00% due 03/01/206		1,000,000		1,000,000
6.00% due 11/15/22		150,000		109,688
DISH DBS Corp.
5.88% due 11/15/24		2,300,000		2,110,249
5.88% due 07/15/22		750,000		710,625
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
9.75% due 04/01/21		2,050,000		2,224,250
CSC Holdings LLC
5.25% due 06/01/24		1,100,000		980,375
6.75% due 11/15/21		850,000		872,950
Neptune Finco Corp.
6.63% due 10/15/256		1,400,000		1,513,610
Zayo Group LLC / Zayo Capital, Inc.
6.38% due 05/15/25		1,400,000		1,368,525
Numericable-SFR S.A.
6.00% due 05/15/226		1,350,000		1,316,250
Interoute Finco plc
7.38% due 10/15/20	EUR	1,000,000		1,234,568
Sirius XM Radio, Inc.
5.38% due 04/15/256		900,000		915,750
6.00% due 07/15/246		250,000		263,125
Virgin Media Secured Finance plc
5.25% due 01/15/266		1,050,000		1,050,000
CCO Holdings LLC / CCO Holdings Capital Corp.
5.88% due 04/01/24		1,000,000		1,047,500
CCOH Safari LLC
5.75% due 02/15/266		1,000,000		1,035,000
TIBCO Software, Inc.
11.38% due 12/01/216		1,100,000		962,500
Altice US Finance I Corp.
5.38% due 07/15/236		900,000		924,188
Sprint Corp.
7.88% due 09/15/23		1,000,000		764,790
7.63% due 02/15/25		100,000		74,250
Discovery Communications LLC
4.90% due 03/11/26		800,000		824,819
UPCB Finance IV Ltd.
5.38% due 01/15/256		700,000		708,750
Avaya, Inc.
7.00% due 04/01/196		1,050,000		708,750

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
HIGH YIELD FUND

	Face Amount9		Value
Midcontinent Communications & Midcontinent Finance Corp.
6.88% due 08/15/236	$	650,000	$	672,750
CCO Safari II LLC
4.46% due 07/23/22		600,000		627,161
CCO Holdings LLC/CCO Holdings Capital Corp.
6.50% due 04/30/21		600,000		621,306
Level 3 Financing, Inc.
5.25% due 03/15/26		550,000		554,125
Cogent Communications Group, Inc.
5.38% due 03/01/226		400,000		393,000
Sirius XM Canada Holdings, Inc.
5.63% due 04/23/216	CAD	500,000		371,549
Inmarsat Finance plc
4.88% due 05/15/226		350,000		329,656
CenturyLink, Inc.
5.63% due 04/01/25		350,000		313,250
Total Communications				35,175,121
Consumer, Non-cyclical - 11.5%
Vector Group Ltd.
7.75% due 02/15/21		3,480,000		3,654,000
ADT Corp.
6.25% due 10/15/215		2,300,000		2,311,500
3.50% due 07/15/22		850,000		735,250
HCA, Inc.
5.88% due 02/15/26		1,350,000		1,390,500
5.25% due 06/15/26		500,000		512,500
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
7.88% due 10/01/226		1,950,000		1,813,500
Tenet Healthcare Corp.
4.13% due 06/15/202,6		1,700,000		1,687,249
Opal Acquisition, Inc.
8.88% due 12/15/216		2,300,000		1,604,250
Central Garden & Pet Co.
6.13% due 11/15/23		1,500,000		1,560,000
US Foods, Inc.
8.50% due 06/30/19		1,450,000		1,489,875
Bumble Bee Holdco SCA
9.62% due 03/15/186		1,424,000		1,402,640
WEX, Inc.
4.75% due 02/01/236		1,500,000		1,320,000
Bumble Bee Holdings, Inc.
9.00% due 12/15/176		1,250,000		1,253,125
KeHE Distributors LLC / KeHE Finance Corp.
7.63% due 08/15/216		845,000		809,088
Kinetic Concepts Incorporated / KCI USA Inc
7.88% due 02/15/216		700,000		740,250
Halyard Health, Inc.
6.25% due 10/15/22		550,000		547,938
CHS/Community Health Systems, Inc.
5.13% due 08/15/18		500,000		503,750
DaVita HealthCare Partners, Inc.
5.00% due 05/01/25		450,000		445,500
Acadia Healthcare Company, Inc.
6.50% due 03/01/24		400,000		416,000
Jaguar Holding Company II / Pharmaceutical Product Development LLC
6.37% due 08/01/236		400,000		410,720
R&R Ice Cream plc
8.25% due 05/15/2010	AUD	200,000		158,018
MEDNAX, Inc.
5.25% due 12/01/236		100,000		104,000
Total Consumer, Non-cyclical				24,869,653
Financial - 9.2%
Kennedy-Wilson, Inc.
5.87% due 04/01/24		2,850,000		2,785,875
Jefferies Finance LLC / JFIN Company-Issuer Corp.
7.38% due 04/01/206		2,150,000		1,859,751
7.50% due 04/15/216		1,000,000		860,000
Lincoln Finance Ltd.
6.87% due 04/15/21	EUR	1,600,000		1,893,383
National Financial Partners Corp.
9.00% due 07/15/216		1,500,000		1,440,000
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.
5.88% due 02/01/22		800,000		759,200
6.00% due 08/01/20		650,000		632,125
American Equity Investment Life Holding Co.
6.63% due 07/15/21		1,350,000		1,387,125
Iron Mountain, Inc.
6.12% due 09/15/22	GBP	850,000		1,236,175
Citigroup, Inc.
6.30% due 12/29/492,3		700,000		672,338
5.95% due 12/31/492,3		450,000		433,125
GEO Group, Inc.
5.88% due 01/15/22		900,000		911,250
Greystar Real Estate Partners LLC
8.25% due 12/01/226		710,000		733,075
NewStar Financial, Inc.
7.25% due 05/01/20		800,000		720,000
Wilton Re Finance LLC
5.87% due 03/30/332,6		650,000		705,854
Bank of America Corp.
6.10% due 03/12/492,3		700,000		689,500
EPR Properties
5.75% due 08/15/22		450,000		485,169
Lock AS
7.00% due 08/15/21	EUR	400,000		480,173
HUB International Ltd.
9.25% due 02/15/216		450,000		466,875
Compass Bank
3.88% due 04/10/25		450,000		422,060
Majid AL Futtaim Holding
7.12% due 12/31/49		300,000		315,000

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
HIGH YIELD FUND

	Face Amount9		Value
Quicken Loans, Inc.
5.75% due 05/01/256	$	250,000	$	242,500
Total Financial				20,130,553
Industrial - 9.1%
Novelis, Inc.
8.75% due 12/15/20		1,750,000		1,766,275
8.38% due 12/15/17		1,250,000		1,271,250
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer
7.13% due 04/15/19		1,300,000		1,322,750
6.88% due 02/15/21		400,000		414,000
Amsted Industries, Inc.
5.38% due 09/15/246		1,650,000		1,586,063
StandardAero Aviation Holdings, Inc.
10.00% due 07/15/236		1,650,000		1,575,750
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer
7.88% due 08/15/19		1,500,000		1,552,500
CNH Industrial Capital LLC
4.38% due 11/06/205		800,000		786,000
4.88% due 04/01/21		600,000		597,750
Summit Materials LLC / Summit Materials Finance Corp.
8.50% due 04/15/22		1,050,000		1,084,125
CEVA Group plc
7.00% due 03/01/216		1,300,000		1,036,750
Moto Finance plc
6.37% due 09/01/20	GBP	650,000		952,555
Reliance Intermediate Holdings, LP
6.50% due 04/01/236		825,000		848,719
Standard Industries, Inc.
5.50% due 02/15/236		700,000		715,750
LMI Aerospace, Inc.
7.38% due 07/15/19		761,000		715,340
Anixter, Inc.
5.50% due 03/01/236		650,000		658,125
GCP Applied Technologies, Inc.
9.50% due 02/01/236		580,000		629,300
BMBG Bond Finance SCA
4.86% due 10/15/202,6	EUR	550,000		625,818
Actuant Corp.
5.63% due 06/15/22		600,000		609,000
Coveris Holdings S.A.
7.88% due 11/01/196		550,000		492,250
Hexcel Corp.
4.70% due 08/15/25		400,000		402,485
Moog, Inc.
5.25% due 12/01/226		200,000		200,250
Total Industrial				19,842,805
Energy - 8.2%
Sabine Pass Liquefaction LLC
6.25% due 03/15/22		1,911,000		1,870,391
5.63% due 02/01/21		1,100,000		1,057,375
5.63% due 04/15/23		250,000		237,500
ContourGlobal Power Holdings S.A.
7.13% due 06/01/195,6		3,200,000		3,108,000
Antero Resources Corp.
5.63% due 06/01/23		800,000		736,000
6.00% due 12/01/20		750,000		712,500
5.13% due 12/01/22		300,000		272,250
5.38% due 11/01/21		250,000		231,250
CONSOL Energy, Inc.
8.00% due 04/01/23		1,300,000		971,360
5.88% due 04/15/22		950,000		684,589
Comstock Resources, Inc.
10.00% due 03/15/206		2,150,000		1,058,875
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
6.00% due 12/15/20		980,000		769,300
Keane Group Holdings LLC
8.50% due 08/08/19†††,1		968,750		661,172
Unit Corp.
6.63% due 05/15/21		1,300,000		653,250
EP Energy LLC / Everest Acquisition Finance, Inc.
9.38% due 05/01/20		650,000		327,844
6.38% due 06/15/23		650,000		299,000
FTS International, Inc.
8.13% due 06/15/202,6		700,000		472,142
6.25% due 05/01/22		700,000		77,000
QEP Resources, Inc.
6.88% due 03/01/21		550,000		504,625
TerraForm Power Operating LLC
5.88% due 02/01/236		400,000		324,000
6.13% due 06/15/255,6		225,000		175,500
SandRidge Energy, Inc.
8.75% due 06/01/206		1,850,000		448,625
7.50% due 03/15/21		250,000		14,375
Gibson Energy, Inc.
6.75% due 07/15/216		500,000		460,000
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp.
6.63% due 12/01/21		1,090,000		207,100
8.00% due 12/01/20		965,000		185,763
Atlas Energy Holdings Operating Company LLC / Atlas Resource Finance Corp.
7.75% due 01/15/211		1,450,000		210,250
9.25% due 08/15/211		1,100,000		170,500
Whiting Petroleum Corp.
5.75% due 03/15/21		500,000		332,500
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
7.50% due 07/01/21		300,000		235,500

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
HIGH YIELD FUND

	Face Amount9		Value
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
7.88% due 04/15/22	$	1,750,000	$	175,000
DCP Midstream LLC
5.35% due 03/15/206		150,000		129,080
Ultra Petroleum Corp.
5.75% due 12/15/18		500,000		35,000
Schahin II Finance Company SPV Ltd.
5.88% due 09/25/227,10		217,167		31,598
SemGroup, LP
8.75% due 11/15/15†††,1		1,300,000		1
Total Energy				17,839,215
Consumer, Cyclical - 8.2%
WMG Acquisition Corp.
6.75% due 04/15/225,6		2,950,000		2,920,500
6.00% due 01/15/216		350,000		357,875
5.63% due 04/15/226		350,000		355,250
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
6.75% due 06/15/23		1,300,000		1,140,750
6.50% due 05/01/21		650,000		576,875
6.75% due 01/15/22		450,000		399,375
AmeriGas Finance LLC / AmeriGas Finance Corp.
7.00% due 05/20/22		1,500,000		1,537,500
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.
5.50% due 03/01/256		1,400,000		1,319,500
Hanesbrands, Inc.
6.38% due 12/15/20		1,200,000		1,242,000
Nathan’s Famous, Inc.
10.00% due 03/15/206		1,000,000		1,052,500
NPC International Incorporated / NPC Operating Company A Inc / NPC Operating Co B Inc
10.50% due 01/15/20		900,000		929,250
Hyatt Hotels Corp.
4.85% due 03/15/26		700,000		730,423
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.50% due 06/01/24		650,000		627,250
5.75% due 03/01/25		100,000		95,500
Lennar Corp.
4.75% due 04/01/21		700,000		708,750
Wyndham Worldwide Corp.
5.10% due 10/01/25		650,000		682,950
Interval Acquisition Corp.
5.63% due 04/15/23		600,000		601,500
Group 1 Automotive, Inc.
5.25% due 12/15/236		550,000		543,125
Seminole Hard Rock Entertainment Inc. / Seminole Hard Rock International LLC
5.88% due 05/15/216		500,000		501,250
Carrols Restaurant Group, Inc.
8.00% due 05/01/22		400,000		429,000
QVC, Inc.
4.85% due 04/01/24		400,000		397,632
Men’s Wearhouse, Inc.
7.00% due 07/01/22		450,000		381,375
L Brands, Inc.
6.88% due 11/01/35		250,000		271,300
Total Consumer, Cyclical				17,801,430
Technology - 7.9%
First Data Corp.
5.75% due 01/15/246		2,350,000		2,349,765
5.00% due 01/15/246		1,600,000		1,602,000
7.00% due 12/01/236		350,000		353,500
Infor US, Inc.
6.50% due 05/15/225		3,100,000		2,820,999
NCR Corp.
6.38% due 12/15/23		1,500,000		1,545,000
5.88% due 12/15/21		1,000,000		1,022,500
Open Text Corp.
5.63% due 01/15/236		2,500,000		2,550,000
Epicor Software
9.24% due 06/21/23†††		2,000,000		1,831,000
Micron Technology, Inc.
5.25% due 08/01/236		2,050,000		1,675,875
Aspect Software, Inc.
10.63% due 05/15/17†††,1,7		1,235,000		494,000
Microsoft Corp.
4.20% due 11/03/35		450,000		482,350
Applied Materials, Inc.
3.90% due 10/01/25		450,000		477,384
Total Technology				17,204,373
Utilities - 2.8%
AES Corp.
7.38% due 07/01/21		1,250,000		1,400,000
5.50% due 03/15/24		1,000,000		977,500
4.88% due 05/15/23		350,000		336,875
3.64% due 06/01/192		300,000		289,500
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/236		2,405,000		2,236,650
Terraform Global Operating LLC
9.75% due 08/15/226		1,200,000		900,000
Total Utilities				6,140,525
Basic Materials - 2.3%
Eldorado Gold Corp.
6.13% due 12/15/206		2,450,000		2,235,625
TPC Group, Inc.
8.75% due 12/15/206		1,585,000		1,109,500
Constellium N.V.
7.88% due 04/01/216		700,000		699,391

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
HIGH YIELD FUND

	Face Amount9		Value
Yamana Gold, Inc.
4.95% due 07/15/24	$	625,000	$	528,125
Cascades, Inc.
5.75% due 07/15/236		350,000		330,313
Unifrax I LLC / Unifrax Holding Co.
7.50% due 02/15/196		140,000		86,450
Mirabela Nickel Ltd.
9.50% due 06/24/19†††,1		265,505		69,031
1.00% due 09/10/44†††,1		5,561		—
Total Basic Materials				5,058,435
Diversified - 0.9%
HRG Group, Inc.
7.88% due 07/15/19		1,885,000		1,987,921
Total Corporate Bonds
(Cost $181,725,649)				166,050,031
SENIOR FLOATING RATE INTERESTS†† - 22.9%
Consumer, Cyclical - 5.0%
Sky Bet
6.50% due 02/25/22	GBP	950,000		1,361,629
PETCO Animal Supplies, Inc.
5.75% due 01/26/23		900,000		898,623
5.62% due 01/26/23		300,000		299,550
Belk, Inc.
5.75% due 12/12/22		1,300,000		1,146,171
Fitness International LLC
5.50% due 07/01/20		1,180,108		1,135,854
Talbots, Inc.
5.50% due 03/19/20		1,015,651		946,252
Mavis Tire
6.25% due 11/02/20†††,1		945,250		924,738
DLK Acquisitions BV
8.50% due 08/28/19	EUR	700,000		795,301
Navistar, Inc.
6.50% due 08/07/20		798,000		726,180
BBB Industries, LLC
4.43% due 11/04/191		657,143		591,501
Sears Holdings Corp.
5.50% due 06/30/18		546,324		519,008
Alexander Mann Solutions Ltd.
5.75% due 12/20/19		450,091		441,089
National Vision, Inc.
6.75% due 03/11/22		450,000		403,875
PF Chang’s
4.25% due 07/02/19		397,896		378,001
Men’s Wearhouse
4.50% due 06/18/21		200,000		192,126
Advantage Sales & Marketing LLC
3.39% due 07/25/191		110,000		100,599
Total Consumer, Cyclical				10,860,497
Industrial - 4.6%
Flakt Woods
2.63% due 03/20/17†††,1	EUR	1,617,056		1,822,505
KC Merger Sub, Inc.
6.00% due 08/12/22		1,145,247		1,129,499
CareCore National LLC
5.50% due 03/05/21		1,196,119		1,112,391
Mitchell International, Inc.
8.50% due 10/11/21		973,000		853,808
Hardware Holdings LLC
6.75% due 03/30/20†††,1		592,500		577,688
Hillman Group, Inc.
3.81% due 06/28/191		614,286		570,620
API Technologies Corp.
10.00% due 02/06/18†††,1		550,045		553,896
CPM Holdings, Inc.
6.00% due 04/11/22		496,250		488,186
LSF9 Cypress Holdings LLC
7.25% due 10/09/22		500,000		473,335
Hunter Defense Technologies
due 08/05/191,8		468,750		375,000
Panda Power
7.50% due 08/21/20		400,000		362,000
SIRVA Worldwide, Inc.
7.50% due 03/27/191		379,651		358,770
Transdigm, Inc.
3.50% due 05/14/22		346,668		341,035
Quanex Building Products Corp.
6.25% due 11/02/22		300,000		299,250
Wencor Group
3.94% due 06/19/19		321,538		297,307
Mast Global
7.75% due 09/12/19†††,1		271,017		267,873
CEVA Logistics US Holdings
6.50% due 03/19/21		90,705		74,530
CEVA Logistics Holdings BV (Dutch)
6.50% due 03/19/21		65,929		54,172
CEVA Group Plc (United Kingdom)
6.50% due 03/19/21		63,633		52,285
NANA Development Corp.
8.00% due 03/15/181		44,444		38,889
CEVA Logistics Canada, ULC
6.50% due 03/19/21		11,338		9,316
Total Industrial				10,112,355
Technology - 3.8%
Solera LLC
5.75% due 03/03/23		1,300,000		1,297,453
TIBCO Software, Inc.
6.50% due 12/04/20		1,240,117		1,111,765
Avago Technologies Ltd.
4.25% due 02/01/23		1,000,000		994,430
Sparta Holding Corp.
6.50% due 07/28/20†††		859,551		853,355

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
HIGH YIELD FUND

	Face Amount9		Value
Advanced Computer Software
6.50% due 03/18/22	$	544,500	$	522,720
10.50% due 01/31/23		300,000		275,250
Greenway Medical Technologies
9.25% due 11/04/211		550,000		423,500
6.00% due 11/04/201		342,125		294,228
Verisure Cayman 2
5.25% due 10/10/22	EUR	500,000		569,568
Aspect Software, Inc.
9.50% due 09/30/16		459,009		454,419
SolarWinds Holdings, Inc.
6.50% due 02/03/23		425,000		420,040
GlobalLogic Holdings, Inc.
6.25% due 05/31/19		346,000		338,215
Flexera Software LLC
8.00% due 04/02/21		250,000		231,250
Quorum Business Solutions
5.75% due 08/06/211		217,800		214,533
Avaya, Inc.
6.50% due 03/30/18		292,040		213,919
The Active Network, Inc.
5.50% due 11/13/20		146,994		139,276
Total Technology				8,353,921
Communications - 2.8%
Cengage Learning Acquisitions, Inc.
7.00% due 03/31/20		1,405,938		1,397,910
Match Group, Inc.
5.50% due 11/16/22		1,036,875		1,036,232
Mitel Networks Corp.
5.50% due 04/29/22		1,010,955		1,009,377
Cartrawler
4.25% due 04/29/211	EUR	650,000		717,415
Neptune Finco Corp.
5.00% due 10/10/22		500,000		499,920
Anaren, Inc.
9.25% due 08/18/211		500,000		455,835
Gogo LLC
7.50% due 03/21/181		413,656		397,110
MergerMarket Ltd.
4.50% due 02/04/21		294,000		285,180
Cablevision Systems
2.93% due 04/17/20		211,819		211,555
Total Communications				6,010,534
Consumer, Non-cyclical - 2.7%
Albertson’s (Safeway) Holdings LLC
5.50% due 08/25/21		1,245,177		1,245,800
IHC Holding Corp.
7.00% due 04/30/21†††,1		845,750		824,860
CTI Foods Holding Co. LLC
8.25% due 06/28/21		590,000		533,950
Americold Realty Operating Partnership, LP
6.50% due 12/01/22		498,750		497,503
Reddy Ice Holdings, Inc.
6.75% due 05/01/19		582,000		484,998
AdvancePierre Foods, Inc.
9.50% due 10/10/17		461,000		457,160
NES Global Talent
6.50% due 10/03/19		504,622		454,159
Affordable Care Holdings Corp.
5.75% due 10/24/22		448,875		441,581
American Seafoods
6.00% due 08/19/211		444,375		431,044
Pelican Products, Inc.
9.25% due 04/09/21		300,000		250,500
Arctic Glacier Holdings, Inc.
6.00% due 05/10/19		138,104		131,199
Performance Food Group
7.21% due 11/14/19		102,125		102,125
Targus Group International, Inc.
7.37% due 05/24/16†††,1		153,133		—
Total Consumer, Non-cyclical				5,854,879
Financial - 2.0%
Lineage Logistics LLC
4.50% due 04/07/21		840,100		703,584
Acrisure LLC
6.50% due 05/19/22		694,753		680,859
York Risk Services
4.75% due 10/01/21		740,625		628,605
Trademonster
7.25% due 08/29/19†††,1		544,250		541,529
Expert Global Solutions
8.50% due 04/03/18		477,734		468,179
Integro Parent, Inc.
6.75% due 10/31/22		450,000		427,992
Safe-Guard
6.25% due 08/19/21		370,393		362,985
Cunningham Lindsey U.S., Inc.
9.25% due 06/10/201		623,636		309,741
LPL Financial Holdings, Inc.
4.75% due 11/21/22		300,000		294,000
Total Financial				4,417,474
Basic Materials - 0.8%
Zep, Inc.
5.50% due 06/27/22		995,000		992,513
Atkore International, Inc.
7.75% due 10/09/21		450,000		409,500
Azelis Finance S.A.
6.50% due 12/16/22		249,375		248,128
Arch Coal, Inc.
7.50% due 05/16/18		198,461		70,041
Total Basic Materials				1,720,182

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
HIGH YIELD FUND

	Face Amount9		Value
Utilities - 0.6%
Invenergy Thermal Operating I, LLC
6.50% due 10/19/22	$	1,047,750	$	984,885
Stonewall (Green Energy)
6.50% due 11/12/21		400,000		372,000
Total Utilities				1,356,885
Energy - 0.6%
Veresen Midstream LP
5.25% due 03/31/22		744,375		687,617
PSS Companies
5.50% due 01/28/201		536,945		349,014
Cactus Wellhead
7.00% due 07/31/20		444,375		155,531
FTS International
5.75% due 04/16/21		241,818		28,414
Total Energy				1,220,576
Total Senior Floating Rate Interests
(Cost $53,190,317)				49,907,303
SENIOR FIXED RATE INTERESTS†† - 0.5%
Communications - 0.3%
Lions Gate Entertainment Corp.
5.00% due 03/17/22		610,000		593,225
Financial - 0.2%
Magic Newco, LLC
12.00% due 06/12/19		500,000		512,815
Consumer, Non-cyclical - 0.0%
Targus Group International, Inc.
7.50% due 12/31/19†††,1		53,283		78,197
Total Consumer, Non-cyclical				78,197
Total Senior Fixed Rate Interests
(Cost $1,211,409)				1,184,237
ASSET-BACKED SECURITIES†† - 0.1%
Collateralized Debt Obligations - 0.1%
SRERS Funding Ltd.
2011-RS A1B1, 0.69% due 05/09/462,6		209,815		200,729
Total Asset-Backed Securities
(Cost $200,634)				200,729
Total Investments - 104.0%
(Cost $245,693,182)			$	226,343,489
Other Assets & Liabilities, net - (4.0)%				(8,652,726	)
Total Net Assets - 100.0%			$	217,690,763

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty	Contracts to Buy (Sell)			Currency	Settlement Date	Settlement Value			Value at March 31, 2016			Net Unrealized Appreciation/ (Depreciation)
BNY Mellon		343,000		EUR	04/11/16	$	(381,359	)	$	(390,391	)	$	9,031
BNY Mellon		(209,000	)	AUD	04/11/16		155,120			160,165			(5,045	)
BNY Mellon		(488,000	)	CAD	04/11/16		366,372			375,823			(9,450	)
BNY Mellon		(2,506,000	)	GBP	04/11/16		3,561,703			3,599,622			(37,920	)
BNY Mellon		(7,587,000	)	EUR	04/11/16		8,380,547			8,635,262			(254,713	)
												$	(298,097	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
HIGH YIELD FUND

*	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	Illiquid security.
2	Variable rate security. Rate indicated is rate effective at March 31, 2016.
3	Perpetual maturity.
4	Rate indicated is the 7 day yield as of March 31, 2016.
5	Security or a portion thereof is held as collateral for reverse repurchase agreements — See Note 11.
6	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $78,332,786 (cost $83,643,910), or 36.0% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
7	Security is in default of interest and/or principal obligations.
8	Security with no rate was unsettled at March 31, 2016.
9	The face amount is denominated in U.S. Dollars unless otherwise indicated.
10	Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $276,066 (cost $471,883), or 0.1% of total net assets — See Note 14.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Asset-Backed Securities	$	—	$	200,729	$	—	$	—	$	200,729
Exchange-Traded Funds		1,712,500		—		—		—		1,712,500
Common Stocks		1,377		536,693		—		20,337		558,407
Corporate Bonds		—		162,994,827		—		3,055,204		166,050,031
Forward Foreign Currency Exchange Contracts		—		—		9,031		—		9,031
Preferred Stocks		—		4,059,605		—		—		4,059,605
Senior Fixed Rate Interests		—		1,106,040		—		78,197		1,184,237
Senior Floating Rate Interests		—		43,540,859		—		6,366,444		49,907,303
Short Term Investments		2,670,677		—		—		—		2,670,677
Total	$	4,384,554	$	212,438,753	$	9,031	$	9,520,182	$	226,352,520

Investments in Securities (Liabilities)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Forward Foreign Currency Exchange Contracts	$	—	$	—	$	307,128	$	—	$	307,128
Total	$	—	$	—	$	307,128	$	—	$	307,128

* Other financial instruments include forward foreign currency exchange contracts, which are reported as unrealized gain/loss at period end.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Fund recognized transfers between the levels as of the beginning of the period. As of March 31, 2016, High Yield Fund had securities with a total value of $465,869 transfer out of Level 3 into Level 2 and a total value of $1,185,186 transfer into Level 3 from Level 2 due to changes in the securities valuation method. There were no other securities that transferred between levels.

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

HIGH YIELD FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments, at value (cost $245,693,182)	$	226,343,489
Foreign currency, at value (cost $81,327)		81,571
Cash		120,455
Prepaid expenses		42,614
Unrealized appreciation on forward foreign currency exchange contracts		9,031
Receivables:
Interest		3,752,267
Securities sold		1,345,104
Fund shares sold		774,247
Foreign taxes reclaim		7,445
Dividends		7,425
Total assets		232,483,648
Liabilities:
Reverse Repurchase Agreements		8,911,433
Unfunded loan commitments, at value (Note 8) (proceeds $1,370,277)		949,282
Unrealized depreciation on forward foreign currency exchange contracts		307,128
Payable for:
Securities purchased		3,889,025
Fund shares redeemed		352,721
Management fees		113,275
Distribution and service fees		28,421
Transfer agent/maintenance fees		20,496
Fund accounting/administration fees		16,808
Trustees' fees*		4,001
Miscellaneous		200,295
Total liabilities		14,792,885
Commitments and contingent liabilities (Note 13)		—
NET ASSETS	$	217,690,763
Net assets consist of:
Paid in capital	$	239,705,461
Accumulated net investment loss		(380,449	)
Accumulated net realized loss on investments		(2,412,286	)
Net unrealized depreciation on investments		(19,221,963	)
Net assets	$	217,690,763
A-Class:
Net assets	$	70,302,629
Capital shares outstanding		6,799,114
Net asset value per share	$	10.34
Maximum offering price per share (Net asset value divided by 96.00%)	$	10.77
C-Class:
Net assets	$	17,104,926
Capital shares outstanding		1,641,197
Net asset value per share	$	10.42
P-Class:
Net assets	$	1,417,342
Capital shares outstanding		137,057
Net asset value per share	$	10.34
Institutional Class:
Net assets	$	128,865,866
Capital shares outstanding		15,280,997
Net asset value per share	$	8.43

* 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 | 25

HIGH YIELD FUND

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016

Investment Income:
Interest	$	6,911,102
Dividends		97,926
Total investment income		7,009,028
Expenses:
Management fees		537,168
Transfer agent/maintenance fees:
A-Class		44,090
C-Class		9,050
P-Class		82
Institutional Class		20,685
Distribution and service fees:
A-Class		87,569
C-Class		69,579
P-Class		522
Fund accounting/administration fees		85,051
Interest expense		56,961
Line of credit fees		11,283
Custodian fees		7,980
Trustees’ fees*		4,392
Miscellaneous		118,133
Total expenses		1,052,545
Less:
Expenses waived by Adviser		(10,299	)
Net expenses		1,042,246
Net investment income		5,966,782
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	(1,808,546	)
Foreign currency		5,905
Forward foreign currency exchange contracts		304,469
Net realized loss		(1,498,172	)
Net change in unrealized appreciation (depreciation) on:
Investments		(4,628,631	)
Foreign currency		3,068
Forward foreign currency exchange contracts		(277,161	)
Net change in unrealized appreciation (depreciation)		(4,902,724	)
Net realized and unrealized loss		(6,400,896	)
Net decrease in net assets resulting from operations	$	(434,114	)

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

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

HIGH YIELD FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	5,966,782		$	8,972,189
Net realized gain (loss) on investments		(1,498,172	)		405,135
Net change in unrealized appreciation (depreciation) on investments		(4,902,724	)		(13,898,198	)
Net decrease in net assets resulting from operations		(434,114	)		(4,520,874	)
Distributions to shareholders from:
Net investment income
A-Class		(2,626,104	)		(4,807,748	)
B-Class		—			(52,842	)
C-Class		(464,296	)		(802,666	)
P-Class		(13,677	)		(235	)*
Institutional Class		(3,725,163	)		(3,966,454	)
Net realized gains
A-Class		—			(1,532,517	)
B-Class		—			(20,686	)
C-Class		—			(263,521	)
P-Class		—			—	*
Institutional Class		—			(944,650	)
Total distributions to shareholders		(6,829,240	)		(12,391,319	)
Capital share transactions:
Proceeds from sale of shares
A-Class		21,279,940			33,036,938
B-Class		—			7,076
C-Class		6,041,823			5,046,504
P-Class		1,369,210			10,001	*
Institutional Class		86,919,176			74,875,388
Redemption fees collected
A-Class		40,152			41,648
B-Class		—			490
C-Class		9,906			8,074
P-Class		752			1	*
Institutional Class		72,686			33,446
Distributions reinvested
A-Class		2,410,327			5,856,839
B-Class		—			66,438
C-Class		367,526			824,962
P-Class		13,677			235	*
Institutional Class		3,148,832			3,711,027
Cost of shares redeemed
A-Class		(23,334,950	)		(40,000,821	)
B-Class		—			(1,185,413	)
C-Class		(2,489,754	)		(5,333,911	)
P-Class		(3,953	)		—	*
Institutional Class		(32,975,483	)		(33,586,946	)
Net increase from capital share transactions		62,869,867			43,411,976
Net increase in net assets		55,606,513			26,499,783
Net assets:
Beginning of period		162,084,250			135,584,467
End of period	$	217,690,763		$	162,084,250
Accumulated net investment loss/Undistributed net investment income at end of period	$	(380,449	)	$	482,009

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

HIGH YIELD FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		2,073,011			2,907,297
B-Class		—			574
C-Class		588,259			437,537
P-Class		135,215			867	*
Institutional Class		10,243,931			8,020,780
Shares issued from reinvestment of distributions
A-Class		230,643			512,078
B-Class		—			5,810
C-Class		34,910			71,624
P-Class		1,338			21	*
Institutional Class		370,565			399,647
Shares redeemed
A-Class		(2,289,369	)		(3,526,055	)
B-Class		—			(104,833	)
C-Class		(238,601	)		(463,316	)
P-Class		(384	)		—	*
Institutional Class		(3,864,688	)		(3,627,052	)
Net increase in shares		7,284,830			4,634,979

* Since commencement of operations: May 1, 2015.

28 | 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.

A-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015				Year Ended September 30, 2014				Year Ended September 30, 2013				Period Ended September 30, 2012b				Year Ended December 31, 2011
Per Share Data
Net asset value, beginning of period	$	10.79			$	12.02			$	11.85			$	11.95			$	11.12			$	12.89
Income (loss) from investment operations:
Net investment income (loss)c		.34				.69				.72				.81				.58				.87
Net gain (loss) on investments (realized and unrealized)		(.41	)			(.97	)			.27				.27				.84				(1.30	)
Total from investment operations		(.07	)			(.28	)			.99				1.08				1.42				(.43	)
Less distributions from:
Net investment income		(.39	)			(.74	)			(.83	)			(.90	)			(.59	)			(1.07	)
Net realized gains		—				(.22	)			—				(.29	)			—				(.27	)
Total distributions		(.39	)			(.96	)			(.83	)			(1.19	)			(.59	)			(1.34	)
Redemption fees collected		.01				.01				.01				.01				—	d			—
Net asset value, end of period	$	10.34			$	10.79			$	12.02			$	11.85			$	11.95			$	11.12
Total Returnh		(0.52	%)			(2.40	%)			9.18	%			9.54	%			12.93	%			(3.50	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	70,303			$	73,236			$	82,854			$	70,451			$	64,174			$	86,041
Ratios to average net assets:
Net investment income (loss)		6.59	%			6.01	%			5.91	%			6.84	%			7.19	%			6.92	%
Total expensese		1.26	%			1.27	%			1.32	%			1.41	%			1.44	%			1.34	%
Net expensesf,i		1.24	%			1.20	%			1.26	%			1.18	%			1.17	%			1.18	%
Portfolio turnover rate		35	%			72	%			97	%			101	%			55	%			102	%

C-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015				Year Ended September 30, 2014				Year Ended September 30, 2013				Period Ended September 30, 2012b				Year Ended December 31, 2011
Per Share Data
Net asset value, beginning of period	$	10.88			$	12.12			$	11.95			$	12.03			$	11.20			$	12.97
Income (loss) from investment operations:
Net investment income (loss)c		.31				.61				.63				.73				.56				.79
Net gain (loss) on investments (realized and unrealized)		(.43	)			(.98	)			.27				.27				.80				(1.32	)
Total from investment operations		(.12	)			(.37	)			.90				1.00				1.36				(.53	)
Less distributions from:
Net investment income		(.35	)			(.66	)			(.74	)			(.80	)			(.53	)			(.97	)
Net realized gains		—				(.22	)			—				(.29	)			—				(.27	)
Total distributions		(.35	)			(.88	)			(.74	)			(1.09	)			(.53	)			(1.24	)
Redemption fees collected		.01				.01				.01				.01				—	d			—
Net asset value, end of period	$	10.42			$	10.88			$	12.12			$	11.95			$	12.03			$	11.20
Total Returnh		(0.96	%)			(3.14	%)			8.46	%			8.69	%			12.33	%			(4.30	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	17,105			$	13,671			$	14,674			$	9,463			$	9,054			$	7,991
Ratios to average net assets:
Net investment income (loss)		5.84	%			5.25	%			5.14	%			6.10	%			6.37	%			6.32	%
Total expensese		2.02	%			2.01	%			2.09	%			2.17	%			2.19	%			2.08	%
Net expensesf,i		1.99	%			1.95	%			2.01	%			1.93	%			1.92	%			1.94	%
Portfolio turnover rate		35	%			72	%			97	%			101	%			55	%			102	%

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

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.

P-Class	Period Ended March 31, 2016a			Period Ended September 30, 2015g
Per Share Data
Net asset value, beginning of period	$	10.80		$	11.53
Income (loss) from investment operations:
Net investment income (loss)c		.34			.27
Net gain (loss) on investments (realized and unrealized)		(.42	)		(.73	)
Total from investment operations		(.08	)		(.46	)
Less distributions from:
Net investment income		(.40	)		(.27	)
Total distributions		(.40	)		(.27	)
Redemption fees collected		.02			—	d
Net asset value, end of period	$	10.34		$	10.80
Total Returnh		(0.57	%)		(4.06	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,417		$	10
Ratios to average net assets:
Net investment income (loss)		6.67	%		5.76	%
Total expensese		1.24	%		3.36	%
Net expensesf,i		1.24	%		1.19	%
Portfolio turnover rate		35	%		72	%

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

HIGH YIELD FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Period Ended March 31, 2016a			Year Ended September 30, 2015				Year Ended September 30, 2014				Year Ended September 30, 2013				Period Ended September 30, 2012b				Year Ended December 31, 2011
Per Share Data
Net asset value, beginning of period	$	8.81			$	9.87			$	9.74			$	9.90			$	9.26			$	10.96
Income (loss) from investment operations:
Net investment income (loss)c		.29				.58				.61				.70				.55				.79
Net gain (loss) on investments (realized and unrealized)		(.34	)			(.79	)			.23				.22				.64				(1.12	)
Total from investment operations		(.05	)			(.21	)			.84				.92				1.19				(.33	)
Less distributions from:
Net investment income		(.34	)			(.64	)			(.72	)			(.80	)			(.55	)			(1.10	)
Net realized gains		—				(.22	)			—				(.29	)			—				(.27	)
Total distributions		(.34	)			(.86	)			(.72	)			(1.09	)			(.55	)			(1.37	)
Redemption fees collected		.01				.01				.01				.01				—	d			—
Net asset value, end of period	$	8.43			$	8.81			$	9.87			$	9.74			$	9.90			$	9.26
Total Returnh		(0.47	%)			(2.21	%)			9.50	%			9.97	%			13.17	%			(3.30	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	128,866			$	75,167			$	36,880			$	18,755			$	9,974			$	7,900
Ratios to average net assets:
Net investment income (loss)		6.86	%			6.21	%			6.12	%			7.12	%			7.42	%			7.61	%
Total expensese		0.99	%			0.94	%			1.01	%			1.01	%			1.11	%			1.08	%
Net expensesf,i		0.99	%			0.94	%			1.01	%			0.93	%			0.92	%			0.95	%
Portfolio turnover rate		35	%			72	%			97	%			101	%			55	%			102	%

a	Unaudited figures for the period ended March 31, 2016. 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	Redemption fees collected are less than $0.01 per share.
e	Does not include expenses of the underlying funds in which the Fund invests.
f	Net expense information reflects the expense ratios after expense waivers.
g	Since commencement of operations: May 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
h	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
i	Net expenses may include expenses that are excluded from the expense limitation agreement and recouped amounts. Excluding these expenses, the operating expense ratios for the years would be:

	03/31/16	09/30/15	09/30/14
A-Class	1.16%	1.16%	1.16%
C-Class	1.91%	1.91%	1.91%
P-Class	1.16%	1.16%	—
Institutional Class	0.91%	0.91%	0.91%

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

FUND PROFILE (Unaudited) March 31, 2016

INVESTMENT GRADE BOND FUND

OBJECTIVE: Seeks to provide current income.

Holdings Diversification (Market Exposure as % of Net Assets)

 

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

Portfolio Composition by Quality Rating1
Rating
Fixed Income Instruments
AAA	18.9%
AA	13.9%
A	21.1%
BBB	17.1%
BB	8.3%
B	3.9%
CCC	3.2%
CC	0.2%
A+	0.2%
NR2	11.8%
Other Instruments	1.4%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

Inception Dates:
A-Class	August 15, 1985
C-Class	May 1, 2000
P-Class	May 1, 2015
Institutional Class	January 29, 2013

Ten Largest Holdings (% of Total Net Assets)
U.S. Treasury Notes	6.8%
U.S. Treasury Bonds	3.8%
Freddie Mac	1.4%
GCAT 2014-2 LLC	1.2%
Willis Engine Securitization Trust II	1.1%
Citigroup, Inc.	1.1%
LSTAR Securities Investment Trust 2015-2	1.1%
LSTAR Securities Investment Trust 2014-1	1.1%
LSTAR Securities Investment Trust 2015-4	1.0%
LSTAR Securities Investment Trust 2016-2	1.0%
Top Ten Total	19.6%
“Ten Largest Holdings” excludes any temporary cash investments.

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by 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 converts ratings to the equivalent S&P rating.

2

NR securities do not necessarily indicate low credit quality.

32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
INVESTMENT GRADE BOND FUND

	Shares		Value
COMMON STOCKS† - 0.0%
Financial - 0.0%
Rescap Liquidating Trust*		5,199	$	40,292
Industrial - 0.0%
Constar International Holdings LLC*,†††,9		68		—
Total Common Stocks
(Cost $262,501)				40,292
PREFERRED STOCKS†† - 1.4%
Financial - 1.1%
Woodbourne Capital Trust II 0.03%*,†††,1,2,11		950,000		488,281
Woodbourne Capital Trust I 0.03%*,†††,1,2,11		950,000		488,281
Woodbourne Capital Trust III 0.03%*,†††,1,2,11		950,000		488,281
Woodbourne Capital Trust IV 0.03%*,†††,1,2,11		950,000		488,281
Total Financial				1,953,124
Industrial - 0.3%
Seaspan Corp. 6.38% due 04/30/199		22,000		544,720
Constar International Holdings LLC*,†††,9		7		—
Total Industrial				544,720
Total Preferred Stocks
(Cost $4,368,354)				2,497,844
SHORT TERM INVESTMENTS† - 0.0%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.18%4		29,473		29,473
Total Short Term Investments
(Cost $29,473)				29,473

	Face Amount
ASSET-BACKED SECURITIES†† - 36.6%
Collateralized Loan Obligations - 24.6%
Golub Capital Partners CLO Ltd.
2015-25A, 2.42% due 08/05/271,3	$	1,500,000	1,467,601
2014-21A, 3.07% due 10/25/261,3		600,000	580,830
2013-17A, 4.45% due 10/25/251,3		250,000	243,080
Telos CLO Ltd.
2013-3A, 3.62% due 01/17/241,3		1,250,000	1,206,846
2007-2A, 2.82% due 04/15/221,3		1,100,000	1,055,395
Great Lakes CLO Ltd.
2012-1A, 4.72% due 01/15/231,3		1,000,000	992,459
2015-1A, 2.57% due 07/15/261,3		1,000,000	991,617
2014-1A, 4.32% due 04/15/251,3		250,000	240,839
CIFC Funding Ltd.
2015-2A, 2.54% due 12/05/241,3		1,500,000	1,475,487
2014-3X due 07/22/265		500,000	227,522

Ivy Hill Middle Market Credit Fund VII Ltd.
2013-7A, 2.92% due 10/20/251,3	1,000,000	960,978
2013-7A, 4.07% due 10/20/251,3	600,000	553,730
Oaktree EIF I Series A Ltd.
2015-A1, 3.25% due 10/18/271,3	1,500,000	1,488,031
Grayson CLO Ltd.
2006-1A A2, 1.03% due 11/01/211,3	1,400,000	1,257,132
Flagship CLO VI
2007-1A, 3.04% due 06/10/211,3	1,250,000	1,171,470
Rockwall CDO Ltd.
2007-1A, 1.17% due 08/01/241,3	1,100,000	1,029,942
WhiteHorse VIII Ltd.
2014-1A, 2.67% due 05/01/261,3	1,100,000	996,712
ALM VII R Ltd.
2013-7RA, 3.22% due 04/24/241,3	1,000,000	995,840
Atrium XI
2014-11A, 3.82% due 10/23/251,3	1,000,000	994,309
Fortress Credit Investments IV Ltd.
2015-4A, 2.52% due 07/17/231,3	1,000,000	987,330
PFP Ltd.
2015-2, 2.44% due 07/14/341,3	1,000,000	985,812
Rampart CLO Ltd.
2007-1A, 2.49% due 10/25/211,3	1,000,000	980,107
Fortress Credit Opportunities V CLO Ltd.
2014-5A, 3.27% due 10/15/261,3	1,000,000	975,246
Vibrant CLO Limited
2015-1A, 2.72% due 07/17/241,3	1,000,000	973,183
Fortress Credit BSL II Ltd.
2013-2A, 2.87% due 10/19/251,3	1,000,000	972,779
Marea CLO Ltd.
2015-1A, 2.42% due 10/15/231,3	1,000,000	963,068
Venture CLO Ltd.
2013-14A, 3.39% due 08/28/251,3	1,000,000	962,986
Figueroa CLO Ltd.
2013-1A, 3.37% due 03/21/241,3	1,000,000	960,023
Northwoods Capital XIV Ltd.
2014-14A, 3.08% due 11/12/251,3	1,000,000	957,400
KKR CLO 12 Ltd.
2015-12, 2.56% due 07/15/271,3	1,000,000	950,305
Black Diamond CLO Ltd.
2013-1A, 3.87% due 02/01/231,3	950,000	923,512
Dryden 37 Senior Loan Fund
2015-37A, due 04/15/273,5	1,000,000	895,290
MT Wilson Clo II Ltd.
2007-2A, 3.37% due 07/11/201,3	1,000,000	888,084
MCF CLO I LLC
2013-1A, 4.17% due 04/20/231,3	900,000	874,237
COA Summit CLO Limited
2014-1A, 3.42% due 04/20/231,3	800,000	753,599
OZLM Funding Ltd.
2012-2A, 3.87% due 10/30/231,3	750,000	750,061
Newstar Trust
2012-2A, 3.87% due 01/20/231,3	750,000	745,520

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
INVESTMENT GRADE BOND FUND

	Face Amount		Value
Ares XII CLO Ltd.
2007-12A, 3.88% due 11/25/201,3	$	750,000	$	737,458
ACIS CLO Ltd.
2013-1A, 3.57% due 04/18/241,3		500,000		429,010
2013-2A, 3.83% due 10/14/221,3		250,000		247,993
Fortress Credit Opportunities III CLO, LP
2014-3A, 3.12% due 04/28/261,3		300,000		292,419
2014-3A, 3.87% due 04/28/261,3		300,000		285,398
Cent CLO
2014-16A, 2.87% due 08/01/241,3		500,000		495,118
Cerberus Onshore II CLO-2 LLC
2014-1A, 2.98% due 10/15/231,3		500,000		492,059
KKR Financial CLO Ltd.
2012-1A, 3.93% due 12/15/241,3		500,000		488,996
MCF CLO III LLC
2014-3A, 3.17% due 01/20/241,3		500,000		472,802
Treman Park CLO Ltd.
2015-1A COM, due 04/20/273,5		500,000		453,236
Eastland CLO Ltd.
2007-1A A3, 1.02% due 05/01/221,3		450,000		424,293
Westwood CDO I Ltd.
2006-1A B, 1.27% due 03/25/211,3		400,000		373,271
Babson CLO Limited
2012-2A, due 05/15/233,5		1,000,000		371,570
KVK CLO Ltd.
2013-1A, due 04/14/253,5		1,000,000		335,345
Newstar Commercial Loan Funding LLC
2013-1A D, 5.17% due 09/20/231,3		350,000		323,514
Halcyon Loan Advisors Funding Ltd.
2012-2A, 5.12% due 12/20/241,3		350,000		295,669
DIVCORE CLO Ltd.
2013-1A B, 4.33% due 11/15/321,3		300,000		295,403
TICC CLO LLC
2012-1A, 5.37% due 08/25/231,3		250,000		254,060
Cerberus Onshore II CLO LLC
2014-1A, 3.32% due 10/15/231,3		250,000		249,023
Gallatin CLO VII Ltd.
2014-1A, 3.52% due 07/15/231,3		250,000		245,944
ICE EM CLO
2007-1A, 1.46% due 08/15/221,3		248,819		243,998
ALM XIV Ltd.
2014-14A, 3.57% due 07/28/261,3		250,000		241,665
Dryden XXIII Senior Loan Fund
2014-23A, 3.57% due 07/17/231,3		250,000		241,342
Garrison Funding Ltd.
2013-2A, 4.02% due 09/25/231,3		250,000		240,967
Babson CLO Ltd.
2014-IA, due 07/20/253,5		650,000		237,891
NewStar Arlington Senior Loan Program LLC
2014-1A C1, 3.92% due 07/25/251,3		250,000		236,168
Neuberger Berman CLO Ltd.
2012-12A, 0.00% due 07/25/233,5		450,000		178,724
Copper River CLO Ltd.
2007-1A, due 01/20/211,3,5		700,000		131,528
Carlyle Global Market Strategies CLO Ltd.
2012-3A, due 10/04/243,5		250,000		123,588
Keuka Park CLO Ltd.
2013-1A, due 10/21/243,5		250,000		103,927
Total Collateralized Loan Obligations				43,970,741
Transport-Aircraft - 7.9%
Castlelake Aircraft Securitization Trust
2015-1A, 4.70% due 12/15/403		1,462,500		1,433,543
2014-1 A1, 5.25% due 02/15/293		845,179		837,995
2014-1 B, 7.50% due 02/15/293		336,903		332,355
Willis Engine Securitization Trust II
2012-A, 5.50% due 09/15/373		2,075,454		2,019,416
Apollo Aviation Securitization Equity Trust
2014-1, 5.12% due 12/15/291		1,355,769		1,304,928
2014-1, 7.38% due 12/15/291		677,885		671,784
Apollo Aviation Securitization Equity Trust
2016-1A, 4.88% due 03/17/363		1,500,000		1,478,617
Emerald Aviation Finance Ltd.
2013-1, 4.65% due 10/15/383		995,247		992,059
2013-1, 6.35% due 10/15/383		199,049		201,786
Rise Ltd.
2014-1, 4.74% due 02/12/39		1,088,583		1,069,533
ECAF I Ltd.
2015-1A, 4.95% due 06/15/403		991,172		960,793
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/403		922,619		893,963
Diamond Head Aviation Ltd.
2015-1, 3.81% due 07/14/283		884,112		873,614
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/483		815,652		790,736
AABS Ltd.
2013-1, 4.87% due 01/15/38		381,689		376,536
Total Transport-Aircraft				14,237,658
Collateralized Debt Obligations - 3.2%
Gramercy Real Estate CDO Ltd.
2007-1A A1, 0.90% due 08/15/561,3		1,242,766		1,093,634
Triaxx Prime CDO Ltd.
2006-2A A1A, 0.70% due 10/02/391,3		1,145,177		1,076,774
Banco Bradesco SA
2014-1A, 4.21% due 03/12/26†††,9		913,459		920,053
RAIT CRE CDO I Ltd.
2006-1X A1B, 0.75% due 11/20/46		768,599		715,221
Gramercy Real Estate CDO 2006-1 Ltd.
2006-1A, 0.99% due 07/25/411,3		716,848		697,135
SRERS Funding Ltd.
2011-RS A1B1, 0.69% due 05/09/461,3		545,519		521,897
N-Star REL CDO VIII Ltd.
2006-8A A2, 0.79% due 02/01/411,3		500,000		481,258

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
INVESTMENT GRADE BOND FUND

	Face Amount		Value
N-Star Real Estate CDO IX Ltd.,
0.75% due 02/01/419	$	272,789	$	267,883
Total Collateralized Debt Obligations				5,773,855
Financial - 0.5%
Garanti Diversified Payment Rights Finance Co.
2007-A, 0.81% due 07/09/171		624,000		611,282
CIC Receivables Master Trust
REGD, 4.89% due 10/07/21†††,9		300,000		299,265
Total Financial				910,547
Insurance - 0.4%
Chesterfield Financial Holdings LLC
2014-1A, 4.50% due 12/15/343		705,750		709,236
Total Asset-Backed Securities
(Cost $67,715,427)				65,602,037
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 24.3%
Residential Mortgage-Backed Securities - 19.1%
LSTAR Securities Investment Trust
2015-2, 2.43% due 01/01/201,3		1,913,110		1,899,954
2014-1 NOTE, 3.54% due 09/01/211,3		1,916,324		1,897,159
2015-4 A1, 2.43% due 04/01/201,3		1,942,082		1,883,820
2016-2, 2.44% due 03/01/213		1,850,000		1,793,261
2015-6, 2.44% due 05/01/201,3		1,733,537		1,694,533
2015-10 A1, 2.43% due 11/01/201,3		1,412,082		1,376,780
2015-3, 2.44% due 03/01/201,3		1,398,827		1,367,941
2015-1 A, 2.43% due 01/01/201,3		1,307,858		1,281,653
2015-5 A1, 2.44% due 04/01/201,3		1,025,571		1,002,558
GCAT 2014-2 LLC
2014-2, 3.72% due 10/25/193,6		2,193,641		2,177,032
Banc of America Funding Trust
2015-R4 8A1, 0.61% due 01/27/35†††,1,3		1,106,583		991,742
2014-R7, 0.58% due 09/26/361,3		926,528		858,328
NRPL Trust
2014-2A, 3.75% due 10/25/571,3		933,603		924,878
2015-1A, 3.88% due 11/01/543		640,104		638,578
American Home Mortgage Assets Trust
2006-4, 0.62% due 10/25/461		1,380,453		855,723
2007-1, 1.05% due 02/25/471		1,088,884		596,928
Banc of America Funding Ltd.
2013-R1 A5, 0.65% due 11/03/411,3		1,518,806		1,405,434
CIT Mortgage Loan Trust
2007-1, 1.88% due 10/25/371,3		1,247,538		1,168,187
CSMC Series
2015-12R, 0.93% due 11/30/371,3		1,300,000		1,131,979
American Home Mortgage Investment Trust
2006-1 12A1, 0.83% due 03/25/461		1,280,672		1,018,759
VOLT XLII LLC
2016-NPL2, 4.25% due 03/26/463		1,000,000		1,003,230
New Century Home Equity Loan Trust
2005-3, 0.94% due 07/25/351		1,100,000		990,756
VOLT XLI LLC
2016-NPL1, 4.25% due 02/26/463,6		988,786		987,618
Nationstar HECM Loan Trust
2016-1A, 2.98% due 02/25/263		951,043		951,661
Luminent Mortgage Trust
2006-2, 0.63% due 02/25/461		1,463,726		945,098
Deutsche Alt-A Securities Mortgage Loan Trust Series
2007-OA2, 1.12% due 04/25/471		957,754		804,655
MASTR Adjustable Rate Mortgages Trust
2003-5, 2.13% due 11/25/331		770,202		695,797
HarborView Mortgage Loan Trust
2006-14, 0.58% due 01/25/471		865,326		639,617
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9 2A, 1.16% due 11/25/461		658,560		443,965
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		249,580		254,344
Nomura Resecuritization Trust
2012-1R A, 0.87% due 08/27/471,3		189,975		180,700
GreenPoint Mortgage Funding Trust
2005-HE4 M1, 0.90% due 07/25/301		155,514		150,173
GreenPoint Mortgage Funding Trust Series
2007-AR1, 0.51% due 02/25/471		57,800		56,615
First Franklin Mortgage Loan Trust
2006-FF1, 0.77% due 01/25/361		50,000		44,025
JPMorgan Mortgage Trust
2006-A3, 2.63% due 04/25/361		27,420		22,892
Total Residential Mortgage-Backed Securities				34,136,373
Commercial Mortgage-Backed Securities - 4.5%
Hilton USA Trust
2013-HLT, 4.41% due 11/05/303		1,100,000		1,101,396
2013-HLF, 4.19% due 11/05/301,3		997,386		992,435
Citigroup Commercial Mortgage Trust
2016-GC36, 4.76% due 02/10/49		1,400,000		1,296,677
GS Mortgage Securities Corporation Trust
2016-ICE2, 4.69% due 02/15/331,3		1,200,000		1,200,378
Wells Fargo Commercial Mortgage Trust
2016-C32, 1.37% due 01/15/591		6,445,384		597,299
2016-NXS5, 1.58% due 01/15/591		4,996,091		499,850
Boca Hotel Portfolio Trust
2013-BOCA, 3.49% due 08/15/261,3		1,000,000		996,545
LSTAR Commercial Mortgage Trust
2014-2, 4.97% due 01/20/411,3		500,000		502,946
COMM Mortgage Trust
2015-CR26, 1.07% due 09/10/251		6,682,638		474,467
CFCRE Commercial Mortgage Trust
2016-C3, 1.10% due 12/10/251		5,992,131		467,909
Total Commercial Mortgage-Backed Securities				8,129,902

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
INVESTMENT GRADE BOND FUND

	Face Amount		Value
Military Housing - 0.7%
Capmark Military Housing Trust
2007-ROBS, 6.06% due 10/10/523	$	484,154	$	477,352
2007-AETC, 5.74% due 02/10/52†††,3		338,014		338,193
GMAC Commercial Mortgage Asset Corp.
2003-PRES, 6.24% due 10/10/41†††,3		473,459		485,479
Total Military Housing				1,301,024
Government Agency - 0.0%
Ginnie Mae
#518436, 7.25% due 09/15/299		8,695		9,140
#1849, 8.50% due 08/20/249		827		867
Fannie Mae
1990-108, 7.00% due 09/25/209		4,975		5,260
Total Government Agency				15,267
Total Collateralized Mortgage Obligations
(Cost $44,279,653)				43,582,566
CORPORATE BONDS†† - 23.2%
Financial - 8.1%
Citigroup, Inc.
5.87% due 12/31/491,2		2,000,000		1,932,500
Teachers Insurance & Annuity Association of America
4.90% due 09/15/443		1,000,000		1,071,548
4.38% due 09/15/541,3		500,000		503,506
Hospitality Properties Trust
5.25% due 02/15/26		1,050,000		1,054,719
AmTrust Financial Services, Inc.
6.12% due 08/15/239		960,000		1,030,380
Aurora Military Housing LLC
6.89% due 01/15/47†††,3		750,000		874,230
Fifth Third Bancorp
5.10% due 06/30/231,2		961,000		872,108
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.
5.88% due 02/01/22		900,000		854,100
SunTrust Banks, Inc.
5.63% due 12/31/491,2,10		830,000		821,700
Corporation Financiera de Desarrollo S.A.
5.25% due 07/15/291,3		600,000		604,500
Banco Nacional de Comercio Exterior SNC
4.38% due 10/14/253		600,000		604,200
Wilton Re Finance LLC
5.87% due 03/30/331,3		475,000		515,816
Manulife Financial Corp.
4.15% due 03/04/26		500,000		510,816
GMH Military Housing-Navy Northeast LLC
6.30% due 10/15/49†††		485,000		509,478
Customers Bank
6.12% due 06/26/291,11		500,000		500,000
Kennedy-Wilson, Inc.
5.87% due 04/01/24		500,000		488,750
Pacific Northwest Communities LLC
5.91% due 06/15/503		400,000		445,168
Atlantic Marine Corporations Communities LLC
5.43% due 12/01/503		384,184		389,916
Bank of America Corp.
6.30% due 12/31/491,2		350,000		360,500
ACC Group Housing LLC
6.35% due 07/15/54†††,3		300,000		318,588
Cadence Bank North America
6.25% due 06/28/291,11		200,000		172,500
Prosight Global Inc.
7.50% due 11/26/20†††,9		100,000		103,704
TIG Holdings, Inc.
8.60% due 01/15/2711		34,000		27,710
Total Financial				14,566,437
Government - 4.0%
Freddie Mac
6.75% due 03/15/31		1,627,000		2,456,292
0.00% due 12/14/297		1,150,000		767,052
Tennessee Valley Authority
4.25% due 09/15/65		700,000		738,358
5.38% due 04/01/56		500,000		643,553
Freddie Mac Strips
0.00% due 03/15/317		1,250,000		795,927
Federal Home Loan Bank
5.50% due 07/15/36		500,000		688,827
Fannie Mae Principal
0.00% due 01/15/307		600,000		397,105
0.00% due 05/15/307		250,000		163,041
Freddie Mac.
0.00% due 01/02/347		850,000		480,604
Total Government				7,130,759
Communications - 3.0%
CCOH Safari LLC
5.75% due 02/15/263		1,150,000		1,190,250
Sprint Communications, Inc.
7.00% due 03/01/203		975,000		975,000
DISH DBS Corp.
5.88% due 07/15/22		500,000		473,750
5.88% due 11/15/24		200,000		183,500
Altice US Finance I Corp.
5.38% due 07/15/233		600,000		616,125
CSC Holdings LLC
6.75% due 11/15/2110		550,000		564,850
Avaya, Inc.
7.00% due 04/01/193,10		650,000		438,750
Neptune Finco Corp.
6.63% due 10/15/253		350,000		378,403
T-Mobile USA, Inc.
6.00% due 04/15/24		250,000		253,125

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
INVESTMENT GRADE BOND FUND

	Face Amount		Value
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
9.75% due 04/01/21	$	175,000	$	189,875
Inmarsat Finance plc
4.88% due 05/15/223		200,000		188,375
Nortel Networks Ltd.
6.88% due 09/01/238		31,000		11,160
Total Communications				5,463,163
Consumer, Non-cyclical - 1.9%
Bumble Bee Holdings, Inc.
9.00% due 12/15/173		1,100,000		1,102,750
Vector Group Ltd.
7.75% due 02/15/21		650,000		682,500
ADT Corp.
4.13% due 06/15/2310		525,000		457,406
6.25% due 10/15/2110		150,000		150,750
Central Garden & Pet Co.
6.13% due 11/15/23		350,000		364,000
HCA, Inc.
5.88% due 02/15/26		350,000		360,500
Tenet Healthcare Corp.
4.13% due 06/15/201,3		300,000		297,750
Total Consumer, Non-cyclical				3,415,656
Consumer, Cyclical - 1.8%
Interval Acquisition Corp.
5.63% due 04/15/23		813,000		815,033
Hyatt Hotels Corp.
4.85% due 03/15/26		700,000		730,423
Northern Group Housing LLC
6.80% due 08/15/533		600,000		720,924
Wyndham Worldwide Corp.
5.10% due 10/01/25		550,000		577,881
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.
5.50% due 03/01/253		400,000		377,000
Total Consumer, Cyclical				3,221,261
Energy - 1.5%
Sunoco Logistics Partners Operations, LP
5.95% due 12/01/25		1,050,000		1,054,925
4.25% due 04/01/24		200,000		183,592
Equities Corp.
4.88% due 11/15/21		425,000		406,721
Gulfstream Natural Gas System LLC
4.60% due 09/15/253		360,000		352,340
Husky Energy, Inc.
3.95% due 04/15/22		300,000		298,890
Hess Corp.
8.13% due 02/15/19		200,000		219,739
Magellan Midstream Partners, LP
5.00% due 03/01/26		150,000		162,215
Total Energy				2,678,422
Basic Materials - 1.1%
Yamana Gold, Inc.
4.95% due 07/15/2410		985,000		832,325
Newcrest Finance Pty Ltd.
4.20% due 10/01/223		740,000		701,261
BHP Billiton Finance USA Ltd.
6.75% due 10/19/751,3		400,000		400,000
Mosaic Global Holdings, Inc.
7.38% due 08/01/189		18,000		19,162
Total Basic Materials				1,952,748
Industrial - 1.0%
Molex Electronic Technologies LLC
3.90% due 04/15/253		1,200,000		1,165,582
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer
7.13% due 04/15/19		300,000		305,250
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer
7.88% due 08/15/19		200,000		207,000
SBM Baleia Azul
5.50% due 09/15/27†††,9		252,870		176,202
Constar International, Inc
11.00% due 12/31/17†††,9		4,091		—
Total Industrial				1,854,034
Diversified - 0.4%
HRG Group, Inc.
7.88% due 07/15/19		750,000		790,950
Technology - 0.4%
Open Text Corp.
5.63% due 01/15/233		325,000		331,500
CDK Global, Inc.
4.50% due 10/15/2410		305,000		302,099
Total Technology				633,599
Total Corporate Bonds
(Cost $41,548,370)				41,707,029
U.S. GOVERNMENT SECURITIES†† - 10.6%
U.S. Treasury Notes
1.63% due 02/15/2610		12,346,000		12,166,600
U.S. Treasury Bonds
0.00% due 11/15/447		15,119,000		6,887,234
Total U.S. Government Securities
(Cost $18,755,577)				19,053,834

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
INVESTMENT GRADE BOND FUND

	Face Amount		Value
SENIOR FLOATING RATE INTERESTS†† - 4.5%
Technology - 1.1%
Avago Technologies Ltd.
4.25% due 02/01/23	$	1,300,000	$	1,292,759
Solera LLC
5.75% due 03/03/23		400,000		399,216
Greenway Medical Technologies
6.00% due 11/04/209		342,125		294,228
Total Technology				1,986,203
Financial - 1.1%
Fly Leasing Ltd.
3.50% due 08/09/19		972,603		964,093
Global Payments, Inc.
6.75% due 03/21/23		600,000		602,502
Magic Newco, LLC
5.00% due 12/12/18		243,081		242,837
American Stock Transfer & Trust
5.75% due 06/26/20		95,158		92,065
Total Financial				1,901,497
Communications - 0.9%
MergerMarket Ltd.
4.50% due 02/04/21		588,000		570,359
Light Tower Fiber LLC
4.00% due 04/13/20		496,173		489,971
Proquest LLC
5.75% due 10/24/21		498,738		481,283
Asurion Corp.
5.00% due 08/04/22		133,730		130,806
Total Communications				1,672,419
Consumer, Cyclical - 0.9%
La Quinta Intermediate Holdings
3.75% due 04/14/21		598,492		587,019
Compucom Systems, Inc.
4.25% due 05/11/20		713,944		499,761
Warner Music Group
3.75% due 07/01/20		497,455		489,785
Total Consumer, Cyclical				1,576,565
Consumer, Non-cyclical - 0.4%
Albertson’s (Safeway) Holdings LLC
5.50% due 08/25/21		397,000		397,199
5.50% due 12/21/22		250,000		250,135
NES Global Talent
6.50% due 10/03/19		125,672		113,104
Performance Food Group
7.21% due 11/14/19		41,055		41,055
Total Consumer, Non-cyclical				801,493
Industrial - 0.1%
CareCore National LLC
5.50% due 03/05/21		126,524		117,668
Total Senior Floating Rate Interests
(Cost $8,339,970)				8,055,845
MUNICIPAL BONDS†† - 2.5%
California - 1.2%
State of California General Obligation Unlimited
7.60% due 11/01/4010		1,000,000		1,554,810
Inland Valley Development Agency Tax Allocation
5.50% due 03/01/33		500,000		545,635
Total California				2,100,445
Illinois - 0.7%
State of Illinois General Obligation Unlimited
6.90% due 03/01/3510		500,000		558,935
5.65% due 12/01/38		500,000		502,855
City of Chicago Illinois General Obligation Unlimited
5.43% due 01/01/42		300,000		249,369
Total Illinois				1,311,159
Michigan - 0.6%
Detroit City School District General Obligation Unlimited
7.75% due 05/01/39		850,000		1,059,364
Total Municipal Bonds
(Cost $4,355,945)				4,470,968
FOREIGN GOVERNMENT BONDS†† - 0.8%
Kenya Government International Bond
6.87% due 06/24/243		850,000		801,125
Dominican Republic International Bond
6.85% due 01/27/453,10		700,000		693,000
Total Foreign Government Bonds
(Cost $1,605,479)				1,494,125
COMMERCIAL PAPER†† - 1.7%
Ryder System, Inc.
0.65% due 04/05/16		1,500,000		1,499,891
Harley-Davidson Financial Services, Inc.
0.57% due 04/07/16		1,500,000		1,499,858
Total Commercial Paper
(Cost $2,999,749)				2,999,749
Total Investments - 105.6%
(Cost $194,260,498)			$	189,533,762
Other Assets & Liabilities, net - (5.6)%				(10,113,444	)
Total Net Assets - 100.0%			$	179,420,318

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
INVESTMENT GRADE BOND FUND

*	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, 2016.
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 $108,722,420 (cost $110,745,912), or 60.6% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
4	Rate indicated is the 7 day yield as of March 31, 2016.
5	Residual interest.
6	Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
7	Zero coupon rate security.
8	Security is in default of interest and/or principal obligations.
9	Illiquid security.
10	Security or a portion thereof is held as collateral for reverse repurchase agreements — See Note 11.
11	Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $2,653,334 (cost $4,547,451), or 1.5% of total net assets — See Note 14.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	64,382,719	$	1,219,318	$	65,602,037
Collateralized Mortgage Obligations		—		41,767,152		1,815,414		43,582,566
Commercial Paper		—		2,999,749		—		2,999,749
Common Stocks		40,292		—		—		40,292
Corporate Bonds		—		39,724,827		1,982,202		41,707,029
Foreign Government Bonds		—		1,494,125		—		1,494,125
Municipal Bonds		—		4,470,968		—		4,470,968
Preferred Stocks		—		544,720		1,953,124		2,497,844
Senior Floating Rate Interests		—		8,055,845		—		8,055,845
Short Term Investments		29,473		—		—		29,473
U.S. Government Securities		—		19,053,834		—		19,053,834
Total	$	69,765	$	182,493,939	$	6,970,058	$	189,533,762

For the period ended March 31, 2016, there were no transfers between levels.

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

INVESTMENT GRADE BOND FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments, at value (cost $194,260,498)	$	189,533,762
Prepaid expenses		58,190
Receivables:
Interest		1,037,300
Fund shares sold		754,840
Securities sold		263,271
Total assets		191,647,363
Liabilities:
Reverse Repurchase Agreements		8,275,180
Overdraft due to custodian bank		6,945
Payable for:
Securities purchased		2,574,992
Fund shares redeemed		1,102,220
Management fees		73,007
Distribution and service fees		50,666
Transfer agent/maintenance fees		27,837
Fund accounting/administration fees		14,208
Trustees’ fees*		5,634
Miscellaneous		96,356
Total liabilities		12,227,045
Net assets	$	179,420,318
Net assets consist of:
Paid in capital	$	214,961,010
Accumulated net investment loss		(602,054	)
Accumulated net realized loss on investments		(30,211,902	)
Net unrealized depreciation on investments		(4,726,736	)
Net assets	$	179,420,318
A-Class:
Net assets	$	130,413,734
Capital shares outstanding		7,269,625
Net asset value per share	$	17.94
Maximum offering price per share (Net asset value divided by 96.00%)	$	18.69
C-Class:
Net assets	$	28,173,994
Capital shares outstanding		1,577,213
Net asset value per share	$	17.86
P-Class:
Net assets	$	1,743,115
Capital shares outstanding		97,092
Net asset value per share	$	17.95
Institutional Class:
Net assets	$	19,089,475
Capital shares outstanding		1,065,561
Net asset value per share	$	17.91

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016

Investment Income:
Interest	$	3,845,551
Dividends		88,770
Total investment income		3,934,321
Expenses:
Management fees		396,539
Transfer agent/maintenance fees:
A-Class		56,509
C-Class		21,912
P-Class		149
Institutional Class		6,022
Distribution and service fees:
A-Class		149,892
C-Class		128,283
P-Class		1,088
Fund accounting/administration fees		75,342
Interest expense		34,408
Line of credit fees		10,028
Custodian fees		5,983
Trustees’ fees*		3,756
Miscellaneous		83,498
Total expenses		973,409
Less:
Expenses waived by Adviser		(54,683	)
Net expenses		918,726
Net investment income		3,015,595
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		869,062
Foreign currency		12
Options purchased		(57,363	)
Options written		15,664
Net realized gain		827,375
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,718,395	)
Investments in affiliated issuers		1,620
Options purchased		(42,971	)
Options written		7,577
Net change in unrealized appreciation (depreciation)		(1,752,169	)
Net realized and unrealized loss		(924,794	)
Net increase in net assets resulting from operations	$	2,090,801

* 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, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	3,015,595		$	5,043,465
Net realized gain (loss) on investments		827,375			(2,824,809	)
Net change in unrealized appreciation (depreciation) on investments		(1,752,169	)		509,808
Net increase in net assets resulting from operations		2,090,801			2,728,464
Distributions to shareholders from:
Net investment income
A-Class		(2,545,738	)		(4,661,405	)
B-Class		—			(47,942	)
C-Class		(451,611	)		(851,092	)
P-Class		(16,678	)		(186	)*
Institutional Class		(264,871	)		(271,114	)
Total distributions to shareholders		(3,278,898	)		(5,831,739	)
Capital share transactions:
Proceeds from sale of shares
A-Class		27,217,522			46,869,449
B-Class		—			52,221
C-Class		8,346,918			10,722,431
P-Class		1,962,206			47,999	*
Institutional Class		14,737,597			10,634,690
Distributions reinvested
A-Class		2,428,594			4,442,417
B-Class		—			47,722
C-Class		392,744			740,294
P-Class		16,606			186	*
Institutional Class		160,320			226,521
Cost of shares redeemed
A-Class		(13,289,340	)		(33,418,832	)
B-Class		—			(2,196,898	)
C-Class		(4,472,560	)		(7,495,634	)
P-Class		(249,738	)		(37,888	)*
Institutional Class		(2,692,377	)		(9,741,384	)
Net increase from capital share transactions		34,558,492			20,893,294
Net increase in net assets		33,370,395			17,790,019
Net assets:
Beginning of period		146,049,923			128,259,904
End of period	$	179,420,318		$	146,049,923
Accumulated net investment loss at end of period	$	(602,054	)	$	(338,751	)

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

INVESTMENT GRADE BOND FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		1,520,266			2,543,649
B-Class		—			2,821
C-Class		467,634			584,251
P-Class		109,581			2,628	*
Institutional Class		824,577			577,777
Shares issued from reinvestment of distributions
A-Class		135,497			241,345
B-Class		—			2,590
C-Class		22,004			40,376
P-Class		928			10	*
Institutional Class		8,961			12,321
Shares redeemed
A-Class		(741,541	)		(1,812,612	)
B-Class		—			(120,112	)
C-Class		(250,412	)		(409,164	)
P-Class		(13,977	)		(2,078	)*
Institutional Class		(150,308	)		(527,752	)
Net increase in shares		1,933,210			1,136,050

* Since the commencement of operations: May 1, 2015.

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

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.

A-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015				Year Ended September 30, 2014				Year Ended September 30, 2013				Period Ended September 30, 2012b				Year Ended December 31, 2011 g
Per Share Data
Net asset value, beginning of period	$	18.10			$	18.50			$	17.81			$	17.92			$	17.41			$	16.71
Income (loss) from investment operations:
Net investment income (loss)c		.35				.69				.65				.61				.27				.42
Net gain (loss) on investments (realized and unrealized)		(.13	)			(.30	)			.83				(.04	)			.51				.74
Total from investment operations		.22				.39				1.48				.57				.78				1.16
Less distributions from:
Net investment income		(.38	)			(.79	)			(.79	)			(.68	)			(.27	)			(.46	)
Total distributions		(.38	)			(.79	)			(.79	)			(.68	)			(.27	)			(.46	)
Net asset value, end of period	$	17.94			$	18.10			$	18.50			$	17.81			$	17.92			$	17.41
Total Returni		1.25	%			2.12	%			8.47	%			3.21	%			4.51	%			6.94	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	130,414			$	115,019			$	99,565			$	83,642			$	98,063			$	108,999
Ratios to average net assets:
Net investment income (loss)		3.92	%			3.72	%			3.55	%			3.40	%			2.04	%			2.43	%
Total expenses		1.11	%			1.17	%			1.19	%			1.21	%			1.15	%			1.15	%
Net expensesd,h		1.06	%			1.07	%			1.05	%			1.04	%			1.00	%			1.00	%
Portfolio turnover rate		53	%			57	%			61	%			119	%			52	%			43	%

C-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015				Year Ended September 30, 2014				Year Ended September 30, 2013				Period Ended September 30, 2012b				Year Ended December 31, 2011 g
Per Share Data
Net asset value, beginning of period	$	18.02			$	18.42			$	17.73			$	17.82			$	17.31			$	16.62
Income (loss) from investment operations:
Net investment income (loss)c		.29				.55				.51				.48				.17				.29
Net gain (loss) on investments (realized and unrealized)		(.13	)			(.30	)			.83				(.05	)			.51				.73
Total from investment operations		.16				.25				1.34				.43				.68				1.02
Less distributions from:
Net investment income		(.32	)			(.65	)			(.65	)			(.52	)			(.17	)			(.33	)
Total distributions		(.32	)			(.65	)			(.65	)			(.52	)			(.17	)			(.33	)
Net asset value, end of period	$	17.86			$	18.02			$	18.42			$	17.73			$	17.82			$	17.31
Total Returni		0.88	%			1.36	%			7.69	%			2.42	%			3.95	%			6.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	28,174			$	24,111			$	20,673			$	17,876			$	20,929			$	22,035
Ratios to average net assets:
Net investment income (loss)		3.20	%			3.00	%			2.80	%			2.65	%			1.29	%			1.68	%
Total expenses		1.95	%			1.99	%			1.99	%			2.03	%			1.92	%			1.90	%
Net expensesd,h		1.81	%			1.82	%			1.80	%			1.79	%			1.75	%			1.75	%
Portfolio turnover rate		53	%			57	%			61	%			119	%			52	%			43	%

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

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.

P-Class	Period Ended March 31, 2016a			Period Ended September 30, 2015e
Per Share Data
Net asset value, beginning of period	$	18.12		$	18.45
Income (loss) from investment operations:
Net investment income (loss)c		.31			.25
Net gain (loss) on investments (realized and unrealized)		(.10	)		(.26	)
Total from investment operations		.21			(.01	)
Less distributions from:
Net investment income		(.38	)		(.32	)
Total distributions		(.38	)		(.32	)
Net asset value, end of period	$	17.95		$	18.12
Total Returni		1.22	%		(0.11	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,743		$	10
Ratios to average net assets:
Net investment income (loss)		3.47	%		3.25	%
Total expenses		1.05	%		3.29	%
Net expensesd,h		1.05	%		1.09	%
Portfolio turnover rate		53	%		57	%

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

INVESTMENT GRADE 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.

Institutional Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Period Ended September 30, 2013f
Per Share Data
Net asset value, beginning of period	$	18.07		$	18.47		$	17.80		$	18.00
Income (loss) from investment operations:
Net investment income (loss)c		.36			.74			.68			.46
Net gain (loss) on investments (realized and unrealized)		(.12	)		(.31	)		.83			(.21	)
Total from investment operations		.24			.43			1.51			.25
Less distributions from:
Net investment income		(.40	)		(.83	)		(.84	)		(.45	)
Total distributions		(.40	)		(.83	)		(.84	)		(.45	)
Net asset value, end of period	$	17.91		$	18.07		$	18.47		$	17.80
Total Returni		1.43	%		2.37	%		8.64	%		1.35	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	19,089		$	6,910		$	5,909		$	174
Ratios to average net assets:
Net investment income (loss)		4.00	%		4.01	%		3.72	%		3.85	%
Total expenses		0.86	%		0.94	%		0.88	%		1.17	%
Net expensesd,h		0.80	%		0.82	%		0.78	%		0.82	%
Portfolio turnover rate		53	%		57	%		61	%		119	%

a	Unaudited figures for the period ended March 31, 2016. 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.
e	Since commencement of operations: May 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
f	Since commencement of operations: January 29, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
g	Per share amounts for the periods presented through April 8, 2011 have been restated to reflect a 1:4 reverse share split effective April 8, 2011.
h	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the years would be:

	03/31/16	09/30/15	09/30/14	09/30/13
A-Class	1.00%	1.00%	1.00%	1.02%
C-Class	1.75%	1.75%	1.75%	1.77%
P-Class	1.00%	1.00%	—	—
Institutional Class	0.75%	0.75%	0.75%	0.77%

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

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

FUND PROFILE (Unaudited) March 31, 2016

LIMITED DURATION FUND

OBJECTIVE: Seeks to provide a high level of income consistent with preservation of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

 

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.

Inception Dates:
A-Class	December 16, 2013
C-Class	December 16, 2013
P-Class	May 1, 2015
Institutional Class	December 16, 2013

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Strategy Fund I	2.4%
Nationstar HECM Loan Trust	2.1%
Station Place Securitization Trust	1.8%
LSTAR Securities Investment Trust 2015-10	1.3%
LSTAR Securities Investment Trust 2015-1	1.2%
GS Mortgage Securities Corporation Trust	1.2%
LSTAR Securities Investment Trust 2015-4	1.1%
LSTAR Securities Investment Trust 2015-6	1.1%
LSTAR Securities Investment Trust 2016-2	1.1%
VOLT XLI LLC	1.1%
Top Ten Total	14.4%
“Ten Largest Holdings” excludes any temporary cash investments.

46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited)(concluded) March 31, 2016

Portfolio Composition by Quality Rating1
Rating
Fixed Income Instruments
AAA	18.9%
AA	11.8%
A	18.4%
BBB	13.4%
BB	7.4%
B	3.2%
CCC	0.8%
D	0.0%
A+	0.1%
NR2	18.0%
Other Instruments	8.0%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by 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 converts ratings to the equivalent S&P rating.

2

NR securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
LIMITED DURATION FUND

	Shares		Value
PREFERRED STOCKS†† - 0.1%
Industrial - 0.1%
Seaspan Corp. 6.38% due 04/30/1910		20,000	$	495,200
Total Preferred Stocks
(Cost $503,824)				495,200
MUTUAL FUNDS† - 2.4%
Guggenheim Strategy Fund I1		534,890		13,270,617
Total Mutual Funds
(Cost $13,292,135)				13,270,617
SHORT TERM INVESTMENTS† - 1.8%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.18%2		9,936,722		9,936,722
Total Short Term Investments
(Cost $9,936,722)				9,936,722

	Face Amount
ASSET-BACKED SECURITIES†† - 43.1%
Collateralized Loan Obligations - 35.5%
CIFC Funding Ltd.
2015-2A, 2.54% due 12/05/243,4,11	$	2,000,000	1,967,316
2015-2A, 3.34% due 12/05/243,4		1,990,000	1,922,812
2013-3A, 4.87% due 01/29/253,4		1,400,000	1,266,259
2007-1A, 2.12% due 05/10/213,4		1,000,000	937,572
2014-3X, due 07/22/265		2,000,000	910,088
2013-3A, 3.62% due 01/29/253,4		600,000	584,090
Fortress Credit BSL II Ltd.
2013-2A, 2.12% due 10/19/253,4,11		5,000,000	4,933,184
2013-2A, 2.87% due 10/19/253,4		1,500,000	1,459,169
Golub Capital Partners CLO Ltd.
2015-25A, 2.42% due 08/05/273,4		5,000,000	4,892,003
2014-10A, 3.57% due 10/20/213,4		700,000	686,909
2014-21A, 3.07% due 10/25/263,4		500,000	484,025
2014-18A, 4.12% due 04/25/263,4		250,000	239,554
Acis CLO Ltd.
2013-1A, 1.49% due 04/18/243,4		5,500,000	5,343,787
Cent CDO 14 Ltd.
2007-14A, 1.32% due 04/15/213,4		6,000,000	5,279,547
MT Wilson Clo II Ltd.
2007-2A, 1.62% due 07/11/203,4		4,500,000	4,313,165
2007-2A, 3.37% due 07/11/203,4		1,000,000	888,084
Great Lakes CLO Ltd.
2015-1A, 2.57% due 07/15/263,4		5,000,000	4,958,085
2014-1A, 4.32% due 04/15/253,4		250,000	240,839
Rampart CLO Ltd.
2007-1A, 2.49% due 10/25/213,4		5,000,000	4,900,535
Black Diamond CLO Ltd.
2013-1A, 2.02% due 02/01/233,4		5,000,000	4,882,945

GoldenTree Loan Opportunities VII Ltd.
2013-7A, 1.77% due 04/25/253,4	5,000,000	4,879,003
Ares XII CLO Ltd.
2007-12A, 2.63% due 11/25/203,4	5,000,000	4,850,627
Oaktree EIF I Series A Ltd.
2015-A1, 3.25% due 10/18/273,4	4,500,000	4,464,089
RFTI Issuer Ltd.
2015-FL1, 2.19% due 08/15/303,12	4,000,000	3,991,574
Resource Capital Corporation Ltd.
2015-CRE4, 1.84% due 08/15/323,4	2,000,000	1,963,566
2014-CRE2, 2.94% due 04/15/323,4	2,000,000	1,793,788
WhiteHorse VIII Ltd.
2014-1A, 2.12% due 05/01/263,4	3,450,000	3,375,871
Voya CLO Ltd.
2013-1A, 3.52% due 04/15/243,4	2,300,000	2,286,360
2015-3A, 3.57% due 10/15/223,4	1,000,000	995,447
PFP Ltd.
2015-2, 2.44% due 07/14/343,4	3,000,000	2,957,437
Cavalry CLO II
2013-2A, 1.97% due 01/17/243,4	3,000,000	2,946,881
Fifth Street SLF II Ltd.
2015-2A, 2.25% due 09/29/273,4	3,000,000	2,932,508
Oak Hill Credit Partners X Ltd.
2014-10A, 2.72% due 07/20/263,4	2,950,000	2,833,406
Venture VI CDO Ltd.
2006-1A, 2.10% due 08/03/203,4	2,850,000	2,596,083
Catamaran CLO Ltd.
2014-1A, 3.27% due 04/20/263,4	2,750,000	2,586,303
Atrium XI
2014-11A, 3.82% due 10/23/253,4	2,500,000	2,485,772
Ares XXVI CLO Ltd.
2013-1A, 3.37% due 04/15/253,4	2,500,000	2,386,990
KKR CLO 12 Ltd.
2015-12, 2.56% due 07/15/273,4	2,500,000	2,375,763
Highbridge Loan Management Ltd.
2014-2014, 2.67% due 07/28/253,4	1,250,000	1,198,325
2014-1A, 2.87% due 09/20/223,4	1,000,000	999,872
Northwoods Capital X Ltd.
2013-10A, 2.52% due 11/04/253,4	2,250,000	2,150,273
Babson CLO Ltd.
2013-IIA, 3.27% due 01/18/253,4	2,250,000	2,136,158
Cent CLO Ltd.
2014-20A, 2.10% due 01/25/263,4	2,100,000	2,077,952
Fortress Credit Funding V, LP
2015-5A, 3.27% due 08/15/223,4	2,000,000	1,980,817
Carlyle Global Market Strategies CLO Ltd.
2013-4A, 2.09% due 10/15/253,4	2,000,000	1,971,150
Dryden XXIV Senior Loan Fund
2015-24RA, 3.32% due 11/15/233,4,11	2,000,000	1,967,847
Steele Creek CLO Ltd.
2014-1A, 2.87% due 08/21/263,4	2,000,000	1,964,966
Venture CLO Ltd.
2015-11A, 2.57% due 11/14/223,4,11	2,000,000	1,957,500

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
LIMITED DURATION FUND

	Face Amount		Value
KKR CLO Trust
2012-1A, 2.83% due 12/15/243,4	$	2,000,000	$	1,949,898
Vibrant CLO Limited
2015-1A, 2.72% due 07/17/243,4		2,000,000		1,946,366
Marea CLO Ltd.
2015-1A, 3.37% due 10/15/233,4		1,000,000		974,477
2015-1A, 2.42% due 10/15/233,4		1,000,000		963,068
Fortress Credit Opportunities V CLO Ltd.
2014-5A, 3.27% due 10/15/263,4		1,000,000		975,246
2014-5A, 4.17% due 10/15/263,4		1,000,000		938,631
OCP CLO Ltd.
2013-4A, 3.37% due 10/24/253,4		2,000,000		1,905,235
Garrison Funding Ltd.
2015-1A, 3.13% due 05/25/273,4		2,000,000		1,900,344
FS Senior Funding Ltd.
2015-1A, 3.27% due 05/28/253,4		2,000,000		1,885,850
Airlie CLO Ltd.
2006-2A, 2.07% due 12/20/203,4		2,000,000		1,832,900
Golub Capital Partners CLO 10 Ltd.
2014-10A, 2.37% due 10/20/213,4		1,500,000		1,467,720
Flagship CLO VI
2007-1A, 3.04% due 06/10/213,4		1,500,000		1,405,764
Shackleton I CLO Ltd.
2012-1A, 2.15% due 08/14/233,4		1,400,000		1,398,037
Tuolumne Grove CLO Limited
2014-1A, 2.72% due 04/25/263,4		1,500,000		1,390,412
Dryden 37 Senior Loan Fund
2015-37A, due 04/15/274,5		1,500,000		1,342,935
OFSI Fund V Ltd.
2013-5A, 3.82% due 04/17/253,4		1,500,000		1,327,877
Dryden 30 Senior Loan Fund
2013-30A, 3.47% due 11/15/253,4		1,330,000		1,297,921
Venture VII CDO Ltd.
2006-7A, 0.85% due 01/20/223,4		1,318,816		1,291,536
Atlas Senior Loan Fund VI Ltd.
2014-6A, 3.02% due 10/15/263,4		1,272,000		1,249,235
Venture XVI CLO Ltd.
2014-16A, 2.12% due 04/15/263,4		1,200,000		1,183,677
Symphony CLO IX, LP
2012-9A, 4.87% due 04/16/223,4		600,000		576,458
2012-9A, 3.87% due 04/16/223,4		500,000		503,555
Ares XXIII CLO Ltd.
2014-1A, 3.82% due 04/19/233,4		1,000,000		1,003,901
Benefit Street Partners CLO Ltd.
2015-IA, 3.72% due 10/15/253,4		1,000,000		999,989
ACAS CLO Ltd.
2014-1A, 2.94% due 09/20/233,4		1,000,000		999,015
Cent CLO
2014-16A, 3.82% due 08/01/243,4		500,000		499,947
2014-16A, 2.87% due 08/01/243,4		500,000		495,118
Newstar Commercial Loan Funding 2016-1 LLC
2016-1A, 4.37% due 02/25/283,4		1,000,000		995,001
Symphony CLO X Ltd.
2015-10A, 3.47% due 07/23/233,4		1,000,000		992,935
Madison Park Funding VIII Ltd.
2014-8A, 3.42% due 04/22/223,4		500,000		499,945
2014-8A, 2.82% due 04/22/223,4		500,000		491,868
Fortress Credit Investments IV Ltd.
2015-4A, 2.52% due 07/17/233,4		1,000,000		987,330
Kingsland V Ltd.
2007-5A, 1.42% due 07/14/213,4		1,070,000		985,613
Adirondack Park CLO Ltd.
2013-1A, 3.62% due 04/15/243,4		1,000,000		983,139
Fortress Credit Opportunities III CLO, LP
2014-3A, 3.12% due 04/28/263,4		1,000,000		974,730
Resource Capital Corporation
2015-CRE3, 3.59% due 03/15/323,4		1,000,000		971,350
Fortress Credit Opportunities VI CLO Ltd.
2015-6A, 3.34% due 10/10/263,4		1,000,000		965,721
CFIP CLO Ltd.
2014-1A, 2.09% due 04/13/253,4		1,000,000		964,814
Oaktree EIF II Series Ltd.
2014-A2, 2.92% due 11/15/253,4,11		1,000,000		964,364
Ivy Hill Middle Market Credit Fund VII Ltd.
2013-7A, 2.92% due 10/20/253,4		1,000,000		960,978
Northwoods Capital XIV Ltd.
2014-14A, 3.08% due 11/12/253,4,11		1,000,000		957,400
San Gabriel CLO Ltd.
2007-1A, 2.89% due 09/10/213,4		1,000,000		955,016
Golub Capital Partners Clo 23M Ltd.
2015-23A, 2.77% due 05/05/273,4		1,000,000		954,522
Black Diamond CLO Delaware Corp.
2005-2A, 2.42% due 01/07/183,4		1,000,000		951,173
Golub Capital Partners Clo 24M Ltd.
2015-24A C, 4.37% due 02/05/273,4		1,000,000		949,967
Battalion CLO Ltd.
2007-1A, 2.77% due 07/14/223,4		1,000,000		946,246
Anchorage Capital CLO 4 Ltd.
2014-4A, 2.78% due 07/28/263,4		1,000,000		946,147
Rockwall CDO Ltd.
2007-1A, 1.17% due 08/01/243,4		1,000,000		936,310
Shackleton II CLO Ltd.
2012-2A D, 4.67% due 10/20/233,4		1,000,000		926,301
Westbrook CLO Ltd.
2006-1A, 2.32% due 12/20/203,4		1,000,000		922,266
Duane Street CLO IV Ltd.
2007-4A D, 2.87% due 11/14/213,4		1,000,000		906,480
Treman Park CLO Ltd.
2015-1A COM, due 04/20/274,5		1,000,000		906,472
Madison Park Funding V Ltd.
2007-5A, 2.08% due 02/26/213,4		1,000,000		904,129
Cerberus Onshore II CLO LLC
2014-1A, 2.62% due 10/15/233,4		593,802		591,972
2014-1A, 3.32% due 10/15/233,4		250,000		249,023

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
LIMITED DURATION FUND

	Face Amount		Value
OHA Credit Partners IX Ltd.
2013-9A ACOM, due 10/20/254,5	$	1,000,000	$	817,860
Race Point V CLO Ltd.
2014-5A, 4.38% due 12/15/223,4		750,000		717,742
KVK CLO Ltd.
2014-2A, 3.62% due 07/15/263,4		500,000		457,280
2013-1A, due 04/14/254,5		750,000		251,509
Gramercy Park CLO Ltd.
2014-1A, 3.57% due 07/17/233,4		700,000		690,641
Madison Park Funding III Ltd.
2006-3A, 2.04% due 10/25/203,4		750,000		685,406
OZLM Funding Ltd.
2012-2A, 3.87% due 10/30/233,4		500,000		500,041
ALM VII R-2 Ltd.
2013-7R2A, 3.22% due 04/24/243,4		500,000		497,923
BlueMountain CLO Ltd.
2012-2A, 3.37% due 11/20/243,4		500,000		493,523
LCM X, LP
2014-10A, 3.47% due 04/15/223,4		500,000		492,964
Cerberus Onshore II CLO-2 LLC
2014-1A, 2.98% due 10/15/233,4		500,000		492,059
Gallatin CLO VII Ltd.
2014-1A, 3.52% due 07/15/233,4		500,000		491,888
Gale Force 4 CLO Ltd.
2007-4A, 4.12% due 08/20/213,4		500,000		487,906
NZCG Funding Ltd.
2015-2A, 2.97% due 04/27/273,4		500,000		485,080
Halcyon Loan Advisors Funding Ltd.
2012-1A B, 3.62% due 08/15/233,4		500,000		483,597
Figueroa CLO Ltd.
2013-1A, 3.37% due 03/21/243,4		500,000		480,011
Telos CLO Ltd.
2013-4A, 3.37% due 07/17/243,4		500,000		468,419
WhiteHorse IV Ltd.
2007-4A, 2.07% due 01/17/203,4		500,000		466,117
Shasta CLO Ltd.
2007-1A, 2.02% due 04/20/213,4		500,000		457,381
NewStar Arlington Senior Loan Program LLC
2014-1A C1, 3.92% due 07/25/253,4		250,000		236,168
2014-1A, 4.87% due 07/25/253,4		250,000		213,122
COA Summit CLO Limited
2014-1A C, 4.47% due 04/20/233,4		500,000		445,075
ALM XIV Ltd.
2014-14A C, 4.07% due 07/28/263,4		500,000		437,657
Babson CLO Limited
2012-2A, 0.00% due 05/15/234,5		750,000		278,677
Golub Capital Partners CLO 18 Ltd.
2014-18A, 4.62% due 04/25/263,4		250,000		225,233
Kingsland IV Ltd.
2007-4A D, 2.07% due 04/16/213,4		250,000		218,987
Keuka Park CLO Ltd.
2013-1A, 0.00% due 10/21/244,5		500,000		207,854
Neuberger Berman CLO Ltd.
2012-12A, due 07/25/234,5		350,000		139,007
Copper River CLO Ltd.
2007-1A, due 01/20/213,4,5		500,000		93,948
Connecticut Valley Structured Credit CDO III Ltd.
2006-3A, 6.67% due 03/23/234		34,977		34,900
Total Collateralized Loan Obligations				193,090,595
Transport-Aircraft - 3.7%
Castlelake Aircraft Securitization Trust
2015-1A, 4.70% due 12/15/404		5,850,000		5,734,169
2014-1 A1, 5.25% due 02/15/294		338,072		335,198
2014-1 B, 7.50% due 02/15/294		336,903		332,355
Apollo Aviation Securitization Equity Trust 16-1
2016-1A, 4.88% due 03/17/364		4,500,000		4,435,852
ECAF I Ltd.
2015-1A, 3.47% due 06/15/404		1,789,573		1,714,912
2015-1A, 5.80% due 06/15/404		949,287		925,555
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/404		1,845,238		1,787,924
Diamond Head Aviation Ltd.
2015-1, 3.81% due 07/14/284		1,768,224		1,747,228
Apollo Aviation Securitization Equity Trust
2014-1, 5.12% due 12/15/293		1,129,808		1,087,440
2014-1, 7.38% due 12/15/293		451,923		447,856
Atlas Ltd.
2014-1, 4.87% due 12/15/39†††		927,100		913,203
Rise Ltd.
2014-1, 4.74% due 02/12/39		435,433		427,813
AABS Ltd.
2013-1, 4.87% due 01/15/38		381,689		376,536
Total Transport-Aircraft				20,266,041
Collateralized Debt Obligations - 2.9%
Triaxx Prime CDO Ltd.
2006-2A, 0.70% due 10/02/393,4		3,944,798		3,727,066
2006-2A A1A, 0.70% due 10/02/393,4		875,723		823,415
FDF I Ltd.
2015-1A, 4.40% due 11/12/30†††,4		3,000,000		3,046,890
Gramercy Real Estate CDO 2006-1 Ltd.
2006-1A, 0.99% due 07/25/413,4		2,335,538		2,271,310
SRERS Funding Ltd.
2011-RS A1B1, 0.69% due 05/09/463,4		1,804,409		1,726,274
Highland Park CDO I Ltd.
2006-1A A1, 0.96% due 11/25/513,4		1,782,631		1,684,931
H2 Asset Funding Ltd.
2014-1A, 2.33% due 03/19/37		1,000,000		960,951
Wrightwood Capital Real Estate CDO Ltd.
2005-1A, 1.05% due 11/21/403,4		700,000		664,303
Helios Series I Multi Asset CBO Ltd.
2001-1A, 1.59% due 12/13/363,4		442,944		434,402

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
LIMITED DURATION FUND

	Face Amount		Value
Gramercy Real Estate CDO Ltd.
2007-1A A1, 0.90% due 08/15/563,4	$	426,091	$	374,960
Total Collateralized Debt Obligations				15,714,502
Net Lease - 0.7%
STORE Master Funding LLC
2012-1A, 5.77% due 08/20/424		3,792,429		3,920,318
Communications - 0.1%
Miramax LLC
2014-1A, 3.34% due 07/20/264		742,800		746,385
Insurance - 0.1%
Chesterfield Financial Holdings LLC
2014-1A, 4.50% due 12/15/344		705,750		709,236
Financial - 0.1%
CCR Incorporated MT100 Payment Rights Master Trust
2010-CX, 0.88% due 07/10/173		499,581		493,070
Total Asset-Backed Securities
(Cost $240,087,599)				234,940,147
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 33.0%
Residential Mortgage-Backed Securities - 27.4%
LSTAR Securities Investment Trust
2015-10 A1, 2.44% due 11/01/203,4		7,531,106		7,342,828
2015-1 A, 2.43% due 01/01/203,4		6,764,781		6,629,243
2015-4 A1, 2.44% due 04/01/203,4		6,355,905		6,165,229
2015-6, 2.44% due 05/01/203,4		6,210,397		6,070,663
2016-2, 2.43% due 03/01/214		6,200,000		6,009,846
2014-1 NOTE, 3.53% due 09/01/213,4		5,901,406		5,842,392
2015-2, 2.43% due 01/01/203,4		4,894,001		4,860,350
2015-3, 2.43% due 03/01/203,4		4,331,853		4,236,205
2015-5 A1, 2.44% due 04/01/203,4		3,429,253		3,352,304
Nationstar HECM Loan Trust
2016-1A, 2.98% due 02/25/264		11,374,476		11,381,869
2015-2A, 2.88% due 11/25/254		3,788,076		3,781,564
2015-1A, 3.84% due 05/25/184		2,127,993		2,126,929
CSMC Series
2015-12R, 0.93% due 11/30/373,4		6,800,000		5,921,122
2014-6R, 0.62% due 09/27/363,4		4,399,729		4,105,646
2014-2R, 0.64% due 02/27/463,4		450,227		411,939
GCAT LLC
2015-1, 3.63% due 05/26/204		4,853,774		4,814,405
2014-2, 3.72% due 10/25/194,6		1,720,503		1,707,476
VOLT XLI LLC
2016-NPL1, 4.25% due 02/26/464,6		5,932,718		5,925,711
VOLT XXXIX LLC
2015-NP13, 4.13% due 10/25/454		5,784,528		5,754,953
Banc of America Funding Ltd.
2013-R1 A5, 0.65% due 11/03/413,4		6,075,226		5,621,735
Banc of America Funding Trust
2015-R4 8A1, 0.61% due 01/27/35†††,3,4		6,196,867		5,553,756
VOLT XL LLC
2015-NP14, 4.38% due 11/27/454,6		4,784,848		4,776,006
VOLT XXXVI LLC
2015-NP10, 3.63% due 07/25/454		3,701,827		3,675,510
NRPL Trust
2014-2A, 3.75% due 10/25/573,4		1,782,332		1,765,676
2015-1A, 3.88% due 11/01/544		1,706,945		1,702,874
GSMSC Resecuritization Trust
2015-7R, 0.59% due 09/26/37†††,3,4		3,581,530		3,199,811
VOLT XXXIII LLC
2015-NPL5, 3.50% due 03/25/554		3,033,824		2,979,718
Oak Hill Advisors Residential Loan Trust
2015-NPL2, 3.72% due 07/25/554		2,113,605		2,099,966
2015-NPL1, 3.47% due 01/25/554		618,672		615,001
VOLT XXVII LLC
2014-NPL7, 3.38% due 08/27/574		2,104,607		2,072,356
Nomura Resecuritization Trust
2015-4R 5A1, 0.86% due 03/26/363,4		1,882,500		1,672,851
2012-1R A, 0.87% due 08/27/473,4		284,963		271,050
CIT Mortgage Loan Trust
2007-1, 1.88% due 10/25/373,4		2,005,524		1,877,962
Vericrest Opportunity Loan Trust
2015-NPL3, 3.38% due 10/25/584		1,863,379		1,837,540
AJAX Mortgage Loan Trust
2015-A A, 3.88% due 11/25/544		1,846,233		1,825,520
VOLT XXXIV LLC
2015-NPL7, 3.25% due 02/25/554		1,743,206		1,709,772
BCAP LLC Trust
2014-RR3, 0.58% due 10/26/363,4		1,756,634		1,671,399
Structured Asset Investment Loan Trust
2005-2, 1.17% due 03/25/353		1,000,000		931,216
2005-1, 1.15% due 02/25/353,4		550,000		514,730
VOLT XLII LLC
2016-NPL2, 4.25% due 03/26/464		1,400,000		1,404,522
Encore Credit Receivables Trust
2005-4, 0.87% due 01/25/363		1,077,390		990,767
Ocwen Master Advance Receivables Trust
2015-T3, 3.21% due 11/15/474		1,000,000		973,091
First Frankin Mortgage Loan Trust
2006-FF4, 0.63% due 03/25/363		704,956		654,895
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		638,925		651,119
GreenPoint Mortgage Funding Trust
2005-HE4 M1, 0.90% due 07/25/303		570,217		550,633
Structured Asset Securities Corporation Mortgage Loan Trust
2007-BC1 A4, 0.56% due 02/25/373		600,000		521,335
GSAMP Trust
2005-HE6, 0.87% due 11/25/353		450,000		423,714
Accredited Mortgage Loan Trust
2007-1, 0.56% due 02/25/373		323,591		306,961
Soundview Home Loan Trust
2003-1, 3.81% due 08/25/313		186,122		182,172

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
LIMITED DURATION FUND

	Face Amount		Value
Morgan Stanley Re-REMIC Trust
2010-R5 4B, 0.93% due 06/26/363,4	$	216,344	$	156,751
GreenPoint Mortgage Funding Trust Series
2007-AR1, 0.51% due 02/25/473		83,232		81,525
Total Residential Mortgage-Backed Securities				149,712,608
Commercial Mortgage-Backed Securities - 5.0%
GS Mortgage Securities Corporation Trust
2016-ICE2, 3.69% due 02/15/333,4		6,400,000		6,402,000
Hilton USA Trust
2013-HLT, 4.60% due 11/05/303,4		1,800,000		1,810,591
2013-HLF, 4.19% due 11/05/303,4		1,541,414		1,533,763
2013-HLF, 3.19% due 11/05/303,4		1,360,072		1,353,112
2013-HLT, 4.41% due 11/05/304		1,300,000		1,301,650
Wells Fargo Commercial Mortgage Trust
2016-C32, 1.37% due 01/15/593		20,335,436		1,884,501
2016-NXS5, 1.58% due 01/15/593		6,994,527		699,790
GAHR Commercial Mortgage Trust
2015-NRF, 1.74% due 12/15/163,4		1,981,671		1,964,624
JP Morgan Chase Commercial Mortgage Securities Trust
2014-FL5, 2.44% due 07/15/313,4		1,000,000		977,530
2015-CSMO, 3.74% due 01/15/323,4		1,000,000		973,642
BXHTL Mortgage Trust
2015-JWRZ, 3.29% due 05/15/293,4		1,775,000		1,679,244
COMM Mortgage Trust
2014-KYO, 2.79% due 06/11/273,4		1,500,000		1,468,062
Americold 2010 LLC Trust
2010-ARTA, 6.03% due 01/14/294		1,100,000		1,210,005
Morgan Stanley Capital I Trust
2015-XLF1, 2.64% due 08/13/193,4		1,000,000		987,209
CDGJ Commercial Mortgage Trust
2014-BXCH, 2.94% due 12/15/273,4		1,000,000		970,779
Motel 6 Trust
2015-MTL6, 5.27% due 02/05/304		1,000,000		967,881
Hyatt Hotel Portfolio Trust
2015-HYT, 3.49% due 11/15/293,4		1,000,000		962,333
Total Commercial Mortgage-Backed Securities				27,146,716
Mortgage Securities - 0.6%
JPMBB Commercial Mortgage Securities Trust
2013-C17, 1.05% due 12/15/233		34,269,271		1,754,151
Wells Fargo Commercial Mortgage Trust
2015-LC22, 0.93% due 09/15/583		24,883,104		1,520,492
Total Mortgage Securities				3,274,643
Total Collateralized Mortgage Obligations
(Cost $181,377,765)				180,133,967
CORPORATE BONDS†† - 11.9%
Financial - 5.3%
Station Place Securitization Trust
1.43% due 02/25/17		9,600,000		9,603,360
Abbey National Treasury Services plc/United Kingdom
2.11% due 03/14/193		5,700,000		5,728,717
Citigroup, Inc.
5.87% due 12/31/493,7		1,995,000		1,927,669
5.95% due 12/31/493,7		995,000		954,140
Berkshire Hathaway Finance Corp.
1.32% due 03/15/193		2,600,000		2,617,204
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.
4.88% due 03/15/19		2,200,000		2,112,000
5.88% due 02/01/22		500,000		474,500
SunTrust Banks, Inc.
5.63% due 12/31/493,7		1,660,000		1,643,400
Bank of America Corp.
6.30% due 12/31/493,7		1,200,000		1,236,000
Citizens Financial Group, Inc.
5.50% due 12/31/493,4,7		1,000,000		950,000
Fifth Third Bancorp
4.90% due 12/31/493,7		1,000,000		872,500
Corporation Financiera de Desarrollo S.A.
5.25% due 07/15/293,4		350,000		352,625
Total Financial				28,472,115
Consumer, Non-cyclical - 2.4%
HCA, Inc.
4.25% due 10/15/19		1,625,000		1,674,766
3.75% due 03/15/19		950,000		973,180
Vector Group Ltd.
7.75% due 02/15/21		2,324,000		2,440,200
Tenet Healthcare Corp.
4.13% due 06/15/203,4		2,300,000		2,282,749
FTI Consulting, Inc.
6.00% due 11/15/22		2,050,000		2,147,375
Bumble Bee Holdings, Inc.
9.00% due 12/15/174		2,016,000		2,021,040
Central Garden & Pet Co.
6.13% due 11/15/23		1,650,000		1,716,000
Fresenius Medical Care US Finance II, Inc.
5.63% due 07/31/194		100,000		109,094
Total Consumer, Non-cyclical				13,364,404
Industrial - 1.1%
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer
7.88% due 08/15/19		3,178,000		3,289,230
CNH Industrial Capital LLC
4.88% due 04/01/21		2,000,000		1,992,500
3.88% due 07/16/18		600,000		595,800

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
LIMITED DURATION FUND

	Face Amount		Value
Dynagas LNG Partners Limited Partnership / Dynagas Finance, Inc.
6.25% due 10/30/1910	$	600,000	$	402,000
Total Industrial				6,279,530
Energy - 0.9%
Pioneer Natural Resources Co.
7.50% due 01/15/20		1,700,000		1,921,800
Equities Corp.
4.88% due 11/15/21		1,300,000		1,244,086
Husky Energy, Inc.
3.95% due 04/15/22		1,050,000		1,046,116
Magellan Midstream Partners, LP
5.00% due 03/01/26		600,000		648,858
Schahin II Finance Company SPV Ltd.
5.88% due 09/25/228,12		390,900		56,876
Total Energy				4,917,736
Communications - 0.7%
Sprint Communications, Inc.
9.00% due 11/15/184		2,600,000		2,723,500
7.00% due 03/01/204		575,000		575,000
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
9.75% due 04/01/21		400,000		434,000
Total Communications				3,732,500
Consumer, Cyclical - 0.6%
eBay, Inc.
2.50% due 03/09/18		1,300,000		1,321,085
L Brands, Inc.
8.50% due 06/15/19		825,000		965,333
Lennar Corp.
4.50% due 06/15/19		725,000		748,563
AmeriGas Finance LLC / AmeriGas Finance Corp.
6.75% due 05/20/20		250,000		256,250
Total Consumer, Cyclical				3,291,231
Diversified - 0.5%
HRG Group, Inc.
7.88% due 07/15/19		2,375,000		2,504,675
Utilities - 0.3%
AES Corp.
3.64% due 06/01/193		1,700,000		1,640,500
Basic Materials - 0.1%
Yamana Gold, Inc.
4.95% due 07/15/24		750,000		633,750
Technology - 0.0%
Infor US, Inc.
5.75% due 08/15/204		100,000		103,000
Total Corporate Bonds
(Cost $65,530,381)				64,939,441
SENIOR FLOATING RATE INTERESTS†† - 5.6%
Technology - 1.3%
Avago Technologies Ltd.
4.25% due 02/01/23		4,500,000		4,474,936
First Data Corp.
7.25% due 03/24/21		1,200,000		1,196,064
3.93% due 03/23/18		1,045,827		1,042,951
Avaya, Inc.
6.25% due 05/29/20		492,618		327,768
Deltek, Inc.
5.00% due 06/25/22		290,163		288,350
Sabre, Inc.
4.00% due 02/19/19		195,455		195,333
Total Technology				7,525,402
Consumer, Cyclical - 1.2%
Advantage Sales & Marketing LLC
4.25% due 07/23/21		1,550,000		1,520,457
Smart & Final Stores LLC
4.00% due 11/15/19		1,020,796		1,011,098
La Quinta Intermediate Holdings
3.75% due 04/14/21		997,487		978,366
BJ’s Wholesale Club, Inc.
4.50% due 09/26/19		842,125		818,613
Petsmart, Inc.
4.25% due 03/11/22		800,000		796,200
Acosta, Inc.
4.25% due 09/26/21		800,000		779,568
NPC International, Inc.
4.75% due 12/28/18		248,708		247,464
Fitness International LLC
5.50% due 07/01/20		245,625		236,414
Total Consumer, Cyclical				6,388,180
Communications - 0.9%
Univision Communications, Inc.
4.00% due 03/01/20		1,985,416		1,963,497
4.00% due 02/28/20		1,717,799		1,699,006
T-Mobile US, Inc.
3.50% due 11/09/22		997,500		1,000,931
Asurion Corp.
4.25% due 07/08/20		313,086		301,346
5.00% due 08/04/22		57,695		56,433
Total Communications				5,021,213
Industrial - 0.7%
Travelport Holdings LLC
5.75% due 09/02/21		2,629,549		2,624,948
Quikrete Holdings, Inc.
4.00% due 09/28/20		500,000		498,750
Filtration Group Corp.
4.25% due 11/23/20		497,729		495,031

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
LIMITED DURATION FUND

	Face Amount		Value
Dematic S.A.
4.25% due 12/27/19	$	244,375	$	241,829
Total Industrial				3,860,558
Financial - 0.6%
Fly Leasing Ltd.
3.50% due 08/09/19		2,666,348		2,643,017
USI Holdings Corp.
4.25% due 12/27/19		369,332		363,176
Magic Newco, LLC
5.00% due 12/12/18		200,000		199,800
Total Financial				3,205,993
Consumer, Non-cyclical - 0.6%
Albertson’s (Safeway) Holdings LLC
5.50% due 12/21/22		1,246,875		1,247,548
5.50% due 08/25/21		694,750		695,097
American Tire Distributors, Inc.
5.25% due 09/01/21		693,501		690,034
Grocery Outlet, Inc.
4.75% due 10/21/21		400,000		390,500
Total Consumer, Non-cyclical				3,023,179
Utilities - 0.2%
Texas Competitive Electric Holdings Company LLC
3.75% due 11/07/16		1,000,000		995,000
Basic Materials - 0.1%
Chromaflo Technologies
4.50% due 12/02/19		394,792		376,039
Total Senior Floating Rate Interests
(Cost $30,515,292)				30,395,564
FOREIGN GOVERNMENT BONDS†† - 0.1%
Kenya Government International Bond
6.87% due 06/24/244		850,000		801,125
Total Foreign Government Bonds
(Cost $859,181)				801,125
COMMERCIAL PAPER†† - 1.8%
Bacardi USA, Inc.
0.68% due 04/06/16		5,000,000		4,999,527
VF Corp.
0.65% due 04/13/16		5,000,000		4,998,917
Total Commercial Paper
(Cost $9,998,444)				9,998,444
REPURCHASE AGREEMENTS††,9 - 4.0%
Jefferies & Company, Inc. issued 03/22/16 at 3.44% due 04/01/16		5,079,000		5,079,000
Jefferies & Company, Inc. issued 03/09/16 at 2.94% due 04/11/16		3,366,000		3,366,000
Jefferies & Company, Inc. issued 03/15/16 at 3.44% due 04/15/16		3,284,000		3,284,000
Jefferies & Company, Inc. issued 03/18/16 at 3.44% due 04/18/16		2,874,000		2,874,000
Jefferies & Company, Inc. issued 03/11/16 at 3.44% due 04/14/16		1,592,000		1,592,000
Jefferies & Company, Inc. issued 03/28/16 at 2.94% due 04/28/16		1,432,000		1,432,000
Jefferies & Company, Inc. issued 03/11/16 at 2.94% due 04/08/16		1,414,000		1,414,000
Jefferies & Company, Inc. issued 03/02/16 at 3.44% due 04/04/16		857,000		857,000
Jefferies & Company, Inc. issued 03/23/16 at 3.43% due 04/22/16		842,000		842,000
Jefferies & Company, Inc. issued 03/08/16 at 3.44% due 04/08/16		675,000		675,000
Jefferies & Company, Inc. issued 03/28/16 at 3.44% due 04/28/16		333,000		333,000
Total Repurchase Agreements
(Cost $21,748,000)				21,748,000
Total Investments - 103.8%
(Cost $573,849,343)			$	566,659,227
Other Assets & Liabilities, net - (3.8)%				(20,572,783	)
Total Net Assets - 100.0%			$	546,086,444

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
LIMITED DURATION FUND

†	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	Affiliated issuer — See Note 7.
2	Rate indicated is the 7 day yield as of March 31, 2016.
3	Variable rate security. Rate indicated is rate effective at March 31, 2016.
4	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $404,230,445 (cost $410,468,582), or 74.0% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
5	Residual interest.
6	Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
7	Perpetual maturity.
8	Security is in default of interest and/or principal obligations.
9	Repurchase Agreement — See Note 10.
10	Illiquid security.
11	Security or a portion thereof is held as collateral for reverse repurchase agreements — See Note 11.
12	Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $4,048,450 (cost $4,355,020), or 0.7% of total net assets — See Note 14.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	230,980,054	$	3,960,093	$	234,940,147
Collateralized Mortgage Obligations		—		171,380,400		8,753,567		180,133,967
Commercial Paper		—		9,998,444		—		9,998,444
Corporate Bonds		—		64,939,441		—		64,939,441
Foreign Government Bonds		—		801,125		—		801,125
Mutual Funds		13,270,617		—		—		13,270,617
Preferred Stocks		—		495,200		—		495,200
Repurchase Agreements		—		21,748,000		—		21,748,000
Senior Floating Rate Interests		—		30,395,564		—		30,395,564
Short Term Investments		9,936,722		—		—		9,936,722
Total	$	23,207,339	$	530,738,228	$	12,713,660	$	566,659,227

For the period ended March 31, 2016, there were no transfers between levels.

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

LIMITED DURATION FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments in unaffiliated issuers, at value (cost $538,809,208)	$	531,640,610
Investments in affiliated issuers, at value (cost $13,292,135)		13,270,617
Repurchase agreements, at value (cost $21,748,000)		21,748,000
Total investments (cost $573,849,343)		566,659,227
Prepaid expenses		66,646
Receivables:
Interest		2,051,142
Fund shares sold		1,278,330
Securities sold		402,788
Dividends		16,905
Transfer agent/maintenance fees		8,312
Trustees’ fees*		384
Total assets		570,483,734
Liabilities:
Reverse Repurchase Agreements		7,595,000
Overdraft due to custodian bank		11,134
Payable for:
Securities purchased		14,523,777
Fund shares redeemed		1,707,674
Management fees		173,868
Distribution and service fees		57,715
Fund accounting/administration fees		42,665
Miscellaneous		285,457
Total liabilities		24,397,290
Net assets	$	546,086,444
Net assets consist of:
Paid in capital	$	555,079,387
Accumulated net investment loss		(815,164	)
Accumulated net realized loss on investments		(987,663	)
Net unrealized depreciation on investments		(7,190,116	)
Net assets	$	546,086,444
A-Class:
Net assets	$	184,386,882
Capital shares outstanding		7,601,818
Net asset value per share	$	24.26
Maximum offering price per share (Net asset value divided by 97.75%)	$	24.82
C-Class:
Net assets	$	22,758,719
Capital shares outstanding		938,859
Net asset value per share	$	24.24
P-Class:
Net assets	$	1,613,311
Capital shares outstanding		66,504
Net asset value per share	$	24.26
Institutional Class:
Net assets	$	337,327,532
Capital shares outstanding		13,910,811
Net asset value per share	$	24.25

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

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

LIMITED DURATION FUND

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016

Investment Income:
Interest	$	7,269,925
Dividends from securities of affiliated issuers		58,353
Dividends from securities of unaffiliated issuers		15,937
Other income		106,748
Total investment income		7,450,963
Expenses:
Management fees		957,277
Transfer agent/maintenance fees:
A-Class		32,120
C-Class		5,012
P-Class		253
Institutional Class		20,507
Distribution and service fees:
A-Class		199,064
C-Class		88,105
P-Class		3,203
Fund accounting/administration fees		202,089
Interest expense		88,764
Line of credit fees		14,728
Trustees’ fees*		7,072
Custodian fees		6,429
Miscellaneous		117,904
Total expenses		1,742,527
Less:
Expenses waived by Adviser		(179,159	)
Net expenses		1,563,368
Net investment income		5,887,595
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	(573,828	)
Investments in affiliated issuers		(10,789	)
Options purchased		(104,173	)
Options written		28,511
Net realized loss		(660,279	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(5,328,567	)
Investments in affiliated issuers		(16,982	)
Options purchased		(78,144	)
Options written		13,729
Net change in unrealized appreciation (depreciation)		(5,409,964	)
Net realized and unrealized loss		(6,070,243	)
Net decrease in net assets resulting from operations	$	(182,648	)

* 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 | 57

LIMITED DURATION FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	5,887,595		$	4,956,701
Net realized loss on investments		(660,279	)		(272,435	)
Net change in unrealized appreciation (depreciation) on investments		(5,409,964	)		(1,527,852	)
Net increase (decrease) in net assets resulting from operations		(182,648	)		3,156,414
Distributions to shareholders from:
Net investment income
A-Class		(2,226,271	)		(1,877,597	)
C-Class		(179,957	)		(92,400	)
P-Class		(36,461	)		(14,688	)*
Institutional Class		(3,756,688	)		(3,607,196	)
Net realized gains
A-Class		—			(10,524	)
C-Class		—			(358	)
P-Class		—			—	*
Institutional Class		—			(24,979	)
Total distributions to shareholders		(6,199,377	)		(5,627,742	)
Capital share transactions:
Proceeds from sale of shares
A-Class		122,511,840			123,676,382
C-Class		15,955,466			10,713,529
P-Class		1,418,775			2,751,295	*
Institutional Class		290,232,902			144,227,876
Distributions reinvested
A-Class		1,905,016			1,735,098
C-Class		131,965			77,547
P-Class		36,461			14,688	*
Institutional Class		2,932,688			3,470,791
Cost of shares redeemed
A-Class		(55,152,559	)		(23,872,067	)
C-Class		(3,375,974	)		(1,041,909	)
P-Class		(2,533,636	)		(14,275	)*
Institutional Class		(128,603,261	)		(39,087,053	)
Net increase from capital share transactions		245,459,683			222,651,902
Net increase in net assets		239,077,658			220,180,574
Net assets:
Beginning of period		307,008,786			86,828,212
End of period	$	546,086,444		$	307,008,786
Accumulated net investment loss at end of period	$	(815,164	)	$	(503,382	)

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

LIMITED DURATION FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		5,010,417			4,981,438
C-Class		652,909			432,133
P-Class		58,089			110,968	*
Institutional Class		11,918,047			5,820,359
Shares issued from reinvestment of distributions
A-Class		78,146			69,980
C-Class		5,421			3,131
P-Class		1,493			594	*
Institutional Class		120,359			139,945
Shares redeemed
A-Class		(2,258,594	)		(961,747	)
C-Class		(138,511	)		(42,003	)
P-Class		(104,063	)		(577	)*
Institutional Class		(5,282,577	)		(1,575,206	)
Net increase in shares		10,061,136			8,979,015

* Since commencement of operations: May 1, 2015.

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

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.

A-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	24.65		$	24.97		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.32			.69			.52
Net gain (loss) on investments (realized and unrealized)		(.37	)		(.16	)		(.08	)
Total from investment operations		(.05	)		.53			.44
Less distributions from:
Net investment income		(.34	)		(.84	)		(.47	)
Net realized gains		—			(.01	)		—
Total distributions		(.34	)		(.85	)		(.47	)
Net asset value, end of period	$	24.26		$	24.65		$	24.97
Total Returnd		(0.19	%)		2.15	%		1.75	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	184,387		$	117,628		$	17,035
Ratios to average net assets:
Net investment income (loss)		2.65	%		2.79	%		2.67	%
Total expensese		0.95	%		0.99	%		1.14	%
Net expensesf,h		0.85	%		0.87	%		0.83	%
Portfolio turnover rate		15	%		26	%		40	%

C-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	24.63		$	24.96		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.23			.49			.38
Net gain (loss) on investments (realized and unrealized)		(.37	)		(.16	)		(.09	)
Total from investment operations		(.14	)		.33			.29
Less distributions from:
Net investment income		(.25	)		(.65	)		(.33	)
Net realized gains		—			(.01	)		—
Total distributions		(.25	)		(.66	)		(.33	)
Net asset value, end of period	$	24.24		$	24.63		$	24.96
Total Returnd		(0.57	%)		1.37	%		1.13	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	22,759		$	10,323		$	643
Ratios to average net assets:
Net investment income (loss)		1.90	%		1.96	%		1.93	%
Total expensese		1.71	%		1.76	%		2.14	%
Net expensesf,h		1.60	%		1.62	%		1.56	%
Portfolio turnover rate		15	%		26	%		40	%

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

LIMITED DURATION 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.

P-Class	Period Ended March 31, 2016a			Period Ended September 30, 2015g
Per Share Data
Net asset value, beginning of period	$	24.65		$	24.86
Income (loss) from investment operations:
Net investment income (loss)c		.33			.25
Net gain (loss) on investments (realized and unrealized)		(.38	)		(.17	)
Total from investment operations		(.05	)		.08
Less distributions from:
Net investment income		(.34	)		(.29	)
Total distributions		(.34	)		(.29	)
Net asset value, end of period	$	24.26		$	24.65
Total Returnd		(0.18	%)		0.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,613		$	2,736
Ratios to average net assets:
Net investment income (loss)		2.72	%		2.39	%
Total expensese		0.95	%		0.94	%
Net expensesf,h		0.86	%		0.88	%
Portfolio turnover rate		15	%		26	%

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

LIMITED DURATION FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	24.64		$	24.96		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.35			.78			.57
Net gain (loss) on investments (realized and unrealized)		(.37	)		(.19	)		(.08	)
Total from investment operations		(.02	)		.59			.49
Less distributions from:
Net investment income		(.37	)		(.90	)		(.53	)
Net realized gains		—			(.01	)		—
Total distributions		(.37	)		(.91	)		(.53	)
Net asset value, end of period	$	24.25		$	24.64		$	24.96
Total Returnd		(0.06	%)		2.41	%		1.98	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	337,328		$	176,322		$	69,150
Ratios to average net assets:
Net investment income (loss)		2.91	%		3.14	%		2.90	%
Total expensese		0.67	%		0.73	%		0.96	%
Net expensesf,h		0.60	%		0.62	%		0.57	%
Portfolio turnover rate		15	%		26	%		40	%

a	Unaudited figures for the period ended March 31, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: December 16, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Does not include expenses of the underlying funds in which the Fund invests.
f	Net expense information reflects the expense ratios after expense waivers.
g	Since commencement of operations: May 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
h	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the years would be:

	03/31/16	09/30/15	09/30/14
A-Class	0.80%	0.80%	0.79%
C-Class	1.55%	1.55%	1.52%
P-Class	0.80%	0.80%	—
Institutional Class	0.55%	0.55%	0.54%

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

FUND PROFILE (Unaudited) March 31, 2016

MUNICIPAL INCOME FUND

OBJECTIVE: Seeks to provide current income with an emphasis on income exempt from federal income tax, while also considering capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

 

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

Portfolio Composition by Quality Rating1
Rating
Fixed Income Instruments
AAA	13.2%
AA	64.5%
A	12.7%
BBB	3.3%
BB	1.6%
Other Instruments	4.7%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

Inception Dates:
A-Class	April 28, 2004
C-Class	January 13, 2012
P-Class	May 1, 2015
Institutional Class	January 13, 2012

Ten Largest Holdings (% of Total Net Assets)
City of Detroit Michigan Water Supply System Revenue Bonds	3.8%
Tustin Unified School District General Obligation Unlimited	3.0%
State of California General Obligation Unlimited	2.8%
City of Detroit Michigan Sewage Disposal System Revenue Bonds	2.7%
Arizona Health Facilities Authority Revenue Bonds	2.6%
Regents of the University of California Medical Center Pooled Revenue Bonds	2.6%
Hudson County Improvement Authority Revenue Bonds	2.5%
Detroit Wayne County Stadium Authority Revenue Bonds	2.5%
North Texas Tollway Authority Revenue Bonds	2.1%
Puerto Rico Electric Power Authority Revenue Bonds	2.0%
Top Ten Total	26.6%
“Ten Largest Holdings” excludes any temporary cash investments.

¹ Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by 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 converts ratings to the equivalent S&P rating.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
MUNICIPAL INCOME FUND

	Shares		Value
SHORT TERM INVESTMENTS† - 4.7%
Dreyfus Tax Exempt Cash Management Institutional Shares 0.06%1		3,144,447	$	3,144,447
Total Short Term Investments
(Cost $3,144,447)				3,144,447

	Face Amount
MUNICIPAL BONDS†† - 94.2%
California - 14.6%
Tustin Unified School District General Obligation Unlimited
6.00% due 08/01/21	$	1,600,000	2,005,295
State of California General Obligation Unlimited
5.00% due 03/01/26		1,500,000	1,883,280
Regents of the University of California Medical Center Pooled Revenue Bonds
1.15% due 05/15/432		2,000,000	1,726,080
Stockton Public Financing Authority Revenue Bonds
6.25% due 10/01/38		1,000,000	1,244,180
6.25% due 10/01/40		250,000	311,045
San Diego Unified School District General Obligation Unlimited
0.00% due 07/01/393		2,500,000	1,005,825
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited
6.85% due 08/01/424		1,000,000	605,270
Kings Canyon Unified School District General Obligation Unlimited
5.00% due 08/01/28		445,000	548,120
Oakland Unified School District/Alameda County General Obligation Unlimited
5.00% due 08/01/22		300,000	349,737
Culver Redevelopment Agency Tax Allocation
0.00% due 11/01/233		195,000	150,669
Total California			9,829,501
Michigan - 12.1%
City of Detroit Michigan Water Supply System Revenue Bonds
5.00% due 07/01/33		2,530,000	2,545,601
4.75% due 07/01/29		230,000	244,207
5.00% due 07/01/41		200,000	217,060
4.25% due 07/01/16		125,000	126,089
5.00% due 07/01/34		55,000	55,322
City of Detroit Michigan Sewage Disposal System Revenue Bonds
1.02% due 07/01/322		2,000,000	1,797,880

Detroit Wayne County Stadium Authority Revenue Bonds
5.00% due 10/01/26		1,490,000	1,663,868
Detroit City School District General Obligation Unlimited
5.00% due 05/01/32		1,000,000	1,119,870
5.00% due 05/01/30		300,000	338,166
Total Michigan			8,108,063
New York - 9.2%
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds
5.00% due 11/01/29		1,000,000	1,241,370
City of New York New York General Obligation Unlimited
5.00% due 08/01/28		1,000,000	1,232,680
New York City Water & Sewer System Revenue Bonds
5.00% due 06/15/39		1,000,000	1,180,070
Metropolitan Transportation Authority Revenue Bonds
0.59% due 11/01/322		1,000,000	980,240
Triborough Bridge & Tunnel Authority Revenue Bonds
0.79% due 11/15/272		1,000,000	969,510
New York State Dormitory Authority Revenue Bonds
5.00% due 10/01/41		350,000	404,324
New York State Urban Development Corp. Revenue Bonds
5.00% due 03/15/35		250,000	293,653
Total New York			6,301,847
Texas - 8.6%
North Texas Tollway Authority Revenue Bonds
5.75% due 01/01/40		1,295,000	1,399,066
5.75% due 01/01/18		1,205,000	1,308,871
Texas Tech University Revenue Bonds
5.00% due 08/15/32		735,000	855,430
Harris County-Houston Sports Authority Revenue Bonds
0.00% due 11/15/533		4,000,000	706,480
County of Harris Texas Revenue Bonds
1.08% due 08/15/352		500,000	445,240
Birdville Independent School District General Obligation Unlimited
5.00% due 02/15/27		305,000	378,868
Clint Independent School District General Obligation Unlimited
5.00% due 08/15/31		300,000	365,391
State of Texas General Obligation Unlimited
5.00% due 10/01/29		250,000	313,245
Total Texas	��		5,772,591

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MUNICIPAL INCOME FUND

	Face Amount		Value
New Jersey - 7.1%
Hudson County Improvement Authority Revenue Bonds
6.00% due 01/01/40	$	1,500,000	$	1,698,255
State of New Jersey General Obligation Unlimited
5.00% due 06/01/23		1,000,000		1,174,550
New Jersey Turnpike Authority Revenue Bonds
0.86% due 01/01/242		1,000,000		998,390
New Jersey Transportation Trust Fund Authority Revenue Bonds
1.60% due 06/15/342		1,000,000		951,850
Total New Jersey				4,823,045
Maryland - 5.9%
County of Baltimore Maryland General Obligation Unlimited
5.00% due 08/01/18		1,000,000		1,098,310
5.00% due 02/01/17		500,000		518,540
County of Montgomery Maryland General Obligation Unlimited
5.00% due 11/01/26		1,000,000		1,261,120
Maryland State Transportation Authority Revenue Bonds
5.00% due 07/01/35		1,000,000		1,080,140
Total Maryland				3,958,110
Pennsylvania - 5.1%
Pennsylvania Economic Development Financing Authority Revenue Bonds
5.00% due 02/01/27		1,000,000		1,206,600
Pennsylvania Turnpike Commission Revenue Bonds
1.67% due 12/01/202		500,000		504,570
1.38% due 12/01/212		500,000		496,470
County of Allegheny Pennsylvania General Obligation Unlimited
0.96% due 11/01/262		1,000,000		965,480
Reading School District General Obligation Unlimited
5.00% due 02/01/27		300,000		353,247
Total Pennsylvania				3,526,367
Illinois - 4.9%
Will County Township High School District No. 204 Joliet General Obligation Limited
6.25% due 01/01/31		1,000,000		1,190,130
Southern Illinois University Revenue Bonds
5.00% due 04/01/32		1,000,000		1,119,820
City of Chicago Illinois General Obligation Unlimited
4.75% due 01/01/28		500,000		500,630
5.00% due 01/01/23		70,000		73,086
5.00% due 01/01/22		5,000		5,045
University of Illinois Revenue Bonds
6.00% due 10/01/29		200,000		238,992
Metropolitan Pier & Exposition Authority Revenue Bonds
0.00% due 06/15/453		500,000		141,465
Total Illinois				3,269,168
Puerto Rico - 4.6%
Puerto Rico Electric Power Authority Revenue Bonds
0.94% due 07/01/292,5		1,845,000		1,366,758
5.00% due 07/01/245		1,170,000		1,174,232
5.00% due 07/01/225		620,000		628,438
Total Puerto Rico				3,169,428
Washington - 4.1%
King County Public Hospital District No. 1 General Obligation Limited
5.00% due 12/01/37		1,000,000		1,073,540
Greater Wenatchee Regional Events Center Public Facilities Dist Revenue Bonds
5.00% due 09/01/275		500,000		535,190
5.25% due 09/01/325		500,000		527,660
King County School District No. 409 Tahoma General Obligation Unlimited
5.00% due 12/01/27		325,000		407,813
State of Washington General Obligation Unlimited
5.00% due 06/01/41		195,000		223,421
Total Washington				2,767,624
Massachusetts - 3.1%
Massachusetts Development Finance Agency Revenue Bonds
6.88% due 01/01/41		1,000,000		1,180,980
Commonwealth of Massachusetts General Obligation Unlimited
0.98% due 05/01/372		1,000,000		931,120
Total Massachusetts				2,112,100
Colorado - 3.0%
City & County of Denver Colorado General Obligation Unlimited
5.00% due 08/01/16		1,210,000		1,228,150
Auraria Higher Education Center Revenue Bonds
5.00% due 04/01/28		390,000		480,246
University of Colorado Revenue Bonds
5.00% due 06/01/37		285,000		329,175
Total Colorado				2,037,571
Florida - 2.8%
School Board of Miami-Dade County Certificate Of Participation
5.00% due 05/01/27		500,000		610,250
County of Miami-Dade Florida Revenue Bonds
0.00% due 10/01/453		2,000,000		558,260

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MUNICIPAL INCOME FUND

	Face Amount		Value
City of Jacksonville Florida Revenue Bonds
5.00% due 10/01/29	$	300,000	$	353,250
Miami Beach Redevelopment Agency Tax Allocation
5.00% due 02/01/40		300,000		340,923
State of Florida Lottery Revenue Bonds
5.00% due 07/01/16		100,000		101,148
Total Florida				1,963,831
Arizona - 2.6%
Arizona Health Facilities Authority Revenue Bonds
1.23% due 01/01/372		2,000,000		1,760,940
Mississippi - 1.3%
Mississippi Development Bank Revenue Bonds
6.50% due 10/01/31		500,000		591,180
6.25% due 10/01/26		230,000		273,544
Total Mississippi				864,724
Louisiana - 1.0%
Louisiana Local Government Environmental Facilities & Community Development Auth Revenue Bonds
5.00% due 10/01/37		620,000		708,617
Virginia - 1.1%
County of Fairfax Virginia General Obligation Unlimited
5.00% due 10/01/32		300,000		375,339
Virginia College Building Authority Revenue Bonds
5.00% due 02/01/28		250,000		308,130
Total Virginia				683,469
West Virginia - 0.9%
West Virginia Higher Education Policy Commission Revenue Bonds
5.00% due 04/01/29		500,000		580,430
South Carolina - 0.6%
Anderson County School District No. 5 General Obligation Unlimited
5.00% due 03/01/27		300,000		380,079
District of Columbia - 0.5%
District of Columbia General Obligation Unlimited
5.00% due 06/01/32		275,000		330,668
Nevada - 0.4%
Las Vegas Valley Water District General Obligation Limited
5.00% due 06/01/27		230,000		286,072
Georgia - 0.4%
Savannah Economic Development Authority Revenue Bonds
5.00% due 12/01/28		200,000		242,772
North Carolina - 0.3%
State of North Carolina General Obligation Unlimited
5.00% due 06/01/17		200,000		210,246
Total Municipal Bonds
(Cost $61,094,971)				63,687,263
Total Investments - 98.9%
(Cost $64,239,418)			$	66,831,710
Other Assets & Liabilities, net - 1.1%				713,129
Total Net Assets - 100.0%			$	67,544,839

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Rate indicated is the 7 day yield as of March 31, 2016.
2	Variable rate security. Rate indicated is rate effective at March 31, 2016.
3	Zero coupon rate security.
4	Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
5	Illiquid security.
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
MUNICIPAL INCOME FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Municipal Bonds	$	—	$	63,687,263	$	—	$	63,687,263
Short Term Investments		3,144,447		—		—		3,144,447
Total	$	3,144,447	$	63,687,263	$	—	$	66,831,710

For the period ended March 31, 2016, there were no transfers between levels.

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

MUNICIPAL INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments, at value (cost $64,239,418)	$	66,831,710
Prepaid expenses		26,928
Cash		2
Receivables:
Interest		608,365
Fund shares sold		220,884
Transfer agent/maintenance fees		4,826
Total assets		67,692,715
Liabilities:
Payable for:
Distributions to Shareholders		42,849
Fund shares redeemed		25,861
Direct shareholders expense		22,357
Distribution and service fees		15,319
Management fees		13,576
Custodian fees		8,607
Legal fees		7,419
Fund accounting/administration fees		5,509
Trustees’ fees*		4,622
Miscellaneous		1,757
Total liabilities		147,876
Net assets	$	67,544,839
Net assets consist of:
Paid in capital	$	92,760,914
Undistributed net investment income		—
Accumulated net realized loss on investments		(27,808,367	)
Net unrealized appreciation on investments		2,592,292
Net assets	$	67,544,839
A-Class:
Net assets	$	49,501,860
Capital shares outstanding		3,883,499
Net asset value per share	$	12.75
Maximum offering price per share (Net asset value divided by 96.00%)	$	13.28
C-Class:
Net assets	$	4,930,444
Capital shares outstanding		387,051
Net asset value per share	$	12.74
P-Class:
Net assets	$	28,839
Capital shares outstanding		2,263
Net asset value per share	$	12.74
Institutional Class:
Net assets	$	13,083,696
Capital shares outstanding		1,026,008
Net asset value per share	$	12.75

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016

Investment Income:
Interest	$	974,162
Total investment income		974,162
Expenses:
Management fees		165,822
Transfer agent/maintenance fees:
A-Class		25,134
C-Class		2,430
P-Class		43
Institutional Class		4,117
Distribution and service fees:
A-Class		66,425
C-Class		18,687
P-Class		27
Fund accounting/administration fees		31,506
Registration fees		53,532
Line of credit fees		4,260
Trustees’ fees*		728
Custodian fees		27
Miscellaneous		13,734
Total expenses		386,472
Less:
Expenses waived by Adviser		(114,629	)
Net expenses		271,843
Net investment income		702,319
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		334,269
Net realized gain		334,269
Net change in unrealized appreciation (depreciation) on:
Investments		794,225
Net change in unrealized appreciation (depreciation)		794,225
Net realized and unrealized gain		1,128,494
Net increase in net assets resulting from operations	$	1,830,813

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

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

MUNICIPAL INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	702,319		$	1,376,249
Net realized gain on investments		334,269			266,390
Net change in unrealized appreciation (depreciation) on investments		794,225			(419,085	)
Net increase in net assets resulting from operations		1,830,813			1,223,554
Distributions to shareholders from:
Net investment income
A-Class		(565,324	)		(1,146,185	)
C-Class		(24,906	)		(30,351	)
P-Class		(228	)		(100	)*
Institutional Class		(111,861	)		(199,613	)
Total distributions to shareholders		(702,319	)		(1,376,249	)
Capital share transactions:
Proceeds from sale of shares
A-Class		16,384,624			21,002,499
C-Class		3,878,017			2,084,724
P-Class		18,250			10,000	*
Institutional Class		5,753,017			4,945,093
Distributions reinvested
A-Class		351,112			704,334
C-Class		17,389			21,242
P-Class		228			100	*
Institutional Class		73,492			116,901
Cost of shares redeemed
A-Class		(17,221,776	)		(16,588,738	)
C-Class		(1,485,139	)		(700,489	)
P-Class		—			—	*
Institutional Class		(1,484,770	)		(2,933,434	)
Net increase from capital share transactions		6,284,444			8,662,232
Net increase in net assets		7,412,938			8,509,537
Net assets:
Beginning of period		60,131,901			51,622,364
End of period	$	67,544,839		$	60,131,901
Undistributed net investment income at end of period	$	—		$	—

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

MUNICIPAL INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		1,294,312			1,657,982
C-Class		305,430			165,051
P-Class		1,446			791	*
Institutional Class		453,962			391,788
Shares issued from reinvestment of distributions
A-Class		27,731			55,887
C-Class		1,373			1,686
P-Class		18			8	*
Institutional Class		5,803			9,270
Shares redeemed
A-Class		(1,358,024	)		(1,319,843	)
C-Class		(117,236	)		(55,776	)
P-Class		—			—	*
Institutional Class		(117,327	)		(233,057	)
Net increase in shares		497,488			673,787

* Since commencement of operations: May 1, 2015.

70 | 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.

A-Class†	Period Ended March 31, 2016a			Year Ended September 30, 2015				Year Ended September 30, 2014				Year Ended September 30, 2013				Period Ended September 30, 2012b				Year Ended December 31, 2011
Per Share Data
Net asset value, beginning of period	$	12.52			$	12.51			$	11.59			$	12.59			$	11.82			$	11.54
Income (loss) from investment operations:
Net investment income (loss)c		.13				.29				.36				.38				.26				.64
Distributions to preferred shareholders from:
Net investment income		—				—				—				—				(.01	)			(.10	)
Net gain (loss) on investments (realized and unrealized)		.24				.01				.92				(1.00	)			.78				.54
Total from investment operations		.37				.30				1.28				(.62	)			1.03				1.08
Less distributions from:
Net investment income		(.14	)			(.29	)			(.36	)			(.38	)			(.26	)			(.80	)
Total distributions		(.14	)			(.29	)			(.36	)			(.38	)			(.26	)			(.80	)
Net asset value, end of period	$	12.75			$	12.52			$	12.51			$	11.59			$	12.59			$	11.82
Total Returng		2.93	%			2.39	%			11.20	%			(5.09	%)			8.91	%			9.64	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	49,502			$	49,086			$	44,090			$	50,463			$	77,609			$	182,150
Ratios to average net assets:
Net investment income (loss)		2.13	%			2.28	%			3.00	%			3.04	%			2.78	%			4.60	%
Total expenses		1.16	%			1.17	%			1.29	%			1.14	%			1.15	%			2.09	%
Net expensesd,h		0.81	%			0.81	%			0.83	%			0.82	%			0.87	%			2.09	%
Portfolio turnover rate		38	%			80	%			173	%			91	%			121	%			104	%

C-Class	Period Ended March 31, 2016a			Year Ended September 30, 2015				Year Ended September 30, 2014				Year Ended September 30, 2013				Period Ended September 30, 2012e
Per Share Data
Net asset value, beginning of period	$	12.52			$	12.50			$	11.59			$	12.58			$	11.98
Income (loss) from investment operations:
Net investment income (loss)c		.08				.19				.27				.28				.20
Net gain (loss) on investments (realized and unrealized)		.23				.02				.91				(.98	)			.62
Total from investment operations		.31				.21				1.18				(.70	)			.82
Less distributions from:
Net investment income		(.09	)			(.19	)			(.27	)			(.29	)			(.22	)
Total distributions		(.09	)			(.19	)			(.27	)			(.29	)			(.22	)
Net asset value, end of period	$	12.74			$	12.52			$	12.50			$	11.59			$	12.58
Total Returng		2.46	%			1.71	%			10.28	%			(5.70	%)			7.04	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,930			$	2,472			$	1,082			$	1,495			$	1,176
Ratios to average net assets:
Net investment income (loss)		1.33	%			1.54	%			2.24	%			2.30	%			2.36	%
Total expenses		1.93	%			1.87	%			2.08	%			1.93	%			1.94	%
Net expensesd,h		1.56	%			1.56	%			1.58	%			1.57	%			1.55	%
Portfolio turnover rate		38	%			80	%			173	%			91	%			121	%

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

MUNICIPAL INCOME 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.

P-Class	Period Ended March 31, 2016a			Period Ended September 30, 2015f
Per Share Data
Net asset value, beginning of period	$	12.52		$	12.64
Income (loss) from investment operations:
Net investment income (loss)c		.13			.13
Net gain (loss) on investments (realized and unrealized)		.22			(.12	)
Total from investment operations		.35			.01
Less distributions from:
Net investment income		(.13	)		(.13	)
Total distributions		(.13	)		(.13	)
Net asset value, end of period	$	12.74		$	12.52
Total Returng		2.85	%		0.06	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	29		$	10
Ratios to average net assets:
Net investment income (loss)		2.10	%		2.46	%
Total expenses		1.45	%		3.17	%
Net expensesd,h		0.82	%		0.81	%
Portfolio turnover rate		38	%		80	%

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

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.

Institutional Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Period Ended September 30, 2012e
Per Share Data
Net asset value, beginning of period	$	12.53		$	12.51		$	11.60		$	12.59		$	11.98
Income (loss) from investment operations:
Net investment income (loss)c		.15			.32			.39			.40			.29
Net gain (loss) on investments (realized and unrealized)		.22			.02			.91			(.98	)		.62
Total from investment operations		.37			.34			1.30			(.58	)		.91
Less distributions from:
Net investment income		(.15	)		(.32	)		(.39	)		(.41	)		(.30	)
Total distributions		(.15	)		(.32	)		(.39	)		(.41	)		(.30	)
Net asset value, end of period	$	12.75		$	12.53		$	12.51		$	11.60		$	12.59
Total Returng		2.97	%		2.73	%		11.38	%		(4.76	%)		7.76	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,084		$	8,564		$	6,451		$	6,343		$	1,051
Ratios to average net assets:
Net investment income (loss)		2.38	%		2.53	%		3.23	%		3.35	%		3.37	%
Total expenses		0.90	%		0.89	%		0.97	%		0.93	%		0.86	%
Net expensesd,h		0.56	%		0.56	%		0.58	%		0.57	%		0.55	%
Portfolio turnover rate		38	%		80	%		173	%		91	%		121	%

†	Effective January 13, 2012, the Fund acquired all of the assets and liabilities of the TS&W/Claymore Tax-Advantage Balanced 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.
a	Unaudited figures for the period ended March 31, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	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.
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	Since commencement of operations: January 13, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
f	Since commencement of operations: May 1, 2015. 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	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the years would be:

	03/31/16	09/30/15	09/30/14
A-Class	0.80%	0.80%	0.80%
C-Class	1.55%	1.55%	1.54%
P-Class	0.80%	0.81%	—
Institutional Class	0.55%	0.55%	0.55%

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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 an 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.

The Trust offers a combination of four separate classes of shares, A-Class shares, C-Class shares, P-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. 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 previously offered have been converted to A-Class shares effective August 8, 2015 for the funds in the Trust. 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 require a minimum initial investment of $2 million and a minimum account balance of $1 million. At March 31, 2016, the Trust consisted of nineteen funds.

As of January 1, 2012, A-Class, C-Class, P-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.

This report covers the Diversified Income Fund, High Yield Fund, Investment Grade Bond Fund, Limited Duration Fund, and Municipal Income Fund (the “Funds”), each a diversified investment company.

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

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

Significant Accounting Policies

The Funds operate as investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities 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.

The NAV of each Class of the Funds is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

A. The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities or other assets.

Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed and will review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review

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responsibilities set forth in the Valuation Procedures, regularly review procedures used by, and valuations provided by, the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

Equity securities listed 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 a given day, the security is valued at the closing bid price on that day.

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. 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.

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 (“CEFs”) 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 are valued at amortized cost, provided such amount approximates market value.

Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.

Typically loans are valued using information provided by an independent third party pricing service which uses broker quotes in a non-active market.

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.

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

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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).

In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

B. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.

C. Senior loans in which the Funds invest generally pay interest rates which are periodically adjusted by reference to a base short-term, floating rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The interest rate indicated is the rate in effect at March 31, 2016.

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. 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.

F. 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 Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

G. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. 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 discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

H. The Funds declare dividends from investment income daily, except the Diversified Income Fund, which declares monthly. 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. Dividends are reinvested in additional

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

shares unless shareholders request payment in cash. 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.

I. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net assets of each Fund included in the Trust.

J. 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, 2016, there were no earnings credits received.

K. The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.25% at March 31, 2016.

L. The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.

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

2. Financial Instruments and Derivatives

As part of their investment strategy, the Funds utilize a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations. The Funds may utilize derivatives for the following purposes:

Duration: the use of an instrument to manage the interest rate risk of a portfolio.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

Options Purchased and Written

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

The following table represents the Funds’ use, and volume of call/put options purchased on a quarterly basis:

Fund	Use	Average Number of Contracts
Investment Grade Bond Fund	Duration, Hedge	714
Limited Duration Fund	Duration, Hedge	264

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, the Fund may be at risk because of the counterparty’s inability to perform.

The following tables represent the Funds’ use and activity of options written for the period ended March 31, 2016:

Fund	Use
Investment Grade Bond Fund	Duration, Hedge
Limited Duration Fund	Duration, Hedge

		Limited Duration Fund						Investment Grade Bond Fund
	Number of Contracts			Premium Amount			Number of Contracts			Premium Amount
Balance at September 30, 2015		1,056		$	28,511			581		$	15,663
Options Written		—			—			—			—
Options terminated in closing purchase transactions		—			—			—			—
Options expired		(1,056	)		(28,511	)		(581	)		(15,663	)
Options exercised		—			—			—			—
Balance at March 31, 2016		—		$	—			—		$	—

Futures

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

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The following table represents the Funds’ use and volume of futures:

		Average Notional
Fund	Use	Long		Short
Diversified Income Fund	Hedge	$	—	$	717,675

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of forward foreign currency exchange contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

The following table represents the Funds’ use, and volume of forward currency exchange contracts on a quarterly basis:

		Average Settlement
Fund	Use	Purchased		Sold
High Yield Fund	Hedge	$	10,348,464	$	112,506

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 31, 2016:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Equity/Currency contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts
		Variation margin

The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at March 31, 2016:

Asset Derivative Investments Value
Fund	Forward Foreign Currency Exchange Contracts		Total Value at March 31, 2016
High Yield Fund	$	9,031	$	9,031

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Liability Derivative Investments Value
Fund	Futures Equity Contracts*			Forward Foreign Currency Exchange Contracts			Total Value at March 31, 2016
Diversified Income	$	(18,638	)	$	—		$	(18,638	)
High Yield Fund		—			(307,128	)		(307,128	)

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

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended March 31, 2016:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Equity/Currency contracts	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange 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 (deprecation) on options written
	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures 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, 2016:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Contracts			Options Written Interest Rate Contracts		Options Purchased Interest Rate Contracts			Forward Foreign Currency Exchange Contracts		Total
Diversified Income	$	(18,645	)	$	—	$	—		$	—	$	(18,645	)
High Yield Fund		—			—		—			304,469		304,469
Investment Grade Bond Fund		—			15,664		(57,363	)		—		(41,699	)
Limited Duration Fund		—			28,511		(104,173	)		—		(75,662	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Contracts			Options Written Interest Rate Contracts		Options Purchased Interest Rate Contracts			Forward Foreign Currency Exchange Contracts			Total
Diversified Income	$	(18,638	)	$	—	$	—		$	—		$	(18,638	)
High Yield Fund		—			—		—			(277,161	)		(277,161	)
Investment Grade Bond Fund		—			7,577		(42,971	)		—			(35,394	)
Limited Duration Fund		—			13,729		(78,144	)		—			(64,415	)

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In conjunction with the use short sales and of derivative instruments, 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 the Funds.

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

3. Fees and Other Transactions with Affiliates

Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at their annualized rates below, based on the average daily net assets of the Funds:

Fund	Management Fees (as a % of Net Assets)
Diversified Income Fund	0.75%
High Yield Fund	0.60%
Investment Grade Bond Fund	0.50%
Limited Duration Fund	0.45%
Municipal Income Fund	0.50%

RFS is paid the following for providing transfer agent services to the Funds. Transfer agent fees are assessed to the applicable class of each Fund.

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

^† Not subject to Funds during first twelve months of operations.

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	Fund Accounting/ Administrative Fees (as a % of Net Assets)
Diversified Income Fund	0.095%
High Yield Fund	0.095%
Investment Grade Bond Fund	0.095%
Limited Duration Fund	0.095%
Municipal Income Fund	0.095%
Minimum annual charge per Fund	$25,000
Certain out-of-pocket charges	Varies

RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Funds have adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of each Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of each Fund’s C-Class shares.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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. The limits are listed below:

	Limit	Effective Date	Contract End Date
Diversified Income Fund — A-Class**	1.30%	01/29/16	02/01/17
Diversified Income Fund — C-Class**	2.05%	01/29/16	02/01/17
Diversified Income Fund — P-Class**	1.30%	01/29/16	02/01/17
Diversified Income Fund — Institutional Class**	1.05%	01/29/16	02/01/17
High Yield Fund — A-Class	1.16%	11/30/12	02/01/17
High Yield Fund — C-Class	1.91%	11/30/12	02/01/17
High Yield Fund — P-Class*	1.16%	05/01/15	02/01/17
High Yield Fund — Institutional Class	0.91%	11/30/12	02/01/17
Investment Grade Bond Fund — A-Class	1.00%	11/30/12	02/01/17
Investment Grade Bond Fund — C-Class	1.75%	11/30/12	02/01/17
Investment Grade Bond Fund — P-Class*	1.00%	05/01/15	02/01/17
Investment Grade Bond Fund — Institutional Class	0.75%	11/30/12	02/01/17
Limited Duration Fund — A-Class	0.80%	12/01/13	02/01/17
Limited Duration Fund — C-Class	1.55%	12/01/13	02/01/17
Limited Duration Fund — P-Class*	0.80%	05/01/15	02/01/17
Limited Duration Fund — Institutional Class	0.55%	12/01/13	02/01/17
Municipal Income Fund — A-Class	0.80%	11/30/12	02/01/17
Municipal Income Fund — C-Class	1.55%	11/30/12	02/01/17
Municipal Income Fund — P-Class*	0.80%	05/01/15	02/01/17
Municipal Income Fund — Institutional Class	0.55%	11/30/12	02/01/17

*	Since the commencement of operations: May 1, 2015
**	Since the commencement of operations: January 29, 2016

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, 2016, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	Expires 2016		Expires 2017		Expires 2018		Expires 2019		Fund Total
Diversified Income Fund	$	—	$	—	$	—	$	10,661	$	10,661
High Yield Fund		109,693		81,112		53,603		—		244,408
Investment Grade Bond Fund		149,682		183,531		171,425		54,448		559,086
Limited Duration Fund		—		142,224		180,387		179,159		501,770
Municipal Income Fund		129,927		242,274		214,145		114,629		700,976

For the period ended March 31, 2016, GI recouped $17,209 from the High Yield Fund.

If a Fund invests in an affiliated fund, the investing Fund’s Adviser has agreed to waive fees at the investing fund level. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period March 31, 2016, the Diversified Income Fund waived $4,193 related to investments in affiliated funds.

For the period ended March 31, 2016, GFD retained sales charges of $274,695 relating to sales of A-Class shares of the Trust.

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

At March 31, 2016, GI and its affiliates owned 100% of the outstanding owned shares of the Diversified Income Fund.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

4. Fair Value Measurement

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

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

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

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

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

Independent pricing services are used to value a majority of the Funds’ investments. When values are not available from a pricing service, they 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 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.

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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:

Fund	Category and Subcategory	Ending Balance at 03/31/16		Valuation Technique	Unobservable Inputs
High Yield Fund	Senior Floating Rate Interests	$	5,788,756	Monthly Model Priced	Purchase Price
			577,688	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
	Total Senior Floating Rate Interests		6,366,444
Corporate Bonds			2,325,001	Monthly Model Priced	Purchase Price
			730,203	Monthly Model Priced	Average Comparative Yield*
	Total Corporate Bonds		3,055,204
Senior Fixed Rate Interests			78,197	Monthly Model Priced	Purchase Price
Preferred Stocks			27,596	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Common Stocks			20,337	Monthly Model Priced	Purchase Price
Investment Grade Bond Fund	Corporate Bonds		1,982,202	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Preferred Stocks			1,953,124	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Collateralized Mortgage Obligations			1,815,414	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Asset-Backed Securities			1,219,318	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Limited Duration Fund	Collateralized Mortgage Obligations		8,753,567	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Asset-Backed Securities			3,960,093	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote

* Average comparative yields used ranged between 24.06%-29.28%.

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

84 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets and liabilities for which significant unobservable inputs were used to determine fair value for the period ended March 31, 2016:

LEVEL 3 – Fair value measurement using significant unobservable inputs

	Senior Floating Rate Interests			Senior Fixed Rate Interests		Common Stocks		Preferred Stocks			Corporate Bonds			Total
High Yield Fund
Assets:
Beginning Balance	$	7,202,981		$	—	$	73	$	11,039		$	3,256,186		$	10,470,279
Purchases		1,179,723			62,855		17,181		—			12,039			1,271,798
Sales, maturities and paydowns		(601,068	)		—		—		—			(354,500	)		(955,568	)
Total realized gains or losses included in earnings		10,078			—		—		—			(231,429	)		(221,351	)
Total change in unrealized gains or losses included in earnings		(1,101,012	)		15,342		3,083		—			(670,667	)		(1,753,254	)
Transfers into Level 3		141,611			—		—		—			1,043,575			1,185,186
Transfers out of Level 3		(465,869	)		—		—		(11,039	)		—			(476,908	)
Ending Balance	$	6,366,444		$	78,197	$	20,337	$	—		$	3,055,204		$	9,520,182
Net Change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 2016	$	(92,971	)	$	19,411	$	3,083	$	—		$	(672,278	)	$	(742,755	)

	Asset-Backed Securities			Collateralized Mortgage Obligations			Preferred Stocks		Corporate Bonds			Total
Investment Grade Bond Fund
Assets:
Beginning Balance	$	1,260,209		$	862,693		$	1,742,414	$	1,140,016		$	5,005,332
Purchases		—			1,060,491			—		835,508			1,895,999
Sales, maturities and paydowns		(35,519	)		(70,395	)		—		(7,680	)		(113,594	)
Total realized gains or losses included in earnings		—			—			—		(1,888	)		(1,888	)
Total change in unrealized gains or losses included in earnings		(5,372	)		(37,375	)		210,710		16,246			184,209
Transfers into Level 3		—			—			—		—			—
Transfers out of Level 3		—			—			—		—			—
Ending Balance	$	1,219,318		$	1,815,414		$	1,953,124	$	1,982,202		$	6,970,058
Net Change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 2016	$	(5,372	)	$	(50,115	)	$	210,710	$	16,779		$	172,002

	Asset-Backed Securities			Collateralized Mortgage Obligations			Total
Limited Duration Fund
Assets:
Beginning Balance	$	971,372		$	—		$	971,372
Purchases		2,989,652			9,340,724			12,330,376
Sales, maturities and paydowns		(26,000	)		(582,697	)		(608,697	)
Total realized gains or losses included in earnings		—			—			—
Total change in unrealized gains or losses included in earnings		25,069			(4,460	)		20,609
Transfers into Level 3		—			—			—
Transfers out of Level 3		—			—			—
Ending Balance	$	3,960,093		$	8,753,567		$	12,713,660
Net Change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 2016	$	24,583		$	(116,248	)	$	(91,665	)

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

5. Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax 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 Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

At March 31, 2016, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Gain (Loss)
Diversified Income Fund	$	4,956,879	$	129,681	$	(3,025	)	$	126,656
High Yield Fund		245,707,938		3,243,284		(22,607,733	)		(19,364,449	)
Investment Grade Bond Fund		194,261,738		3,129,028		(7,857,004	)		(4,727,976	)
Limited Duration Fund		573,861,888		1,979,885		(9,182,545	)		(7,202,660	)
Municipal Income Fund		64,239,418		2,786,335		(194,043	)		2,592,292

6. Securities Transactions

For the period ended March 31, 2016, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Fund	Purchases		Sales
Diversified Income Fund	$	5,256,499	$	322,887
High Yield Fund		100,352,385		41,067,373
Investment Grade Bond Fund		86,739,844		61,374,778
Limited Duration Fund		307,111,415		60,234,625
Municipal Income Fund		27,991,067		22,622,142

For the period ended March 31, 2016, the cost of purchases and proceeds from sales of government securities were as follows:

Fund	Purchases		Sales
Investment Grade Bond Fund	$	31,678,319	$	24,157,760

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of Trustees of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended March 31, 2016, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Fund	Purchase		Sales		Realized Gain (Loss)
High Yield Fund	$	3,852,970	$	—	$	—
Investment Grade Bond Fund		149,625		—		—
Limited Duration Fund		1,396,500		—		—

7. Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

The Funds may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2015 is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180415000857/gug63224-ncsr.htm.

Transactions during the period ended March 31, 2016, in which the portfolio company is an “affiliated person”, were as follows:

Affiliated issuers by Fund	Value 09/30/15		Additions		Reductions			Value 03/31/16		Shares 03/31/16		Investment Income		Realized Gain (Loss)
Diversified Income Fund
Guggenheim Floating Rate Strategies Fund - Institutional Class	$	—	$	1,057,498	$	(12,963	)	$	1,053,695		41,665	$	7,498	$	(10	)
Guggenheim World Equity Income Fund - Institutional Class		—		353,516		(4,321	)		365,229		27,987		3,516		(42	)
Guggenheim Investment Grade Bond Fund - Institutional Class		—		503,295		(6,173	)		498,803		27,835		3,295		7
Guggenheim High Yield Fund -Insitutional Class		—		1,263,786		(15,432	)		1,267,801		150,392		13,786		(75	)
Guggenheim Limited Duration Fund - Institutional Class		—		703,418		(8,642	)		691,937		28,533		3,418		(7	)
Guggenheim Risk Managed Real Estate Fund - Institutional Class		—		201,054		(2,469	)		214,457		7,640		1,054		(17	)
Guggenheim S&P High Income Infrastructure ETF		—		499,951		—			546,579		23,785		4,219		—
	$	—	$	4,582,518	$	(50,000	)	$	4,638,501			$	36,786	$	(144	)
Limited Duration Fund
Guggenheim Strategy Fund I	$	7,269,053	$	14,308,353	$	(8,279,019	)	$	13,270,617		534,890	$	58,353	$	(10,789	)

8. Loan Commitments

Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of March 31, 2016. The Funds are obligated to fund these loan commitments at the borrower’s discretion.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The unfunded loan commitments as of March 31, 2016 were as follows:

Borrower	Maturity Date	Face Amount		Value
High Yield Fund
Acosta, Inc.	9/26/2019	$	1,000,000	$	92,837
Advantage Sales & Marketing LLC	7/25/2019		990,000		84,608
Arch Coal, Inc.	1/31/2017		44,825		1,793
Aspect Software, Inc.	9/30/2016		43,831		—
BBB Industries, LLC	11/4/2019		342,857		34,248
Deltek, Inc.	6/25/2020		800,000		84,346
Epicor Software	6/1/2020		1,000,000		103,764
Eyemart Express	12/18/2019		600,000		54,096
Hillman Group, Inc.	6/28/2019		385,714		27,418
Learning Care Group (US), Inc.	5/5/2019		500,000		44,468
McGraw-Hill Global Education Holdings LLC	3/22/2018		1,000,000		47,742
National Technical Systems	6/12/2021		250,000		27,071
Phillips-Medsize Corp.	6/14/2019		1,100,000		83,996
Pro Mach Group, Inc.	10/22/2019		900,000		77,185
Signode Industrial Group US, Inc.	5/1/2019		1,800,000		138,348
Wencor Group	6/19/2019		628,462		47,362
		$	11,385,689	$	949,282

9. Line of Credit

The Funds, with the exception of Alpha Opportunity Fund, Capital Stewardship Fund, Diversified Income Fund and Market Neutral Real Estate Fund, secured a committed $800,000,000 line of credit from Citibank, N.A., good through October 7, 2016, at which time the line of credit may be renewed. 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 Citibank’s “base rate”, LIBOR plus 1%, or the Federal Funds Rate (0.25% at March 31, 2016), plus 1/2 of 1%. The Funds also pay a commitment fee at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings under this agreement as of and for the period ended March 31, 2016.

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.

Fund	Counterparty and Terms of Agreement		Face Value		Repurchase Price	Collateral		Par Value		Fair Value
Limited Duration Fund	Jefferies & Company, Inc.					Neuberger Berman CLO Ltd.
	2.94% - 3.44%					01/23/24 - 07/15/27*	$	25,602,000	$	16,388,940
	Due 04/01/16 -04/28/16	$	21,748,000	$	21,801,155	American Money Management Corp.
						04/14/27*		7,600,000		7,764,312
						Whitehorse Ltd.
						02/03/25*		18,050,000		5,529,442
						Ares CLO Ltd.
						11/25/20*		4,750,000		5,181,300
						JP Morgan Chase Commercial Mortgage Securities Trust
						1.69%
						12/15/16		4,007,000		3,991,533
						Cathedral Lake Ltd.
						07/15/27*		10,450,000		2,874,000

88 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Fund	Counterparty and Terms of Agreement	Face Value	Repurchase Price	Collateral		Par Value		Fair Value
				Banc of America Commercial Mortgage Trust
				4.77%
				07/10/43	$	2,364,000	$	2,401,848
				Mohegan Tribal Finance Authority
				7.00%
				02/01/45		2,375,000		2,372,032
				GCCFC Commercial Mortgage Trust
				5.50%
				10/10/15		2,325,000		2,323,210
				GS Mortgage Securities Trust
				5.79%
				08/10/45		1,897,000		1,814,177
				Puerto Rico Commonwealth Aqueduct & Sewer Authority
				3.92%
				07/01/16		1,895,000		1,491,630
				WF-RBS Commercial Mortgage Trust
				3.91%
				09/15/57		2,000,000		1,470,660
				Nelder Grove CLO Ltd.
				08/28/26*		4,100,000		820,000
				State of California
				4.00%
				09/01/35		640,000		702,893
				Acis CLO Ltd.
				0.00%
				05/01/27		7,500,000		675,000
				Hilton USA Trust
				3.69%
				07/15/16		385,000		384,965
					$	$95,940,000	$	$56,185,942

* Residual interest.

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 adviser, 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.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

11. Reverse Repurchase Agreements

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

For the period ended March 31, 2016, the following Funds entered into reverse repurchase agreements as follows:

Fund	Number of Days Outstanding		Balance at March 31, 2016		Average Balance Outstanding		Average Interest Rate
High Yield Fund		183	$	8,911,433	$	14,712,034		0.77	%
Investment Grade Bond Fund		183		8,275,180		12,463,002		0.55	%
Limited Duration Fund		183		7,595,000		11,998,407		1.48	%

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP.

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset In the Statements of Assets and Liabilities		Net Amount of Liabilities Presented on the Statements of Assets and Liabilities		Financial Instruments		Cash Collateral Pledged		Net Amount
High Yield Fund	Reverse repurchase agreements	$	8,911,433	$	—	$	8,911,433	$	8,911,433	$	—	$	—
Investment Grade Bond Fund	Reverse repurchase agreements		8,275,180		—		8,275,180		8,275,180		—		—
Limited Duration Fund	Reverse repurchase agreements		7,595,000		—		7,595,000		7,595,000		—		—

In June 2014, the FASB issued Accounting Standards Update 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (ASU 2014-11) that expanded secured borrowing accounting for certain repurchase agreements. The ASU also sets forth additional disclosure requirements for certain transactions accounted for as secured borrowings, which applies to the reverse repurchase agreements held by the Funds. The ASU became effective prospectively for annual periods beginning after December 15, 2014, and for interim periods beginning after March 15, 2015. The Funds have adopted the ASU.

90 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of year-end, aggregated by asset class of the related collateral pledged by the Funds:

	Overnight and Continuous		Up to 30 days		31-90 days		Greater than 90 days		Total
High Yield Fund
Corporate Bonds	$	4,134,050	$	—	$	1,652,383	$	3,125,000	$	8,911,433
Gross amount of recognized liabilities for reverse repurchase agreements		4,134,050		—		1,652,383		3,125,000		8,911,433
Investment Grade Bond Fund
Corporate Bonds		612,188		5,697,992		—		—		6,310,180
Municipal Bonds		—		1,965,000		—		—		1,965,000
Gross amount of recognized liabilities for reverse repurchase agreements		612,188		7,662,992		—		—		8,275,180
Limited Duration Fund
Asset Backed Securities		—		—		7,595,000		—		7,595,000
Gross amount of recognized liabilities for reverse repurchase agreements		—		—		7,595,000		—		7,595,000

12. P-Class Shares

Effective May 1, 2015, the Funds started to offer P-Class shares. P-Class shares of the Funds are offered primarily through broker/dealers and other financial intermediaries with which GFD has an agreement for the use of P-Class shares of the Funds in investment products, programs or accounts. P-Class shares do not have a minimum initial investment amount, subsequent investment amount or a minimum account balance.

13. Legal Proceedings

Motors Liquidation Company

In June 2015, High Yield Fund became aware that it was named as a defendant in the case entitled Official Committee of Unsecured Creditors of Motors Liquidation Company v. JPMorgan Chase Bank, N.A., et al., Adversary Proceeding No. 09-00504 (Bankr. S.D.N.Y.). The lawsuit was initially filed in the United States Bankruptcy Court for the Southern District of New York on July 31, 2009 by the Official Committee of Unsecured Creditors of Motors Liquidation Company (f/k/a General Motors) against the former holders of an approximately $1.5 billion term loan issued pursuant to a term loan agreement, dated as of November 29, 2006, between General Motors, as borrower, JPMorgan Chase Bank, N.A., as administrative agent (“JPMorgan”), and various institutions as lenders, including High Yield Fund (f/k/a Security Income Fund – High Yield Series). The term loan lenders received a full repayment of the term loan pursuant to a court order issued in connection with the General Motors chapter 11 bankruptcy filing on June 1, 2009. The plaintiffs are seeking a court order that the lenders return the proceeds received in 2009 based on the contention that the security interest held by the lenders was not properly perfected, and as a result the lenders were unsecured creditors at the time General Motors filed for bankruptcy.

This lawsuit does not allege any wrongdoing on the part of the High Yield Fund and the Fund intends to vigorously defend the matter. If the plaintiffs are successful, it is reasonably possible that the High Yield Fund will be required to make payments in some amount (but not likely to exceed approximately $1,000,000), although the Fund may file or otherwise be a party to a cross-claim against a codefendant. At this stage of the proceedings, the High Yield Fund is unable to make a reliable predication as to the outcome of this lawsuit or the effect, if any, on the Fund’s net asset value. The High Yield Fund was not previously aware that it had been named as a defendant in this case because, in 2009, the Bankruptcy Court allowed the plaintiffs to refrain from serving any of the defendants other than JPMorgan with notice of the filing of the lawsuit.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

14. Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Fund	Restricted Securities	Acquisition Date	Cost		Value
High Yield Fund	Schahin II Finance Company SPV Ltd.
	5.88% due 09/25/22	03/12/15	$	139,296	$	31,598
	Unifrax I LLC / Unifrax Holding Co.
	7.50% due 02/15/19	01/17/14		144,661		86,450
	R&R Ice Cream plc
	8.25% due 05/15/20	06/19/14		187,926		158,018
				471,883		276,066
Investment Grade Bond Fund	Cadence Bank North America
	6.25% due 06/28/29	06/06/14		200,000		172,500
	Customers Bank
	6.12% due 06/26/29	06/24/14		500,000		500,000
	TIG Holdings, Inc.
	8.60% due 01/15/27	06/29/05		29,097		27,710
	Woodbourne Capital Trust I
	0.03%	01/20/06		954,589		488,281
	Woodbourne Capital Trust II
	0.03%	01/20/06		954,589		488,281
	Woodbourne Capital Trust III
	0.03%	01/20/06		954,589		488,281
	Woodbourne Capital Trust IV
	0.03%	01/20/06		954,589		488,281
				4,547,451		2,653,334
Limited Duration Fund	RFTI Issuer Ltd.
	2.19% due 08/15/30	10/14/15		3,979,984		3,991,574
	Schahin II Finance Company SPV Ltd.
	5.88% due 09/25/22	01/08/14		375,036		56,876
				4,355,020		4,048,450

15. 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 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 Statements 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

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.

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

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

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Assets Presented on the Statements of Assets and Liabilities		Financial Instruments		Cash Collateral Received		Net Amount
High Yield Fund	Forward foreign currency exchange contracts	$	9,031	$	—	$	9,031	$	9,031	$	—	$	—

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset In the Statements of Assets and Liabilities		Net Amount of Liabilities Presented on the Statements of Assets and Liabilities		Financial Instruments		Cash Collateral Received		Net Amount
High Yield Fund	Forward foreign currency exchange contracts	$	307,128	$	—	$	307,128	$	9,031	$	—	$	298,097

¹ Exchange-traded futures are excluded from these reported amounts.

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OTHER INFORMATION (Unaudited)

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 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.

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year 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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Board Considerations Regarding Approval of Investment Management Agreement - Guggenheim Diversified Income Fund

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust is authorized to issue an unlimited number of shares of beneficial interest in separate series, with each such series representing interests in a portfolio of securities and other assets (each, a “Fund” and collectively, the “Funds”). On August 20, 2015, Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), an indirect subsidiary of Guggenheim Partners, LLC, a global diversified financial services firm (“Guggenheim Partners”), was approved to serve as the investment adviser to the Guggenheim Diversified Income Fund (the “New Fund”), a new series of the Trust, pursuant to an investment advisory agreement between the Trust and GPIM, with respect to the New Fund (the “Investment Advisory Agreement”). (Guggenheim Partners, GPIM and its affiliates may be referred to herein together as “Guggenheim.”) Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), GPIM regularly provides (or oversees the provision of) investment research, advice and supervision, a continuous investment program and the purchase and sale of securities and other investments for various Funds’ portfolios. GPIM will provide those same services to the New Fund.

The 1940 Act, provides, in substance, that an investment advisory agreement between a fund and its investment adviser may be entered into only if it is approved, and may continue in effect from year to year after an initial two-year period only if its continuance is approved at least annually, by the fund’s board of trustees, including by a vote of a majority of the trustees who are not “interested persons,” as defined by the 1940 Act, of the fund, cast in person at a meeting called for the purpose of considering such approval. At a meeting held in person on August 20, 2015 (the “August Meeting”), the Trustees who are not “interested persons” (collectively, the “Independent Trustees”) met separately from Guggenheim to consider the approval of the proposed Investment Advisory Agreement. As part of its review process, the Independent Trustees were represented by independent legal counsel (“Independent Legal Counsel”). Independent Legal Counsel reviewed and discussed with the Independent Trustees various factors relevant to the consideration of the Investment Advisory Agreement and the legal responsibilities of the Trustees related to such consideration and assisted the Independent Trustees in their deliberations.

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OTHER INFORMATION (Unaudited)(continued)

The Trustees, including the Independent Trustees, discussed the Investment Advisory Agreement in light of the regulatory requirements and criteria and assessed information concerning the New Fund’s proposed investment advisory fee, investment objective and policies, investment strategies and expected strategy allocation weights, market opportunity and portfolio management team (including biographies), among other things. GPIM provided peer group comparisons of the proposed advisory fee and total operating expenses, as set forth in a report prepared by an independent, third party research provider, FUSE Research Networks LLC (“FUSE”).

The Independent Trustees also considered the variety of written materials, reports and oral presentations it received during the year with respect to the other series of the Trust and in connection with the Independent Trustees’ service on the boards of trustees of other registered investment companies or series thereof for which GPIM or an affiliate serves as investment adviser or sub-adviser (“Guggenheim Funds”). Thus, in connection with their consideration of the proposed Investment Advisory Agreement, the Independent Trustees also took into account relevant material provided by Guggenheim relating to the annual contract renewal proposals for the Guggenheim Funds considered at the May 19-20, 2015 Board meeting (“Contract Renewal”), including information concerning Guggenheim’s resources and financial information, as updated at the August Meeting.

The Board considered the foregoing materials in the context of its substantial accumulated experience in governing the other Guggenheim Funds and weighed the factors and standards discussed with Independent Legal Counsel. Following an analysis and discussion of the factors identified below and in the exercise of its business judgment, the Board concluded that it was in the best interests of the New Fund to approve the Investment Advisory Agreement for an initial term of two years.

Nature, Extent and Quality of Services to Be Provided by the Investment Adviser: With respect to the nature, extent and quality of services to be provided by the Investment Adviser for the New Fund, the Independent Trustees considered the functions to be performed by the Investment Adviser for the New Fund and the nature and quality of services provided by GPIM in the past, including the firm’s management capabilities demonstrated with respect to other Guggenheim Funds. The Independent Trustees also considered the Investment Adviser’s attention to relevant developments in the mutual fund industry and its observance of compliance and regulatory requirements and noted that on a regular basis the Board receives and reviews information from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act. The Board took into consideration the recent settlement of a regulatory matter and remedial steps taken in response by the Investment Adviser to enhance its compliance structure. In addition, the Independent Trustees took into account the various compliance and risk management initiatives undertaken by Guggenheim, including, among other things, the hiring of additional staff to support the firm’s Chief Risk Officer, initiatives related to the risks associated with the investment process and risk at the enterprise level, the organization’s risk management infrastructure and critical activities. The Independent Trustees also considered other initiatives intended to achieve greater enhancements and efficiencies in the organization’s ability to provide services to all Guggenheim Funds, including the New Fund, such as efforts to consolidate compliance manuals and align processes of the Funds with those of other funds managed by the Investment Manager or another Guggenheim affiliate. Moreover, in connection with the Board’s evaluation of the overall package of services to be provided by the Investment Adviser, the Board considered the Investment Adviser’s administrative capabilities, including its role in monitoring and coordinating compliance responsibilities with the fund administrator, transfer agent, distributor, custodian and other service providers to the New Fund.

With respect to Guggenheim’s resources and the ability of the Investment Adviser to carry out its responsibilities under the Investment Advisory Agreement, the Trustees considered the presentation by the Chief Financial Officer of Guggenheim Investments (the investment management business of Guggenheim Partners) in connection with Contract Renewal and his review of the audited financial statements of Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), the holding company of the investment advisers/managers (including GPIM), broker/dealers and other entities that comprise Guggenheim Investments. In this connection, the Board took into account management’s statement at the August Meeting that there have been no material adverse changes to the previously provided Contract Renewal materials, including the financial information, that would affect the Investment Adviser’s ability to carry out its responsibilities under the Investment Advisory Agreement or the Trustees’ ability to fulfill their obligations under Section 15(c) of the 1940 Act.

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OTHER INFORMATION (Unaudited)(continued)

The Board also considered the acceptability of the terms of the Investment Advisory Agreement (including the scope of services required to be performed by the Investment Adviser), noting that the terms were consistent with the terms of the investment advisory agreements of other open-end Guggenheim Funds. Based on the foregoing, and based on other information received (both oral and written) at the August Meeting and in connection with Contract Renewal, as well as other considerations, including the Board’s knowledge of the Investment Adviser’s quality of performance of its duties for other Guggenheim Funds through Board meetings, discussions and reports during the year, the Board concluded that the Investment Adviser and its personnel were qualified to serve the New Fund in such capacity.

Investment Performance: With respect to investment performance, the Board noted that the New Fund has no operating history. As a result, the Board considered that the New Fund’s investment objective is to seek to achieve high current income with consideration for capital appreciation and reviewed historical back-tested results. The Board also noted management’s explanation that until the New Fund reaches significant scale it will operate as a “fund of funds” that will seek to deliver a reliable source of income by diversifying the portfolio across multiple high income asset classes while incorporating elements of both strategic and tactical asset allocation. In this connection, the Board considered management’s target strategy weightings and description of the process for adjusting strategy exposures. The Board also considered GPIM’s investment expertise generally, and the portfolio managers’ expertise and experience with this type of investment process, and determined that GPIM’s performance was expected to be acceptable.

Comparative Fees, Costs of Services to be Provided and the Profits to be Realized by GPIM from its Relationship with the New Fund: The Board compared the New Fund’s proposed advisory fee and total operating expenses to a smaller peer group and larger universe, as set forth in the FUSE report. The Board also reviewed the median and average advisory fees and expense ratios, including certain expense ratio components (e.g., distribution fees, administration fees, transfer agency fees and fee waivers/reimbursements) of the peer group of funds and the percentile rankings. The Board noted the proposed advisory fee of 0.75% of average daily net asset and reviewed the projected total operating expense ratio for each of Class A, C, I and P, noting that in each case the advisory fee and expense ratio (after fee caps and waivers) was above the peer group median, ranging from the 64th to 73rd percentile as to the advisory fee, and from the 77th to 86th percentile as to the total expense ratio. In this regard, the Board took into account management’s statements regarding the expected categorization of the New Fund, the dispersion of fees in such category of funds and that strategies that take a more dynamic approach while still maintaining a conservative, fixed income-oriented portfolio tend to feature a management fee and expense ratio at the higher end of the pricing spectrum. As a part of its considerations, the Board noted that GPIM proposed a fee waiver/expense limitation agreement with respect to the New Fund, limiting ordinary operating expenses to 1.30% for Class A and Class P shares, 2.05% for Class C shares and 1.05% for Class I shares through February 1, 2017. In addition, the Board took into account the proposed Affiliated Fund Waiver Agreement under which Guggenheim agreed, through February 1, 2017, that it would waive the amount of the management fee to the extent necessary to offset the proportionate share of any management fee paid by the New Fund with respect to investment in an affiliated underlying fund.

With respect to the costs of advisory services to be provided and estimated level of profitability, the Trustees noted the start-up nature of the New Fund, and that they would have the opportunity in the future to periodically reexamine this matter.

The Board considered other benefits to be available to GPIM because of its relationship with the New Fund and noted that GPIM may be deemed to benefit from arrangements whereby an affiliate, Rydex Fund Services, LLC, will receive fees for: (i) performing certain administrative functions and bookkeeping, accounting and pricing functions for the New Fund pursuant to a Fund Accounting and Administration Agreement; and (ii) acting as transfer agent for the New Fund and performing all shareholder servicing functions, including transferring record ownership, processing purchase and redemption transactions, answering inquiries, mailing shareholder communications, and acting as the dividend disbursing agent pursuant to a Transfer Agency Agreement. In this connection, the Trustees 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. The Trustees also noted that they would have the opportunity in the future to periodically re-examine whether the New Fund had achieved economies of scale and the appropriateness of the advisory fees payable by the New Fund to GPIM.

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OTHER INFORMATION (Unaudited)(concluded)

Overall Conclusions

Based on the foregoing, the Trustees determined that the proposed investment advisory fee for the New 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 Investment Advisory Agreement is in the best interests of the New Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Trustee, in the exercise of his business judgment, may attribute different weights to different factors. At the August Meeting, the Board, including all of the Independent Trustees, approved the Investment Advisory Agreement for an initial term of two years.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee	Since 2014	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	105	Current: Trustee, Purpose Investments Inc. (2014-Present).
Donald A. Chubb, Jr. (1946 )	Trustee	Since 1994	Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-present).	101	Current: Midland Care, Inc. (2011-present).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	101	Current: Westar Energy, Inc. (2004-present); CoreFirst Bank & Trust (2000-present).
Roman Friedrich III (1946)	Trustee and Chairman of the Contracts Review Committee	Since 2014	Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). Former: Senior Managing Director, MLV & Co. LLC (2010-2011).	101	Current: Zincore Metals, Inc. (2009-present). Former: Axiom Gold and Silver Corp. (2011-2012).
Robert B. Karn III (1942)	Trustee and Chairman of the Audit Committee	Since 2014	Current: Consultant (1998-present). Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).	101	Current: Peabody Energy Company (2003-present); GP Natural Resource Partners, LLC (2002- present).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Nyberg & Cassioppi, LLC (2000-present). Former: Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	107	Current: Edward-Elmhurst Healthcare System (2012-present).

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - concluded
Maynard F. Oliverius (1943)	Trustee	Since 1998	Current: Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012).	101	Current: Fort Hays State University Foundation (1999-present); Stormont-Vail Foundation (2013-present); University of Minnesota HealthCare Alumni Association Foundation (2009-present).
Ronald E. Toupin, Jr. (1958)	Trustee and Chairman of the Board	Since 2014	Current: Portfolio Consultant (2010-present). 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).	104	Former: Bennett Group of Funds (2011-2013).
INTERESTED TRUSTEES
Donald C. Cacciapaglia*** (1951)	President, Chief Executive Officer and Trustee	Since 2012	Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present). Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010).	236	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present).

*	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)(continued)

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS
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).
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 (1961)	Vice President and Chief Legal Officer	Since 2007 (Vice President) Since 2014 (Chief Legal Officer)	Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Senior 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); Managing Director, Guggenheim Investments (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).

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - concluded
Adam Nelson (1979)	Assistant Treasurer	Since 2015	Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011).
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 (2013-2014).
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 (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.

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GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded)

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.

We’ll Keep You Informed

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 103

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3.31.2016

Guggenheim Funds Semi-Annual Report

Fundamental Alpha

Guggenheim Mid Cap Value Fund

MCV-SEMI-0316x0916 guggenheiminvestments.com

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
MID CAP VALUE FUND	9
NOTES TO FINANCIAL STATEMENTS	20
OTHER INFORMATION	27
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	28
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	35

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2016

Dear Shareholder:

Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for the Guggenheim Mid Cap Value Fund (the “Fund”) for the six-month period ended March 31, 2016.

The Investment Adviser is 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 Adviser.

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, 2016

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 (Unaudited) March 31, 2016

Financial markets were buffeted by a variety of events over the past six months, including volatility in the oil market, weak growth in China, ongoing stimulus from global central banks, and a 25 basis point increase in the U.S. federal funds target rate in December. While the direct impact of the move was fairly insignificant, the decision to begin normalization of interest rates after seven years of unprecedented liquidity provision was not. Indeed, in 2015, risk assets posted their worst annual performance since the 2008 financial crisis, as market participants’ expectations for the start of rate hikes collided with concern about plunging commodity prices, and slowing economic growth in China and other emerging market economies.

As 2016 began, forecasts for U.S. and global economic growth were downgraded, and recession fears surged along with market volatility. Estimates for first quarter gross domestic product (“GDP”) in the U.S. were marked down, even though first quarter GDP has undershot full-year growth rates in six out of the last seven years. Risk assets rallied in the last half of the first quarter, led by a dovish pivot in the U.S. Federal Reserve’s (the “Fed”) communication that spurred a rally in crude oil and a reversal of dollar strength. The weaker dollar, along with optimism about a production freeze agreed to by a group of major oil producing countries, helped oil to rebound. After falling in the early weeks of the year to a cycle low of $26 per barrel on February 11, 2016, the front-month West Texas Intermediate (“WTI”) oil futures contract rallied as high as $40 per barrel before closing the quarter at $38 per barrel.

The outlook for economic growth outside the U.S. softened in the first quarter. A further deterioration in the euro zone inflation outlook prompted the European Central Bank (“ECB”) to announce an increase in the size of its monthly asset purchases and reduce its deposit rate to -40 basis points. European government bonds rallied following the announcement, with the 10-year German bund ending the first quarter with a yield of just 16 basis points.

Ongoing stimulus efforts in Asia also appeared likely to contribute to low U.S. rates. Chinese industrial production growth continued to slow in early 2016, prompting the People’s Bank of China (“PBOC”) to stimulate credit growth by allowing banks to hold fewer reserves against deposits. And after years of struggling with stagnant growth and low inflation, the Bank of Japan (“BOJ”) surprised markets by cutting its key interest rate to -10 basis points in January. The negative rates pushed a considerable amount of Japanese savings into foreign markets.

In an environment where global rates are moving lower and markets are already starved for yield, foreign investors began looking to the U.S. Guggenheim expects that U.S. Treasury yields will fall further as the gravitational pull of global yields gets stronger, and does not discount the possibility of 10-year U.S. Treasury yields declining to closer to 1 percent before the end of the year.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(continued) March 31, 2016

A stronger dollar has weighed on the U.S. economy, but consumer spending has been resilient. The labor market is now operating near full employment, and tight labor market conditions are beginning to spur faster wage growth. We believe the U.S. economy is fundamentally sound, and find little evidence to support the conclusion that the economy will fall into a recession in 2016.

Despite the relative health of the U.S. economy, markets are concerned that sluggish global growth will hold back the U.S. expansion, that inflation will remain below the Fed’s target for longer, and that tighter conditions in credit markets have raised recession risks. Our view is that the Fed remains focused on fulfilling its dual mandate objectives of maximum employment and price stability, and thus is biased toward normalizing policy. We expect further declines in the unemployment rate as job gains outstrip growth in the labor force. Meanwhile, core and headline inflation should move closer to the Fed’s target by year end, reflecting our forecasts for a tighter labor market and a modest rise in oil prices. Normally, this would result in at least two Fed rate hikes on the table for 2016, but the U.S. Fed is becoming more sensitive to global financial conditions and the extent of global money flows that occur as monetary policy in the U.S. diverges from Europe, Japan and China. As a result, we have reduced our expectations for a June rate hike, although it would normally be an easy call. We continue to believe a December rate hike is a near certainty. A solid macroeconomic backdrop and a rebalancing oil market should support an improving credit picture in the second half of 2016.

For the six months ended March 31, 2016, the Standard & Poor’s 500^® (“S&P 500”) Index* returned 8.49%. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index* returned 1.56%. The return of the MSCI Emerging Markets Index* was 6.41%.

In the bond market, the Barclays U.S. Aggregate Bond Index* posted a 2.44% return for the period, while the Barclays U.S. Corporate High Yield Index* returned 1.22%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.11% 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.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2016

*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 (“USD”) 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 U.S. dollar 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 | 5

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, 2015 and ending March 31, 2016.

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.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

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 up to the past five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2015	Ending Account Value March 31, 2016	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Mid Cap Value Fund
A-Class	1.47%	6.54%	$ 1,000.00	$ 1,065.40	$ 7.59
C-Class	2.24%	6.13%	1,000.00	1,061.30	11.54
P-Class	1.32%	6.53%	1,000.00	1,065.30	6.82
Table 2. Based on hypothetical 5% return (before expenses)
Mid Cap Value Fund
A-Class	1.47%	5.00%	$ 1,000.00	$ 1,017.65	$ 7.41
C-Class	2.24%	5.00%	1,000.00	1,013.80	11.28
P-Class	1.32%	5.00%	1,000.00	1,018.40	6.66

1	Annualized and excludes expenses of the underlying funds in which the Fund invests.
2	Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2015 to March 31, 2016.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited) March 31, 2016

MID CAP VALUE FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

 

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

Inception Dates:
A-Class	May 1, 1997
C-Class	January 29, 1999
P-Class	May 1, 2015

Ten Largest Holdings (% of Total Net Assets)
FLIR Systems, Inc.	2.8%
Ameren Corp.	2.4%
Pinnacle West Capital Corp.	2.1%
Alleghany Corp.	2.0%
Zions Bancorporation	1.8%
Sonoco Products Co.	1.8%
Hanover Insurance Group, Inc.	1.7%
Camden Property Trust	1.7%
CubeSmart	1.7%
DigitalGlobe, Inc.	1.6%
Top Ten Total	19.6%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
MID CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 99.0%
Financial - 28.4%
Alleghany Corp.*		21,095	$	10,467,338
Zions Bancorporation		391,600		9,480,636
Hanover Insurance Group, Inc.		102,539		9,251,069
Camden Property Trust		107,330		9,025,379
CubeSmart		266,180		8,863,794
FirstMerit Corp.		390,600		8,222,130
Corrections Corporation of America		254,692		8,162,879
Popular, Inc.		273,540		7,825,979
Endurance Specialty Holdings Ltd.		109,931		7,182,892
Sun Communities, Inc.		98,283		7,038,046
Assured Guaranty Ltd.		259,169		6,556,976
Wintrust Financial Corp.		143,310		6,354,365
Apartment Investment & Management Co. — Class A		150,277		6,284,584
Fulton Financial Corp.		456,532		6,108,398
Trustmark Corp.		244,500		5,630,835
Alexandria Real Estate Equities, Inc.		56,412		5,127,287
E*TRADE Financial Corp.*		205,449		5,031,446
Parkway Properties, Inc.		294,149		4,606,373
Prosperity Bancshares, Inc.		85,330		3,958,459
Lexington Realty Trust		330,030		2,838,258
Equity Commonwealth*		94,614		2,670,007
Unum Group		83,906		2,594,374
KeyCorp		231,413		2,554,800
BancorpSouth, Inc.		89,664		1,910,740
Umpqua Holdings Corp.		85,868		1,361,866
Monogram Residential Trust, Inc.		130,475		1,286,484
Total Financial				150,395,394
Industrial - 16.6%
FLIR Systems, Inc.		444,600		14,649,570
Sonoco Products Co.		193,130		9,380,324
Gentex Corp.		462,953		7,263,733
Huntington Ingalls Industries, Inc.		45,765		6,267,059
Knight Transportation, Inc.		237,090		6,199,904
Oshkosh Corp.		135,159		5,523,948
Ryder System, Inc.		77,589		5,026,215
WestRock Co.		125,959		4,916,180
Werner Enterprises, Inc.		166,265		4,515,757
Owens Corning		86,960		4,111,469
Scorpio Tankers, Inc.		668,711		3,898,585
Owens-Illinois, Inc.*		218,696		3,490,388
Kirby Corp.*		49,524		2,985,802
Harris Corp.		35,380		2,754,687
Colfax Corp.*		95,731		2,736,949
ITT Corp.		72,728		2,682,936
Terex Corp.		53,076		1,320,531
Total Industrial				87,724,037
Consumer, Non-cyclical - 14.6%
MEDNAX, Inc.*		106,118		6,857,345
Bunge Ltd.		120,759		6,843,413
Quest Diagnostics, Inc.		78,106		5,580,674
Emergent BioSolutions, Inc.*		148,838		5,410,261
Navigant Consulting, Inc.*		336,652		5,322,467
Sanderson Farms, Inc.		57,020		5,142,064
Darling Ingredients, Inc.*		381,289		5,021,576
ICF International, Inc.*		138,124		4,747,322
HealthSouth Corp.		123,569		4,649,901
Surgical Care Affiliates, Inc.*		90,009		4,165,617
Premier, Inc. — Class A*		124,090		4,139,642
Kindred Healthcare, Inc.		231,523		2,859,309
Patterson Companies, Inc.		59,976		2,790,683
WEX, Inc.*		32,430		2,703,365
FTI Consulting, Inc.*		74,145		2,632,889
Universal Corp.		39,860		2,264,447
Ingredion, Inc.		20,287		2,166,449
United Rentals, Inc.*		33,714		2,096,674
Community Health Systems, Inc.*		81,577		1,509,990
Everi Holdings, Inc.*		233,280		534,211
Total Consumer, Non-cyclical				77,438,299

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MID CAP VALUE FUND

	Shares		Value
Utilities - 11.4%
Ameren Corp.		253,760	$	12,713,375
Pinnacle West Capital Corp.		145,306		10,908,121
Westar Energy, Inc.		146,354		7,260,622
Black Hills Corp.		119,721		7,198,824
Great Plains Energy, Inc.		209,562		6,758,375
Avista Corp.		146,910		5,990,990
Portland General Electric Co.		151,325		5,975,824
OGE Energy Corp.		118,420		3,390,365
Total Utilities				60,196,496
Consumer, Cyclical – 11.0%
J.C. Penney Company, Inc.*		728,985		8,062,574
DR Horton, Inc.		201,457		6,090,045
Visteon Corp.		75,655		6,021,382
Caleres, Inc.		194,838		5,511,968
PVH Corp.		53,085		5,258,600
Essendant, Inc.		161,442		5,154,843
UniFirst Corp.		39,320		4,290,598
iRobot Corp.*		88,738		3,132,451
WESCO International, Inc.*		56,286		3,077,156
CalAtlantic Group, Inc.		84,934		2,838,494
Goodyear Tire & Rubber Co.		80,514		2,655,352
Sonic Automotive, Inc. — Class A		89,542		1,654,736
Tenneco, Inc.*		30,155		1,553,284
La-Z-Boy, Inc.		57,330		1,533,004
AutoNation, Inc.*		24,812		1,158,224
Total Consumer, Cyclical				57,992,711
Technology - 6.6%
CSRA, Inc.		287,864		7,743,542
IXYS Corp.		669,917		7,516,469
Maxwell Technologies, Inc.*		1,187,841		7,055,775
Cree, Inc.*		151,780		4,416,798
Super Micro Computer, Inc.*		116,111		3,957,063
ManTech International Corp. — Class A		49,690		1,589,583
Diebold, Inc.		50,426		1,457,816
MKS Instruments, Inc.		36,800		1,385,520
Total Technology				35,122,566
Energy - 3.7%
Marathon Oil Corp.		441,900		4,922,766
Whiting Petroleum Corp.*		616,012		4,915,776
Oasis Petroleum, Inc.*		511,760		3,725,613
Rowan Companies plc — Class A		224,330		3,611,713
Sanchez Energy Corp.*		438,780		2,408,902
Total Energy				19,584,770
Communications - 3.6%
DigitalGlobe, Inc.*		477,884		8,267,393
Finisar Corp.*		365,178		6,660,847
Scripps Networks Interactive, Inc. — Class A		66,734		4,371,077
Total Communications				19,299,317
Basic Materials - 3.1%
Reliance Steel & Aluminum Co.		74,070		5,124,902
Olin Corp.		164,862		2,863,653
Stillwater Mining Co.*		248,650		2,648,123
Landec Corp.*		228,143		2,395,502
Calgon Carbon Corp.		166,180		2,329,844
Freeport-McMoRan, Inc.		122,807		1,269,824
Total Basic Materials				16,631,848
Total Common Stocks
(Cost $494,103,860)				524,385,438
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Thermoenergy Corp. due *,1,3		858,334		1,754
Total Convertible Preferred Stocks
(Cost $819,654)				1,754

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
MID CAP VALUE FUND

	Shares		Value
SHORT TERM INVESTMENTS† - 0.5%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.18%2		2,800,117	$	2,800,117
Total Short Term Investments
(Cost $2,800,117)				2,800,117
Total Investments - 99.5%
(Cost $497,723,631)			$	527,187,309
Other Assets & Liabilities, net - 0.5%				2,651,760
Total Net Assets - 100.0%			$	529,839,069

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
2	Rate indicated is the 7 day yield as of March 31, 2016.
3	Illiquid security.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Common Stocks	$	524,385,438	$	—	$	—	$	524,385,438
Convertible Preferred Stocks		—		—		1,754		1,754
Short Term Investments		2,800,117		—		—		2,800,117
Total	$	527,185,555	$	—	$	1,754	$	527,187,309

For the period ended March 31, 2016, there were no transfers between levels.

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

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

MID CAP VALUE FUND

March 31, 2016

Assets:
Investments, at value (cost $497,723,631)	$	527,187,309
Prepaid expenses		72,793
Cash		11,428
Receivables:
Securities sold		4,720,558
Dividends		823,247
Fund shares sold		69,190
Foreign taxes reclaim		13,049
Total assets		532,897,574
Liabilities:
Payable for:
Fund shares redeemed		1,273,972
Securities purchased		589,977
Management fees		373,189
Distribution and service fees		178,279
Fund accounting/administration fees		41,906
Trustees’ fees*		35,745
Miscellaneous		565,437
Total liabilities		3,058,505
Net assets	$	529,839,069
Net assets consist of:
Paid in capital	$	489,198,919
Undistributed net investment income		5,044,636
Accumulated net realized gain on investments		6,131,836
Net unrealized appreciation on investments		29,463,678
Net assets	$	529,839,069
A-Class:
Net assets	$	420,613,040
Capital shares outstanding		15,068,427
Net asset value per share	$	27.91
Maximum offering price per share (Net asset value divided by 95.25%)	$	29.30
C-Class:
Net assets	$	108,142,556
Capital shares outstanding		5,126,763
Net asset value per share	$	21.09
P-Class:
Net assets	$	1,083,473
Capital shares outstanding		38,954
Net asset value per share	$	27.81

* 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 | 13

STATEMENT OF OPERATIONS (Unaudited)

MID CAP VALUE FUND

Period Ended March 31, 2016

Investment Income:
Dividends (net of foreign withholding tax of $8,537)	$	9,547,130
Interest		374
Other income		248
Total investment income		9,547,752
Expenses:
Management fees		2,325,684
Transfer agent/maintenance fees
A-Class		334,755
C-Class		97,333
P-Class		65
Distribution and service fees:
A-Class		548,116
C-Class		573,278
P-Class		341
Fund accounting/administration fees		262,872
Line of credit fees		44,393
Trustees’ fees*		40,260
Custodian fees		17,502
Miscellaneous		258,517
Total expenses		4,503,116
Net investment income		5,044,636
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	8,588,254
Net realized gain		8,588,254
Net change in unrealized appreciation (depreciation) on:
Investments		20,029,525
Net change in unrealized appreciation (depreciation)		20,029,525
Net realized and unrealized gain		28,617,779
Net increase in net assets resulting from operations	$	33,662,415

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

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

STATEMENTS OF CHANGES IN NET ASSETS

MID CAP VALUE FUND

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	5,044,636		$	430,814
Net realized gain on investments		8,588,254			148,539,157
Net change in unrealized appreciation (depreciation) on investments		20,029,525			(179,558,088	)
Net increase (decrease) in net assets resulting from operations		33,662,415			(30,588,117	)
Distributions to shareholders from:
Net realized gains
A-Class		(71,175,868	)		(123,882,978	)
B-Class		—			(1,863,094	)
C-Class		(23,558,203	)		(28,169,528	)
P-Class		(15,730	)		—
Total distributions to shareholders		(94,749,801	)		(153,915,600	)
Capital share transactions:
Proceeds from sale of shares
A-Class		17,582,818			95,234,863
B-Class		—			61,226
C-Class		3,804,146			9,969,782
P-Class		1,183,325			62,301	*
Distributions reinvested
A-Class		65,228,180			114,025,165
B-Class		—			1,753,261
C-Class		20,922,534			24,118,771
P-Class		15,730			—	*
Cost of shares redeemed
A-Class		(94,876,703	)		(604,909,941	)
B-Class		—			(12,817,123	)
C-Class		(25,639,464	)		(63,102,815	)
P-Class		(190,614	)		—	*
Net decrease from capital share transactions		(11,970,048	)		(435,604,510	)
Net decrease in net assets		(73,057,434	)		(620,108,227	)
Net assets:
Beginning of period		602,896,503			1,223,004,730
End of period	$	529,839,069		$	602,896,503
Undistributed net investment income at end of period	$	5,044,636		$	—

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

STATEMENTS OF CHANGES IN NET ASSETS(concluded)

MID CAP VALUE FUND

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		656,372			2,752,607
B-Class		—			2,355
C-Class		182,844			363,138
P-Class		43,626			1,862	*
Shares issued from reinvestment of distributions
A-Class		2,398,977			3,380,581
B-Class		—			68,273
C-Class		1,015,657			893,949
P-Class		581			—	*
Shares redeemed
A-Class		(3,438,061	)		(17,642,149	)
B-Class		—			(501,001	)
C-Class		(1,208,142	)		(2,316,755	)
P-Class		(7,115	)		—	*
Net decrease in shares		(355,261	)		(12,997,140	)

* Since the commencement of operations: May 1, 2015.

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

FINANCIAL HIGHLIGHTS

MID CAP VALUE FUND

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

A-Class	Period Ended March 31, 2016a			Year Ended Sept. 30, 2015			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Year Ended Sept. 30, 2012			Year Ended Sept. 30, 2011
Per Share Data
Net asset value, beginning of period	$	30.86		$	37.73		$	38.15		$	33.05		$	27.13		$	29.55
Income (loss) from investment operations:
Net investment income (loss)b		.28			.06			.03			.04			(.07	)		(.03	)
Net gain (loss) on investments (realized and unrealized)		1.61			(2.24	)		2.04			8.59			6.54			(2.31	)
Total from investment operations		1.89			(2.18	)		2.07			8.63			6.47			(2.34	)
Less distributions from:
Net investment income		—			—			—			—			—			(.08	)
Net realized gains		(4.84	)		(4.69	)		(2.49	)		(3.53	)		(.55	)		—
Total distributions		(4.84	)		(4.69	)		(2.49	)		(3.53	)		(.55	)		(.08	)
Net asset value, end of period	$	27.91		$	30.86		$	37.73		$	38.15		$	33.05		$	27.13
Total Returnc		6.54	%		(6.83	%)		5.52	%		28.93	%		24.13	%		(7.98	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	420,613		$	476,792		$	1,017,208		$	1,038,762		$	903,221		$	973,467
Ratios to average net assets:
Net investment income (loss)		1.99	%		0.18	%		0.08	%		0.11	%		(0.22	%)		(0.10	%)
Total expensese		1.47	%		1.42	%		1.39	%		1.39	%		1.46	%		1.32	%
Portfolio turnover rate		27	%		84	%		35	%		23	%		19	%		28	%

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

FINANCIAL HIGHLIGHTS (continued)

MID CAP VALUE FUND

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

C-Class	Period Ended March 31, 2016a			Year Ended Sept. 30, 2015			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Year Ended Sept. 30, 2012			Year Ended Sept. 30, 2011
Per Share Data
Net asset value, beginning of period	$	24.54		$	31.14		$	32.13		$	28.57		$	23.68		$	25.93
Income (loss) from investment operations:
Net investment income (loss)b		.13			(.15	)		(.21	)		(.18	)		(.25	)		(.24	)
Net gain (loss) on investments (realized and unrealized)		1.26			(1.76	)		1.71			7.27			5.69			(2.01	)
Total from investment operations		1.39			(1.91	)		1.50			7.09			5.44			(2.25	)
Less distributions from:
Net realized gains		(4.84	)		(4.69	)		(2.49	)		(3.53	)		(.55	)		—
Total distributions		(4.84	)		(4.69	)		(2.49	)		(3.53	)		(.55	)		—
Net asset value, end of period	$	21.09		$	24.54		$	31.14		$	32.13		$	28.57		$	23.68
Total Returnc		6.13	%		(7.49	%)		4.74	%		27.98	%		23.28	%		(8.68	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	108,143		$	126,047		$	192,942		$	219,695		$	191,249		$	188,745
Ratios to average net assets:
Net investment income (loss)		1.20	%		(0.53	%)		(0.65	%)		(0.62	%)		(0.92	%)		(0.85	%)
Total expensese		2.24	%		2.12	%		2.12	%		2.12	%		2.17	%		2.07	%
Portfolio turnover rate		27	%		84	%		35	%		23	%		19	%		28	%

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

FINANCIAL HIGHLIGHTS (concluded)

MID CAP VALUE FUND

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.

P-Class	Period Ended March 31, 2016a			Period Ended Sept. 30, 2015d
Per Share Data
Net asset value, beginning of period	$	30.77		$	33.91
Income (loss) from investment operations:
Net investment income (loss)b		.33			.10
Net gain (loss) on investments (realized and unrealized)		1.55			(3.24	)
Total from investment operations		1.88			(3.14	)
Less distributions from:
Net realized gains		(4.84	)		—
Total distributions		(4.84	)		—
Net asset value, end of period	$	27.81		$	30.77
Total Returnc		6.53	%		(9.26	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,083		$	57
Ratios to average net assets:
Net investment income (loss)		2.56	%		0.71	%
Total expensese		1.32	%		1.32	%
Portfolio turnover rate		27	%		84	%

a	Unaudited figures for the period ended March 31, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Since commencement of operations: May 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
e	Does not include expenses of the underlying funds in which the Fund invests.

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

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 an 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.

The Trust offers a combination of four separate classes of shares, A-Class shares, C-Class shares, P-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. 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 previously offered have been converted to A-Class shares effective July 31, 2014 for the Alpha Opportunity Fund, and effective August 8, 2015 for the other funds in the Trust. 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 require a minimum initial investment of $2 million and a minimum account balance of $1 million. At March 31, 2016, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Mid Cap Value Fund (the “Fund”), a diversified investment company. Only A-Class, C-Class and P-Class shares had been issued by the Fund.

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

Significant Accounting Policies

The Fund operates as an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect

20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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.

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

A. The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities or other assets.

Valuations of the Fund’s securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, and will review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used by, and valuations provided by, the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

Equity securities listed 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 a given day, the security is valued at the closing bid price on that day.

Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business on the valuation date.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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. These methods include but are not limited to: (i) obtaining general information as to how these securities and assets trade; and (ii) obtaining other information and considerations, including current values in related markets.

B. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the Fund. 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 discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

C. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.

D. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net assets of each Fund included in the Trust.

22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

E. Under the fee arrangement with the custodian, the Fund 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, 2016, there were no earnings credits received.

F. The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.25% at March 31, 2016.

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

2. Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund 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 Fund’s 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 Fund’s 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 Fund’s financial statements. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

At March 31, 2016, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund Name	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Gain (Loss)
Mid Cap Value Fund	$	499,113,110	$	71,732,788	$	(43,658,589	)	$	28,074,199

3. Fees and Other Transactions with Affiliates

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at 1.00% of the average daily net assets of $200 million or less and 0.75% of the average daily net assets of the Fund in excess of $200 millon.

RFS provides transfer agent services to the Fund for fees calculated at the rate below, which are assessed to the applicable classes of the Fund. For these services, RFS receives the following:

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

^† Not subject to Fund during first twelve months of operations.

RFS also acts as the administrative agent for the Fund, and as such performs administrative functions and the bookkeeping, accounting and pricing functions for the Fund. For these services, RFS receives 0.095% of the average daily net assets of the Fund. The minimum annual charge for administrative fees is $25,000.

RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Fund has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

For the period ended March 31, 2016, GFD retained sales charges of $274,695 relating to sales of A-Class shares of the Trust.

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

4. Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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.

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.

5. Securities Transactions

For the period ended March 31, 2016, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Fund	Purchases		Sales
Mid Cap Value Fund	$	148,993,027	$	232,327,056

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of Trustees of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended March 31, 2016, the Fund did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.

6. Line of Credit

The Funds, with the exception of Alpha Opportunity Fund, Capital Stewardship Fund, Diversified Income Fund and Market Neutral Real Estate Fund, secured a committed $800,000,000 line of credit from Citibank, N.A., good through October 7, 2016, at which time the line of credit may be renewed. 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 Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate (0.25% at March 31, 2016), plus 1/2 of 1%. The Funds also pay a commitment fee at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings under this agreement as of and for the period-ended March 31, 2016.

7. Other Liabilities

The Fund wrote put option contracts through Lehman Brothers Inc., (“LBI”) that were exercised prior to the option contracts’ expiration and prior to the bankruptcy filing by LBI, during September, 2008. However, these transactions have not settled and the securities have not been delivered to the Fund as of March 31, 2016.

Although the ultimate resolution of these transactions is uncertain, the Fund has recorded a liability on its books equal to the difference between the strike price on the put options and the market price of the underlying security on the exercise date. The amount of the liability recorded in miscellaneous payables by the Fund as of March 31, 2016, was $473,594.

26 | 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.

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year 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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee	Since 2014	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	105	Current: Trustee, Purpose Investments Inc. (2014-Present).
Donald A. Chubb, Jr. (1946)	Trustee	Since 1994	Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-present).	101	Current: Midland Care, Inc. (2011-present).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	101	Current: Westar Energy, Inc. (2004-present); CoreFirst Bank & Trust (2000-present).

28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - continued
Roman Friedrich III (1946)	Trustee and Chairman of the Contracts Review Committee	Since 2014	Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). Former: Senior Managing Director, MLV & Co. LLC (2010-2011).	101	Current: Zincore Metals, Inc. (2009-present). Former: Axiom Gold and Silver Corp. (2011-2012).
Robert B. Karn III (1942)	Trustee and Chairman of the Audit Committee	Since 2014	Current: Consultant (1998-present). Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).	101	Current: Peabody Energy Company (2003-present); GP Natural Resource Partners, LLC (2002- present).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Nyberg & Cassioppi, LLC (2000-present). Former: Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	107	Current: Edward-Elmhurst Healthcare System (2012-present).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - concluded
Maynard F. Oliverius (1943)	Trustee	Since 1998	Current: Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012).	101	Current: Fort Hays State University Foundation (1999-present); Stormont-Vail Foundation (2013-present); University of Minnesota HealthCare Alumni Association Foundation (2009-present).
Ronald E. Toupin, Jr. (1958)	Trustee and Chairman of the Board	Since 2014	Current: Portfolio Consultant (2010-present). 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).	104	Former: Bennett Group of Funds (2011-2013).

30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INTERESTED TRUSTEE
Donald C. Cacciapaglia*** (1951)	President, Chief Executive Officer and Trustee	Since 2012	Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present). Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010).	236	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present).

*	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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS
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).
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 (1961)	Vice President and Chief Legal Officer	Since 2007 (Vice President) Since 2014 (Chief Legal Officer)	Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).

32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - continued
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Senior 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); Managing Director, Guggenheim Investments (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).
Adam Nelson (1979)	Assistant Treasurer	Since 2015	Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011).
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 (2013-2014).

 4 THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - continued
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 (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.

34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(continued)

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.

36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded)

How We Safeguard Your Personal Information

We restrict access to nonpublic personal information about shareholders to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We’ll Keep You Informed

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37

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3.31.2016

Guggenheim Funds Semi-Annual Report

Fundamental Alpha

Guggenheim Mid Cap Value Institutional Fund

MCVI-SEMI-0316x0916 guggenheiminvestments.com

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
MID CAP VALUE INSTITUTIONAL FUND	9
NOTES TO FINANCIAL STATEMENTS	17
OTHER INFORMATION	24
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	25
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	32

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2016

Dear Shareholder:

Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for the Guggenheim Mid Cap Value Institutional Fund (the “Fund”) for the six-month period ended March 31, 2016.

The Investment Adviser is 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 Adviser.

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, 2016

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 (Unaudited) March 31, 2016

Financial markets were buffeted by a variety of events over the past six months, including volatility in the oil market, weak growth in China, ongoing stimulus from global central banks, and a 25 basis point increase in the U.S. federal funds target rate in December. While the direct impact of the move was fairly insignificant, the decision to begin normalization of interest rates after seven years of unprecedented liquidity provision was not. Indeed, in 2015, risk assets posted their worst annual performance since the 2008 financial crisis, as market participants’ expectations for the start of rate hikes collided with concern about plunging commodity prices, and slowing economic growth in China and other emerging market economies.

As 2016 began, forecasts for U.S. and global economic growth were downgraded, and recession fears surged along with market volatility. Estimates for first quarter gross domestic product (“GDP”) in the U.S. were marked down, even though first quarter GDP has undershot full-year growth rates in six out of the last seven years. Risk assets rallied in the last half of the first quarter, led by a dovish pivot in the U.S. Federal Reserve’s (the “Fed”) communication that spurred a rally in crude oil and a reversal of dollar strength. The weaker dollar, along with optimism about a production freeze agreed to by a group of major oil producing countries, helped oil to rebound. After falling in the early weeks of the year to a cycle low of $26 per barrel on February 11, 2016, the front-month West Texas Intermediate (“WTI”) oil futures contract rallied as high as $40 per barrel before closing the quarter at $38 per barrel.

The outlook for economic growth outside the U.S. softened in the first quarter. A further deterioration in the euro zone inflation outlook prompted the European Central Bank (“ECB”) to announce an increase in the size of its monthly asset purchases and reduce its deposit rate to -40 basis points. European government bonds rallied following the announcement, with the 10-year German bund ending the first quarter with a yield of just 16 basis points.

Ongoing stimulus efforts in Asia also appeared likely to contribute to low U.S. rates. Chinese industrial production growth continued to slow in early 2016, prompting the People’s Bank of China (“PBOC”) to stimulate credit growth by allowing banks to hold fewer reserves against deposits. And after years of struggling with stagnant growth and low inflation, the Bank of Japan (“BOJ”) surprised markets by cutting its key interest rate to -10 basis points in January. The negative rates pushed a considerable amount of Japanese savings into foreign markets.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(continued) March 31, 2016

In an environment where global rates are moving lower and markets are already starved for yield, foreign investors began looking to the U.S. Guggenheim expects that U.S. Treasury yields will fall further as the gravitational pull of global yields gets stronger, and does not discount the possibility of 10-year U.S. Treasury yields declining to closer to 1 percent before the end of the year.

A stronger dollar has weighed on the U.S. economy, but consumer spending has been resilient. The labor market is now operating near full employment, and tight labor market conditions are beginning to spur faster wage growth. We believe the U.S. economy is fundamentally sound, and find little evidence to support the conclusion that the economy will fall into a recession in 2016.

Despite the relative health of the U.S. economy, markets are concerned that sluggish global growth will hold back the U.S. expansion, that inflation will remain below the Fed’s target for longer, and that tighter conditions in credit markets have raised recession risks. Our view is that the Fed remains focused on fulfilling its dual mandate objectives of maximum employment and price stability, and thus is biased toward normalizing policy. We expect further declines in the unemployment rate as job gains outstrip growth in the labor force. Meanwhile, core and headline inflation should move closer to the Fed’s target by year end, reflecting our forecasts for a tighter labor market and a modest rise in oil prices. Normally, this would result in at least two Fed rate hikes on the table for 2016, but the U.S. Fed is becoming more sensitive to global financial conditions and the extent of global money flows that occur as monetary policy in the U.S. diverges from Europe, Japan and China. As a result, we have reduced our expectations for a June rate hike, although it would normally be an easy call. We continue to believe a December rate hike is a near certainty. A solid macroeconomic backdrop and a rebalancing oil market should support an improving credit picture in the second half of 2016.

For the six months ended March 31, 2016, the Standard & Poor’s 500^® (“S&P 500”) Index* returned 8.49%. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index* returned 1.56%. The return of the MSCI Emerging Markets Index* was 6.41%.

In the bond market, the Barclays U.S. Aggregate Bond Index* posted a 2.44% return for the period, while the Barclays U.S. Corporate High Yield Index* returned 1.22%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.11% 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.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2016

*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 U.S. dollar 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 | 5

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, 2015 and ending March 31, 2016.

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.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

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 up to the past five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2015	Ending Account Value March 31, 2016	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Mid Cap Value Institutional Fund	1.07%	6.99%	$ 1,000.00	$ 1,069.90	$ 5.54
Table 2. Based on hypothetical 5% return (before expenses)
Mid Cap Value Institutional Fund	1.07%	5.00%	$ 1,000.00	$ 1,019.65	$ 5.40

1	Annualized and excludes expenses of the underlying funds in which the Fund invests.
2	Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2015 to March 31, 2016.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited) March 31, 2016

MID CAP VALUE INSTITUTIONAL FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Date: July 11, 2008

Ten Largest Holdings (% of Total Net Assets)
FLIR Systems, Inc.	2.8%
Ameren Corp.	2.4%
Pinnacle West Capital Corp.	2.0%
Alleghany Corp.	2.0%
Sonoco Products Co.	1.8%
Zions Bancorporation	1.8%
Hanover Insurance Group, Inc.	1.7%
Camden Property Trust	1.7%
CubeSmart	1.7%
DigitalGlobe, Inc.	1.6%
Top Ten Total	19.5%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
MID CAP VALUE INSTITUTIONAL FUND

	Shares		Value
COMMON STOCKS† - 98.1%
Financial - 28.3%
Alleghany Corp.*		10,728	$	5,323,233
Zions Bancorporation		197,560		4,782,928
Hanover Insurance Group, Inc.		52,526		4,738,895
Camden Property Trust		54,075		4,547,167
CubeSmart		135,738		4,520,075
Corrections Corporation of America		129,879		4,162,622
FirstMerit Corp.		196,880		4,144,324
Popular, Inc.		136,763		3,912,790
Endurance Specialty Holdings Ltd.		55,606		3,633,296
Sun Communities, Inc.		49,540		3,547,559
Assured Guaranty Ltd.		131,095		3,316,704
Wintrust Financial Corp.		73,080		3,240,367
Apartment Investment & Management Co. — Class A		75,678		3,164,854
Fulton Financial Corp.		236,020		3,157,948
Trustmark Corp.		128,070		2,949,452
Alexandria Real Estate Equities, Inc.		28,767		2,614,633
E*TRADE Financial Corp.*		104,768		2,565,768
Parkway Properties, Inc.		155,132		2,429,367
Prosperity Bancshares, Inc.		41,650		1,932,144
Lexington Realty Trust		181,060		1,557,116
Equity Commonwealth*		48,359		1,364,691
Unum Group		42,802		1,323,438
KeyCorp		117,795		1,300,457
BancorpSouth, Inc.		45,881		977,724
Umpqua Holdings Corp.		49,670		787,766
Monogram Residential Trust, Inc.		66,661		657,277
Total Financial				76,652,595
Industrial - 16.4%
FLIR Systems, Inc.		231,600		7,631,221
Sonoco Products Co.		98,771		4,797,308
Gentex Corp.		229,187		3,595,944
Huntington Ingalls Industries, Inc.		23,149		3,170,024
Knight Transportation, Inc.		114,360		2,990,514
Oshkosh Corp.		68,367		2,794,159
Ryder System, Inc.		39,566		2,563,085
WestRock Co.		63,747		2,488,045
Werner Enterprises, Inc.		86,120		2,339,019
Owens Corning		43,480		2,055,734
Scorpio Tankers, Inc.		338,415		1,972,960
Owens-Illinois, Inc.*		110,569		1,764,681
Kirby Corp.*		25,942		1,564,043
Colfax Corp.*		48,684		1,391,876
ITT Corp.		36,986		1,364,414
Harris Corp.		17,470		1,360,214
Terex Corp.		26,991		671,536
Total Industrial				44,514,777
Consumer, Non-cyclical - 14.5%
Bunge Ltd.		61,280		3,472,738
MEDNAX, Inc.*		53,476		3,455,619
Quest Diagnostics, Inc.		39,830		2,845,854
Emergent BioSolutions, Inc.*		75,899		2,758,929
Sanderson Farms, Inc.		28,998		2,615,040
Navigant Consulting, Inc.*		162,760		2,573,235
Darling Ingredients, Inc.*		191,290		2,519,289
ICF International, Inc.*		71,707		2,464,570
HealthSouth Corp.		63,013		2,371,179
Premier, Inc. — Class A*		66,800		2,228,448
Surgical Care Affiliates, Inc.*		45,775		2,118,467
Kindred Healthcare, Inc.		120,419		1,487,175
Patterson Companies, Inc.		30,613		1,424,423
WEX, Inc.*		16,593		1,383,192
FTI Consulting, Inc.*		38,844		1,379,350
Universal Corp.		19,310		1,097,001
Ingredion, Inc.		10,262		1,095,879
United Rentals, Inc.*		17,105		1,063,760
Community Health Systems, Inc.*		41,722		772,274
Everi Holdings, Inc.*		112,220		256,984
Total Consumer, Non-cyclical				39,383,406

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MID CAP VALUE INSTITUTIONAL FUND

	Shares		Value
Utilities - 11.2%
Ameren Corp.		129,404	$	6,483,140
Pinnacle West Capital Corp.		73,535		5,520,272
Westar Energy, Inc.		74,657		3,703,734
Black Hills Corp.		60,346		3,628,605
Great Plains Energy, Inc.		106,577		3,437,108
Portland General Electric Co.		76,070		3,004,004
Avista Corp.		72,697		2,964,584
OGE Energy Corp.		57,350		1,641,931
Total Utilities				30,383,378
Consumer, Cyclical - 10.8%
J.C. Penney Company, Inc.*		368,742		4,078,287
DR Horton, Inc.		101,452		3,066,894
Visteon Corp.		37,600		2,992,584
Caleres, Inc.		99,718		2,821,022
Essendant, Inc.		84,436		2,696,041
PVH Corp.		26,852		2,659,959
UniFirst Corp.		19,240		2,099,469
iRobot Corp.*		45,239		1,596,937
WESCO International, Inc.*		28,625		1,564,929
CalAtlantic Group, Inc.		41,922		1,401,033
Goodyear Tire & Rubber Co.		41,152		1,357,193
Sonic Automotive, Inc. — Class A		47,550		878,724
Tenneco, Inc.*		15,186		782,231
La-Z-Boy, Inc.		28,650		766,101
AutoNation, Inc.*		12,556		586,114
Total Consumer, Cyclical				29,347,518
Technology - 6.5%
CSRA, Inc.		146,795		3,948,785
IXYS Corp.		339,098		3,804,680
Maxwell Technologies, Inc.*		574,291		3,411,288
Cree, Inc.*		79,730		2,320,143
Super Micro Computer, Inc.*		58,810		2,004,245
ManTech International Corp. — Class A		25,339		810,595
Diebold, Inc.		25,643		741,339
MKS Instruments, Inc.		18,340		690,501
Total Technology				17,731,576
Energy - 3.7%
Marathon Oil Corp.		234,420		2,611,439
Whiting Petroleum Corp.*		307,911		2,457,130
Oasis Petroleum, Inc.*		268,000		1,951,040
Rowan Companies plc — Class A		109,510		1,763,111
Sanchez Energy Corp.*		227,247		1,247,586
HydroGen Corp.*,†††,1		1,265,700		1
Total Energy				10,030,307
Communications - 3.6%
DigitalGlobe, Inc.*		245,776		4,251,924
Finisar Corp.*		186,221		3,396,671
Scripps Networks Interactive, Inc. — Class A		34,031		2,229,031
Total Communications				9,877,626
Basic Materials - 3.1%
Reliance Steel & Aluminum Co.		37,700		2,608,463
Stillwater Mining Co.*		130,154		1,386,140
Olin Corp.		78,092		1,356,458
Landec Corp.*		111,854		1,174,467
Calgon Carbon Corp.		83,000		1,163,660
Freeport-McMoRan, Inc.		62,844		649,807
Total Basic Materials				8,338,995
Total Common Stocks
(Cost $255,080,887)				266,260,178
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Thermoenergy Corp.*,2,3		793,750		1,622
Total Convertible Preferred Stocks
(Cost $757,980)				1,622

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
MID CAP VALUE INSTITUTIONAL FUND

	Shares		Value
SHORT TERM INVESTMENTS† - 1.2%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.18%4		3,233,045	$	3,233,045
Total Short Term Investments
(Cost $3,233,045)				3,233,045
Total Investments - 99.3%
(Cost $259,071,912)			$	269,494,845
Other Assets & Liabilities, net - 0.7%				2,025,235
Total Net Assets - 100.0%			$	271,520,080

*	Non-income producing security.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Affiliated issuer — See Note 6.
2	PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
3	Illiquid security.
4	Rate indicated is the 7 day yield as of March 31, 2016.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Common Stocks	$	266,260,177	$	—	$	1	$	266,260,178
Convertible Preferred Stocks		—		—		1,622		1,622
Short Term Investments		3,233,045		—		—		3,233,045
Total	$	269,493,222	$	—	$	1,623	$	269,494,845

For the period ended March 31, 2016, there were no transfers between levels.

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

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

MID CAP VALUE INSTITUTIONAL FUND

March 31, 2016

Assets:
Investments in unaffiliated issuers, at value (cost $259,069,381)	$	269,494,844
Investments in affiliated issuers, at value (cost $2,531)		1
Total investments (cost $259,071,912)		269,494,845
Prepaid expenses		26,320
Receivables:
Securities sold		2,290,434
Dividends		420,951
Fund shares sold		210,801
Foreign taxes reclaim		10,107
Total assets		272,453,458
Liabilities:
Overdraft due to custodian bank		612
Payable for:
Fund shares redeemed		345,881
Securities purchased		301,990
Management fees		169,004
Fund accounting/administration fees		21,407
Trustees' fees*		10,577
Miscellaneous		83,907
Total liabilities		933,378
Net assets	$	271,520,080
Net assets consist of:
Paid in capital	$	256,544,662
Undistributed net investment income		2,441,372
Accumulated net realized gain on investments		2,111,113
Net unrealized appreciation on investments		10,422,933
Net assets	$	271,520,080
Capital shares outstanding		27,105,653
Net asset value per share	$	10.02

* 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 | 13

STATEMENT OF OPERATIONS (Unaudited)

MID CAP VALUE INSTITUTIONAL FUND

Period Ended March 31, 2016

Investment Income:
Dividends (net of foreign withholding tax of $4,388) from unaffiliated issuers	$	4,640,729
Interest		782
Total investment income		4,641,511
Expenses:
Management fees		1,025,254
Transfer agent/maintenance fees		168,603
Fund accounting/administration fees		129,864
Line of credit fees		21,651
Trustees’ fees*		15,555
Custodian fees		10,530
Miscellaneous		93,774
Total expenses		1,465,231
Net investment income		3,176,280
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	4,193,009
Net realized gain		4,193,009
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		11,198,627
Net change in unrealized appreciation (depreciation)		11,198,627
Net realized and unrealized gain		15,391,636
Net increase in net assets resulting from operations	$	18,567,916

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

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

STATEMENTS OF CHANGES IN NET ASSETS

MID CAP VALUE INSTITUTIONAL FUND

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	3,176,280		$	2,586,231
Net realized gain on investments		4,193,009			60,951,511
Net change in unrealized appreciation (depreciation) on investments		11,198,627			(81,449,262	)
Net increase (decrease) in net assets resulting from operations		18,567,916			(17,911,520	)
Distributions to shareholders from:
Net investment income		(3,255,047	)		(2,549,762	)
Net realized gains		(25,619,255	)		(71,890,688	)
Total distributions to shareholders		(28,874,302	)		(74,440,450	)
Capital share transactions:
Proceeds from sale of shares		55,570,749			180,989,626
Distributions reinvested		5,764,338			40,920,075
Cost of shares redeemed		(66,878,462	)		(440,288,527	)
Net decrease from capital share transactions		(5,543,375	)		(218,378,826	)
Net decrease in net assets		(15,849,761	)		(310,730,796	)
Net assets:
Beginning of period		287,369,841			598,100,637
End of period	$	271,520,080		$	287,369,841
Undistributed net investment income at end of period	$	2,441,372		$	2,520,139
Capital share activity:
Shares sold		5,832,631			15,865,670
Shares issued from reinvestment of distributions		592,429			3,627,667
Shares redeemed		(6,917,428	)		(38,179,646	)
Net decrease in shares		(492,368	)		(18,686,309	)

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

FINANCIAL HIGHLIGHTS

MID CAP VALUE INSTITUTIONAL FUND

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

Institutional Class	Period Ended March 31, 2016a			Year Ended Sept. 30, 2015			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Year Ended Sept. 30, 2012			Year Ended Sept. 30, 2011
Per Share Data
Net asset value, beginning of period	$	10.41		$	12.92		$	13.09		$	11.29		$	9.97		$	11.34
Income (loss) from investment operations:
Net investment income (loss)b		.11			.06			.06			.06			.03			.04
Net gain (loss) on investments (realized and unrealized)		.59			(.66	)		.65			2.90			2.30			(.87	)
Total from investment operations		.70			(.60	)		.71			2.96			2.33			(.83	)
Less distributions from:
Net investment income		(.12	)		(.07	)		(.07	)		(.04	)		(.04	)		(.06	)
Net realized gains		(.97	)		(1.84	)		(.81	)		(1.12	)		(.97	)		(.48	)
Total distributions		(1.09	)		(1.91	)		(.88	)		(1.16	)		(1.01	)		(.54	)
Net asset value, end of period	$	10.02		$	10.41		$	12.92		$	13.09		$	11.29		$	9.97
Total Returnc		6.99	%		(5.85	%)		5.53	%		28.89	%		24.96	%		(8.05	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	271,520		$	287,370		$	598,101		$	571,465		$	490,741		$	472,266
Ratios to average net assets:
Net investment income (loss)		2.33	%		0.52	%		0.42	%		0.51	%		0.30	%		0.34	%
Total expensesd		1.07	%		1.05	%		1.05	%		1.01	%		1.01	%		0.98	%
Net expenses		1.07	%		1.05	%		1.05	%		1.01	%		0.98	%e		0.90	%e
Portfolio turnover rate		31	%		95	%		41	%		24	%		33	%		38	%

a	Unaudited figures for the period ended March 31, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

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

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 an 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.

The Trust offers a combination of four separate classes of shares, A-Class shares, C-Class shares, P-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. 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. 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 require a minimum initial investment of $2 million and a minimum account balance of $1 million. At March 31, 2016, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Mid Cap Value Institutional Fund (the “Fund”), a diversified investment company.

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

Significant Accounting Policies

The Fund operates as an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

The NAV of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the Fund.

A. The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities or other assets.

Valuations of the Fund’s securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, and will review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used by, and valuations provided by, the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

Equity securities listed 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 a given day, the security is valued at the closing bid price on that day.

Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business, on the valuation date.

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. These methods include

18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

but are not limited to: (i) obtaining general information as to how these securities and assets trade; and (ii) obtaining other information and considerations, including current values in related markets.

B. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the Fund. 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 discounts, is accrued on a daily basis. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

C. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.

D. Certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net assets of each Fund included in the Trust.

E. Under the fee arrangement with the custodian, the Fund 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, 2016, there were no earnings credits received, which was 0.25% at March 31, 2016..

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

2. Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund 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 Fund’s 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 Fund’s 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 Fund’s financial statements. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

At March 31, 2016, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Gain (Loss)
Mid Cap Value Institutional Fund	$	260,426,124	$	31,437,897	$	(22,369,175	)	$	9,068,722

3. Fees and Other Transactions with Affiliates

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.75% of the average daily net assets of the Fund.

20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

RFS is paid the following for providing transfer agent services to the Fund. Transfer agent fees are assessed to the applicable class of the Fund.

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

^† Not subject to Fund during first twelve months of operations.

RFS also acts as the administrative agent for the Fund, and as such performs administrative functions and the bookkeeping, accounting and pricing functions for the Fund. For these services, RFS receives 0.095% of the average daily net assets of the Fund. The minimum annual charge for fund accounting/administrative fees is $25,000.

RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

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

4. Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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.

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.

5. Securities Transactions

For the period ended March 31, 2016, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Fund	Purchases		Sales
Mid Cap Value Institutional Fund	$	82,985,912	$	110,092,303

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of Trustees of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended March 31, 2016, the Fund did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.

6. Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

Transactions during the period ended March 31, 2016, in which the portfolio company is an “affiliated person”, were as follows:

Affiliated issuers	Value 09/30/15		Additions		Reductions		Value 03/31/16		Shares 03/31/16		Investment Income
HydroGen Corp.	$	1	$	—	$	—	$	1		1,265,700	$	—

22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

7. Line of Credit

The Funds, with the exception of Alpha Opportunity Fund, Capital Stewardship Fund, Diversified Income Fund and Market Neutral Real Estate Fund, secured a committed $800,000,000 line of credit from Citibank, N.A., good through October 7, 2016, at which time the line of credit may be renewed. 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 Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate (0.25% at March 31, 2016), plus 1/2 of 1%. The Funds also pays a commitment fee at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Fund did not have any borrowings under this agreement as of and for the period-ended March 31, 2016.

8. Other Liabilities

The Fund wrote put option contracts through Lehman Brothers Inc., (“LBI”) that were exercised prior to the option contracts’ expiration and prior to the bankruptcy filing by LBI, during September 2008. However, these transactions have not settled and the securities have not been delivered to the Fund as of March 31, 2016.

Although the ultimate resolution of these transactions is uncertain, the Fund has recorded a liability on its books equal to the difference between the strike price on the put options and the market price of the underlying security on the exercise date. The amount of the liability recorded in miscellaneous payables by the Fund as of March 31, 2016 was $15,940.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23

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.

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year 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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee	Since 2014	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	105	Current: Trustee, Purpose Investments Inc. (2014-Present).
Donald A. Chubb, Jr. (1946)	Trustee	Since 1994	Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-present).	101	Current: Midland Care, Inc. (2011-present).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	101	Current: Westar Energy, Inc. (2004-present); CoreFirst Bank & Trust (2000-present).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - continued
Roman Friedrich III (1946)	Trustee and Chairman of the Contracts Review Committee	Since 2014	Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). Former: Senior Managing Director, MLV & Co. LLC (2010-2011).	101	Current: Zincore Metals, Inc. (2009-present). Former: Axiom Gold and Silver Corp. (2011-2012).
Robert B. Karn III (1942)	Trustee and Chairman of the Audit Committee	Since 2014	Current: Consultant (1998-present). Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).	101	Current: Peabody Energy Company (2003-present); GP Natural Resource Partners, LLC (2002- present).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Nyberg & Cassioppi, LLC (2000-present). Former: Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	107	Current: Edward-Elmhurst Healthcare System (2012-present).

26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - concluded
Maynard F. Oliverius (1943)	Trustee	Since 1998	Current: Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012).	101	Current: Fort Hays State University Foundation (1999-present); Stormont-Vail Foundation (2013-present); University of Minnesota HealthCare Alumni Association Foundation (2009-present).
Ronald E. Toupin, Jr. (1958)	Trustee and Chairman of the Board	Since 2014	Current: Portfolio Consultant (2010-present). 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).	104	Former: Bennett Group of Funds (2011-2013).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INTERESTED TRUSTEE
Donald C. Cacciapaglia*** (1951)	President, Chief Executive Officer and Trustee	Since 2012	Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present). Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010).	236	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present).

*	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.

28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS
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).
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 (1961)	Vice President and Chief Legal Officer	Since 2007 (Vice President) Since 2014 (Chief Legal Officer)	Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - continued
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Senior 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); Managing Director, Guggenheim Investments (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).
Adam Nelson (1979)	Assistant Treasurer	Since 2015	Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011).
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 (2013-2014).

30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - concluded
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 (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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31

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

32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(continued)

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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33

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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3.31.2016

Guggenheim Funds Semi-Annual Report

Guggenheim Capital Stewardship Fund

CSF-SEMI-0316x0916 guggenheiminvestments.com

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
CAPITAL STEWARDSHIP FUND	7
NOTES TO FINANCIAL STATEMENTS	13
OTHER INFORMATION	17
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	18
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	22

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2016

Dear Shareholder:

Guggenheim Partners Investment Management (the “Investment Adviser”) and Concinnity Advisors, LP, the Fund’s sub-adviser (the “Sub-Adviser”) are pleased to present the semiannual shareholder report for the Guggenheim Capital Stewardship Fund (the “Fund”) for the six-month period ended March 31, 2016.

The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm. The Sub-Adviser is unaffiliated with Guggenheim.

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

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, 2016

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 (Unaudited) March 31, 2016

Financial markets were buffeted by a variety of events over the past six months, including volatility in the oil market, weak growth in China, ongoing stimulus from global central banks, and a 25-basis-point increase in the U.S. federal funds target rate in December. While the direct impact of the move was fairly insignificant, the decision to begin normalization of interest rates after seven years of unprecedented liquidity provision was not. Indeed, in 2015, risk assets posted their worst annual performance since the 2008 financial crisis, as market participants’ expectations for the start of rate hikes collided with concern about plunging commodity prices, and slowing economic growth in China and other emerging market economies.

As 2016 began, forecasts for U.S. and global economic growth were downgraded, and recession fears surged along with market volatility. Estimates for first quarter gross domestic product (“GDP”) in the U.S. were marked down, even though first quarter GDP has undershot full-year growth rates in six out of the last seven years. Risk assets rallied in the last half of the first quarter, led by a dovish pivot in the U.S. Federal Reserve (the “Fed”) Fed’s communication that spurred a rally in crude oil and a reversal of dollar strength. The weaker dollar, along with optimism about a production freeze agreed to by a group of major oil producing countries, helped oil to rebound. After falling in the early weeks of the year to a cycle low of $26 per barrel on February 11, 2016, the front-month West Texas Intermediate (“WTI”) oil futures contract rallied as high as $40 per barrel before closing the quarter at $38 per barrel.

The outlook for economic growth outside the U.S. softened in the first quarter. A further deterioration in the euro zone inflation outlook prompted the European Central Bank (“ECB”) to announce an increase in the size of its monthly asset purchases and reduce its deposit rate to -40 basis points. European government bonds rallied following the announcement, with the 10-year German bund ending the first quarter with a yield of just 16 basis points.

Ongoing stimulus efforts in Asia also appeared likely to contribute to low U.S. rates. Chinese industrial production growth continued to slow in early 2016, prompting the People’s Bank of China (“PBOC”) to stimulate credit growth by allowing banks to hold fewer reserves against deposits. And after years of struggling with stagnant growth and low inflation, the Bank of Japan (“BOJ”) surprised markets by cutting its key interest rate to -10 basis points in January. The negative rates pushed a considerable amount of Japanese savings into foreign markets.

In an environment where global rates are moving lower and markets are already starved for yield, foreign investors began looking to the U.S. Guggenheim expects that U.S. Treasury yields will fall further as the gravitational pull of global yields gets stronger, and does not discount the possibility of 10-year U.S. Treasury yields declining to closer to 1 percent before the end of the year.

A stronger dollar has weighed on the U.S. economy, but consumer spending has been resilient. The labor market is now operating near full employment, and tight labor market conditions are beginning to spur faster wage growth. We believe the U.S. economy is fundamentally sound, and find little evidence to support the conclusion that the economy will fall into a recession in 2016.

Despite the relative health of the U.S. economy, markets are concerned that sluggish global growth will hold back the U.S. expansion, that inflation will remain below the Fed’s target for longer, and that tighter conditions in credit markets have raised recession risks. Our view is that the Fed remains focused on fulfilling its dual mandate objectives of maximum employment and price stability, and thus is biased toward normalizing policy. We expect further declines in the unemployment rate as job gains outstrip growth in the labor force. Meanwhile, core and headline inflation should move closer to the Fed’s target by year end, reflecting our forecasts for a tighter labor market and a modest rise in oil prices. Normally, this would result in at least two Fed rate hikes on the table for 2016, but the U.S. Fed is becoming more sensitive to global financial conditions and the extent of global money flows that occur as monetary policy in the US diverges from Europe, Japan and China. As a result, we have reduced our expectations for a June rate hike, although it would normally be an easy call. We continue to believe a December rate hike is a near certainty. A solid macroeconomic backdrop and a rebalancing oil market should support an improving credit picture in the second half of 2016.

For the six months ended February 29, 2016, the Standard & Poor’s 500^® (“S&P 500”) Index* returned 8.49%. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index* returned 1.56%. The return of the MSCI Emerging Markets Index* was 6.41%.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2016

In the bond market, the Barclays U.S. Aggregate Bond Index* posted a 2.44% return for the period, while the Barclays U.S. Corporate High Yield Index* returned 1.22%. The return of the Bank of America (BofA) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.11% 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 (“USD”)-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.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, 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, 2015 and ending March 31, 2016.

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 up to the past five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2015	Ending Account Value March 31, 2016	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Capital Stewardship Fund
Institutional Class	1.08%	10.78%	$ 1,000.00	$ 1,107.80	$ 5.69
Table 2. Based on hypothetical 5% return (before expenses)
Capital Stewardship Fund
Institutional Class	1.08%	5.00%	$ 1,000.00	$ 1,019.60	$ 5.45

1	Annualized and excludes expenses of the underlying funds in which the Fund invests.
2	Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2015 to March 31, 2016.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited) March 31, 2016

CAPITAL STEWARDSHIP FUND

OBJECTIVE: Seeks long-term capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

 

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

Inception Date:
Institutional Class	September 26, 2014

Ten Largest Holdings (% of Total Net Assets)
Apple, Inc.	4.4%
JPMorgan Chase & Co.	2.7%
AT&T, Inc.	2.5%
Microsoft Corp.	2.4%
Intel Corp.	2.2%
PepsiCo, Inc.	2.2%
Gilead Sciences, Inc.	2.2%
CVS Health Corp.	2.2%
Procter & Gamble Co.	2.2%
Chevron Corp.	2.1%
Top Ten Total	25.1%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
CAPITAL STEWARDSHIP FUND

	Shares		Value
COMMON STOCKS† - 99.8%
Consumer, Non-cyclical - 31.7%
PepsiCo, Inc.		44,468	$	4,557,080
Gilead Sciences, Inc.		49,502		4,547,253
Procter & Gamble Co.		54,028		4,447,045
Kroger Co.		92,097		3,522,710
JM Smucker Co.		25,055		3,253,141
DaVita HealthCare Partners, Inc.*		44,224		3,245,157
AbbVie, Inc.		55,635		3,177,871
ManpowerGroup, Inc.		37,537		3,056,263
Cardinal Health, Inc.		36,433		2,985,684
Medtronic plc		39,534		2,965,050
Becton Dickinson and Co.		17,075		2,592,327
RR Donnelley & Sons Co.		149,947		2,459,131
Amgen, Inc.		16,376		2,455,254
Merck & Company, Inc.		46,200		2,444,442
Pfizer, Inc.		73,660		2,183,282
General Mills, Inc.		33,598		2,128,433
Johnson & Johnson		18,172		1,966,210
Quest Diagnostics, Inc.		24,202		1,729,233
Biogen, Inc.*		5,924		1,542,136
Danaher Corp.		15,985		1,516,337
St. Jude Medical, Inc.		26,687		1,467,785
Allergan plc*		4,851		1,300,214
CR Bard, Inc.		6,289		1,274,592
Owens & Minor, Inc.		27,084		1,094,735
Coca-Cola Co.		21,648		1,004,251
Dr Pepper Snapple Group, Inc.		10,892		973,963
Kellogg Co.		12,574		962,540
Anthem, Inc.		3,678		511,205
Total Consumer, Non-cyclical				65,363,324
Technology - 15.1%
Apple, Inc.		83,675		9,119,739
Microsoft Corp.		89,130		4,922,650
Intel Corp.		141,577		4,580,016
QUALCOMM, Inc.		55,586		2,842,668
salesforce.com, Inc.*		31,041		2,291,757
Teradata Corp.*		79,639		2,089,727
International Business Machines Corp.		7,378		1,117,398
Oracle Corp.		25,343		1,036,782
Rackspace Hosting, Inc.*		42,939		927,053
Teradyne, Inc.		40,422		872,711
Ultimate Software Group, Inc.*		3,384		654,804
Autodesk, Inc.*		10,322		601,876
Total Technology				31,057,181
Industrial - 11.3%
Boeing Co.		31,516		4,000,640
Caterpillar, Inc.		46,636		3,569,519
CSX Corp.		109,654		2,823,591
Cummins, Inc.		24,407		2,683,306
Fluor Corp.		47,946		2,574,700
General Electric Co.		75,335		2,394,900
FedEx Corp.		9,672		1,573,828
United Parcel Service, Inc. — Class B		9,174		967,582
Waste Management, Inc.		14,977		883,643
Union Pacific Corp.		8,004		636,718
Honeywell International, Inc.		5,587		626,023
United Technologies Corp.		5,996		600,200
Total Industrial				23,334,650
Financial - 11.1%
JPMorgan Chase & Co.		92,664		5,487,562
Principal Financial Group, Inc.		79,094		3,120,259
American Financial Group, Inc.		33,626		2,366,262
Visa, Inc. — Class A		23,765		1,817,547
Travelers Companies, Inc.		11,306		1,319,523
Aflac, Inc.		19,253		1,215,634
Capital One Financial Corp.		12,687		879,335
Progressive Corp.		24,022		844,133
Fifth Third Bancorp		48,656		812,069
T. Rowe Price Group, Inc.		11,033		810,484
American Express Co.		13,029		799,981
PNC Financial Services Group, Inc.		9,189		777,114
Discover Financial Services		13,297		677,083
AvalonBay Communities, Inc.		3,375		641,925
Wells Fargo & Co.		13,236		640,093
Charles Schwab Corp.		21,810		611,116
Total Financial				22,820,120
Consumer, Cyclical - 10.7%
CVS Health Corp.		43,263		4,487,671
Wal-Mart Stores, Inc.		61,851		4,236,175
Walgreens Boots Alliance, Inc.		47,918		4,036,612
Ford Motor Co.		184,487		2,490,575
Delta Air Lines, Inc.		50,400		2,453,471
Southwest Airlines Co.		49,597		2,221,946
Alaska Air Group, Inc.		25,928		2,126,615
Total Consumer, Cyclical				22,053,065
Communications - 10.2%
AT&T, Inc.		132,045		5,172,203
Verizon Communications, Inc.		67,574		3,654,402
Cisco Systems, Inc.		105,707		3,009,478
Alphabet, Inc. — Class A*		3,351		2,556,478
Discovery Communications, Inc. — Class A*		54,509		1,560,593
Facebook, Inc. — Class A*		12,273		1,400,349
eBay, Inc.*		53,632		1,279,659
News Corp. — Class A		96,166		1,228,040
Telephone & Data Systems, Inc.		21,614		650,365
Amazon.com, Inc.*		1,067		633,414
Total Communications				21,144,981
Energy - 7.4%
Chevron Corp.		45,259		4,317,709
Occidental Petroleum Corp.		25,322		1,732,784

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
CAPITAL STEWARDSHIP FUND

	Shares		Value
First Solar, Inc.*		23,633	$	1,618,152
Schlumberger Ltd.		14,718		1,085,452
Spectra Energy Corp.		28,591		874,885
Devon Energy Corp.		24,821		681,088
Hess Corp.		12,591		662,916
Valero Energy Corp.		10,126		649,482
Oceaneering International, Inc.		19,232		639,272
EOG Resources, Inc.		8,752		635,220
Anadarko Petroleum Corp.		13,313		619,986
FMC Technologies, Inc.*		22,539		616,667
Phillips 66		6,868		594,700
ConocoPhillips		14,503		584,036
Total Energy				15,312,349
Basic Materials - 1.6%
International Paper Co.		30,860		1,266,494
Westlake Chemical Corp.		17,573		813,631
Mosaic Co.		23,070		622,890
Dow Chemical Co.		12,062		613,473
Total Basic Materials				3,316,488
Utilities - 0.7%
Entergy Corp.		10,890		863,359
Southern Co.		12,383		640,573
Total Utilities				1,503,932
Total Common Stocks
(Cost $199,224,869)				205,906,090
SHORT TERM INVESTMENTS† - 0.5%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.00%1		976,109		976,109
Total Short Term Investments
(Cost $976,109)				976,109
Total Investments - 100.3%
(Cost $200,200,978)			$	206,882,199
Other Assets & Liabilities, net - (0.3)%				(561,857	)
Total Net Assets - 100.0%			$	206,320,342

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 3.
1	Rate indicated is the 7 day yield as of March 31, 2016.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 3 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Common Stocks	$	205,906,090	$	—	$	—	$	205,906,090
Short Term Investments		976,109		—		—		976,109
Total	$	206,882,199	$	—	$	—	$	206,882,199

For the period ended March 31, 2016, there were no transfers between levels.

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

CAPITAL STEWARDSHIP FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2016

Assets:
Investments, at value (cost $200,200,978)	$	206,882,199
Prepaid expenses		2,244
Cash		12
Receivables:
Dividends		183,957
Total assets		207,068,412
Liabilities:
Payable for:
Fund shares redeemed		512,464
Management fees		154,524
Fund accounting/administration fees		16,311
Trustees’ fees*		13,721
Transfer agent/maintenance fees		2,899
Miscellaneous		48,151
Total liabilities		748,070
Net assets	$	206,320,342
Net assets consist of:
Paid in capital	$	202,582,202
Undistributed net investment income		726,263
Accumulated net realized loss on investments		(3,669,344	)
Net unrealized appreciation on investments		6,681,221
Net assets	$	206,320,342
Capital shares outstanding		8,089,074
Net asset value per share	$	25.51

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2016

Investment Income:
Dividends	$	2,462,501
Interest		94
Total investment income		2,462,595
Expenses:
Management fees		895,562
Transfer agent/maintenance fees		12,673
Fund accounting/administration fees		94,530
Trustees’ fees*		7,605
Custodian fees		7,323
Miscellaneous		58,780
Total expenses		1,076,473
Net investment income		1,386,122
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(598,805	)
Net realized loss		(598,805	)
Net change in unrealized appreciation (depreciation) on:
Investments		19,491,888
Net change in unrealized appreciation (depreciation)		19,491,888
Net realized and unrealized gain		18,893,083
Net increase in net assets resulting from operations	$	20,279,205

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

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

CAPITAL STEWARDSHIP FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,386,122		$	2,559,178
Net realized gain (loss) on investments		(598,805	)		506,679
Net change in unrealized appreciation (depreciation) on investments		19,491,888			(11,027,250	)
Net increase (decrease) in net assets resulting from operations		20,279,205			(7,961,393	)
Distributions to shareholders from:
Net investment income		(2,583,368	)		(637,133	)
Net realized gains		(3,078,358	)		—
Total distributions to shareholders		(5,661,726	)		(637,133	)
Capital share transactions:
Proceeds from sale of shares		40,409,661			38,908,526
Distributions reinvested		5,389,571			476,495
Cost of shares redeemed		(43,764,564	)		(50,132,804	)
Net increase (decrease) from capital share transactions		2,034,668			(10,747,783	)
Net increase (decrease) in net assets		16,652,147			(19,346,309	)
Net assets:
Beginning of period		189,668,195			209,014,504
End of period	$	206,320,342		$	189,668,195
Undistributed net investment income at end of period	$	726,263		$	1,923,509
Capital share activity:
Shares sold		1,615,108			1,485,730
Shares issued from reinvestment of distributions		218,644			18,671
Shares redeemed		(1,750,725	)		(1,929,837	)
Net increase (decrease) in shares		83,027			(425,436	)

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

CAPITAL STEWARDSHIP 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.

Institutional Class	Period Ended March 31, 2016a			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	23.69		$	24.79		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.17			.31			—	d
Net gain (loss) on investments (realized and unrealized)		2.36			(1.33	)		(.21	)
Total from investment operations		2.53			(1.02	)		(.21	)
Less distributions from:
Net investment income		(.32	)		(.08	)		—
Net realized gains		(.39	)		—			—
Total distributions		(.71	)		(.08	)		—
Net asset value, end of period	$	25.51		$	23.69		$	24.79
Total Return f		10.78	%		(4.15	%)		(0.84	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	206,320		$	189,668		$	209,015
Ratios to average net assets:
Net investment income (loss)		1.40	%		1.22	%		0.13	%
Total expensese		1.08	%		1.15	%		1.24	%
Portfolio turnover rate		104	%		221	%		—

a	Unaudited figures for the period ended March 31, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: September 26, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Net investment income is less than $0.01 per share.
e	Does not include expenses of the underlying funds in which the Fund invests.
f	Total Return does not reflect the impact of any applicable sales charge and has not been annualized.

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

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 an 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.

The Trust offers a combination of four separate classes of shares, A-Class shares, C-Class shares, P-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. 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. 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 require a minimum initial investment of $2 million and a minimum account balance of $1 million. Institutional Class shares are offered without a front-end sales charge or a CDSC. At March 31, 2016, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Guggenheim Capital Stewardship Fund (the “Fund”), a diversified investment company. As of March 31, 2016, only Institutional Class shares of the Fund were offered for subscription.

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

Concinnity Advisors, LP (the “Sub-Adviser”) serves as the sub-adviser to the Fund and is responsible for the day-to-day management of the Fund’s portfolio.

Significant Accounting Policies

The Fund operates as an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities 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.

The NAV of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Fund.

A. The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities or other assets.

Valuations of the Fund’s securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, and will review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used by, and valuations provided by, the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 a given day, the security is valued at the closing bid price on that day.

Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business, on the valuation date.

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. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the Fund. 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 discounts, is accrued on a daily basis. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

C. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.

D. Certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net assets of each Fund included in the Trust.

E. Under the fee arrangement with the custodian, the Fund 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, 2016, there were no earnings credits received.

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.25% at March 31, 2016.

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

14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

2. Fees and Other Transactions with Affiliates

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.90% of the average daily net assets of the Fund.

RFS is paid the following for providing transfer agent services to the Fund. Transfer agent fees are assessed to the applicable class of the Fund.

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

^† Not subject to Fund during first twelve months of operations.

RFS also acts as the administrative agent for the Fund, and as such performs administrative functions and the bookkeeping, accounting and pricing functions for the Fund. For these services, RFS receives 0.095% of the average daily net assets of the Fund. The minimum annual charge for administrative fees is $25,000.

RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

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

3. Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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 judgement. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgement.

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.

4. Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund 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 Fund’s 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 Fund’s 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 Fund’s financial statements. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

At March 31, 2016, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Gain		��	Tax Unrealized Loss			Net Unrealized Gain
Capital Stewardship Fund	$	201,357,464	$	11,375,049		$	(5,850,314	)	$	5,524,735

5. Securities Transactions

For the period ended March 31, 2016, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Fund	Purchases		Sales
Capital Stewardship Fund	$	206,161,701	$	208,686,616

The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of Trustees of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended March 31, 2016, the Fund did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.

16 | 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.

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year 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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee	Since 2014	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	105	Current: Trustee, Purpose Investments Inc. (2014-Present).
Donald A. Chubb, Jr. (1946 )	Trustee	Since 1994	Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-present).	101	Current: Midland Care, Inc. (2011-present).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	101	Current: Westar Energy, Inc. (2004-present); CoreFirst Bank & Trust (2000-present).
Roman Friedrich III (1946)	Trustee and Chairman of the Contracts Review Committee	Since 2014	Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). Former: Senior Managing Director, MLV & Co. LLC (2010-2011).	101	Current: Zincore Metals, Inc. (2009-present). Former: Axiom Gold and Silver Corp. (2011-2012).
Robert B. Karn III (1942)	Trustee and Chairman of the Audit Committee	Since 2014	Current: Consultant (1998-present). Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).	101	Current: Peabody Energy Company (2003-present); GP Natural Resource Partners, LLC (2002- present).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Nyberg & Cassioppi, LLC (2000-present). Former: Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	107	Current: Edward-Elmhurst Healthcare System (2012-present).

18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - continued
Maynard F. Oliverius (1943)	Trustee	Since 1998	Current: Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012).	101	Current: Fort Hays State University Foundation (1999-present); Stormont-Vail Foundation (2013-present); University of Minnesota HealthCare Alumni Association Foundation (2009-present).
Ronald E. Toupin, Jr. (1958)	Trustee and Chairman of the Board	Since 2014	Current: Portfolio Consultant (2010-present). 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).	104	Former: Bennett Group of Funds (2011-2013).
INTERESTED TRUSTEE
Donald C. Cacciapaglia*** (1951)	President, Chief Executive Officer and Trustee	Since 2012	Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present). Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010).	236	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present).

*	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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS
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).
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 (1961)	Vice President and Chief Legal Officer	Since 2007 (Vice President) Since 2014 (Chief Legal Officer)	Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Senior 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); Managing Director, Guggenheim Investments (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).
Adam Nelson (1979)	Assistant Treasurer	Since 2015	Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011).

20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - continued
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 (2013-2014).
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 (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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21

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.

22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded)

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.

We’ll Keep You Informed

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23

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3.31.2016

Guggenheim Funds Semi-Annual Report

Guggenheim Macro Opportunities Fund

MO-SEMI-0316x0916 guggenheiminvestments.com

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
MACRO OPPORTUNITIES FUND	9
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS	57
OTHER INFORMATION	86
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	87
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	95

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2016

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for Guggenheim Macro Opportunities (the “Fund”) for the six-month period ended March 31, 2016.

The Investment Adviser is 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 Fund. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.

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, 2016

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 (Unaudited) March 31, 2016

Financial markets were buffeted by a variety of events over the past six months, including volatility in the oil market, weak growth in China, ongoing stimulus from global central banks, and a 25 basis point increase in the U.S. federal funds target rate in December. While the direct impact of the move was fairly insignificant, the decision to begin normalization of interest rates after seven years of unprecedented liquidity provision was not. Indeed, in 2015, risk assets posted their worst annual performance since the 2008 financial crisis, as market participants’ expectations for the start of rate hikes collided with concern about plunging commodity prices, and slowing economic growth in China and other emerging market economies.

As 2016 began, forecasts for U.S. and global economic growth were downgraded, and recession fears surged along with market volatility. Estimates for first quarter gross domestic product (“GDP”) in the U.S. were marked down, even though first quarter GDP has undershot full-year growth rates in six out of the last seven years. Risk assets rallied in the last half of the first quarter, led by a dovish pivot in the U.S. Federal Reserve’s (the “Fed”) communication that spurred a rally in crude oil and a reversal of dollar strength. The weaker dollar, along with optimism about a production freeze agreed to by a group of major oil producing countries, helped oil to rebound. After falling in the early weeks of the year to a cycle low of $26 per barrel on February 11, 2016, the front-month West Texas Intermediate (“WTI”) oil futures contract rallied as high as $40 per barrel before closing the quarter at $38 per barrel.

The outlook for economic growth outside the U.S. softened in the first quarter. A further deterioration in the euro zone inflation outlook prompted the European Central Bank (“ECB”) to announce an increase in the size of its monthly asset purchases and reduce its deposit rate to -40 basis points. European government bonds rallied following the announcement, with the 10-year German bund ending the first quarter with a yield of just 16 basis points.

Ongoing stimulus efforts in Asia also appeared likely to contribute to low U.S. rates. Chinese industrial production growth continued to slow in early 2016, prompting the People’s Bank of China (“PBOC”) to stimulate credit growth by allowing banks to hold fewer reserves against deposits. And after years of struggling with stagnant growth and low inflation, the Bank of Japan (“BOJ”) surprised markets by cutting its key interest rate to -10 basis points in January. The negative rates pushed a considerable amount of Japanese savings into foreign markets.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(continued) March 31, 2016

In an environment where global rates are moving lower and markets are already starved for yield, foreign investors began looking to the U.S. Guggenheim expects that U.S. Treasury yields will fall further as the gravitational pull of global yields gets stronger, and does not discount the possibility of 10-year U.S. Treasury yields declining to closer to 1 percent before the end of the year.

A stronger dollar has weighed on the U.S. economy, but consumer spending has been resilient. The labor market is now operating near full employment, and tight labor market conditions are beginning to spur faster wage growth. We believe the U.S. economy is fundamentally sound, and find little evidence to support the conclusion that the economy will fall into a recession in 2016.

Despite the relative health of the U.S. economy, markets are concerned that sluggish global growth will hold back the U.S. expansion, that inflation will remain below the Fed’s target for longer, and that tighter conditions in credit markets have raised recession risks. Our view is that the Fed remains focused on fulfilling its dual mandate objectives of maximum employment and price stability, and thus is biased toward normalizing policy. We expect further declines in the unemployment rate as job gains outstrip growth in the labor force. Meanwhile, core and headline inflation should move closer to the Fed’s target by year end, reflecting our forecasts for a tighter labor market and a modest rise in oil prices. Normally, this would result in at least two Fed rate hikes on the table for 2016, but the U.S. Fed is becoming more sensitive to global financial conditions and the extent of global money flows that occur as monetary policy in the U.S. diverges from Europe, Japan and China. As a result, we have reduced our expectations for a June rate hike, although it would normally be an easy call. We continue to believe a December rate hike is a near certainty. A solid macroeconomic backdrop and a rebalancing oil market should support an improving credit picture in the second half of 2016.

For the six months ended March 31, 2016, the Standard & Poor’s 500^® Index* (“S&P 500”) returned 8.49%. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index* returned 1.56%. The return of the MSCI Emerging Markets Index* was 6.41%.

In the bond market, the Barclays U.S. Aggregate Bond Index* posted a 2.44% return for the period, while the Barclays U.S. Corporate High Yield Index* returned 1.22%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.11% 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.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2016

*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 (“USD”)-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 | 5

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, 2015 and ending March 31, 2016.

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.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

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 up to the past five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2015	Ending Account Value March 31, 2016	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Macro Opportunities Fund
A-Class	1.45%	(1.70%)	$ 1,000.00	$ 983.00	$ 7.19
C-Class	2.18%	(2.06%)	1,000.00	979.40	10.79
P-Class	1.34%	(1.66%)	1,000.00	983.40	6.64
Institutional Class	1.09%	(1.53%)	1,000.00	984.70	5.41
Table 2. Based on hypothetical 5% return (before expenses)
Macro Opportunities Fund
A-Class	1.45%	5.00%	$ 1,000.00	$ 1,017.75	$ 7.31
C-Class	2.18%	5.00%	1,000.00	1,014.10	10.98
P-Class	1.34%	5.00%	1,000.00	1,018.30	6.76
Institutional Class	1.09%	5.00%	1,000.00	1,019.55	5.50

1	Annualized and excludes expenses of the underlying funds in which the Fund invests.
2	Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2015 to March 31, 2016.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited) March 31, 2016

MACRO OPPORTUNITIES FUND

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

Consolidated Holdings Diversification (Market Exposure as % of Net Assets)

“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

FUND PROFILE (Unaudited)(concluded) March 31, 2016

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
Institutional Class	November 30, 2011

Ten Largest Long Holdings (% of Total Net Assets)
Guggenheim Strategy Fund I	2.6%
Guggenheim Floating Rate Strategies Fund - Institutional Class	1.7%
Guggenheim Alpha Opportunity Fund - Institutional Class	1.7%
Triaxx Prime CDO Ltd.	1.2%
Banc of America Funding Ltd.	1.1%
Kenya Government International Bond	1.1%
Motel 6 Trust	1.1%
Dominican Republic International Bond	1.0%
Guggenheim BulletShares 2018 High Yield Corporate Bond ETF	0.9%
Travelport Holdings LLC	0.9%
Top Ten Total	13.3%
“Ten Largest Long Holdings” excludes any temporary cash or derivative investments

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	0.2%
AA	2.3%
A	12.6%
BBB	15.2%
BB	17.5%
B	21.3%
CCC	9.0%
CC	0.2%
D	0.1%
NR2	7.8%
Other Instruments	13.8%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by 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 converts ratings to the equivalent S&P rating.

2

NR securities do not necessarily indicate low credit quality.

10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Shares		Value
COMMON STOCKS† - 4.6%
Consumer, Non-cyclical - 1.4%
Gilead Sciences, Inc.		21,189	$	1,946,423
Archer-Daniels-Midland Co.1		50,331		1,827,519
Cal-Maine Foods, Inc.1		32,681		1,696,470
AbbVie, Inc.		28,382		1,621,180
Tyson Foods, Inc. — Class A1		23,042		1,535,980
Express Scripts Holding Co.*,1		21,402		1,470,103
Ingredion, Inc.1		13,126		1,401,726
Sanderson Farms, Inc.		15,353		1,384,534
UnitedHealth Group, Inc.		9,868		1,271,985
HCA Holdings, Inc.*,1		15,919		1,242,478
Molina Healthcare, Inc.*		18,781		1,211,187
Laboratory Corporation of America Holdings*		10,314		1,208,079
Universal Health Services, Inc. — Class B1		9,532		1,188,831
Quest Diagnostics, Inc.1		16,576		1,184,355
WellCare Health Plans, Inc.*		12,579		1,166,702
Biogen, Inc.*,1		4,088		1,064,188
Cardinal Health, Inc.1		12,925		1,059,204
United Therapeutics Corp.*,1		9,336		1,040,310
Kroger Co.1		25,769		985,664
MEDNAX, Inc.*,1		15,239		984,744
St. Jude Medical, Inc.		17,780		977,900
Johnson & Johnson1		7,863		850,777
McKesson Corp.		5,152		810,152
JM Smucker Co.		6,072		788,388
Western Union Co.1		40,469		780,647
Darling Ingredients, Inc.*,1		58,591		771,643
Amsurg Corp. — Class A*		9,622		717,801
Varian Medical Systems, Inc.*		8,938		715,219
Hologic, Inc.*		20,605		710,873
Dean Foods Co.1		38,734		670,873
Altria Group, Inc.1		10,263		643,080
Charles River Laboratories International, Inc.*,1		8,084		613,899
LifePoint Health, Inc.*,1		8,544		591,672
ConAgra Foods, Inc.1		12,731		568,057
Dr Pepper Snapple Group, Inc.1		6,020		538,308
Whole Foods Market, Inc.1		16,607		516,644
SpartanNash Co.1		16,875		511,481
Owens & Minor, Inc.1		11,972		483,908
ResMed, Inc.1		8,179		472,910
Procter & Gamble Co.1		5,677		467,274
Mondelez International, Inc. — Class A		11,583		464,710
Magellan Health, Inc.*,1		6,755		458,867
Community Health Systems, Inc.*,1		24,651		456,290
General Mills, Inc.1		7,180		454,853
VCA, Inc.*		7,651		441,386
Cardtronics, Inc.*,1		11,939		429,685
Deluxe Corp.1		6,554		409,559
Chemed Corp.1		2,933		397,275
Air Methods Corp.*		10,658		386,033
Total Consumer, Non-cyclical				43,591,826
Financial - 0.7%
California Republic Bancorp*,2		166,500		4,188,641
Prudential Financial, Inc.		22,340		1,613,396
JPMorgan Chase & Co.1		26,077		1,544,280
MetLife, Inc.1		34,873		1,532,320
Everest Re Group Ltd.		7,713		1,522,778
Principal Financial Group, Inc.		34,763		1,371,400
Hartford Financial Services Group, Inc.		24,886		1,146,747
Aflac, Inc.1		17,137		1,082,030
Travelers Companies, Inc.1		7,537		879,643
Interactive Brokers Group, Inc. — Class A1		20,226		795,286
American Express Co.		11,882		729,555
Selective Insurance Group, Inc.1		15,439		565,222

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Shares		Value
Aspen Insurance Holdings Ltd.		11,476	$	547,405
Regions Financial Corp.1		68,620		538,667
American Financial Group, Inc.		7,401		520,808
Hanover Insurance Group, Inc.		5,739		517,773
East West Bancorp, Inc.1		15,055		488,987
Allstate Corp.1		6,985		470,579
American Equity Investment Life Holding Co.1		26,299		441,823
WR Berkley Corp.1		7,187		403,909
WP GLIMCHER, Inc.		41,985		398,438
Waddell & Reed Financial, Inc. — Class A1		15,671		368,895
City Office REIT, Inc.		10,316		117,602
Total Financial				21,786,184
Industrial - 0.7%
Boeing Co.1		8,564		1,087,114
Cummins, Inc.1		8,824		970,110
Textron, Inc.1		24,285		885,432
Huntington Ingalls Industries, Inc.1		6,276		859,435
Arrow Electronics, Inc.*		13,067		841,645
Tech Data Corp.*		10,177		781,288
AGCO Corp.		15,544		772,537
Fluor Corp.		14,079		756,043
Corning, Inc.1		32,195		672,554
Jabil Circuit, Inc.1		32,335		623,095
ITT Corp.1		16,371		603,925
Knight Transportation, Inc.1		22,373		585,053
Dover Corp.1		8,445		543,267
Parker-Hannifin Corp.1		4,813		534,628
Avnet, Inc.		11,939		528,898
Vishay Intertechnology, Inc.1		42,213		515,421
Rockwell Automation, Inc.		4,480		509,600
Union Pacific Corp.		6,196		492,892
Crane Co.1		8,941		481,562
Barnes Group, Inc.1		13,720		480,612
Clean Harbors, Inc.*,1		9,471		467,299
Briggs & Stratton Corp.1		19,415		464,407
Sanmina Corp.*,1		19,828		463,579
Saia, Inc.*,1		16,411		461,970
Federal Signal Corp.1		33,807		448,281
Timken Co.1		13,243		443,508
Werner Enterprises, Inc.1		16,097		437,195
Trinity Industries, Inc.1		23,770		435,229
EMCOR Group, Inc.1		8,927		433,852
Keysight Technologies, Inc.*,1		15,279		423,839
Jacobs Engineering Group, Inc.*,1		9,624		419,125
Applied Industrial Technologies, Inc.1		9,640		418,376
Mueller Industries, Inc.1		13,683		402,554
ArcBest Corp.1		18,334		395,831
Methode Electronics, Inc.1		13,418		392,342
Targus Group International, Inc.*,†††,2		13,186		20,175
Total Industrial				20,052,673
Technology - 0.6%
HP, Inc.1		123,566		1,522,334
Apple, Inc.1		13,387		1,459,049
Hewlett Packard Enterprise Co.1		76,931		1,363,988
International Business Machines Corp.		6,784		1,027,437
Xerox Corp.1		91,707		1,023,450
Skyworks Solutions, Inc.		10,536		820,754
Seagate Technology plc1		23,805		820,082
Micron Technology, Inc.*,1		76,864		804,766
SYNNEX Corp.1		8,171		756,553
Convergys Corp.1		26,468		735,016
Tessera Technologies, Inc.1		23,533		729,523
DST Systems, Inc.		6,256		705,489
Cirrus Logic, Inc.*,1		18,212		663,099
IPG Photonics Corp.*,1		6,717		645,369
Texas Instruments, Inc.		10,781		619,045
CA, Inc.1		20,053		617,432
Nuance Communications, Inc.*		28,313		529,170

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Shares		Value
CACI International, Inc. — Class A*,1		4,791	$	511,200
Oracle Corp.1		11,652		476,683
Teradata Corp.*,1		17,549		460,486
Sykes Enterprises, Inc.*,1		15,201		458,766
NetApp, Inc.1		14,704		401,272
Cabot Microelectronics Corp.1		9,708		397,154
Mentor Graphics Corp.1		19,524		396,923
Icad, Inc.*,1		65,113		332,076
Total Technology				18,277,116
Consumer, Cyclical - 0.5%
Wal-Mart Stores, Inc.1		22,839		1,564,243
Delta Air Lines, Inc.		25,878		1,259,741
JetBlue Airways Corp.*,1		53,001		1,119,381
American Eagle Outfitters, Inc.1		66,461		1,107,905
Southwest Airlines Co.		21,621		968,621
CVS Health Corp.1		9,322		966,971
Goodyear Tire & Rubber Co.1		26,222		864,802
UniFirst Corp.1		7,885		860,411
Walgreens Boots Alliance, Inc.1		9,834		828,416
Casey’s General Stores, Inc.1		6,128		694,425
Thor Industries, Inc.		9,485		604,858
PACCAR, Inc.		10,338		565,385
Children’s Place, Inc.1		6,632		553,573
Guess?, Inc.1		24,090		452,169
Dana Holding Corp.1		30,068		423,658
Spirit Airlines, Inc.*		8,778		421,168
Select Comfort Corp.*,1		20,842		404,126
Macy’s, Inc.1		8,830		389,315
Best Buy Company, Inc.1		11,764		381,624
Total Consumer, Cyclical				14,430,792
Communications - 0.4%
Verizon Communications, Inc.1		31,635		1,710,820
CenturyLink, Inc.1		48,033		1,535,134
AT&T, Inc.1		36,227		1,419,012
Cisco Systems, Inc.1		42,384		1,206,673
Frontier Communications Corp.1		206,037		1,151,747
Viacom, Inc. — Class B		25,400		1,048,511
Atlantic Tele-Network, Inc.1		12,990		985,032
InterDigital, Inc.		14,520		808,038
Time Warner, Inc.		10,784		782,379
Telephone & Data Systems, Inc.1		21,167		636,915
AMC Networks, Inc. — Class A*		8,091		525,430
Cengage Learning Acquisitions, Inc.*,††		21,660		403,418
Polycom, Inc.*,1		34,298		382,423
General Communication, Inc. — Class A*,1		20,169		369,496
Total Communications				12,965,028
Utilities - 0.3%
Consolidated Edison, Inc.1		22,544		1,727,322
Entergy Corp.1		16,198		1,284,177
NextEra Energy, Inc.1		10,335		1,223,044
Public Service Enterprise Group, Inc.1		22,246		1,048,676
OGE Energy Corp.1		34,895		999,044
CenterPoint Energy, Inc.1		43,241		904,602
Pinnacle West Capital Corp.1		11,637		873,590
Southwest Gas Corp.1		12,258		807,189
American Electric Power Company, Inc.1		10,603		704,039
Vectren Corp.1		13,020		658,291
Edison International1		5,764		414,374
Total Utilities				10,644,348
Energy - 0.0%
First Solar, Inc.*,1		11,921		816,231
PBF Logistics, LP		5,000		94,200
Total Energy				910,431

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Shares		Value
Basic Materials - 0.0%
Mosaic Co.1		21,483	$	580,041
Mirabela Nickel Ltd.*,†††,2		7,057,522		541
Total Basic Materials				580,582
Total Common Stocks
(Cost $142,511,360)				143,238,980
PREFERRED STOCKS†† - 0.6%
Industrial - 0.5%
Seaspan Corp. 6.38% due 04/30/192		572,000		14,162,720
Financial - 0.1%
Cent CLO 16, LP due 08/1/24*,3,4		7,000		2,106,105
ALM Loan Funding Ltd. due 06/20/23*,4		1,373		919,794
BreitBurn Energy Partners 8.00% due 12/31/49*,†††,2		389,684		831,254
GSC Partners CDO Fund V Ltd. due 11/20/16*,†††,4,6		5,200		1
Total Financial				3,857,154
Total Preferred Stocks
(Cost $20,857,434)				18,019,874
EXCHANGE-TRADED FUNDS† - 1.7%
Guggenheim BulletShares 2018 High Yield Corporate Bond ETF7		1,220,000		29,438,600
Guggenheim BulletShares 2019 High Yield Corporate Bond ETF7		1,059,096		24,475,709
Total Exchange-Traded Funds
(Cost $55,002,093)				53,914,309
MUTUAL FUNDS† - 7.0%
Guggenheim Strategy Fund I7		3,227,983		80,086,248
Guggenheim Floating Rate Strategies Fund - Institutional Class7		2,148,806		54,343,297
Guggenheim Alpha Opportunity Fund - Institutional Class7		1,881,326		51,284,947
Guggenheim High Yield Fund - Insitutional Class7		2,340,238		19,728,204
Guggenheim Risk Managed Real Estate Fund - Institutional Class7		474,102		13,308,030
Total Mutual Funds
(Cost $217,743,081)				218,750,726
SHORT TERM INVESTMENTS† - 3.4%
Federated U.S. Treasury Cash Reserve Fund - Institutional Shares 0.16%8		99,729,757		99,729,757
Western Asset Institutional U.S. Treasury Reserves - Institutional Shares 0.19%8		5,416,126		5,416,126
Total Short Term Investments
(Cost $105,145,883)				105,145,883

	Face Amount15
ASSET-BACKED SECURITIES†† - 32.9%
Collateralized Loan Obligations - 22.4%
CIFC Funding Ltd.
2014-2A, 5.22% due 05/24/265,6	$	10,000,000	7,579,943
2014-3X INC, due 07/22/264		15,400,000	7,007,678
2015-2A, 4.29% due 12/05/245,6,9		6,250,000	5,710,122
2012-1X, 8.44% due 08/14/24		4,850,000	3,713,462
2013-2A, 4.22% due 04/21/255,6		4,250,000	3,672,684

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
2012-1AR A3R, 3.69% due 08/14/245,6	$	3,250,000	$	3,167,676
2014-1A C, 3.42% due 04/18/255,6		1,750,000		1,660,176
2014-1A, 5.87% due 04/18/255,6		2,500,000		1,390,625
2013-4A, 4.14% due 11/27/245,6		1,000,000		858,801
Treman Park CLO Ltd.
2015-1A COM due 04/20/274,6		20,000,000		18,129,434
2015-1A SUB due 04/20/274,6		8,400,000		5,357,009
KVK CLO Ltd.
2014-2A, 3.62% due 07/15/265,6,9		8,250,000		7,545,122
2014-1A, 3.52% due 05/15/265,6		5,000,000		4,184,756
2013-1A SUB due 04/14/254,6		11,900,000		3,990,604
2014-3A, due 10/15/264,6		2,500,000		974,341
Shackleton CLO Ltd.
2014-5A, 3.32% due 05/07/265,6,9		10,750,000		9,882,284
2013-4A, 3.62% due 01/13/255,6,9		7,250,000		6,675,548
Voya CLO Ltd.
2013-1X INC due 04/15/244		20,000,000		10,067,491
2015-3A, 4.57% due 10/15/225,6		4,000,000		3,749,437
2014-2A, 3.57% due 07/17/265,6		2,000,000		1,955,316
Avery
2013-3X COM due 01/18/254		19,800,000		15,531,456
Dryden 37 Senior Loan Fund
2015-37A Q due 04/15/274,6		9,500,000		8,505,252
2015-37A due 04/15/274,6		6,500,000		4,125,580
Fortress Credit Opportunities VI CLO Ltd.
2015-6A, 5.89% due 10/10/265,6		5,400,000		5,055,091
2015-6A B, 3.34% due 10/10/265,6		4,000,000		3,862,884
2015-6A C, 4.29% due 10/10/265,6		3,000,000		2,833,024
OHA Credit Partners IX Ltd.
2013-9A ACOM due 10/20/254,6		14,000,000		11,450,043
KKR Financial CLO Ltd.
2007-1A E, 5.62% due 05/15/215,6,9		6,000,000		5,976,629
2015-12, 3.26% due 07/15/275,6		5,000,000		4,542,767
5.61% due 05/15/21		800,000		796,884
Northwoods Capital XIV Ltd.
2014-14A, 3.97% due 11/12/255,6		6,000,000		5,577,370
2014-14A B, 3.08% due 11/12/255,6		5,750,000		5,505,052
NewStar Clarendon Fund CLO LLC
2015-1A, 3.32% due 01/25/275,6		7,000,000		6,759,316
2015-1A C, 3.97% due 01/25/275,6		4,000,000		3,718,770
Neuberger Berman CLO Ltd.
2014-12A, 3.72% due 07/25/235,6		5,300,000		5,199,862
2012-12X SUB due 07/25/234		7,000,000		2,780,150
2012-12A SUB due 07/25/234,6		5,900,000		2,343,269
Highbridge Loan Management Ltd.
2014-1A, 3.87% due 09/20/225,6,9		6,500,000		6,488,741
2014-1A, 4.87% due 09/20/225,6		3,500,000		3,312,846

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Newstar Commercial Loan Funding LLC
2015-1A, 4.47% due 01/20/275,6	$	5,000,000	$	4,768,140
2013-1A D, 5.17% due 09/20/235,6		3,250,000		3,004,061
2014-1A D, 5.37% due 04/20/255,6		1,250,000		1,151,058
2013-1A E, 5.92% due 09/20/235,6		750,000		713,488
Telos CLO Ltd.
2014-6A, 3.62% due 01/17/275,6		5,000,000		4,675,011
2013-3A C, 3.62% due 01/17/245,6		2,750,000		2,655,060
2013-3A D, 4.87% due 01/17/245,6		2,550,000		2,236,599
Great Lakes CLO Ltd.
2015-1A, 4.37% due 07/15/265,6		4,250,000		3,922,739
2014-1A C, 4.32% due 04/15/255,6		3,000,000		2,890,067
2012-1A SUB due 01/15/234,6		3,250,000		1,369,469
2014-1A D, 4.82% due 04/15/255,6		1,500,000		1,355,110
Dryden XXIII Senior Loan Fund
2014-23RA BR, 3.57% due 07/17/235,6,9		6,000,000		5,792,203
2012-23A CR, 4.52% due 07/17/235,6		3,425,000		3,165,328
Galaxy XIX CLO Ltd.
2015-19A COMB due 01/24/274,6		5,500,000		4,825,781
2015-19A, 4.02% due 01/24/275,6		3,000,000		3,008,751
Golub Capital Partners CLO Ltd.
2015-25A, 3.27% due 08/05/275,6		6,000,000		5,646,127
2014-18A C, 4.12% due 04/25/265,6		2,200,000		2,108,074
Atlas Senior Loan Fund V Ltd.
2014-1A, 3.62% due 07/16/265,6,9		8,000,000		7,696,688
Ares XXVI CLO Ltd.
2013-26A SUB due 04/15/254,6		9,500,000		4,513,756
2013-1A C, 3.37% due 04/15/255,6		2,000,000		1,909,592
2013-1A, 4.37% due 04/15/255,6		1,500,000		1,266,936
Resource Capital Corp. CRE
2015-CRE4, 3.44% due 08/15/325,6		7,750,000		7,645,891
Cent CLO
2014-16AR BR, 3.82% due 08/01/245,6,9		7,250,000		7,249,231
Atlas Senior Loan Fund IV Ltd.
2014-2A, 3.32% due 02/17/265,6		3,900,000		3,714,634
2014-2A, 4.07% due 02/17/265,6		3,990,000		3,431,295
Dryden 41 Senior Loan Fund
2015-41A, due 01/15/283,6		10,500,000		6,952,494
Shackleton I CLO Ltd.
2012-1A, 5.37% due 08/14/235,6,9		7,500,000		6,949,995
Babson CLO Ltd.
2012-2A SUB due 05/15/234,6		11,850,000		4,403,100
2014-IA SUB due 07/20/254,6		6,400,000		2,342,313
Resource Capital Corporation
2015-CRE3 D, 4.44% due 03/15/325,6		7,000,000		6,671,488
OCP CLO Ltd.
2014-7A, 3.62% due 10/20/265,6,9		5,000,000		4,742,139
2014-6A, 3.72% due 07/17/265,6		2,000,000		1,927,719

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Benefit Street Partners CLO Ltd.
2015-IA BR, 3.72% due 10/15/255,6,9	$	6,500,000	$	6,499,928
ACIS CLO Ltd.
2015-6A C, 3.99% due 05/01/275,6		3,000,000		2,981,261
2013-1A D, 5.12% due 04/18/245,6		2,100,000		1,773,415
2013-2A, 4.47% due 10/14/225,6		1,800,000		1,709,752
TICP CLO III Ltd.
2014-3A, 4.37% due 01/20/275,6		8,000,000		6,328,283
ALM VII Ltd.
2012-7A, 5.12% due 10/19/245,6,9		6,500,000		6,312,623
Venture XI CLO Ltd.
2015-11AR CR, 3.57% due 11/14/225,6		4,000,000		3,892,339
2015-11A, 4.57% due 11/14/225,6		2,500,000		2,250,307
Golub Capital Partners CLO 18 Ltd.
2014-18A, 3.12% due 04/25/265,6		5,000,000		4,893,541
2014-18A, 4.62% due 04/25/265,6		1,200,000		1,081,117
Fortress Credit Opportunities V CLO Ltd.
2014-5A D, 5.12% due 10/15/265,6		3,500,000		3,093,904
2014-5A C, 4.17% due 10/15/265,6		3,000,000		2,815,892
Fortress Credit Investments IV Ltd.
2015-4A, 4.12% due 07/17/235,6,9		5,800,000		5,403,462
Fortress Credit Opportunities III CLO, LP
2014-3A C, 3.87% due 04/28/265,6		5,500,000		5,232,288
ALM XIV Ltd.
2014-14A B, 3.57% due 07/28/265,6		3,100,000		2,996,647
2014-14A C, 4.07% due 07/28/265,6		2,500,000		2,188,283
Fortress Credit Funding V, LP
2015-5AR BR, 4.27% due 08/15/225,6		5,000,000		4,906,256
Cerberus Onshore II CLO-2 LLC
2014-1A, 3.63% due 10/15/235,6		2,500,000		2,463,050
2014-1A, 4.43% due 10/15/235,6		2,500,000		2,325,436
Fifth Street SLF II Ltd.
2015-2A, 3.14% due 09/29/275,6		5,000,000		4,657,817
Babson CLO Limited
2013-IIA, 3.87% due 01/18/255,6		3,500,000		2,966,250
2014-3A, 5.72% due 01/15/265,6		2,500,000		1,665,018
Carlyle Global Market Strategies CLO Ltd.
2012-2AR DR, 4.52% due 07/20/235,6		3,000,000		2,767,682
2015-1A, 4.37% due 04/20/225,6		1,000,000		935,038
2012-3A SUB, due 10/04/244,6		1,800,000		889,836
Hull Street CLO Ltd.
2014-1A, 4.22% due 10/18/265,6		5,785,000		4,545,399
NewStar Commercial Loan Trust
2007-1A D, 2.94% due 09/30/225,6		4,000,000		3,583,377
2007-1A C, 1.94% due 09/30/225,6		1,000,000		924,176
Madison Park Funding XIII Ltd.
2014-13A, 6.47% due 01/19/255,6		6,750,000		4,502,798

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Mountain Hawk II CLO Ltd.
2013-2A, 3.77% due 07/22/245,6	$	2,750,000	$	2,276,937
2013-2A, 3.22% due 07/22/245,6		2,500,000		2,160,321
Golub Capital Partners CLO 24M Ltd.
2015-24A, 4.87% due 02/05/275,6		5,000,000		4,430,371
Figueroa CLO Ltd.
2013-2A, 4.37% due 12/18/255,6		5,000,000		4,345,048
ALM VII R Ltd.
2013-7RA, 4.07% due 04/24/245,6,9		4,750,000		4,338,982
NewStar Arlington Senior Loan Program LLC
2014-1A, 4.87% due 07/25/255,6		2,750,000		2,344,347
2014-1A C1, 3.92% due 07/25/255,6		2,000,000		1,889,340
Atlas Senior Loan Fund II Ltd.
2012-2A SUB due 01/30/246		9,600,000		4,195,005
AIMCO CLO Series
2015-AA, due 01/15/284,6		5,400,000		4,081,108
Golub Capital Partners CLO 21M Ltd.
2014-21A, 3.92% due 10/25/265,6		4,300,000		4,065,254
Dryden XXVIII Senior Loan Fund
2013-28A, 4.52% due 08/15/255,6		6,000,000		4,023,646
Symphony Clo V Ltd.
2007-5A, 4.87% due 01/15/245,6		4,000,000		3,920,096
Catamaran CLO Ltd.
2015-1A C1, 3.72% due 04/22/275,6		4,000,000		3,868,316
BlueMountain CLO Ltd.
2012-2A, 4.72% due 11/20/245,6		4,100,000		3,860,979
Halcyon Loan Advisors Funding Ltd.
2012-2A C, 3.47% due 12/20/245,6		3,250,000		2,801,702
2012-1A B, 3.62% due 08/15/235,6		1,000,000		967,194
Golub Capital Partners CLO 25M Ltd.
2015-25A, 4.27% due 08/05/275,6		4,000,000		3,767,507
Gramercy Park CLO Ltd.
2014-1AR CR, 4.67% due 07/17/235,6		1,750,000		1,645,651
2012-1A, due 07/17/234,6		2,650,000		1,418,903
2012-1X, due 07/17/234		1,250,000		669,294
JFIN CLO Ltd.
2007-1A, 3.41% due 07/20/215,6		4,000,000		3,733,652
Oaktree EIF II Series Ltd.
2014-A2 C, 3.82% due 11/15/255,6		4,000,000		3,719,626
ALM VIII Ltd.
2013-8A, 4.74% due 01/20/265,6		5,000,000		3,699,110
Franklin CLO VI Ltd.
2007-6A, 2.87% due 08/09/195,6		4,165,000		3,678,869
Airlie CLO Ltd.
2006-2A, 2.07% due 12/20/205,6		4,000,000		3,665,800
Longfellow Place CLO Ltd.
2013-1A, 6.37% due 01/15/245,6		5,250,000		3,660,113
ACAS CLO Ltd.
2013-1A, 6.72% due 04/20/255,6		4,000,000		2,600,441
2013-1A, 3.37% due 04/20/255,6		1,000,000		947,899
Adirondack Park CLO Ltd.
2013-1A, 4.27% due 04/15/245,6		4,000,000		3,540,212

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Fifth Street Senior Loan Fund I LLC
2015-1A, 4.37% due 01/20/275,6	$	3,500,000	$	3,325,005
Grayson CLO Ltd.
2006-1A A2, 1.03% due 11/01/215,6		3,700,000		3,322,421
Ivy Hill Middle Market Credit Fund IX Ltd.
9A C, 3.92% due 10/18/255,6		3,500,000		3,256,689
Marea CLO Ltd.
2015-1A, 4.37% due 10/15/235,6		3,500,000		3,213,340
DIVCORE CLO Ltd.
2013-1A B, 4.33% due 11/15/325,6		3,250,000		3,200,199
Primus Clo II Ltd.
2007-2A, 1.57% due 07/15/215,6		3,500,000		3,183,813
Mountain Hawk I CLO Ltd.
2013-1A, 3.34% due 01/20/245,6		3,400,000		3,041,825
Oaktree EIF II Series B1 Ltd.
2015-B1A, 3.72% due 02/15/265,6		3,250,000		2,988,448
Rampart CLO Ltd.
2007-1A, 4.11% due 10/25/215,6		3,000,000		2,952,207
NewMark Capital Funding CLO Ltd.
2014-2A, 4.13% due 06/30/265,6		3,500,000		2,927,009
Neuberger Berman CLO XVIII Ltd.
2014-18A B, 3.77% due 11/14/255,6		3,000,000		2,913,831
Vibrant CLO II Ltd.
2013-2A, 3.37% due 07/24/245,6		3,000,000		2,810,647
Flatiron CLO Ltd.
2013-1A, 4.21% due 01/17/265,6		3,200,000		2,783,011
Race Point V CLO Ltd.
2014-5AR DR, 4.38% due 12/15/225,6		2,900,000		2,775,270
Marathon CLO VII Ltd.
2014-7A B, 4.12% due 10/28/255,6		3,000,000		2,726,250
TICP CLO I Ltd.
2014-1A, 5.12% due 04/26/265,6		4,200,000		2,706,757
Silvermore CLO Ltd.
2014-1A, 3.62% due 05/15/265,6		3,000,000		2,678,724
Sound Point CLO I Ltd.
2012-1A, 5.20% due 10/20/235,6		2,750,000		2,646,826
Mountain Hawk III CLO Ltd.
2014-3A, 3.42% due 04/18/255,6		3,000,000		2,636,880
Fortress Credit BSL Ltd.
2013-1A, 3.52% due 01/19/255,6		2,750,000		2,628,712
Vibrant CLO Ltd.
2015-1A, 4.52% due 07/17/245,6		3,000,000		2,615,826
Steele Creek CLO Ltd.
2014-1A C, 3.82% due 08/21/265,6		1,500,000		1,385,573
2015-1A, 4.62% due 02/21/275,6		1,350,000		1,185,312
Symphony CLO IX, LP
2012-9A, 4.87% due 04/16/225,6		2,600,000		2,497,984
Apidos CLO XX
2015-20A, 3.82% due 01/16/275,6		2,500,000		2,455,930
Galaxy XVIII CLO Ltd.
2014-18A, 3.62% due 10/15/265,6		2,500,000		2,450,094
LCM X, LP
2014-10A, 4.37% due 04/15/225,6		2,500,000		2,425,000

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
ALM VII R-2 Ltd.
2013-7R2A, 4.07% due 04/24/245,6	$	2,500,000	$	2,390,612
Symphony CLO XII Ltd.
2013-12A, 4.12% due 10/15/255,6		2,700,000		2,377,080
Marathon CLO VI Ltd.
2014-6A, 3.47% due 05/13/255,6		2,750,000		2,360,815
Gallatin CLO VII Ltd.
2014-1A, 4.38% due 07/15/235,6		2,500,000		2,342,570
Westwood CDO II Ltd.
2007-2X, 2.41% due 04/25/22		1,550,000		1,400,011
2007-2A, 2.42% due 04/25/225,6		1,000,000		903,233
Symphony CLO XI Ltd.
2013-11A, 4.62% due 01/17/255,6		2,500,000		2,283,965
West CLO Ltd.
2013-1A, due 11/07/254,6		5,300,000		1,357,911
2013-1A, 3.52% due 11/07/255,6		1,000,000		795,484
Venture XVI CLO Ltd.
2014-16A, 3.37% due 04/15/265,6		2,250,000		2,034,275
Venture XII CLO Ltd.
2013-12A, 4.29% due 02/28/245,6		2,250,000		1,994,162
Callidus Debt Partners Clo Fund VI Ltd.
2007-6A, 3.62% due 10/23/215,6		2,100,000		1,956,429
AMMC CLO XI Ltd.
2012-11A, due 10/30/234,6		5,650,000		1,952,193
Gale Force 4 CLO Ltd.
2007-4A, 4.12% due 08/20/215,6		2,000,000		1,951,624
Blue Hill CLO Ltd.
2013-1A, 3.62% due 01/15/265,6		2,000,000		1,946,702
Cerberus Onshore II CLO LLC
2014-1A C, 4.12% due 10/15/235,6		1,000,000		993,750
2014-1A D, 4.62% due 10/15/235,6		1,000,000		925,369
Limerock CLO II Ltd.
2014-2A C1, 3.47% due 04/18/265,6		2,000,000		1,916,847
AMMC CLO XIV Ltd.
2014-14A A3L, 3.42% due 07/27/265,6		2,000,000		1,888,803
OHA Credit Partners VII Ltd.
2012-7A, 4.62% due 11/20/235,6		2,000,000		1,863,429
Venture XIII CLO Ltd.
2013-13A SUB, due 06/10/254,6		4,790,000		1,805,583
Kingsland III Ltd.
2006-3A C1, 2.22% due 08/24/215,6		1,890,000		1,789,124
Marathon CLO V Ltd.
2013-5A, due 02/21/254,6		5,500,000		1,751,886
Regatta Funding Ltd.
2007-1X, 3.93% due 06/15/205		1,800,000		1,741,216
Symphony CLO XV Ltd.
2014-15A C, 3.82% due 10/17/265,6		1,750,000		1,734,846
OHA Credit Partners VI Ltd.
2015-6A, 4.12% due 05/15/235,6		1,750,000		1,715,556
NXT Capital CLO LLC
2015-1A, 4.77% due 04/21/275,6		2,000,000		1,694,277
Shackleton CLO
2014-6A, 4.22% due 07/17/265,6		2,068,000		1,688,555
Octagon Investment Partners XV Ltd.
2013-1A, 3.47% due 01/19/255,6		1,750,000		1,687,719

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Lime Street CLO Ltd.
2007-1A D, 3.12% due 06/20/215,6	$	2,000,000	$	1,652,180
Canyon Capital CLO Ltd.
2013-1A, 3.42% due 01/15/245,6		1,750,000		1,649,697
Shackleton II CLO Ltd.
2012-2A D, 4.67% due 10/20/235,6		1,750,000		1,621,027
Carlyle Global Market Strategies
2013-3X SUB, due 07/15/254		4,000,000		1,588,985
Jamestown CLO VI Ltd.
2015-6A, 3.87% due 02/20/275,6		2,000,000		1,565,484
Octagon Investment Partners XIV Ltd.
2012-1A, 7.12% due 01/15/245,6		2,550,000		1,564,076
Rockwall CDO Ltd.
2007-1A A1LA, 0.87% due 08/01/245,6		1,610,353		1,563,164
Octagon Loan Funding Ltd.
2014-1A, due 11/18/264,6		3,000,000		1,543,400
MCF CLO III LLC
2014-3A, 3.42% due 01/20/245,6		1,750,000		1,532,734
Copper River CLO Ltd.
2007-1A INC, due 01/20/214,5,6		8,150,000		1,531,360
Landmark VIII CLO Ltd.
2006-8A, 2.07% due 10/19/205,6		1,650,000		1,511,432
Madison Park Funding XI Ltd.
2013-11A, 4.12% due 10/23/255,6		1,750,000		1,491,876
OZLM Funding V Ltd.
2013-5A B, 3.62% due 01/17/265,6		1,500,000		1,460,663
MCF CLO I LLC
2013-1A C, 4.17% due 04/20/235,6		1,500,000		1,457,062
Greywolf CLO III Ltd.
2014-1A B, 3.47% due 04/22/265,6		1,500,000		1,443,573
Symphony CLO X Ltd.
2015-10A, 4.47% due 07/23/235,6		1,500,000		1,421,401
MCF CLO IV LLC
2014-1A E, 6.22% due 10/15/255,6		1,750,000		1,414,857
Avalon IV Capital Ltd.
2014-1A, 4.47% due 04/17/235,6		1,500,000		1,412,004
Kingsland IV Ltd.
2007-4A D, 2.07% due 04/16/215,6		1,500,000		1,313,921
Covenant Credit Partners CLO I Ltd.
2014-1A C, 3.54% due 07/20/265,6		1,500,000		1,292,910
LCM XI, LP
2012-11A, 5.77% due 04/19/225,6		1,500,000		1,276,868
Duane Street CLO IV Ltd.
2007-4A D, 2.87% due 11/14/215,6		1,400,000		1,269,072
OHA Park Avenue CLO I Ltd.
2007-1A, 3.88% due 03/14/225,6		1,413,497		1,255,041
Keuka Park CLO Ltd.
2013-1A, due 10/21/244,6		3,000,000		1,247,122
TICP CLO II Ltd.
2014-2A B, 3.62% due 07/20/265,6		1,300,000		1,201,298
ICE EM CLO
2007-1A, 1.71% due 08/15/225,6		1,250,000		1,197,790
Finn Square CLO Ltd.
2012-1A SUB, due 12/24/234,6		3,250,000		1,137,814
GoldenTree Loan Opportunities III Ltd.
2007-3A, 3.82% due 05/01/225,6		1,250,000		1,126,465

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
COA Summit CLO Limited
2014-1A C, 4.47% due 04/20/235,6	$	1,250,000	$	1,112,688
ALM VI Ltd.
2012-6A, due 07/15/264,6		1,600,000		1,071,865
Black Diamond CLO Luxembourg S.A.
2007-1A, 1.31% due 04/29/195,6		1,100,000		1,025,251
Resource Capital Corporation CRE Notes Ltd.
2013-CRE1, 3.94% due 12/15/285,6		1,000,000		991,202
Gleneagles CLO Ltd.
2005-1A, 1.52% due 11/01/175,6		1,000,000		988,083
Palmer Square CLO Ltd.
2014-1A, 3.17% due 10/17/225,6		1,000,000		963,480
Eastland CLO Ltd.
2007-1A A3, 1.02% due 05/01/225,6		1,000,000		942,874
Halcyon Loan Investors CLO II, Inc.
2007-2A, 2.02% due 04/24/215,6		1,000,000		904,414
OHA Loan Funding Ltd.
2013-1A, 4.22% due 07/23/255,6		1,000,000		891,336
WhiteHorse VIII Ltd.
2014-1A, 3.37% due 05/01/265,6		1,000,000		889,950
Cavalry CLO II
2013-2A, 4.62% due 01/17/245,6		1,000,000		874,868
Halcyon Loan Investors CLO I, Inc.
2006-1A, 4.12% due 11/20/205,6		1,000,000		868,603
Ares CLO Ltd.
2013-1X, due 04/15/254		1,660,000		788,720
Garrison Funding Ltd.
2013-2A B, 5.27% due 09/25/235,6		750,000		736,911
Venture CLO Ltd.
2013-14A C, 3.39% due 08/28/255,6		750,000		722,239
Venture XV CLO Ltd.
2013-15A, 3.72% due 07/15/255,6		750,000		715,908
Ares XXV CLO Ltd.
2012-25A SUB, due 01/17/246		2,000,000		655,469
Westwood CDO I Ltd.
2006-1A B, 1.27% due 03/25/215,6		700,000		653,224
Fortress Credit Opportunities
2005-1A, 0.86% due 07/15/195,18		501,315		474,628
Marathon CLO Ltd.
due 02/21/254		1,000,000		318,525
Connecticut Valley Structured Credit CDO III Ltd.
2006-3A, 6.67% due 03/23/236		34,977		34,900
BlackRock Senior Income Series Corp.
2004-1X NOTE due 09/15/16†††,4		2,382,940		2
Marathon CLO II Ltd.
2005-2A INC due 12/20/19†††,4,5,6		2,250,000		2
Total Collateralized Loan Obligations				704,588,757
Transport-Aircraft - 5.3%
Apollo Aviation Securitization Equity Trust
2014-1 B, 7.38% due 12/15/295		17,850,962		17,690,302
2014-1 A, 5.12% due 12/15/295		16,947,115		16,311,599
ECAF I Ltd.
2015-1A, 5.80% due 06/15/406		28,241,291		27,535,258

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Castlelake Aircraft Securitization Trust
2014-1 B, 7.50% due 02/15/296	$	12,719,569	$	12,547,855
2014-1 A1, 5.25% due 02/15/296		6,951,393		6,892,306
AIM Aviation Finance Ltd.
2015-1A B1, 5.07% due 02/15/406		17,022,321		16,870,653
Castle Aircraft SecuritizationTrust
2015-1A, 5.75% due 12/15/406		12,216,250		11,910,844
Stripes
2013-1 A1, 3.93% due 03/20/23†††,2		9,108,771		8,888,248
AASET
2014-1 C, 10.00% due 08/15/30†††		6,771,574		6,675,147
Atlas Ltd.
2014-1 A, 4.87% due 12/15/39†††		6,721,475		6,620,720
Turbine Engines Securitization Ltd.
2013-1A A, 5.13% due 12/13/486		3,806,374		3,690,101
2013-1A, 6.38% due 12/13/4818		2,542,646		2,497,781
Rise Ltd.
2014-1, 4.74% due 02/12/39		6,096,067		5,989,386
Apollo Aviation Securitization Equity Trust 16-1
2016-1A, 6.50% due 03/17/366		6,000,000		5,877,943
Emerald Aviation Finance Ltd.
2013-1 B, 6.35% due 10/15/386		5,573,384		5,650,018
Eagle I Ltd.
2014-1A, 5.29% due 12/15/396		4,839,844		4,694,648
Willis Engine Securitization Trust II
2012-A, 5.50% due 09/15/376		4,528,264		4,406,001
AABS Ltd.
2013-1, 4.87% due 01/15/38		3,015,341		2,974,634
Airplanes Pass Through Trust
2001-1A A9, 0.99% due 03/15/195,18		3,791,006		947,752
Total Transport-Aircraft				168,671,196
Collateralized Debt Obligations - 4.8%
Triaxx Prime CDO Ltd.
2006-2A A1A, 0.70% due 10/02/395,6		40,308,205		37,900,546
RFTI Issuer Ltd.
2015-FL1 B, 4.31% due 08/15/30†††,5,18		27,841,000		27,450,391
Gramercy Real Estate CDO Ltd.
2007-1A A1, 0.90% due 08/15/565,6		13,918,978		12,248,701
FDF I Ltd.
2015-1A, 5.50% due 11/12/30†††,6		12,000,000		12,122,280
RAIT CRE CDO I Ltd.
2006-1X A1B, 0.75% due 11/20/46		9,459,680		8,802,714
Highland Park CDO I Ltd.
2006-1A, 1.03% due 11/25/515,6		8,250,000		6,220,087
2006-1A A1, 0.96% due 11/25/515,6		2,525,074		2,386,683
N-Star REL CDO VIII Ltd.
2006-8A A2, 0.79% due 02/01/415,6		8,100,000		7,796,380
2006-8A A1, 0.72% due 02/01/415,6		756,369		742,730
SRERS Funding Ltd.
2011-RS A1B1, 0.69% due 05/09/465,6		8,252,725		7,895,360

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Static Repackaging Trust Ltd.
2004-1A, 1.67% due 05/10/395,6	$	7,348,472	$	6,950,949
Wrightwood Capital Real Estate CDO Ltd.
2005-1A B, 1.05% due 11/21/405,6		5,000,000		4,745,023
N-Star Real Estate CDO IX Ltd.
0.75% due 02/01/412		3,967,835		3,896,486
Putnam Structured Product CDO Ltd.
2002-1A A2, 1.12% due 01/10/385,6		3,641,911		3,488,160
Banco Bradesco SA
2014-1B, 5.43% due 03/12/26†††,2		3,197,105		3,228,341
Helios Series I Multi Asset CBO Ltd.
2001-1A, 1.59% due 12/13/365,6		2,657,663		2,606,414
Pasadena CDO Ltd.
2002-1A, 1.42% due 06/19/375,6		1,282,760		1,245,311
Total Collateralized Debt Obligations				149,726,556
Financial - 0.4%
CIC Receivables Master Trust
4.89% due 10/07/21†††,2		6,500,000		6,484,075
CCR Incorporated MT100 Payment Rights Master Trust
2010-CX C, 0.88% due 07/10/175		4,544,577		4,485,343
Garanti Diversified Payment Rights Finance Co.
2007-A A1, 0.81% due 07/09/175		156,000		152,820
Total Financial				11,122,238

	Face Amount15		Value
Credit Card - 0.0%
Credit Card Pass-Through Trust
2012-BIZ A, 0.00% due 12/15/496		281,909		222,990
Total Asset-Backed Securities
(Cost $1,106,437,577)				1,034,331,737
SENIOR FLOATING RATE INTERESTS†† - 20.7%
Consumer, Cyclical - 4.8%
PETCO Animal Supplies, Inc.
5.75% due 01/26/23		10,350,000		10,334,164
5.62% due 01/26/23		5,000,000		4,992,500
Belk, Inc.
5.75% due 12/12/22		12,050,000		10,624,123
Mavis Tire
6.25% due 11/02/20†††,2		9,353,000		9,150,039
Party City Holdings, Inc.
4.25% due 08/19/22		8,467,097		8,389,454
Advantage Sales & Marketing LLC
4.25% due 07/23/21		8,230,569		8,073,694
3.39% due 07/25/192		150,000		137,181
Sears Holdings Corp.
5.50% due 06/30/18		7,591,439		7,211,867
Life Time Fitness
4.25% due 06/10/22		6,861,197		6,768,571
Navistar, Inc.
6.50% due 08/07/20		6,483,750		5,900,213
Thame & London Ltd.
6.00% due 06/19/17	GBP	4,000,000		5,688,021
Sky Bet
6.50% due 02/25/22	GBP	3,700,000		5,303,192
National Vision, Inc.
4.00% due 03/12/21		4,727,727		4,582,964
6.75% due 03/11/22		650,000		583,375
Ceridian Corp.
4.50% due 09/15/20		4,678,196		4,502,764
Eyemart Express
5.00% due 12/17/21		4,441,250		4,363,528
Neiman Marcus Group, Inc.
4.25% due 10/25/20		4,696,408		4,293,691

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
BJ’s Wholesale Club, Inc.
4.50% due 09/26/19	$	3,250,648	$	3,159,890
Ipreo Holdings
4.00% due 08/06/21		3,255,748		3,088,891
Mattress Firm
6.25% due 10/20/21		2,745,142		2,710,827
Equinox Fitness
5.00% due 01/31/20		2,639,416		2,624,900
BBB Industries, LLC
6.00% due 11/03/21		1,463,114		1,442,382
4.43% due 11/04/192		1,150,000		1,035,127
Petsmart, Inc.
4.25% due 03/11/22		2,290,471		2,279,591
Fitness International LLC
5.50% due 07/01/20		2,358,739		2,270,286
Acosta, Inc.
4.25% due 09/26/21		2,294,833		2,236,223
PF Chang’s
4.25% due 07/02/19		2,210,688		2,100,153
CHG Healthcare Services, Inc.
4.25% due 11/19/19		2,058,813		2,043,886
Men’s Wearhouse
4.50% due 06/18/21		2,075,470		1,993,759
Dealer Tire LLC
5.50% due 12/22/21		1,980,000		1,975,050
Packers Holdings
5.00% due 12/02/21		1,805,195		1,798,426
Capital Automotive LP
6.00% due 04/30/20		1,770,000		1,763,363
Kate Spade & Co.
4.00% due 04/09/21		1,629,323		1,604,883
Med Finance Merger Sub LLC
7.25% due 08/16/21†††,2		1,281,366		1,253,176
7.25% due 08/14/21†††,2		312,047		309,254
Southern Graphics, Inc.
4.25% due 10/17/19		1,475,063		1,458,468
Compucom Systems, Inc.
4.25% due 05/11/20		1,895,648		1,326,953
1-800 Contacts
5.25% due 01/22/23		1,300,000		1,300,000
NPC International, Inc.
4.75% due 12/28/18		1,290,205		1,283,754

Alexander Mann Solutions Ltd.
5.75% due 12/20/19		1,166,986	1,143,646
Jacobs Entertainment, Inc.
5.25% due 10/29/18		1,175,162	1,139,907
AlixPartners, LLP
4.50% due 07/28/22		1,096,000	1,092,986
California Pizza Kitchen, Inc.
5.25% due 03/29/18		927,421	789,857
Sterling Intermidiate Corp.
5.75% due 06/20/22		521,034	508,879
Container Store, Inc.
4.25% due 04/06/19		325,516	246,848
Rite Aid Corp.
5.75% due 08/21/20		100,000	100,208
Total Consumer, Cyclical			146,980,914
Industrial - 4.2%
Travelport Holdings LLC
5.75% due 09/02/21		28,495,400	28,445,532
Gates Global, Inc.
4.25% due 07/05/21		8,712,247	8,205,890
DAE Aviation
5.25% due 07/07/22		6,584,625	6,555,849
LSF9 Cypress Holdings LLC
7.25% due 10/09/22		5,486,250	5,193,668
Springs Industries, Inc.
7.50% due 06/01/21†††,2		5,100,000	4,980,120
CareCore National LLC
5.50% due 03/05/21		5,091,923	4,735,489
Connolly Corp.
4.50% due 05/14/21		3,951,427	3,882,277
NVA Holdings, Inc.
4.75% due 08/14/21		2,834,294	2,805,951
8.00% due 08/12/22		750,000	727,500
SIRVA Worldwide, Inc.
7.50% due 03/27/192		3,701,595	3,498,007
GYP Holdings III Corp.
4.75% due 04/01/21		3,693,921	3,480,376
Hardware Holdings LLC
6.75% due 03/30/20†††,2		3,456,250	3,369,844
Flakt Woods
2.63% due 03/20/17†††,2	EUR	2,678,249	3,018,525

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Pro Mach Group, Inc.
4.75% due 10/22/21	$	2,773,492	$	2,708,787
Berlin Packaging LLC
4.50% due 10/01/21		2,663,604		2,634,757
AlliedBarton Security Services LLC
4.25% due 02/12/21		2,685,844		2,618,698
Nord Anglia Education Finance LLC
5.00% due 03/31/21		2,584,607		2,541,004
KC Merger Sub, Inc.
6.00% due 08/12/22		2,388,997		2,356,149
V.Group Ltd.
4.75% due 06/25/21		2,258,833		2,202,363
Power Borrower, LLC
4.25% due 05/06/20		1,762,707		1,727,453
8.25% due 11/06/20		275,000		254,375
Mast Global
7.75% due 09/12/19†††,2		1,842,916		1,821,539
CHI Overhead Doors, Inc.
4.75% due 07/29/22		1,840,750		1,813,139
National Technical Systems
7.00% due 06/12/21†††,2		1,896,353		1,803,432
Thermasys Corp.
5.26% due 05/03/19		2,259,375		1,793,379
CPM Holdings, Inc.
6.00% due 04/11/22		1,687,250		1,659,832
Survitec
5.34% due 02/24/222	GBP	1,125,000		1,565,418
Milacron
4.50% due 09/28/20		1,584,658		1,564,849
CEVA Logistics US Holdings
6.50% due 03/19/21		1,850,389		1,520,409
Swissport Investments S.A.
6.25% due 01/20/22	EUR	1,250,000		1,413,196
Dematic S.A.
4.25% due 12/27/19		1,403,686		1,389,060
Capstone Logistics
5.50% due 10/07/21		1,405,327		1,375,463
Goodpack Ltd.
4.75% due 09/09/21		1,469,269		1,355,401
Hillman Group, Inc.
4.50% due 06/30/21		786,000		764,715
3.81% due 06/28/192		614,286		570,620
CEVA Group Plc (United Kingdom)
6.50% due 03/19/21		1,298,105		1,066,614
due 03/19/1910		220,000		193,394
Data Device Corp.
7.00% due 07/15/202		1,261,163		1,251,704
ProAmpac
5.75% due 08/18/22		1,271,813		1,242,408
API Technologies Corp.
10.00% due 02/06/18†††,2		1,123,009		1,130,870
CEVA Logistics Holdings BV (Dutch)
6.50% due 03/19/21		1,344,954		1,105,109
USIC Holding, Inc.
4.00% due 07/10/20		1,066,495		1,045,165
SI Organization
5.75% due 11/22/19		1,050,693		1,040,186
Constantinople Acquisition GmbH
4.75% due 04/30/22		990,000		985,050
Exopack Holdings SA
4.50% due 05/08/19		789,350		768,629
Mitchell International, Inc.
8.50% due 10/11/21		701,000		615,128
Hunter Defense Technologies
due 08/05/192,10		750,000		600,000
Headwaters, Inc.
4.50% due 03/24/22		496,250		497,491
Douglas Dynamics, LLC
5.25% due 12/31/21		493,750		492,516
Hunter Fan Co.
6.50% due 12/20/172		486,450		481,585
NANA Development Corp.
8.00% due 03/15/182		520,000		455,000
Tank Holdings Corp.
5.25% due 03/16/22		470,652		449,670
Doncasters Group Ltd.
9.50% due 10/09/20		456,207		410,586
CEVA Logistics Canada, ULC
6.50% due 03/19/21		231,299		190,051
Wencor Group
3.94% due 06/19/19		169,231		156,477

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Camp Systems International
8.25% due 11/29/19	$	120,000	$	108,000
Total Industrial				130,638,699
Technology - 3.9%
Avaya, Inc.
6.25% due 05/29/20		14,195,682		9,445,239
6.50% due 03/30/18		6,119,644		4,482,639
Epicor Software
4.75% due 06/01/22		11,413,750		10,795,467
TIBCO Software, Inc.
6.50% due 12/04/20		11,691,707		10,481,615
Deltek, Inc.
5.00% due 06/25/22		8,261,586		8,209,952
Solera LLC
5.75% due 03/03/23		7,850,000		7,834,614
Advanced Computer Software
10.50% due 01/31/23		4,750,000		4,358,125
6.50% due 03/18/22		3,465,000		3,326,400
Nimbus Acquisition Bidco Ltd.
7.25% due 07/15/21†††,2	GBP	5,050,000		7,005,590
EIG Investors Corp.
6.00% due 02/09/232		4,600,000		4,255,000
6.23% due 11/09/19		2,693,272		2,568,708
Informatica Corp.
4.50% due 08/05/22		6,368,000		6,240,640
Severin Acquisition LLC
5.88% due 07/30/21†††,2		3,482,500		3,428,870
6.00% due 07/30/21†††,2		2,057,000		2,037,047
Micro Focus International plc
5.25% due 11/19/21		4,973,539		4,957,375
Microsemi Corp.
5.25% due 01/15/23		4,246,885		4,263,490
Greenway Medical Technologies
6.00% due 11/04/202		3,567,875		3,068,373
9.25% due 11/04/212		550,000		423,500
Verisure Cayman 2
5.25% due 10/10/22	EUR	2,450,000		2,790,884
CPI Acquisition, Inc.
5.50% due 08/17/22		2,502,372		2,474,221
LANDesk Group, Inc.
5.00% due 02/25/20		2,390,960		2,331,186
Mirion Technologies
5.75% due 03/31/22		2,233,125		2,199,628
The Active Network, Inc.
5.50% due 11/13/20		2,041,497		1,934,318
Sparta Holding Corp.
6.50% due 07/28/20†††		1,814,608		1,801,528
Wall Street Systems
4.25% due 04/30/21		1,786,405		1,766,308
Infor, Inc.
3.75% due 06/03/20		1,448,309		1,402,369
SolarWinds Holdings, Inc.
6.50% due 02/03/23	EUR	1,200,000		1,354,839
GlobalLogic Holdings, Inc.
6.25% due 05/31/19		1,176,000		1,149,540
Flexera Software LLC
4.50% due 04/02/20		819,873		815,265
8.00% due 04/02/21		350,000		323,750
Aspect Software, Inc.
9.50% due 09/30/16		1,125,432		1,114,178
Eze Castle Software, Inc.
4.00% due 04/06/20		693,004		686,074
7.25% due 04/05/21		400,000		376,000
MRI Software LLC
5.25% due 06/23/21		995,000		980,075
CCC Information Services, Inc.
4.00% due 12/20/19		989,012		970,468
Hyland Software, Inc.
4.75% due 07/01/22		724,296		719,769
Quorum Business Solutions
5.75% due 08/06/212		663,300		653,351
First Data Corp.
7.25% due 03/24/21		178,213		177,628
Total Technology				123,204,023
Consumer, Non-cyclical - 3.3%
Albertson’s (Safeway) Holdings LLC
5.50% due 08/25/21		28,286,250		28,300,393
IHC Holding Corp.
7.00% due 04/30/21†††,2		7,462,500		7,278,176

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Affordable Care Holdings Corp.
5.75% due 10/24/22	$	7,231,875	$	7,114,357
American Seafoods
6.00% due 08/19/212		5,925,000		5,747,250
One Call Medical, Inc.
5.00% due 11/27/20		6,102,769		5,355,180
Americold Realty Operating Partnership, LP
6.50% due 12/01/22		5,236,875		5,223,783
At Home Holding III Corp.
5.00% due 06/03/22		4,962,500		4,764,000
Grocery Outlet, Inc.
4.75% due 10/21/21		4,406,591		4,301,934
Hearthside Foods
4.50% due 06/02/21		3,267,146		3,177,299
Authentic Brands
5.50% due 05/27/21		3,282,951		3,165,322
SHO Holding I Corp.
6.00% due 10/27/222		3,000,000		2,970,000
American Tire Distributors, Inc.
5.25% due 09/01/21		2,735,549		2,721,871
Dole Food Company, Inc.
4.50% due 11/01/18		2,511,949		2,498,862
AdvancePierre Foods, Inc.
9.50% due 10/10/17		1,006,000		997,620
5.75% due 07/10/17		723,205		724,109
AMAG Pharmaceuticals
4.75% due 08/17/21		1,735,000		1,704,638
Performance Food Group
7.21% due 11/14/19		1,685,106		1,685,106
Reddy Ice Holdings, Inc.
6.75% due 05/01/19		1,067,486		889,568
10.75% due 10/01/192		1,125,000		742,500
Physio-Control International, Inc.
5.50% due 06/06/22		1,556,100		1,554,155
Hostess Brands
4.50% due 08/03/22		1,492,500		1,492,500
Phillips-Medsize Corp.
4.75% due 06/16/21		1,474,242		1,448,443
Nellson Nutraceutical (US)
6.00% due 12/23/21		1,466,274		1,447,946
Arctic Glacier Holdings, Inc.
6.00% due 05/10/19		1,522,448		1,446,326
DJO Finance LLC
4.25% due 06/08/20		1,215,921		1,187,554
Valeo Foods Group Ltd.
4.25% due 05/06/22	EUR	1,100,000		1,187,489
NES Global Talent
6.50% due 10/03/19		1,093,347		984,012
CTI Foods Holding Co. LLC
8.25% due 06/28/21		1,035,000		936,675
Pharmaceutical Product Development
4.25% due 08/18/22		914,630		905,868
Winebow, Inc.
4.75% due 07/01/21		982,500		901,444
Nellson Nutraceutical (CAD)
6.00% due 12/23/21		910,727		899,343
Fender Musical Instruments Corp.
5.75% due 04/03/19		474,750		468,816
Targus Group International, Inc.
7.37% due 05/24/16†††,2		152,522		—
Total Consumer, Non-cyclical				104,222,539
Financial - 1.5%
LPL Financial Holdings, Inc.
4.75% due 11/21/22		5,700,000		5,586,000
Lineage Logistics LLC
4.50% due 04/07/21		6,431,880		5,386,699
USI Holdings Corp.
4.25% due 12/27/19		4,404,204		4,330,786
National Financial Partners Corp.
4.50% due 07/01/20		4,197,396		4,094,560
Alliant Holdings I L.P.
4.50% due 08/12/22		3,522,128		3,475,460
Assured Partners, Inc.
5.75% due 10/21/22		3,491,250		3,465,066
Magic Newco, LLC
5.00% due 12/12/18		3,354,512		3,351,157

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Hyperion Insurance
5.50% due 04/29/22	$	3,267,000	$	3,107,734
York Risk Services
4.75% due 10/01/21		3,064,469		2,600,968
Integro Parent, Inc.
6.75% due 10/31/22		2,250,000		2,139,963
Expert Global Solutions
8.50% due 04/03/18		2,152,660		2,109,607
Acrisure LLC
6.50% due 05/19/22		2,088,247		2,046,482
Ryan LLC
6.75% due 08/07/20		1,684,375		1,631,738
American Stock Transfer & Trust
5.75% due 06/26/20		1,570,104		1,519,075
Genex Services, Inc.
5.25% due 05/28/21		907,985		889,825
HUB International Ltd.
4.00% due 10/02/20		791,940		770,161
Cunningham Lindsey U.S., Inc.
5.00% due 12/10/19		663,531		447,884
9.25% due 06/10/202		116,932		58,077
Total Financial				47,011,242
Communications - 1.4%
Cengage Learning Acquisitions, Inc.
7.00% due 03/31/20		11,249,893		11,185,656
Match Group, Inc.
5.50% due 11/16/22		6,517,500		6,513,459
Numericable US LLC
4.75% due 02/10/23		5,850,000		5,796,999
Anaren, Inc.
5.50% due 02/18/212		1,891,210		1,702,089
9.25% due 08/18/212		1,500,000		1,367,505
Neptune Finco Corp.
5.00% due 10/10/22		3,000,000		2,999,520
Gogo LLC
11.25% due 03/21/182		2,113,354		2,123,921
7.50% due 03/21/182		802,555		770,452
Proquest LLC
5.75% due 10/24/21		2,734,240		2,638,542
Asurion Corp.
4.25% due 07/08/20		1,176,242		1,132,133
5.00% due 08/04/22		772,198		755,310
Mitel Networks Corp.
5.50% due 04/29/22		1,263,545		1,261,574
MergerMarket Ltd.
4.50% due 02/04/21		1,176,985		1,141,675
Bureau van Dijk Electronic Publishing BV
5.09% due 09/20/212	GBP	800,834		1,122,733
First Data Corp.
4.18% due 07/10/22		1,000,000		993,000
Liberty Cablevision of Puerto Rico LLC
4.50% due 01/07/22		600,000		571,500
Internet Brands
4.75% due 07/08/21		267,465		265,293
Total Communications				42,341,361
Utilities - 0.8%
Invenergy Thermal Operating I, LLC
6.50% due 10/19/22		12,319,125		11,579,977
Texas Competitive Electric Holdings Company LLC
3.75% due 11/07/16		5,883,663		5,854,245
Panda Hummel
7.00% due 10/27/22		3,000,000		2,760,000
Terraform AP Acquisition Holdings LLC
5.00% due 06/26/22		2,875,925		2,588,332
Osmose Utility Services, Inc.
4.75% due 08/22/22		1,645,875		1,612,958
Panda Temple II Power
7.25% due 04/03/19		997,500		832,913
Stonewall (Green Energy)
6.50% due 11/12/21		500,000		465,000
Total Utilities				25,693,425
Basic Materials - 0.7%
Atkore International, Inc.
4.50% due 04/09/21		3,637,596		3,537,561
7.75% due 10/09/21		850,000		773,500

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Ennis-Flint
4.25% due 03/31/212	$	1,960,000	$	1,911,000
7.75% due 09/30/212		550,000		522,500
Platform Specialty Products
5.50% due 06/07/20		2,414,750		2,419,471
Azelis Finance S.A.
6.50% due 12/16/22		2,294,250		2,282,779
Orica Chemicals
7.25% due 02/28/22		2,289,987		2,221,288
Zep, Inc.
5.50% due 06/27/22		1,990,000		1,985,025
Plaskolite LLC
5.75% due 11/03/22		1,700,000		1,685,125
Noranda Aluminum Acquisition Corp.
5.75% due 02/28/19		3,356,210		973,301
12.00% due 11/08/16†††,2		698,324		670,391
Trinseo Materials Operating S.C.A.
4.25% due 11/05/21		1,141,375		1,133,888
Chromaflo Technologies
4.50% due 12/02/19		1,064,650		1,014,079
Royal Adhesives And Sealants
4.50% due 06/19/22		794,000		768,695
Hoffmaster Group, Inc.
5.25% due 05/08/20		494,975		486,724
Total Basic Materials				22,385,327
Energy - 0.1%
Veresen Midstream LP
5.25% due 03/31/22		3,051,937		2,819,227
PSS Companies
5.50% due 01/28/202		859,309		558,551
Cactus Wellhead
7.00% due 07/31/20		1,481,250		518,438
FTS International
5.75% due 04/16/21		2,382,727		279,970
Total Energy				4,176,186
Total Senior Floating Rate Interests
(Cost $675,024,735)				646,653,716
CORPORATE BONDS†† - 20.2%
Financial - 4.3%
Citigroup, Inc.
5.95% due 12/31/495,11		18,009,000		17,290,383
5.87% due 12/31/495,9,11		9,280,000		8,966,800
5.95% due 12/29/495,11		8,300,000		7,996,527
Bank of America Corp.
6.10% due 03/12/495,11		17,000,000		16,744,999
6.30% due 12/31/495,11		6,100,000		6,283,000
Fifth Third Bancorp
5.10% due 06/30/235,11		11,244,000		10,203,930
4.90% due 12/31/495,11		7,700,000		6,718,250
Jefferies Finance LLC / JFIN Company-Issuer Corp.
7.38% due 04/01/206,9		10,274,000		8,887,010
7.50% due 04/15/216		4,751,000		4,085,860
6.88% due 04/15/226		1,100,000		932,250
Atlas Mara Ltd.
8.00% due 12/31/202		13,400,000		11,081,800
Oxford Finance LLC / Oxford Finance Company-Issuer, Inc.
7.25% due 01/15/186		7,926,000		7,846,740
Customers Bank
6.13% due 06/26/295,18		6,000,000		6,000,000
Kennedy-Wilson, Inc.
5.87% due 04/01/24		5,400,000		5,278,500
Greystar Real Estate Partners LLC
8.25% due 12/01/226		3,325,000		3,433,063
Univest Corporation of Pennsylvania
5.10% due 03/30/252,5		2,500,000		2,487,500
SunTrust Banks, Inc.
5.63% due 12/31/495,11		2,490,000		2,465,100
National Financial Partners Corp.
9.00% due 07/15/216,9		2,351,000		2,256,960
GEO Group, Inc.
5.88% due 01/15/22		1,600,000		1,620,000
Jefferies LoanCore LLC / JLC Finance Corp.
6.87% due 06/01/206		1,700,000		1,449,250

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
NewStar Financial, Inc.
7.25% due 05/01/20	$	1,225,000	$	1,102,500
Prosight Global Inc.
7.50% due 11/26/20†††,2		850,000		881,484
Total Financial				134,011,906
Communications - 4.0%
Sprint Communications, Inc.
9.00% due 11/15/186		17,125,000		17,938,437
7.00% due 03/01/206		5,497,000		5,497,000
DISH DBS Corp.
5.88% due 11/15/24		16,900,000		15,505,749
5.88% due 07/15/22		2,170,000		2,056,075
Zayo Group LLC / Zayo Capital, Inc.
6.00% due 04/01/23		12,350,000		12,326,782
6.38% due 05/15/25		1,200,000		1,173,000
MDC Partners, Inc.
6.75% due 04/01/206		9,200,000		9,510,500
6.50% due 05/01/246		2,350,000		2,399,938
Numericable-SFR S.A.
6.00% due 05/15/226		8,300,000		8,092,500
T-Mobile USA, Inc.
6.50% due 01/15/26		6,500,000		6,751,874
Numericable-SFR SAS
6.25% due 05/15/246		6,622,000		6,420,029
Avaya, Inc.
7.00% due 04/01/196		9,505,000		6,415,875
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
9.75% due 04/01/219		5,550,000		6,021,750
Neptune Finco Corp.
6.63% due 10/15/256		5,050,000		5,459,808
Interoute Finco plc
7.38% due 10/15/20	EUR	4,250,000		5,246,914
CCOH Safari LLC
5.75% due 02/15/266,9		4,500,000		4,657,500
Sprint Corp.
7.88% due 09/15/23		4,550,000		3,479,795
Midcontinent Communications & Midcontinent Finance Corp.
6.88% due 08/15/236		2,410,000		2,494,350
TIBCO Software, Inc.
11.38% due 12/01/216		2,750,000		2,406,250
CenturyLink, Inc.
5.63% due 04/01/25		1,150,000		1,029,250
CSC Holdings LLC
6.75% due 11/15/21		500,000		513,500
Total Communications				125,396,876
Energy - 2.5%
ContourGlobal Power Holdings S.A.
7.13% due 06/01/196		11,775,000		11,436,469
Sunoco Logistics Partners Operations, LP
5.95% due 12/01/25		10,000,000		10,046,900
Buckeye Partners, LP
4.35% due 10/15/24		9,701,000		8,712,846
Husky Energy, Inc.
4.00% due 04/15/24		5,350,000		5,061,399
3.95% due 04/15/22		3,600,000		3,586,684
Halcon Resources Corp.
8.63% due 02/01/206,9		9,150,000		6,496,500
EQT Corp.
8.13% due 06/01/19		5,550,000		5,980,651
Comstock Resources, Inc.
10.00% due 03/15/206		9,775,000		4,814,188
CONSOL Energy, Inc.
8.00% due 04/01/23		5,950,000		4,445,840
Gibson Energy, Inc.
6.75% due 07/15/216,9		4,590,000		4,222,800
Approach Resources, Inc.
7.00% due 06/15/21		7,343,000		3,506,283
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
9.25% due 05/18/20†††,2		5,037,000		2,518,903
SandRidge Energy, Inc.
8.75% due 06/01/206		8,404,000		2,037,970

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
EP Energy LLC / Everest Acquisition Finance, Inc.
9.38% due 05/01/20	$	3,725,000	$	1,878,797
Schahin II Finance Company SPV Ltd.
5.88% due 09/25/2212,18		7,557,400		1,099,602
Unit Corp.
6.63% due 05/15/21		2,100,000		1,055,250
Atlas Energy Holdings Operating Company LLC / Atlas Resource Finance Corp.
9.25% due 08/15/212,9		3,860,000		598,300
7.75% due 01/15/212,9		1,350,000		195,750
Total Energy				77,695,132
Consumer, Non-cyclical - 2.1%
Vector Group Ltd.
7.75% due 02/15/219		18,410,000		19,330,499
Bumble Bee Holdings, Inc.
9.00% due 12/15/176,9		18,709,000		18,755,773
Central Garden & Pet Co.
6.13% due 11/15/23		10,400,000		10,816,000
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
7.88% due 10/01/226,9		5,840,000		5,431,200
Opal Acquisition, Inc.
8.88% due 12/15/216		7,730,000		5,391,675
US Foods, Inc.
8.50% due 06/30/19		4,000,000		4,110,000
KeHE Distributors LLC / KeHE Finance Corp.
7.63% due 08/15/216		1,125,000		1,077,188
Bumble Bee Holdco SCA
9.62% due 03/15/186		1,076,000		1,059,860
Total Consumer, Non-cyclical				65,972,195
Technology - 1.7%
First Data Corp.
5.75% due 01/15/246		26,800,000		26,797,324
7.00% due 12/01/236		1,000,000		1,010,000
NCR Corp.
6.38% due 12/15/23		5,000,000		5,150,000
5.88% due 12/15/219		4,467,000		4,567,508
Micron Technology, Inc.
5.25% due 08/01/236		11,200,000		9,156,000
Infor US, Inc.
6.50% due 05/15/229		5,520,000		5,023,200
5.75% due 08/15/206		1,250,000		1,287,500
Epicor Software
9.24% due 06/21/23†††		1,850,000		1,693,675
Total Technology				54,685,207
Basic Materials - 1.7%
BHP Billiton Finance USA Ltd.
6.75% due 10/19/755,6		18,850,000		18,850,000
Newcrest Finance Pty Ltd.
4.20% due 10/01/226,9		13,100,000		12,414,214
Yamana Gold, Inc.
4.95% due 07/15/24		12,000,000		10,140,000
Eldorado Gold Corp.
6.13% due 12/15/206		6,295,000		5,744,188
TPC Group, Inc.
8.75% due 12/15/206,9		5,190,000		3,633,000
Constellium N.V.
7.88% due 04/01/216		550,000		549,522
Mirabela Nickel Ltd.
9.50% due 06/24/19†††,2		1,799,922		467,980
Unifrax I LLC / Unifrax Holding Co.
7.50% due 02/15/1918		220,000		135,850
Total Basic Materials				51,934,754
Consumer, Cyclical - 1.2%
WMG Acquisition Corp.
6.75% due 04/15/226,9		13,700,000		13,563,000
5.63% due 04/15/226		1,800,000		1,827,000
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.
5.50% due 03/01/256		10,400,000		9,802,000

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
6.75% due 06/15/239	$	5,500,000	$	4,826,250
Carrols Restaurant Group, Inc.
8.00% due 05/01/22		2,500,000		2,681,250
Nathan’s Famous, Inc.
10.00% due 03/15/206		2,150,000		2,262,875
Seminole Hard Rock Entertainment Inc. / Seminole Hard Rock International LLC
5.88% due 05/15/216		1,550,000		1,553,875
AmeriGas Finance LLC / AmeriGas Finance Corp.
6.75% due 05/20/20		750,000		768,750
Total Consumer, Cyclical				37,285,000
Industrial - 1.1%
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer
7.13% due 04/15/19		9,650,000		9,818,874
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer
7.88% due 08/15/199		5,600,000		5,796,000
StandardAero Aviation Holdings, Inc.
10.00% due 07/15/236		5,800,000		5,539,000
Novelis, Inc.
8.75% due 12/15/20		4,325,000		4,365,223
8.38% due 12/15/17		450,000		457,650
Dynagas LNG Partners Limited Partnership / Dynagas Finance, Inc.
6.25% due 10/30/192		5,950,000		3,986,500
CEVA Group plc
7.00% due 03/01/216		2,325,000		1,854,188
Princess Juliana International Airport Operating Company N.V.
5.50% due 12/20/27†††,6		1,820,888		1,796,124
LMI Aerospace, Inc.
7.38% due 07/15/19		1,550,000		1,457,000
SBM Baleia Azul
5.50% due 09/15/27†††,2		927,190		646,075
Total Industrial				35,716,634
Utilities - 0.9%
AES Corp.
3.64% due 06/01/195		13,832,000		13,347,880
7.38% due 07/01/21		3,450,000		3,864,000
4.88% due 05/15/23		3,000,000		2,887,500
5.50% due 03/15/24		800,000		782,000
AmeriGas Partners LP / AmeriGas Finance Corp.
6.50% due 05/20/21		2,830,000		2,872,450
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/236		2,765,000		2,571,450
Terraform Global Operating LLC
9.75% due 08/15/226		2,700,000		2,025,000
FPL Energy National Wind LLC
5.61% due 03/10/2418		42,908		42,908
Total Utilities				28,393,188
Diversified - 0.7%
HRG Group, Inc.
7.88% due 07/15/199		20,871,000		22,010,557
Total Corporate Bonds
(Cost $659,028,622)				633,101,449
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 14.2%
Residential Mortgage-Backed Securities - 11.4%
Banc of America Funding Ltd.
2013-R1 A5, 0.65% due 11/03/415,6		37,970,162		35,135,840

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
American Home Mortgage Assets Trust
2007-1 A1, 1.05% due 02/25/475,9	$	35,530,946	$	19,478,125
2006-4 1A11, 0.62% due 10/25/465		15,579,449		9,657,481
RALI Series Trust
2006-QO10 A1, 0.59% due 01/25/375		12,142,260		8,787,445
2007-QO2 A1, 0.58% due 02/25/475		13,591,825		7,069,970
2006-QO2 A2, 0.70% due 02/25/465,9		14,605,431		6,006,187
2007-QO3 A1, 0.59% due 03/25/475		6,614,027		5,129,292
2006-QO2 A1, 0.65% due 02/25/465		4,217,436		1,702,821
HarborView Mortgage Loan Trust
2006-14 2A1A, 0.58% due 01/25/475,9		38,467,212		28,433,546
NRPL Trust
2015-1 A1, 3.88% due 11/01/546,9		21,493,727		21,442,464
2014-2A A1, 3.75% due 10/25/575,6		6,450,346		6,390,065
Lehman XS Trust Series
2007-15N 2A1, 0.69% due 08/25/375		13,815,066		10,482,322
2006-16N A4A, 0.62% due 11/25/465		12,554,103		9,673,218
2006-10N, 0.64% due 07/25/465		9,267,980		7,137,550
GCAT LLC
2014-2 A1, 3.72% due 10/25/196,13		15,075,906		14,961,754
2015-6 A, 3.63% due 05/26/206		5,893,868		5,846,063
Nomura Resecuritization Trust
2012-1R A, 0.87% due 08/27/475,6		8,510,893		8,095,366
2015-4R 5A1, 0.86% due 03/26/365,6		7,269,872		6,460,248
2015-4R 6A1, 0.96% due 12/26/365,6		4,875,353		4,670,813
GSAA Home Equity Trust
2006-14 A2, 0.60% due 09/25/365		18,338,649		9,055,288
2006-3, 0.73% due 03/25/365		5,988,281		3,959,782
2007-7 A4, 0.70% due 07/25/375		4,069,380		3,494,270
2006-14, 0.68% due 09/25/365		4,807,275		2,668,363
GreenPoint Mortgage Funding Trust
2006-AR1 A1A, 0.72% due 02/25/365,9		11,084,497		8,536,837
2005-HE4 M1, 0.90% due 07/25/305		4,483,976		4,329,980
2007-AR1 1A1A, 0.51% due 02/25/475		1,396,908		1,368,266
Oak Hill Advisors Residential Loan Trust
2015-NPL2 A1, 3.72% due 07/25/556		13,738,436		13,649,776
American Home Mortgage Investment Trust
2006-1 11A1, 0.71% due 03/25/465		10,245,378		8,077,090
2006-1 12A1, 0.83% due 03/25/465		6,217,664		4,946,073
AJAX Mortgage Loan Trust
2015-A A, 3.88% due 11/25/546		12,000,517		11,865,883
GSAA Trust
2006-9, 0.67% due 06/25/365		15,569,496		8,371,626
2005-10 M4, 1.40% due 06/25/355		2,462,000		2,252,891
Merrill Lynch Alternative Note Asset Trust Series
2007-OAR3 A1, 0.62% due 07/25/375		12,843,121		9,303,427

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9 2A, 1.16% due 11/25/465	$	10,339,390	$	6,970,255
2006-8 A6, 4.66% due 10/25/36		3,906,631		2,300,084
Luminent Mortgage Trust
2006-2 A1A, 0.63% due 02/25/465		12,690,255		8,193,835
Banc of America Funding Trust
2015-R4 8A1, 0.61% due 01/27/35†††,5,6		8,289,638		7,429,339
HSI Asset Securitization Corporation Trust
2005-OPT1, 0.85% due 11/25/355		7,320,000		6,008,468
Soundview Home Loan Trust
2007-1 2A3, 0.60% due 03/25/375		4,087,770		3,652,433
First Franklin Mortgage Loan Trust
2006-FF1 2A4, 0.77% due 01/25/365		2,750,000		2,421,360
2006-FF1, 0.87% due 01/25/365		1,225,000		882,693
Alliance Bancorp Trust
2007-OA1 A1, 0.67% due 07/25/375		4,682,756		2,903,116
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE1 A, 0.57% due 07/25/375,6		2,635,558		2,208,964
Morgan Stanley Re-REMIC Trust
2010-R5 4B, 0.93% due 06/26/365,6		2,352,743		1,704,671
Bear Stearns Mortgage Funding Trust
2007-AR5 1A1A, 0.60% due 06/25/475		1,642,930		1,235,225
Asset Backed Securities Corporation Home Equity Loan Trust
2006-HE5, 0.57% due 07/25/365		1,311,763		1,069,559
New Century Home Equity Loan Trust
2004-4 M2, 1.23% due 02/25/355		1,051,622		822,894
Total Residential Mortgage-Backed Securities				356,243,018
Commercial Mortgage-Backed Securities - 2.6%
Motel 6 Trust
2015-MTL6 E, 5.27% due 02/05/306,9		34,450,000		33,343,497
GS Mortgage Securities Corporation Trust
2016-ICE2 E, 8.94% due 02/15/335,6		28,300,000		28,308,878
CDGJ Commercial Mortgage Trust
2014-BXCH EPA, 4.69% due 12/15/275,6		12,500,000		12,419,468
BXHTL Mortgage Trust
2015-JWRZ, 4.13% due 05/15/295,6		5,000,000		4,794,281
GE Business Loan Trust
2007-1A, 0.89% due 04/16/355,6		4,572,967		3,994,902
Total Commercial Mortgage-Backed Securities				82,861,026
Military Housing - 0.2%
Capmark Military Housing Trust
2007-AET2 A, 6.06% due 10/10/526		5,871,504		5,928,047
Total Collateralized Mortgage Obligations
(Cost $466,757,168)				445,032,091

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
FOREIGN GOVERNMENT BONDS†† - 2.1%
Kenya Government International Bond
6.87% due 06/24/246	$	36,210,000	$	34,127,925
Dominican Republic International Bond
6.85% due 01/27/456,9		30,400,000		30,096,000
Total Foreign Government Bonds
(Cost $68,177,557)				64,223,925
COMMERCIAL PAPER†† - 0.2%
AirGas, Inc.
0.70% due 04/12/166		6,000,000		5,998,717
Total Commercial Paper
(Cost $5,998,717)				5,998,717
REPURCHASE AGREEMENTS††,14 - 0.1%
Jefferies & Company, Inc. issued 03/15/16 at 2.95% due 04/04/16		2,404,000		2,404,000
Barclays issued 03/24/16 at 0.00% open maturity		510,625		510,625
issued 12/17/15 at (0.15)% open maturity		489,375		489,375
Total Repurchase Agreements
(Cost $3,404,000)				3,404,000
SENIOR FIXED RATE INTERESTS†† - 0.1%
Communications - 0.1%
Lions Gate Entertainment Corp.
5.00% due 03/17/22		2,110,000		2,051,976
Financial - 0.0%
Magic Newco, LLC
12.00% due 06/12/19		1,075,000		1,102,552
Consumer, Non-cyclical - 0.0%
Targus Group International, Inc.
7.50% due 12/31/19†††,2		53,069		77,884
Total Senior Fixed Rate Interests
(Cost $3,379,762)				3,232,412

	Contracts
OPTIONS PURCHASED† - 0.2%
Put options on:
Bank of America Merrill Lynch September 2016 SPDR Gold Shares Expiring with strike price of $128.00		10,345	2,379,350
BNP June 2016 S&P 500 Index Expiring with strike price of $1,800.00		544	489,600

	Notional
Bank of America Merrill Lynch September 2016 EUR / DKK Expiring with strike price of $7.44†††	$	118,700,000	404,767
Total Put options			3,273,717
Call options on:
JPMorgan August 2016 USD / CNH Expiring with strike price of $6.66†††		78,400,000	763,381
Bank of America Merrill Lynch September 2016 USD / TWD Expiring with strike price of $32.48†††		39,400,000	604,435

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Notional		Value
Bank of America Merrill Lynch August 2016 USD / SAR Expiring with strike price of $3.78†††	$	78,400,000	$	368,245
Total Call options				1,736,061
Total Options Purchased
(Cost $14,115,746)				5,009,778
Total Investments - 108.0%
(Cost $3,543,583,735)			$	3,380,057,597

	Shares
COMMON STOCKS SOLD SHORT† - (3.1)%
Utilities - (0.0)%
South Jersey Industries, Inc.		18,716	(532,470	)
Communications - (0.1)%
Twenty-First Century Fox, Inc. — Class A		15,459	(430,997	)
Ruckus Wireless, Inc.*		45,650	(447,827	)
TripAdvisor, Inc.*		6,912	(459,648	)
Facebook, Inc. — Class A*		4,526	(516,417	)
Netflix, Inc.*		6,841	(699,355	)
Amazon.com, Inc.*		1,738	(1,031,746	)
Total Communications			(3,585,990	)
Consumer, Non-cyclical - (0.1)%
Acorda Therapeutics, Inc.*		11,344	(300,049	)
Cantel Medical Corp.		5,914	(422,023	)
Monro Muffler Brake, Inc.		7,234	(517,014	)
Live Nation Entertainment, Inc.*		28,822	(643,019	)
Alexion Pharmaceuticals, Inc.*		5,325	(741,347	)
Bristol-Myers Squibb Co.		12,436	(794,412	)
Vertex Pharmaceuticals, Inc.*		11,455	(910,558	)
Total Consumer, Non-cyclical			(4,328,422	)

Technology - (0.2)%
Intersil Corp. — Class A	29,163	(389,909	)
Red Hat, Inc.*	5,491	(409,134	)
Tangoe, Inc.*	52,314	(412,757	)
Medidata Solutions, Inc.*	10,942	(423,565	)
Ultimate Software Group, Inc.*	2,276	(440,406	)
CommVault Systems, Inc.*	10,591	(457,213	)
Silicon Laboratories, Inc.*	10,210	(459,042	)
Semtech Corp.*	22,263	(489,563	)
Electronics for Imaging, Inc.*	12,046	(510,630	)
Cypress Semiconductor Corp.*	84,278	(729,848	)
Autodesk, Inc.*	12,787	(745,610	)
Intuit, Inc.	8,165	(849,243	)
Total Technology		(6,316,920	)
Industrial - (0.3)%
Headwaters, Inc.*	20,652	(409,736	)
Itron, Inc.*	11,016	(459,588	)
Eagle Materials, Inc.	6,858	(480,814	)
EnPro Industries, Inc.	8,433	(486,415	)
Aerovironment, Inc.*	19,951	(565,012	)
Sealed Air Corp.	14,796	(710,356	)
KBR, Inc.	49,333	(763,675	)
Louisiana-Pacific Corp.*	80,138	(1,371,963	)
Martin Marietta Materials, Inc.	8,763	(1,397,786	)
Vulcan Materials Co.	15,030	(1,586,717	)
Total Industrial		(8,232,062	)
Basic Materials - (0.4)%
Compass Minerals International, Inc.	5,516	(390,864	)
NewMarket Corp.	1,069	(423,602	)
PolyOne Corp.	14,026	(424,287	)
Worthington Industries, Inc.	12,840	(457,618	)
RPM International, Inc.	10,414	(492,895	)
Balchem Corp.	8,018	(497,276	)
International Flavors & Fragrances, Inc.	4,948	(562,934	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Shares		Value
PPG Industries, Inc.		5,265	$	(586,995	)
HB Fuller Co.		15,487		(657,423	)
Sensient Technologies Corp.		11,632		(738,167	)
Praxair, Inc.		8,221		(940,893	)
Sherwin-Williams Co.		3,436		(978,126	)
Air Products & Chemicals, Inc.		7,351		(1,058,912	)
Ashland, Inc.		10,102		(1,110,816	)
Ecolab, Inc.		12,879		(1,436,265	)
Royal Gold, Inc.		28,140		(1,443,301	)
FMC Corp.		39,380		(1,589,770	)
Total Basic Materials				(13,790,144	)
Consumer, Cyclical - (0.6)%
Popeyes Louisiana Kitchen, Inc.*		6,837		(355,934	)
Starbucks Corp.		6,358		(379,573	)
Callaway Golf Co.		41,759		(380,842	)
Regis Corp.*		25,992		(394,818	)
Scotts Miracle-Gro Co. — Class A		5,490		(399,507	)
Sonic Automotive, Inc. — Class A		21,911		(404,915	)
Motorcar Parts of America, Inc.*		10,837		(411,589	)
Crocs, Inc.*		42,976		(413,429	)
Papa John’s International, Inc.		7,842		(424,958	)
Fred’s, Inc. — Class A		29,163		(434,820	)
Mobile Mini, Inc.		13,465		(444,614	)
Group 1 Automotive, Inc.		7,724		(453,322	)
Tractor Supply Co.		5,414		(489,750	)
Pool Corp.		5,700		(500,118	)
Wendy’s Co.		46,003		(500,972	)
LKQ Corp.*		16,479		(526,174	)
Core-Mark Holding Company, Inc.		6,547		(533,974	)
Lithia Motors, Inc. — Class A		6,581		(574,719	)
O’Reilly Automotive, Inc.*		2,339		(640,091	)
Wynn Resorts Ltd.		6,911		(645,695	)
Royal Caribbean Cruises Ltd.		8,581		(704,929	)
Hanesbrands, Inc.		26,815		(759,937	)
Signet Jewelers Ltd.		6,166		(764,769	)
J.C. Penney Company, Inc.*		72,493		(801,773	)
Kate Spade & Co.*		34,411		(878,169	)
Under Armour, Inc. — Class A*		15,586		(1,322,160	)
DreamWorks Animation SKG, Inc. — Class A*		61,542		(1,535,473	)
CarMax, Inc.*		32,580		(1,664,838	)
Total Consumer, Cyclical				(17,741,862	)
Financial - (1.4)%
Taubman Centers, Inc.		5,205		(370,752	)
Community Bank System, Inc.		9,878		(377,438	)
Safety Insurance Group, Inc.		6,803		(388,179	)
Washington Federal, Inc.		17,213		(389,874	)
Northfield Bancorp, Inc.		23,842		(391,962	)
FNB Corp.		30,493		(396,714	)
Bank of the Ozarks, Inc.		9,496		(398,547	)
American Assets Trust, Inc.		10,341		(412,813	)
Pennsylvania Real Estate Investment Trust		19,030		(415,806	)
Glacier Bancorp, Inc.		16,564		(421,057	)
Liberty Property Trust		12,690		(424,607	)
Webster Financial Corp.		12,638		(453,704	)
Sovran Self Storage, Inc.		4,017		(473,805	)
Tanger Factory Outlet Centers, Inc.		13,456		(489,664	)
Associated Banc-Corp.		28,170		(505,370	)
Assurant, Inc.		6,853		(528,709	)
EastGroup Properties, Inc.		8,864		(535,120	)
Douglas Emmett, Inc.		18,722		(563,719	)
Corporate Office Properties Trust		22,413		(588,117	)
Public Storage		2,243		(618,687	)
Kilroy Realty Corp.		10,101		(624,949	)
Intercontinental Exchange, Inc.		2,726		(640,992	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Shares		Value
Welltower, Inc.		9,285	$	(643,822	)
National Retail Properties, Inc.		14,125		(652,575	)
People’s United Financial, Inc.		41,146		(655,456	)
Alexandria Real Estate Equities, Inc.		7,267		(660,498	)
Highwoods Properties, Inc.		13,924		(665,706	)
Camden Property Trust		8,083		(679,699	)
Duke Realty Corp.		30,320		(683,413	)
Simon Property Group, Inc.		3,347		(695,138	)
Healthcare Realty Trust, Inc.		23,107		(713,775	)
Regency Centers Corp.		9,811		(734,353	)
Mercury General Corp.		13,657		(757,964	)
Kite Realty Group Trust		28,541		(790,871	)
AvalonBay Communities, Inc.		4,209		(800,552	)
Valley National Bancorp		86,092		(821,318	)
Equity One, Inc.		28,879		(827,672	)
Retail Opportunity Investments Corp.		43,686		(878,962	)
Morgan Stanley		35,480		(887,355	)
Crown Castle International Corp.		10,495		(907,818	)
Federal Realty Investment Trust		5,902		(921,008	)
Cousins Properties, Inc.		90,463		(939,006	)
Vornado Realty Trust		10,186		(961,864	)
Boston Properties, Inc.		7,649		(972,036	)
Equity Residential		13,359		(1,002,326	)
American Tower Corp. — Class A		10,149		(1,038,952	)
Goldman Sachs Group, Inc.		6,659		(1,045,330	)
Extra Space Storage, Inc.		11,288		(1,054,976	)
Prologis, Inc.		24,965		(1,102,953	)
American Campus Communities, Inc.		23,685		(1,115,327	)
Realty Income Corp.		18,303		(1,144,121	)
Essex Property Trust, Inc.		5,446		(1,273,601	)
SL Green Realty Corp.		16,297		(1,578,854	)
HCP, Inc.		50,364		(1,640,859	)
Total Financial				(39,658,745	)
Total Common Stocks Sold Short
(Proceeds $90,289,875)				(94,186,615	)

	Face Amount
CORPORATE BONDS SOLD SHORT†† - (0.0)%
Envision Healthcare Corp.
5.13% due 07/01/226	$	1,000,000	(1,015,000	)
Total Corporate Bonds Sold Short
(Cost $984,518)			(1,015,000	)
Total Securities Sold Short - (3.1)%
(Proceeds $91,274,393)			(95,201,615	)

	Contracts
OPTIONS WRITTEN† - (0.0)%
Call options on:
Bank of America Merrill Lynch September 2016 SPDR Gold Shares Expiring with strike price of $142.00		10,345		(868,980	)
Put options on:
BNP June 2016 S&P 500 Index Expiring with strike price of $1,600.00		544		(139,264	)
Total Options Written
(Premiums received $4,061,040)				(1,008,244	)
Other Assets & Liabilities, net - (4.9)%				(152,868,358	)
Total Net Assets - 100.0%			$	3,130,979,380

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Units		Unrealized Gain (Loss)
OTC CURRENCY SWAP AGREEMENT SOLD SHORT††
Bank of America June 2016 Euro - Bund Swap, Terminating 06/06/16 (Aggregate Value of Contracts $258,454,992)		1,389	$	(1,454,397	)
OTC EQUITY SWAP AGREEMENTS††
Morgan Stanley June 2017 Macro Opportunities Long Custom Basket Swap 0.43%16 Terminating 06/15/17 (Notional Value $51,889,508)			$	3,337,357
OTC INTEREST RATE SWAP AGREEMENT††
Bank of America April 2016 U.S. Treasury Note 2.25% due 11/15/25 Swap 0.40%19, Terminating 04/12/16 (Notional Value $251,707,616)		241,854,000		9,847,591
OTC EQUITY SWAP AGREEMENTS SOLD SHORT††
Morgan Stanley June 2017 Macro Opportunities Short Custom Basket Swap 0.37%17 Terminating 06/15/17 (Notional Value $52,254,172)			$	(1,874,059	)

CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS††
Counterparty	Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Notional Amount			Market Value			Unrealized Depreciation
Merrill Lynch	Receive	3-Month USD-LIBOR	2.27	%	8/17/25	$	(3,600,000	)	$	(212,580	)	$	(212,580	)
Merrill Lynch	Receive	3-Month USD-LIBOR	2.27	%	8/17/25		(3,850,000	)		(228,497	)		(228,497	)
Merrill Lynch	Receive	3-Month USD-LIBOR	2.23	%	11/16/25		(8,750,000	)		(487,375	)		(487,375	)
Merrill Lynch	Receive	3-Month USD-LIBOR	1.59	%	7/2/18		(34,550,000	)		(552,454	)		(552,454	)
Merrill Lynch	Receive	3-Month USD-LIBOR	2.73	%	7/2/23		(23,800,000	)		(2,176,034	)		(2,176,034	)
												$	(3,656,940	)

OTC FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty	Contracts Sell			Currency	Settlement Date	Settlement Value		Value at March 31, 2016		Net Unrealized Depreciation
Bank of America		(14,700,000	)	GBP	04/11/16	$	20,834,192	$	21,115,104	$	(280,911	)
BNY Mellon		(14,926,000	)	EUR	04/11/16		16,384,934		16,988,257		(603,324	)
										$	(884,235	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Shares		Unrealized Gain (Loss)
Custom Basket of Long Securities16
United Continental Holdings, Inc.*		15,608	$	203,759
Affiliated Managers Group, Inc.*		4,932		194,402
UGI Corp.		38,269		183,817
United Rentals, Inc.*		16,592		162,993
Total System Services, Inc.		16,993		143,978
Computer Sciences Corp.		36,576		128,979
Raymond James Financial, Inc.		22,290		123,482
Scripps Networks Interactive, Inc. — Class A		16,973		120,028
Post Holdings, Inc.*		10,183		115,430
Cambrex Corp.*		11,401		111,362
Delphi Automotive plc		9,343		104,111
Energizer Holdings, Inc.		16,192		103,609
FirstEnergy Corp.		40,781		103,559
LyondellBasell Industries N.V. — Class A		9,506		102,952
AECOM*		20,723		99,147
Robert Half International, Inc.		16,568		94,148
DaVita HealthCare Partners, Inc.*		15,925		89,811
Alaska Air Group, Inc.		6,313		85,981
Legg Mason, Inc.		12,926		84,025
Pitney Bowes, Inc.		28,611		83,244
Ameren Corp.		14,549		81,958
Gentex Corp.		40,249		80,228
Dick's Sporting Goods, Inc.		9,214		78,191
Intel Corp.		38,256		76,864
Level 3 Communications, Inc.*		15,427		72,401
Mead Johnson Nutrition Co. — Class A		5,857		69,292
Dycom Industries, Inc.*		10,176		66,300
Philip Morris International, Inc.		6,924		63,541

Progressive Corp.	12,676	52,529
DR Horton, Inc.	28,716	49,767
Waters Corp.*	3,660	49,223
Great Plains Energy, Inc.	14,905	47,669
Teradyne, Inc.	21,192	42,257
Albemarle Corp.	7,594	41,402
Ameriprise Financial, Inc.	6,512	40,940
RR Donnelley & Sons Co.	30,679	38,142
SunTrust Banks, Inc.	30,683	37,801
Discovery Communications, Inc. — Class A*	35,766	35,675
F5 Networks, Inc.*	4,536	33,956
Unum Group	37,546	32,939
Carlisle Companies, Inc.	4,095	30,532
Cognizant Technology Solutions Corp. — Class A*	6,483	30,472
Merck & Company, Inc.	19,500	26,171
ManpowerGroup, Inc.	9,980	24,757
QUALCOMM, Inc.	25,128	23,923
Snap-on, Inc.	2,889	23,509
Synchrony Financial*	16,792	21,992
Microsoft Corp.	7,228	20,592
CSX Corp.	22,473	20,432
Juniper Networks, Inc.	33,964	20,327
Comcast Corp. — Class A	10,709	19,591
Bank of America Corp.	45,888	17,713
Fifth Third Bancorp	24,782	15,241
CNO Financial Group, Inc.	21,041	14,129
Ford Motor Co.	30,985	13,116
Torchmark Corp.	9,803	12,636
eBay, Inc.*	21,687	11,459
Visa, Inc. — Class A	5,073	10,779
PepsiCo, Inc.	5,868	8,440
Old Republic International Corp.	30,669	7,940
California Resources Corp.	931	694
Michael Kors Holdings Ltd.*	7,089	(4,265	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Shares			Unrealized Gain (Loss)
Discover Financial Services		15,463		$	(5,776	)
Harris Corp.		6,744			(5,860	)
Mallinckrodt plc*		20,314			(12,787	)
GameStop Corp. — Class A		14,155			(13,226	)
Flowers Foods, Inc.		67,229			(25,463	)
Amgen, Inc.		8,615			(39,778	)
PTC Therapeutics, Inc.*		8,726			(137,237	)
Citigroup, Inc.		16,170			(142,102	)
Lincoln National Corp.		29,321			(238,002	)
Total Custom Basket of Long Securities					3,293,550
Custom Basket of Short Securities17
PTC Therapeutics, Inc.*		(8,726	)		178,551
CF Industries Holdings, Inc.		(18,847	)		90,639
AutoNation, Inc.*		(7,116	)		44,333
Cree, Inc.*		(11,667	)		36,748
Celgene Corp.*		(6,535	)		21,742
PulteGroup, Inc.		(31,121	)		12,119
NIKE, Inc. — Class B		(7,855	)		8,605
Domino's Pizza, Inc.		(3,092	)		7,053
Boston Beer Company, Inc. — Class A*		(1,994	)		5,237
Buffalo Wild Wings, Inc.*		(3,078	)		4,052
Macerich Co.		(4,795	)		2,556
Reynolds American, Inc.		(7,487	)		574
Expedia, Inc.		(3,981	)		(662	)
California Resources Corp.		(931	)		(676	)
Hormel Foods Corp.		(8,761	)		(2,613	)
Deere & Co.		(12,817	)		(5,421	)
Edwards Lifesciences Corp.*		(7,215	)		(6,014	)
WhiteWave Foods Co. — Class A*		(9,427	)		(8,231	)
Orbital ATK, Inc.		(7,730	)		(8,466	)
Signature Bank*		(4,441	)		(9,663	)
Leucadia National Corp.		(40,401	)		(9,704	)
Nasdaq, Inc.		(6,095	)		(14,601	)
Lennar Corp. — Class A		(11,850	)		(15,179	)

Woodward, Inc.	(7,551	)	(16,604	)
MSCI, Inc. — Class A	(5,403	)	(17,047	)
Dollar Tree, Inc.*	(20,299	)	(17,093	)
Cheesecake Factory, Inc.	(7,434	)	(17,252	)
Illumina, Inc.*	(3,750	)	(18,252	)
Marsh & McLennan Companies, Inc.	(6,518	)	(18,684	)
PayPal Holdings, Inc.*	(11,898	)	(18,983	)
Automatic Data Processing, Inc.	(6,187	)	(20,203	)
Weingarten Realty Investors	(12,562	)	(22,761	)
McGraw Hill Financial, Inc.	(4,559	)	(23,445	)
VF Corp.	(14,909	)	(23,875	)
Stillwater Mining Co.*	(26,050	)	(25,089	)
Panera Bread Co. — Class A*	(2,635	)	(26,137	)
Apartment Investment & Management Co. — Class A	(10,052	)	(26,824	)
Host Hotels & Resorts, Inc.	(27,468	)	(27,380	)
M&T Bank Corp.	(4,503	)	(27,497	)
Mattel, Inc.	(21,270	)	(29,117	)
Advance Auto Parts, Inc.	(3,261	)	(29,253	)
Post Properties, Inc.	(11,603	)	(30,662	)
Carnival Corp.	(7,768	)	(31,332	)
Eversource Energy	(7,244	)	(31,794	)
CME Group, Inc. — Class A	(12,441	)	(31,990	)
UDR, Inc.	(17,140	)	(33,618	)
Urban Edge Properties	(17,277	)	(34,070	)
Kansas City Southern	(9,466	)	(34,235	)
Ross Stores, Inc.	(8,590	)	(34,398	)
Medical Properties Trust, Inc.	(32,511	)	(35,531	)
Kaiser Aluminum Corp.	(5,811	)	(37,613	)
Nielsen Holdings plc	(7,572	)	(39,840	)
Alliant Energy Corp.	(6,371	)	(40,923	)
BlackRock, Inc. — Class A	(2,233	)	(41,695	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

	Shares			Unrealized Loss
MDU Resources Group, Inc.		(32,117	)	$	(42,494	)
Mack-Cali Realty Corp.		(23,315	)		(42,869	)
General Electric Co.		(16,461	)		(44,404	)
Education Realty Trust, Inc.		(17,868	)		(52,700	)
New York Community Bancorp, Inc.		(94,729	)		(58,658	)
Xylem, Inc.		(9,946	)		(61,312	)
Garmin Ltd.		(16,991	)		(63,172	)
Yum! Brands, Inc.		(8,166	)		(63,542	)
Omega Healthcare Investors, Inc.		(17,126	)		(64,462	)

Cooper Companies, Inc.	(3,295	)	(70,604	)
Dominion Resources, Inc.	(9,843	)	(75,468	)
Five Below, Inc.*	(14,627	)	(83,397	)
Ingersoll-Rand plc	(6,823	)	(89,911	)
Rayonier, Inc.	(39,286	)	(106,037	)
Dunkin' Brands Group, Inc.	(18,033	)	(110,683	)
Ventas, Inc.	(14,402	)	(120,664	)
Olin Corp.	(66,964	)	(140,531	)
Total Custom Basket of Short Securities			(1,823,126	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

*	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	All or a portion of this security is pledged as short security collateral at March 31, 2016.
2	Illiquid security.
3	Zero coupon rate security.
4	Residual interest.
5	Variable rate security. Rate indicated is rate effective at March 31, 2016.
6	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $1,450,184,911 (cost $1,522,226,592), or 47.6% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
7	Affiliated issuer — See Note 8.
8	Rate indicated is the 7 day yield as of March 31, 2016.
9	Security or a portion thereof is held as collateral for reverse repurhase agreements — See Note 12.
10	Security with no rate was unsettled at March 31, 2016.
11	Perpetual maturity.
12	Security is in default of interest and/or principal obligations.
13	Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
14	Repurchase Agreements — See Note 11.
15	The face amount is denominated in U.S. Dollars unless otherwise indicated.
16	Total Return is based on the return of long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at March 31, 2016.
17	Total Return is based on the return of short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at March 31, 2016.
18	Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $38,648,912 (cost $44,778,766), or 1.2% of total net assets — See Note 13.
19	Total return is based on U.S. Treasury Note +/- financing at a fixed rate. Rate indicated is rate effective at March 31, 2016.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
MACRO OPPORTUNITIES FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Consolidated Financial Statements):

Investments in Securities (Assets)	Level 1		Level 1 - Other*			Level 2		Level 2 - Other*		Level 3		Total
Asset-Backed Securities	$	—	$	—		$	962,862,531	$	—	$	71,469,206	$	1,034,331,737
Collateralized Mortgage Obligations		—		—			437,602,752		—		7,429,339		445,032,091
Commercial Paper		—		—			5,998,717		—		—		5,998,717
Common Stocks		142,814,846		—			403,418		—		20,716		143,238,980
Exchange-Traded Funds		53,914,309		—			—		—		—		53,914,309
Corporate Bonds		—		—			625,097,208		—		8,004,241		633,101,449
Equity Swap Agreements		—		—			—		3,337,357		—		3,337,357
Foreign Government Bonds		—		—			64,223,925		—		—		64,223,925
Interest Rate Swap Agreements		—		—			—		9,847,591		—		9,847,591
Mutual Funds		218,750,726		—			—		—		—		218,750,726
Options Purchased		2,868,950		—			—		—		2,140,828		5,009,778
Preferred Stocks		—		—			17,188,619		—		831,255		18,019,874
Repurchase Agreements		—		—			3,404,000		—		—		3,404,000
Senior Fixed Rate Interests		—		—			3,154,528		—		77,884		3,232,412
Senior Floating Rate Interests		—		—	��		597,595,315		—		49,058,401		646,653,716
Short Term Investments		105,145,883		—			—		—		—		105,145,883
Total	$	523,494,714	$	—		$	2,717,531,013	$	13,184,948	$	139,031,870	$	3,393,242,545

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
MACRO OPPORTUNITIES FUND

Investments in Securities (Liabilities)	Level 1		Level 1 - Other*		Level 2		Level 2 - Other*		Level 3		Total
Common Stocks	$	94,186,615	$	—	$	—	$	—	$	—	$	94,186,615
Corporate Bonds		—		—		1,015,000		—		—		1,015,000
Currency Swap Agreements		—		—		—		1,454,397		—		1,454,397
Forward Foreign Currency Exchange Contracts		—		—		—		884,235		—		884,235
Equity Index Swap Agreements		—		—		—		1,874,059		—		1,874,059
Interest Rate Swap Agreements		—		—		—		3,656,940		—		3,656,940
Options Written		1,008,244		—		—		—		—		1,008,244
Total	$	95,194,859	$	—	$	1,015,000	$	7,869,631	$	—	$	104,079,490

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

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Fund recognized transfers between the levels as of the beginning of the period. As of March 31, 2016, the Fund had transfers in/out of Level 3 due to changes in securities valuation method. See the Summary of Fair Value Level 3 Activity in Note 4 for changes to and from Level 2 and Level 3. There were no other securities that transferred between levels.

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

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

MACRO OPPORTUNITIES FUND

March 31, 2016

Assets:
Investments in unaffiliated issuers, at value (cost $3,267,434,561)	$	3,103,988,562
Investments in affiliated issuers, at value(cost $272,745,174)		272,665,035
Repurchase agreements, at value (cost $3,404,000)		3,404,000
Total investments (cost $3,543,583,735)		3,380,057,597
Foreign currency, at value (cost $131,070)		133,499
Segregated cash with broker		51,705,293
Cash		26,223,237
Unrealized appreciation on swap agreements		13,184,948
Prepaid expenses		284,061
Receivables:
Securities sold		37,024,763
Interest		24,401,945
Fund shares sold		6,692,788
Dividends		416,028
Foreign taxes reclaim		38,794
Total assets		3,540,162,953
Liabilities:
Reverse Repurchase Agreements		253,502,419
Securities sold short, at value (proceeds $91,274,393)		95,201,615
Unrealized depreciation on swap agreements		6,985,396
Segregated cash from broker		4,542,000
Unfunded loan commitments, at value (Note 9) (proceeds $2,891,546)		1,923,036
Options written, at value (premiums received $4,061,040)		1,008,244
Unrealized depreciation on forward foreign currency exchange contracts		884,235
Payable for:
Securities purchased		25,196,292
Fund shares redeemed		13,953,519
Management fees	$	1,753,097
Swap settlement		580,238
Distribution and service fees		456,495
Fund accounting/administration fees		251,583
Trustees’ fees*		22,667
Miscellaneous		2,922,737
Total liabilities		409,183,573
Net assets	$	3,130,979,380
Net assets consist of:
Paid in capital		3,428,399,465
Accumulated net investment loss		(36,677,253	)
Accumulated net realized loss on investments		(102,688,318	)
Net unrealized depreciation on investments		(158,054,514	)
Net assets	$	3,130,979,380
A-Class:
Net assets	$	738,283,805
Capital shares outstanding		29,688,025
Net asset value per share	$	24.87
Maximum offering price per share (Net asset value divided by 96.00%)	$	25.91
C-Class:
Net assets	$	340,522,168
Capital shares outstanding		13,704,028
Net asset value per share	$	24.85
P-Class:
Net assets	$	59,369,819
Capital shares outstanding		2,387,322
Net asset value per share	$	24.87
Institutional Class:
Net assets	$	1,992,803,588
Capital shares outstanding		80,040,999
Net asset value per share	$	24.90

* 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 | 47

CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited)

MACRO OPPORTUNITIES FUND

Period Ended March 31, 2016

Investment Income:
Interest	$	96,103,342
Dividends from securities of affiliated issuers		4,368,852
Dividends from securities of unaffiliated issuers		1,530,651
Other income		107,110
Total investment income		102,109,955
Expenses:
Management fees		15,220,711
Transfer agent/maintenance fees
A-Class		542,955
C-Class		158,064
P-Class		763
Institutional Class		589,134
Distribution and service fees:
A-Class		982,922
C-Class		1,808,632
P-Class		75,419
Fund accounting/administration fees		1,623,254
Interest expense		2,857,893
Prime broker interest expense		222,600
Line of credit fees		216,979
Trustees’ fees*		108,542
Custodian fees		56,543
Tax expense		8
Miscellaneous		797,600
Total expenses		25,262,019
Less:
Expenses waived by Adviser		(3,019,238	)
Expenses waived by Transfer Agent
A-Class		(4,683	)
Institutional Class		(249,640	)
Total waived expenses		(3,273,561	)
Net expenses		21,988,458
Net investment income		80,121,497
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	(21,634,338	)
Investments in affiliated issuers		(1,956,431	)
Swap agreements		(54,541,488	)
Foreign currency		(58,506	)
Forward currency exchange contracts		3,033,070
Securities sold short		6,044,958
Options purchased		119,590
Options written		905,081
Net realized loss		(68,088,064	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(81,147,818	)
Investments in affiliated issuers		1,033,328
Securities sold short		(7,851,806	)
Swap agreements		18,019,843
Options purchased		(8,244,157	)
Options written		3,458,141
Foreign currency		(31,246	)
Forward foreign currency exchange contracts		(857,765	)
Net change in unrealized appreciation (depreciation)		(75,621,480	)
Net realized and unrealized loss		(143,709,544	)
Net decrease in net assets resulting from operations	$	(63,588,047	)

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

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

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

MACRO OPPORTUNITIES FUND

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	80,121,497		$	106,179,902
Net realized loss on investments		(68,088,064	)		(9,260,115	)
Net change in unrealized appreciation (depreciation) on investments		(75,621,480	)		(75,857,361	)
Net increase (decrease) in net assets resulting from operations		(63,588,047	)		21,062,426
Distributions to shareholders from:
Net investment income
A-Class		(23,562,426	)		(32,220,860	)
C-Class		(9,531,042	)		(11,680,427	)
P-Class		(1,850,623	)		(440,186	)*
Institutional Class		(70,278,033	)		(82,260,910	)
Total distributions to shareholders		(105,222,124	)		(126,602,383	)
Capital share transactions:
Proceeds from sale of shares
A-Class		174,819,734			850,080,101
C-Class		44,957,693			190,338,315
P-Class		18,825,064			65,730,196	*
Institutional Class		551,683,057			2,043,569,550
Distributions reinvested
A-Class		18,433,690			24,525,980
C-Class		7,939,394			9,454,336
P-Class		1,850,494			440,175	*
Institutional Class		59,859,879			70,225,372
Cost of shares redeemed
A-Class		(261,190,531	)		(361,979,619	)
C-Class		(69,397,204	)		(62,646,748	)
P-Class		(22,196,821	)		(1,207,063	)*
Institutional Class		(905,391,929	)		(563,882,643	)
Net increase (decrease) from capital share transactions		(379,807,480	)		2,264,647,952
Net increase (decrease) in net assets		(548,617,651	)		2,159,107,995
Net assets:
Beginning of period		3,679,597,031			1,520,489,036
End of period	$	3,130,979,380		$	3,679,597,031
Accumulated net investment loss at end of period	$	(36,677,253	)	$	(11,576,626	)

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

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS(concluded)

MACRO OPPORTUNITIES FUND

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		6,893,432			31,696,780
C-Class		1,771,375			7,105,425
P-Class		745,337			2,477,290	*
Institutional Class		21,798,419			76,252,160
Shares issued from reinvestment of distributions
A-Class		732,293			919,487
C-Class		315,691			353,874
P-Class		73,463			16,755	*
Institutional Class		2,375,094			2,628,280
Shares redeemed
A-Class		(10,335,927	)		(13,561,866	)
C-Class		(2,766,527	)		(2,346,202	)
P-Class		(879,664	)		(45,859	)*
Institutional Class		(35,965,323	)		(21,112,108	)
Net increase (decrease) in shares		(15,242,337	)		84,384,016

* Since commencement of operations May 1, 2015.

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

CONSOLIDATED STATEMENT OF CASH FLOWS

MACRO OPPORTUNITIES FUND

Period Ended March 31, 2016

Cash Flows from Operating Activities:
Net decrease in net assets resulting from operations	$	(63,588,047	)
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash Provided by Operating and Investing Activities:
Net change in unrealized depreciation on investments		87,966,296
Net change in unrealized depreciation on options		4,786,016
Net change in unrealized appreciation on swaps		(18,019,843	)
Net realized loss on swap agreements		54,541,488
Net realized gain on options		(1,024,671	)
Net realized gain on investments		17,545,811
Net accretion of bond discount and amortization of bond premium		(14,722,998	)
Paydowns received on mortgage and asset-backed securities		182,967,600
Purchase of long-term investments		(1,923,939,386	)
Proceeds from sale of long-term investments		2,036,585,290
Net purchases of short-term investments		(11,660,422	)
Increase in interest receivable		(6,691,719	)
Increase in dividends receivable		(17,441	)
Increase in prepaid expenses		(45,432	)
Increase in foreign tax reclaims		(18,210	)
Decrease in fair value of unfunded loans		(318,205	)
Increase in trustees' fee payable		18,087
Decrease in transfer agent fee payable		(53,276	)
Decrease in administration fee payable		(33,908	)
Decrease in distribution fee payable		(37,763	)
Decrease in management fee payable		(10,853	)
Increase in accrued expenses and other liabilities		2,528,037
Net Cash Used in Operating and Investing Activities	$	346,756,451
Cash Flows From Financing Activities:
Proceeds from sales of shares		795,554,774
Cost of shares redeemed		(1,254,639,270	)
Distributions paid out		(16,958,467	)
Proceeds from reverse repurchase agreements		1,490,371,374
Payments made on reverse repurchase agreements		(1,393,359,755	)
Net Cash Used in Financing Activities		(379,031,344	)
Net decrease in cash		(32,274,893	)
Cash at Beginning of Period (including foreign cash)	$	58,631,629
Cash at End of Period (including foreign cash)	$	26,356,736
Supplemental Disclosure of Cash Flow Information:
Cash paid during the year for interest	$	2,330,763
Dividend reinvestment	$	88,083,457

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

FINANCIAL HIGHLIGHTS

MACRO OPPORTUNITIES FUND

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

A-Class	Period Ended March 31, 2016a,h			Year Ended Sept. 30, 2015h			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Period Ended Sept. 30, 2012b
Per Share Data
Net asset value, beginning of period	$	26.07		$	26.81		$	26.31		$	26.53		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.57			.98			1.10			1.37			.99
Net gain (loss) on investments (realized and unrealized)		(1.01	)		(.55	)		.69			(.04	)		1.52
Total from investment operations		(.44	)		.43			1.79			1.33			2.51
Less distributions from:
Net investment income		(.76	)		(1.17	)		(1.27	)		(1.43	)		(.98	)
Net realized gains		—			—			—			(.12	)		—
Return of capital		—			—			(.02	)		—			—
Total distributions		(.76	)		(1.17	)		(1.29	)		(1.55	)		(.98	)
Net asset value, end of period	$	24.87		$	26.07		$	26.81		$	26.31		$	26.53
Total Returni		(1.70	%)		1.59	%		6.88	%		5.01	%		10.19	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	738,284		$	844,523		$	357,765		$	334,751		$	83,081
Ratios to average net assets:
Net investment income (loss)		4.54	%		3.67	%		4.08	%		5.11	%		4.61	%
Total expensesd		1.62	%		1.52	%		1.51	%		1.56	%		1.61	%
Net expensese,g		1.45	%		1.38	%		1.36	%		1.41	%		1.37	%
Portfolio turnover rate		46	%		40	%		54	%		84	%		46	%

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

FINANCIAL HIGHLIGHTS (continued)

MACRO OPPORTUNITIES FUND

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

C-Class	Period Ended March 31, 2016a,h			Year Ended Sept. 30, 2015h			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Period Ended Sept. 30, 2012b
Per Share Data
Net asset value, beginning of period	$	26.05		$	26.79		$	26.29		$	26.51		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.48			.78			.90			1.17			.82
Net gain (loss) on investments (realized and unrealized)		(1.02	)		(.55	)		.69			(.03	)		1.53
Total from investment operations		(.54	)		.23			1.59			1.14			2.35
Less distributions from:
Net investment income		(.66	)		(.97	)		(1.07	)		(1.24	)		(.84	)
Net realized gains		—			—			—			(.12	)		—
Return of capital		—			—			(.02	)		—			—
Total distributions		(.66	)		(.97	)		(1.09	)		(1.36	)		(.84	)
Net asset value, end of period	$	24.85		$	26.05		$	26.79		$	26.29		$	26.51
Total Returni		(2.06	%)		0.84	%		6.10	%		4.26	%		9.54	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	340,522		$	374,633		$	248,359		$	163,129		$	32,711
Ratios to average net assets:
Net investment income (loss)		3.83	%		2.90	%		3.34	%		4.36	%		3.83	%
Total expensesd		2.33	%		2.24	%		2.22	%		2.29	%		2.31	%
Net expensese,g		2.18	%		2.13	%		2.10	%		2.15	%		2.11	%
Portfolio turnover rate		46	%		40	%		54	%		84	%		46	%

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

FINANCIAL HIGHLIGHTS (continued)

MACRO OPPORTUNITIES FUND

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.

P-Class	Period Ended March 31, 2016a,h			Period Ended Sept. 30, 2015f,h
Per Share Data
Net asset value, beginning of period	$	26.07		$	26.78
Income (loss) from investment operations:
Net investment income (loss)c		.58			.37
Net gain (loss) on investments (realized and unrealized)		(1.01	)		(.62	)
Total from investment operations		(.43	)		(.25	)
Less distributions from:
Net investment income		(.77	)		(.46	)
Total distributions		(.77	)		(.46	)
Net asset value, end of period	$	24.87		$	26.07
Total Returni		(1.66	%)		(0.95	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	59,370		$	63,819
Ratios to average net assets:
Net investment income (loss)		4.63	%		3.36	%
Total expensesd		1.48	%		1.43	%
Net expensese,g		1.34	%		1.30	%
Portfolio turnover rate		46	%		40	%

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

FINANCIAL HIGHLIGHTS (continued)

MACRO OPPORTUNITIES FUND

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

Institutional Class	Period Ended March 31, 2016a,h			Year Ended Sept. 30, 2015h			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Period Ended Sept. 30, 2012b
Per Share Data
Net asset value, beginning of period	$	26.10		$	26.84		$	26.34		$	26.56		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.62			1.06			1.18			1.46			1.12
Net gain (loss) on investments (realized and unrealized)		(1.02	)		(.54	)		.70			(.04	)		1.47
Total from investment operations		(.40	)		(.52	)		1.88			1.42			2.59
Less distributions from:
Net investment income		(.80	)		(1.26	)		(1.36	)		(1.52	)		(1.03	)
Net realized gains		—			—			—			(.12	)		—
Return of capital		—			—			(.02	)		—			—
Total distributions		(.80	)		(1.26	)		(1.38	)		(1.64	)		(1.03	)
Net asset value, end of period	$	24.90		$	26.10		$	26.84		$	26.34		$	26.56
Total Returni		(1.53	%)		1.92	%		7.23	%		5.35	%		10.55	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,992,804		$	2,396,622		$	914,366		$	416,727		$	106,716
Ratios to average net assets:
Net investment income (loss)		4.89	%		3.97	%		4.37	%		5.43	%		5.22	%
Total expensesd		1.29	%		1.20	%		1.18	%		1.23	%		1.31	%
Net expensese,g		1.09	%		1.05	%		1.02	%		1.09	%		1.06	%
Portfolio turnover rate		46	%		40	%		54	%		84	%		46	%

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

FINANCIAL HIGHLIGHTS (concluded)

MACRO OPPORTUNITIES FUND

a	Unaudited figures for the period ended March 31, 2016. 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.
f	Since commencement of operations: May 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
g	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the periods would be:

	03/31/16	09/30/15	09/30/14	09/30/13	09/30/12
A-Class	1.25%	1.30%	1.27%	1.29%	1.29%
C-Class	1.98%	2.05%	2.01%	2.01%	2.02%
P-Class	1.15%	1.21%	N/A	N/A	N/A
Institutional Class	0.89%	0.97%	0.94%	0.96%	0.96%

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

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

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)

1. Organization, Consolidation of Subsidiary 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 an 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.

The Trust offers a combination of four separate classes of shares, A-Class shares, C-Class shares, P-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. 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. 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. At March 31, 2016, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Macro Opportunities Fund (the “Fund”), a diversified investment company.

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

Consolidation of Subsidiary

The consolidated financial statements of the Fund includes the accounts of a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”).Significant inter-company accounts and transactions have been eliminated in consolidation for the Fund.

The Fund may invest up to 25% of its total assets in its Subsidiary which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objective and policies.

A summary of the Fund’s investment in its Subsidiary is as follows:

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

Fund	Commencement Date of Subsidiary	Subsidiary Net Assets at March 31, 2016		% of Net Assets of the Fund at March 31, 2016
Macro Opportunities Fund	01/08/15	$	5,158,639		0.16	%

Significant Accounting Policies

The Fund operates as an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities 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.

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

A. The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities or other assets.

Valuations of the Fund’s securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed and will review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used by, and valuations provided by, the pricing services.

58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

Equity securities listed 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 a given day, the security is valued at the closing bid price on that day.

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. 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.

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 (“CEFs”) are valued at the last quoted sales price.

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

Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

Typically loans are valued using information provided by an independent third party pricing service which uses broker quotes in a non-active market.

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.

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

The value of 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 Chicago Mercantile Exchange (“CME”) price.

Investments for which market quotations are not readily available are fair valued as determined in good faith by GI under the direction of the Board of 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).

In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

B. Senior loans in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term, floating rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The interest rate indicated is the rate in effect at March 31, 2016.

C. The Fund 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 Fund 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 Fund will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.

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

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

E. Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.

When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).

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

G. 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.

H. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the Fund. 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 discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

I. The Fund declares dividends from investment income daily. The 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. Dividends are reinvested in additional shares unless shareholders request payment in cash. 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.

J. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net assets of each Fund included in the Trust.

K. Under the fee arrangement with the custodian, the Fund 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, 2016, there were no earnings credits received.

L. The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate which was 0.25% at March 31, 2016.

M. 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.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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.

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

2. Financial Instruments and Derivatives

As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Short Sales

A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, that Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, that Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how

64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

The Fund may utilize derivatives for the following purposes:

Duration - the use of an instrument to manage the interest rate risk of a portfolio.

Hedge - an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

Index Exposure - the use of an instrument to obtain exposure to a listed or other type of index.

Speculation - the use of an instrument to express macro-economic and other investment views.

Options Purchased and Written

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

The following table represents the Fund’s use, and volume of call/put options purchased on a quarterly basis:

Fund	Use	Average Number of Contracts
Macro Opportunities Fund	Duration, Hedge		25,718

Fund	Use	Average Notional*
Macro Opportunities Fund	Duration, Hedge	$	524,862,500

* Average Notional relates to currency options.

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, the Fund may be at risk because of the counterparty’s inability to perform.

The Fund used written options for Duration, Hedge, and Index exposure. The following table represents the Fund’s volume of options written for the period ended March 31, 2016:

Written Call Options
	Macro Opportunities Fund
	Number of contracts			Premium amount
Balance at September 30, 2015		25,858		$	2,787,228
Options Written		10,345			2,037,965
Options terminated in closing purchase transactions		(10,345	)		(2,369,005	)
Options expired		(15,513	)		(418,222	)
Options exercised		—			—
Balance at March 31, 2016		10,345		$	2,037,966

Written Put Options
	Macro Opportunities Fund
	Number of contracts			Premium amount
Balance at September 30, 2015		594		$	1,899,577
Options Written		544			2,023,075
Options terminated in closing purchase transactions		(594	)		(1,899,577	)
Options expired		—			—
Options exercised		—			—
Balance at March 31, 2016		544		$	2,023,075

Swaps

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 utilizing OTC swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing. Central clearing generally reduces counterparty credit risk and increases liquidity, but central clearing does not make swap transactions risk-free. For Funds utilizing interest rate swaps, the exchange bears the risk of loss. Additionally, there is no guarantee that

66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

a Fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. A fund utilizing a total return index swap bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying index declines in value.

The following table represents the Fund’s use and volume of total return swaps on a quarterly basis:

		Average Notional
Fund	Use	Long		Short
Macro Opportunities Fund	Index exposure, Speculation	$	152,187,632	$	17,774,373

Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive interest on a notional amount of principal. Interest rate swaps are generally valued using the closing price from the prior day, subject to an adjustment for the current day’s spreads. Interest rate swaps are generally subject to mandatory central clearing, but central clearing does not make interest rate swap transactions risk free.

The following table represents the Fund’s use and volume of interest rate swaps on a quarterly basis:

		Average Notional
Fund	Use	Long		Short
Macro Opportunities Fund	Duration, Hedge	$	224,000,000	$	255,570,223

Currency swaps enable the Fund to gain exposure to currencies in a market without actually possessing a given currency, or to hedge a position. Currency swaps involve the exchange of the principal and interest in one currency for the principal and interest in another currency. As in other types of OTC swaps, the Fund may be at risk due to the counterparty’s inability to perform.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

The following table represents the Fund’s use, and volume of currency swaps on a quarterly basis:

		Average Notional
Fund	Use	Long		Short
Macro Opportunities Fund	Hedge	$	53,728,071	$	64,613,748

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of forward foreign currency exchange contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

The following table represents the Fund’s use, and volume of forward currency exchange contracts on a quarterly basis:

		Average Settlement
Fund	Use	Purchased		Sold
Macro Opportunities Fund	Hedge, Speculation	$	73,262,314	$	1,542,286

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of March 31, 2016:

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

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The following table sets forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 31, 2016:

Asset Derivative Investments Value
Fund	Swaps Equity Contracts		Swaps Interest Rate Contracts		Swaps Currency Contracts		Options Purchased Equity Contracts		Options Purchased Commodities Contracts		Options Purchased Foreign Currency Contracts		Forward Foreign Currency Exchange Contracts		Total Value at March 31, 2016
Macro Opportunities Fund	$	3,337,357	$	9,847,591	$	—	$	489,600	$	2,379,350	$	2,140,828	$	—	$	18,194,726

Liability Derivative Investments Value
Fund	Swaps Equity Contracts		Swaps Interest Rate Contracts		Swaps Currency Contracts		Options Written Equity Contracts		Options Written Commodities Contracts		Options Written Foreign Currency Contracts		Forward Foreign Currency Exchange Contracts		Total Value at March 31, 2016
Macro Opportunities Fund	$	1,874,059	$	3,656,940	$	1,454,397	$	139,264	$	868,980	$	—	$	884,235	$	8,877,875

The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the period ended March 31, 2016:

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the period ended March 31, 2016:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
Fund	Swaps Equity Contracts			Swaps Currency Contracts			Swaps Interest Rate Contracts			Options Written Equity Contracts		Options Written Interest Rate Contracts		Options Written Commodities Contracts
Macro Opportunities Fund	$	(38,876,491	)	$	(10,217,324	)	$	(5,447,673	)	$	1,738,604	$	418,222	$	(1,251,745	)

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
Fund	Options Purchased Equity Contracts			Options Purchased Interest Rate Contracts			Options Purchased Commodities Contracts		Options Purchased Foreign Currency Contracts			Forward Foreign Currency Exchange Contracts		Total Value at March 31, 2016
Macro Opportunities Fund	$	(656,903	)	$	(1,531,613	)	$	3,796,616	$	(1,488,510	)	$	3,472,240	$	(50,044,577	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
Fund	Swaps Equity Contracts		Swaps Currency Contracts			Swaps Interest Rate Contracts		Options Written Equity Contracts		Options Written Interest Rate Contracts		Options Written Commodities Contracts
Macro Opportunities Fund	$	14,027,663	$	(1,604,118	)	$	5,596,298	$	2,366,173	$	202,298	$	889,670

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
Fund	Options Purchased Equity Contracts			Options Purchased Interest Rate Contracts			Options Purchased Commodities Contracts			Options Purchased Foreign Currency Contracts			Forward Foreign Currency Exchange Contracts			Total Value at March 31, 2016
Macro Opportunities Fund	$	(4,872,518	)	$	(1,147,341	)	$	(920,705	)	$	(1,303,593	)	$	(857,765	)	$	12,376,062

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In conjunction with the use short sales and of derivative instruments, the Fund is required to maintain collateral in various forms. The Fund uses, 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 the Fund.

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

3. Fees and Other Transactions with Affiliates

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.89% of the average daily net assets of the Fund.

GI has contractually agreed to waive the management fee it receives from the Subsidiary in an amount equal to the management fee paid to GI by the Subsidiary. This undertaking will continue in effect for so long as the Fund invests in the Subsidiary, and may not be terminated by GI unless GI obtains the prior approval of the Fund’s Board of Trustees for such termination.

RFS is paid the following for providing transfer agent services to the Fund. Transfer agent fees are assessed to the applicable class of the Fund.

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

^† Not subject to Fund during first twelve months of operations.

RFS also acts as the administrative agent for the Fund, and as such performs administrative functions and the bookkeeping, accounting and pricing functions for the Fund. For these services, RFS receives 0.095% of the average daily net assets of the Fund. The minimum annual charge for fund accounting/administrative fees is $25,000.

RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

The Fund has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

The investment advisory contracts for the following Fund provides 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. The limits are listed below:

	Limit	Effective Date	Contract End Date
Macro Opportunities Fund - A-Class	1.36%	11/30/12	02/01/17
Macro Opportunities Fund - C-Class	2.11%	11/30/12	02/01/17
Macro Opportunities Fund - P-Class	1.36%	05/01/15	02/01/17
Macro Opportunities Fund - Institutional Class	0.95%	11/30/12	02/01/17

GI is entitled to reimbursement by the Fund 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, 2016, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	Expires 2016		Expires 2017		Expires 2018		Expires 2019		Total
Macro Opportunities Fund	$	646,270	$	1,567,567	$	3,347,967	$	2,254,088	$	7,815,892

For the period ended March 31, 2016, no amounts were recouped by GI.

If a Fund invests in an affiliated fund, the investing Fund’s Adviser has agreed to waive fees at the investing fund level. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period March 31, 2016, the Fund waived $1,006,458 related to investments in affiliated funds.

For the period ended March 31, 2016, GFD retained sales charges of $274,695 relating to sales of A-Class shares of the Trust.

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

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4. Fair Value Measurement

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

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

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

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

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

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they may be computed by the Fund’s 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 Fund’s 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 Fund’s 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 Fund 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.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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

The 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:

Fund	Category and Subcategory	Ending Balance at 03/31/16		Valuation Technique	Unobservable Inputs
Macro Opportunities Fund	Asset-Backed Securities	$	71,469,206	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
	Senior Floating Rate Interests		45,688,557	Monthly Model Priced	Purchase Price
			3,369,844	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
	Total Senior Floating Rate Interests		49,058,401
	Corporate Bonds		5,842,586	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
			467,980	Monthly Model Priced	Average Comparative Yield*
			1,693,675	Monthly Model Priced	Purchase Price
	Total Corporate Bonds		8,004,241

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

Fund	Category and Subcategory	Ending Balance at 03/31/16		Valuation Technique	Unobservable Inputs
Macro Opportunities Fund	Collateralized Mortgage Obligations	$	7,429,339	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
	Options Purchased		2,140,828	Monthly Model Priced	Purchase Price
	Preferred Stocks		831,255	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
	Senior Fixed Rate Interests		77,884	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
	Common Stocks		20,716	Monthly Model Priced	Purchase Price

* Average comparative yield used at period end was 29.8%.

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets and liabilities for which significant unobservable inputs were used to determine fair value for the period ended March 31, 2016:

LEVEL 3 – Fair value measurement using significant unobservable inputs

	Senior Floating/ Fixed Rate Interests			Asset-Backed Securities/ Collateralized Mortgage Obligations			Options Purchased			Common/ Preferred Stocks			Corporate Bonds			Total
Macro Opportunities Fund
Assets:
Beginning Balance	$	47,150,842		$	26,538,479		$	4,932,931		$	1,955,376		$	9,632,885		$	90,210,513
Purchases		22,376,417			47,570,112			—			33,046			81,619			70,061,194
Sales, maturities and paydowns		(3,733,528	)		(1,958,577	)		—			—			(937,672	)		(6,629,777	)
Total realized gains or losses included in earnings		40,661			—			(1,488,510	)		(971,250	)		(578,573	)		(2,997,672	)
Total change in unrealized gains or losses included in earnings		(16,093,761	)		(678,246	)		(1,303,593	)		(165,202	)		(2,060,041	)		(20,300,843	)
Transfers in Level 3		141,046			7,426,777			—			—			1,866,023			9,433,846
Transfers out of Level 3		(745,391	)		—			—			—			—			(745,391	)
Ending Balance	$	49,136,286		$	78,898,545		$	2,140,828		$	851,970		$	8,004,241		$	139,031,870
Net Change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 2016	$	(508,320	)	$	(805,423	)	$	(1,303,593	)	$	1,734,069		$	(2,097,123	)	$	(2,998,102	)

5. Offsetting

In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund 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.

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In order to better define their contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund 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 Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts 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 Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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

								Gross Amounts Not Offset in the Statement of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset In the Statement of Assets and Liabilities		Net Amount of Assets Presented on the Statement of Assets and Liabilities		Financial Instruments		Cash Collateral Received		Net Amount
Macro Opportunities Fund	Swap agreements	$	13,184,948	$	—	$	13,184,948	$	—	$	—	$	13,184,948
Option contracts			5,009,778		—		5,009,778		3,756,797		—		1,252,981

								Gross Amounts Not Offset in the Statement of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset In the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments		Cash Collateral Pledged		Net Amount
Macro Opportunities Fund	Swap agreements	$	3,328,456	$	—	$	3,328,456	$	—	$	—	$	3,328,456
Forward foreign currency exchange contracts			884,235		—		884,235		—		—		884,235
Option contracts			1,008,244		—		1,008,244		1,008,244		—		—

¹ Centrally cleared swaps are excluded from these reported amounts.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

6. Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund 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 Fund’s 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 Fund’s 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 Fund’s financial statements. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

The Fund intends to invest up to 25% of their assets in the Subsidiary which is expected to provide the Funds with exposure to the commodities markets within the limitations of the federal tax requirements under Subchapter M of the Internal Revenue Code. The Subsidiary will be classified as a corporation for U.S. federal income tax purposes. A foreign corporation, such as the Subsidiary, will generally not be subject to U.S. federal income taxation unless it is deemed to be engaged in a U.S. trade or business.

At March 31, 2016, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Loss
Macro Opportunities Fund	$	3,546,933,176	$	73,304,663	$	(240,180,242	)	$	(166,875,579	)

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

7. Securities Transactions

For the period ended March 31, 2016, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Fund	Purchases		Sales
Macro Opportunities Fund	$	1,487,324,438	$	1,612,233,566

For the period ended March 31, 2016, the cost of purchases and proceeds from the sales of government securities were as follows:

Fund	Purchases			Sales
Macro Opportunities Fund		$	3,093,219		$	3,021,506

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of Trustees of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended March 31, 2016, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Fund	Purchases		Sales		Realized Loss
Macro Opportunities Fund	$	3,590,563	$	10,247,379	$	(733,883	)

8. Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the

80 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2015 is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180415000857/gug63224-ncsr.htm.

Transactions during the period ended March 31, 2016, in which the portfolio company is an “affiliated person”, were as follows:

Affiliated issuers by Fund	Value 09/30/15		Additions		Reductions			Value 03/31/16		Shares 03/31/16		Investment Income		Realized Gain (Loss)
Macro Opportunities Fund
Guggenheim Floating Rate Strategies Fund Institutional Class	$	—	$	168,331,711	$	(110,000,000	)	$	54,343,297		2,148,806	$	2,331,712	$	(3,273,898	)
Guggenheim Alpha Opportunity Fund - Institutional Class		48,406,518		—		—			51,284,947		1,881,326		—		—
Guggenheim BulletShares 2018 High Yield Corporate Bond ETF		—		30,005,464		—			29,438,600		1,220,000		469,334		—
Guggenheim BulletShares 2019 High Yield Corporate Bond ETF		—		24,996,630		—			24,475,709		1,059,096		380,738		—
Guggenheim High Yield Fund - Insitutional Class		—		20,611,911		—			19,728,204		2,340,238		611,911		—
Guggenheim Risk Managed Real Estate Fund - Institutional Class		12,075,709		1,906,896		—			13,308,030		474,102		367,957		1,538,939
Guggenheim Strategy Fund I		177,382,768		80,207,200		(177,497,627	)		80,086,248		3,227,983		207,200		(221,472	)
	$	237,864,995	$	326,059,812	$	(287,497,627	)	$	272,665,035			$	4,368,852	$	(1,956,431	)

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

9. Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2016. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of March 31, 2016 were as follows:

Borrower	Maturity Date	Face Amount		Value
Macro Opportunities Fund
Acosta, Inc.	9/26/2019	$	6,000,000	$	557,017
Advantage Sales & Marketing LLC	7/25/2019		1,350,000		115,375
American Stock Transfer & Trust	6/26/2018		400,000		23,831
Aspect Software, Inc.	9/30/2016		89,557		—
BBB Industries, LLC	11/4/2019		600,000		59,934
CEVA Group Plc (United Kingdom)	3/19/2019		780,000		94,332
Epicor Software	6/1/2020		2,000,000		207,528
Eyemart Express	12/18/2019		500,000		45,080
Hillman Group, Inc.	6/28/2019		385,714		27,418
Hoffmaster Group, Inc.	5/9/2019		500,000		36,181
IntraWest Holdings S.à r.l.	12/10/2018		750,000		16,122
Learning Care Group (US), Inc.	5/5/2019		500,000		44,468
Lincoln Finance Ltd.	12/31/2015		15,000,000		—
McGraw-Hill Global Education Holdings LLC	3/22/2018		3,050,000		145,612
National Financial Partners Corp.	7/1/2018		1,000,000		63,303
National Technical Systems	6/12/2021		594,118		30,249
Noranda Aluminum Acquisition Corp.	11/8/2016		279,330		9,153
Phillips-Medsize Corp.	6/14/2019		1,100,000		83,996
Pro Mach Group, Inc.	10/22/2019		900,000		77,185
Signode Industrial Group US, Inc.	5/1/2019		3,400,000		261,324
Wencor Group	6/19/2019		330,769		24,928
		$	39,509,488	$	1,923,036

10. Line of Credit

The Funds, with the exception of Alpha Opportunity Fund, Capital Stewardship Fund, Diversified Income Fund and Market Neutral Real Estate Fund secured a committed, $800,000,000 line of credit from Citibank, N.A., good through October 7, 2016, at which time the line of credit may be renewed. 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 Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate (0.25% at March 31, 2016), plus 1/2 of 1%. The Funds also pay a commitment fee at an annualized rate of 0.15% of the

82 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

average daily amount of their unused commitment amount. The Funds did not have any borrowings outstanding under this agreement at or during the period ended March 31, 2016.

11. Repurchase Agreements

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

Counterparty and Terms of Agreement		Face Value		Repurchase Price	Collateral		Par Value		Fair Value
Jefferies & Company, Inc.					Puerto Rico Commonwealth Aqueduct and Sewer Authority
2.95%					6.10%
Due 04/04/16	$	2,404,000	$	2,475,706	07/01/34	$	6,425,000	$	3,511,276
					Puerto Rico Public Buildings Authority
					5.75%
					07/01/34		560,000		344,943
						$	6,985,000	$	3,856,219

In the event of counterparty default, the Fund has the right to collect the collateral to offset losses incurred. There is potential loss to the Fund in the event the Fund is delayed or prevented from exercising its right 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 Fund seeks to assert its rights. The Fund’s investment adviser, 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 Fund enters into repurchase agreements to evaluate potential risks.

The following repurchase agreements were used as a means of borrowing securities to sell short.

Counterparty and Terms of Agreement		Face Value		Repurchase Price	Collateral		Par Value		Fair Value
Barclays					Envision Healthcare Corp.
(0.15)% - 0.00%					5.13%
Open Maturity	$	1,000,000	$	1,000,000	07/01/22	$	1,000,000	$	1,015,000

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

12. Reverse Repurchase Agreements

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

For the period ended March 31, 2016, the Fund entered into reverse repurchase agreements as follows:

Fund	Number of Days Outstanding		Balance at March 31, 2016		Average Balance Outstanding		Average Interest Rate
Macro Opportunities Fund		183	$	253,502,419	$	412,104,506		1.38	%

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statement of Assets and Liabilities in conformity with U.S. GAAP.

								Gross Amounts Not Offset in the Statement of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset In the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments		Cash Collateral Pledged		Net Amount
Macro Opportunities Fund	Reverse repurchase agreements	$	253,502,419	$	—	$	253,502,419	$	253,502,419	$	—	$	—

In June 2014, the FASB issued Accounting Standards Update 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (ASU 2014-11) that expanded secured borrowing accounting for certain repurchase agreements. The ASU also sets forth additional disclosure requirements for certain transactions accounted for as secured borrowings, which applies to the reverse repurchase agreements held by the Fund. The ASU became effective prospectively for annual periods beginning after December 15, 2014, and for interim periods beginning after March 15, 2015. The Fund has adopted the ASU.

84 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(concluded)

The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of year-end, aggregated by asset class of the related collateral pledged by the Fund:

Fund	Overnight and Continuous		Up to 30 days		31-90 days		Greater than 90 days		Total
Macro Opportunities Fund
Corporate Bonds	$	18,553,217	$	22,468,325	$	46,239,434	$	7,347,938	$	94,608,913
Collateralized Mortgage Obligations		—		85,195,506		—		—		85,195,506
Asset Backed Securities		—		45,805,000		27,893,000		—		73,698,000
Gross amount of recognized liabilities for reverse repurchase agreements	$	18,553,217	$	153,468,831	$	74,132,434	$	7,347,938	$	253,502,419

13. Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Restricted Securities	Acquisition Date	Cost		Value
Macro Opportunities Fund
Airplanes Pass Through Trust
0.99% due 03/15/19	07/11/12	$	2,985,686	$	947,752
Customers Bank
6.13% due 06/26/29	06/24/14		6,000,000		6,000,000
FPL Energy National Wind LLC
5.61% due 03/10/24	08/31/12		41,176		42,908
Fortress Credit Opportunities
0.86% due 07/15/19	02/16/12		471,090		474,628
RFTI Issuer Ltd.
4.31% due 08/15/30	10/14/15		27,724,367		27,450,391
Schahin II Finance Company SPV Ltd.
5.88% due 09/25/22	03/21/12		4,838,890		1,099,602
Turbine Engines Securitization Ltd.
6.38% due 12/13/48	11/27/13		2,497,557		2,497,781
Unifrax I LLC / Unifrax Holding Co.
7.50% due 02/15/19	01/31/13		220,000		135,850
		$	44,778,766	$	38,648,912

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 85

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.

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year 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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

86 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee	Since 2014	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	105	Current: Trustee, Purpose Investments Inc. (2014-Present).
Donald A. Chubb, Jr. (1946)	Trustee	Since 1994	Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-present).	101	Current: Midland Care, Inc. (2011-present).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	101	Current: Westar Energy, Inc. (2004-present); CoreFirst Bank & Trust (2000-present).

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - continued
Roman Friedrich III (1946)	Trustee and Chairman of the Contracts Review Committee	Since 2014	Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). Former: Senior Managing Director, MLV & Co. LLC (2010-2011).	101	Current: Zincore Metals, Inc. (2009-present). Former: Axiom Gold and Silver Corp. (2011-2012).
Robert B. Karn III (1942)	Trustee and Chairman of the Audit Committee	Since 2014	Current: Consultant (1998-present). Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).	101	Current: Peabody Energy Company (2003-present); GP Natural Resource Partners, LLC (2002- present).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Nyberg & Cassioppi, LLC (2000-present). Former: Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	107	Current: Edward-Elmhurst Healthcare System (2012-present).

88 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - concluded
Maynard F. Oliverius (1943)	Trustee	Since 1998	Current: Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012).	101	Current: Fort Hays State University Foundation (1999-present); Stormont-Vail Foundation (2013-present); University of Minnesota HealthCare Alumni Association Foundation (2009-present).
Ronald E. Toupin, Jr. (1958)	Trustee and Chairman of the Board	Since 2014	Current: Portfolio Consultant (2010-present). 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).	104	Former: Bennett Group of Funds (2011-2013).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 89

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INTERESTED TRUSTEE
Donald C. Cacciapaglia*** (1951)	President, Chief Executive Officer and Trustee	Since 2012	Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present). Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010).	236	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present).

*	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.

90 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS
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).
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 (1961)	Vice President and Chief Legal Officer	Since 2007 (Vice President) Since 2014 (Chief Legal Officer)	Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - continued
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Senior 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); Managing Director, Guggenheim Investments (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).
Adam Nelson (1979)	Assistant Treasurer	Since 2015	Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011).

92 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - continued
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 (2013-2014).
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 (2014-present); Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 93

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - concluded
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.

94 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 95

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(continued)

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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3.31.2016

Guggenheim Funds Semi-Annual Report

Guggenheim Floating Rate Strategies Fund

FR-SEMI-0316x0916 guggenheiminvestments.com

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
FLOATING RATE STRATEGIES FUND	9
NOTES TO FINANCIAL STATEMENTS	36
OTHER INFORMATION	55
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	56
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	63

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2016

Dear Shareholder:

Guggenheim Partners Investment Management (the “Investment Adviser”) is pleased to present the semiannual shareholder report for a one of our Funds (the “Fund”) for the six-month period ended March 31, 2016.

The Investment Adviser is 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 Adviser.

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, 2016

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 (Unaudited) March 31, 2016

Financial markets were buffeted by a variety of events over the past six months, including volatility in the oil market, weak growth in China, ongoing stimulus from global central banks, and a 25 basis point increase in the U.S. federal funds target rate in December. While the direct impact of the move was fairly insignificant, the decision to begin normalization of interest rates after seven years of unprecedented liquidity provision was not. Indeed, in 2015, risk assets posted their worst annual performance since the 2008 financial crisis, as market participants’ expectations for the start of rate hikes collided with concern about plunging commodity prices, and slowing economic growth in China and other emerging market economies.

As 2016 began, forecasts for U.S. and global economic growth were downgraded, and recession fears surged along with market volatility. Estimates for first quarter gross domestic product (“GDP”) in the U.S. were marked down, even though first quarter GDP has undershot full-year growth rates in six out of the last seven years. Risk assets rallied in the last half of the first quarter, led by a dovish pivot in the U.S. Federal Reserve’s (the “Fed”) communication that spurred a rally in crude oil and a reversal of dollar strength. The weaker dollar, along with optimism about a production freeze agreed to by a group of major oil producing countries, helped oil to rebound. After falling in the early weeks of the year to a cycle low of $26 per barrel on February 11, 2016, the front-month West Texas Intermediate (“WTI”) oil futures contract rallied as high as $40 per barrel before closing the quarter at $38 per barrel.

The outlook for economic growth outside the U.S. softened in the first quarter. A further deterioration in the euro zone inflation outlook prompted the European Central Bank (“ECB”) to announce an increase in the size of its monthly asset purchases and reduce its deposit rate to -40 basis points. European government bonds rallied following the announcement, with the 10-year German bund ending the first quarter with a yield of just 16 basis points.

Ongoing stimulus efforts in Asia also appeared likely to contribute to low U.S. rates. Chinese industrial production growth continued to slow in early 2016, prompting the People’s Bank of China (“PBOC”) to stimulate credit growth by allowing banks to hold fewer reserves against deposits. And after years of struggling with stagnant growth and low inflation, the Bank of Japan (“BOJ”) surprised markets by cutting its key interest rate to -10 basis points in January. The negative rates pushed a considerable amount of Japanese savings into foreign markets.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(continued) March 31, 2016

In an environment where global rates are moving lower and markets are already starved for yield, foreign investors began looking to the U.S. Guggenheim expects that U.S. Treasury yields will fall further as the gravitational pull of global yields gets stronger, and does not discount the possibility of 10-year U.S. Treasury yields declining to closer to 1 percent before the end of the year.

A stronger dollar has weighed on the U.S. economy, but consumer spending has been resilient. The labor market is now operating near full employment, and tight labor market conditions are beginning to spur faster wage growth. We believe the U.S. economy is fundamentally sound, and find little evidence to support the conclusion that the economy will fall into a recession in 2016.

Despite the relative health of the U.S. economy, markets are concerned that sluggish global growth will hold back the U.S. expansion, that inflation will remain below the Fed’s target for longer, and that tighter conditions in credit markets have raised recession risks. Our view is that the Fed remains focused on fulfilling its dual mandate objectives of maximum employment and price stability, and thus is biased toward normalizing policy. We expect further declines in the unemployment rate as job gains outstrip growth in the labor force. Meanwhile, core and headline inflation should move closer to the Fed’s target by year end, reflecting our forecasts for a tighter labor market and a modest rise in oil prices. Normally, this would result in at least two Fed rate hikes on the table for 2016, but the U.S. Fed is becoming more sensitive to global financial conditions and the extent of global money flows that occur as monetary policy in the U.S. diverges from Europe, Japan and China. As a result, we have reduced our expectations for a June rate hike, although it would normally be an easy call. We continue to believe a December rate hike is a near certainty. A solid macroeconomic backdrop and a rebalancing oil market should support an improving credit picture in the second half of 2016.

For the six months ended March 31, 2016, the Standard & Poor’s 500^® (“S&P 500”) Index* returned 8.49%. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index* returned 1.56%. The return of the MSCI Emerging Markets Index* was 6.41%.

In the bond market, the Barclays U.S. Aggregate Bond Index* posted a 2.44% return for the period, while the Barclays U.S. Corporate High Yield Index* returned 1.22%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.11% 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.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2016

*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 U.S. dollar 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 | 5

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, 2015 and ending March 31, 2016.

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.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

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 up to the past five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2015	Ending Account Value March 31, 2016	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Floating Rate Strategies Fund
A-Class	1.03%	(0.12%)	$ 1,000.00	$ 998.80	$ 5.15
C-Class	1.78%	(0.54%)	1,000.00	994.60	8.88
P-Class	1.03%	(0.13%)	1,000.00	998.70	5.15
Institutional Class	0.79%	0.00%	1,000.00	1,000.00	3.95
Table 2. Based on hypothetical 5% return (before expenses)
Floating Rate Strategies Fund
A-Class	1.03%	5.00%	$ 1,000.00	$ 1,019.85	$ 5.20
C-Class	1.78%	5.00%	1,000.00	1,016.10	8.97
P-Class	1.03%	5.00%	1,000.00	1,019.85	5.20
Institutional Class	0.79%	5.00%	1,000.00	1,021.05	3.99

1	Annualized and excludes expenses of the underlying funds in which the Fund invests.
2	Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2015 to March 31, 2016.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited) March 31, 2016

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 or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

FUND PROFILE (Unaudited)(continued) March 31, 2016

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
Institutional Class	November 30, 2011

Ten Largest Holdings (% of Total Net Assets)
Avago Technologies Ltd.	1.1%
Petsmart, Inc.	1.1%
Cartrawler	1.0%
Life Time Fitness	1.0%
Cengage Learning Acquisitions, Inc.	1.0%
Verisure Cayman 2	1.0%
Guggenheim Strategy Fund I	0.9%
Neptune Finco Corp.	0.9%
Albertson’s (Safeway) Holdings LLC	0.9%
Epicor Software	0.9%
Top Ten Total	9.8%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited)(concluded) March 31, 2016

Portfolio Composition by Quality Rating¹

Rating	% of Total Investments
Fixed Income Instruments
AAA	0.1%
AA	0.6%
A	3.5%
BBB	10.9%
BB	29.9%
B	42.3%
CCC	4.4%
CC	0.2%
C	0.0%
D	0.4%
NR2	2.7%
Other Instruments	5.0%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by 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 converts ratings to the equivalent S&P rating.

2

NR securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
FLOATING RATE STRATEGIES FUND

	Shares		Value
COMMON STOCKS††† - 0.0%
Industrial - 0.0%
Targus Group International, Inc.*		13,186	$	20,174
Basic Materials - 0.0%
Mirabela Nickel Ltd.*,8		4,755,634		365
Total Common Stocks
(Cost $1,830,407)				20,539
MUTUAL FUNDS† - 1.3%
Guggenheim Strategy Fund I1		729,632		18,102,182
Guggenheim Strategy Fund II1		284,034		7,012,803
Total Mutual Funds
(Cost $25,219,865)				25,114,985
SHORT TERM INVESTMENTS† - 3.6%
Federated U.S. Treasury Cash Reserve Fund Institutional Shares 0.16%2		72,145,446		72,145,446
Total Short Term Investments
(Cost $72,145,446)				72,145,446

	Face Amount7
SENIOR FLOATING RATE INTERESTS††,5 - 67.1%
Consumer, Cyclical - 15.1%
PETCO Animal Supplies, Inc.
5.75% due 01/26/23	$	16,350,000	16,324,984
5.62% due 01/26/23		5,450,000	5,441,825
Petsmart, Inc.
4.25% due 03/11/22		21,125,610	21,025,263
Life Time Fitness
4.25% due 06/10/22		19,772,391	19,505,463
Warner Music Group
3.75% due 07/01/20		17,786,808	17,512,535

BJ’s Wholesale Club, Inc.
4.50% due 09/26/19		16,771,741	16,303,473
Party City Holdings, Inc.
4.25% due 08/19/22		16,137,291	15,989,313
Acosta, Inc.
4.25% due 09/26/21		16,064,668	15,654,376
Smart & Final Stores LLC
4.00% due 11/15/19		15,210,342	15,065,844
Sears Holdings Corp.
5.50% due 06/30/18		15,599,158	14,819,200
Navistar, Inc.
6.50% due 08/07/20		15,411,375	14,024,351
Belk, Inc.
5.75% due 12/12/22		13,350,000	11,770,295
La Quinta Intermediate Holdings
3.75% due 04/14/21		10,745,865	10,539,866
Deuce Acquisition
6.50% due 12/08/228	GBP	7,100,000	9,713,804
Advantage Sales & Marketing LLC
4.25% due 07/23/21		9,117,792	8,944,007
3.39% due 07/25/19		800,000	731,630
Ipreo Holdings
4.00% due 08/06/21		8,863,155	8,408,919
Dollar Tree, Inc.
3.50% due 07/06/22		7,830,318	7,853,809
National Vision, Inc.
4.00% due 03/12/21		8,069,759	7,822,663
Neiman Marcus Group, Inc.
4.25% due 10/25/20		7,847,044	7,174,160
Eyemart Express
5.00% due 12/17/21		6,979,152	6,857,017
Burlington Coat Factory Warehouse Corp.
4.25% due 08/13/21		6,000,000	5,998,920
Ceridian Corp.
4.50% due 09/15/20		6,032,444	5,806,228
Mattress Firm
6.25% due 10/20/21		5,245,603	5,180,033
Equinox Fitness
5.00% due 01/31/20		5,189,988	5,161,443

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
FLOATING RATE STRATEGIES FUND

	Face Amount7		Value
Sterling Intermidiate Corp.
5.75% due 06/20/22	$	4,292,331	$	4,192,191
Nassa Midco AS
3.75% due 07/09/21	EUR	3,300,000		3,694,415
Fitness International LLC
5.50% due 07/01/20		3,438,750		3,309,797
Compucom Systems, Inc.
4.25% due 05/11/20		4,263,543		2,984,480
Capital Automotive LP
6.00% due 04/30/20		2,830,000		2,819,388
Digital Cinema
3.25% due 05/17/21		2,504,118		2,476,998
California Pizza Kitchen, Inc.
5.25% due 03/29/18		2,898,191		2,468,302
NPC International, Inc.
4.75% due 12/28/18		913,657		909,089
Pinnacle Entertainment, Inc.
3.75% due 08/13/20		769,640		768,201
Container Store, Inc.
4.25% due 04/06/19		875,580		663,978
Kate Spade & Co.
4.00% due 04/09/21		581,219		572,501
Rite Aid Corp.
5.75% due 08/21/20		500,000		501,040
Jacobs Entertainment, Inc.
5.25% due 10/29/18		470,065		455,963
Total Consumer, Cyclical				299,445,764
Industrial - 12.1%
Transdigm, Inc.
3.50% due 05/14/22		12,971,016		12,760,237
3.75% due 06/04/21		6,691,990		6,589,201
Brickman Group Holdings, Inc.
4.00% due 12/18/20		16,365,205		16,086,996
Amber Bidco Ltd.
4.62% due 06/30/21†††,8		10,480,000		10,321,747
4.59% due 06/30/21†††,8	GBP	3,500,000		4,951,377
Gates Global, Inc.
4.25% due 07/05/21		15,065,166		14,189,579
Flakt Woods
2.63% due 03/20/17†††,8	EUR	12,244,976		13,800,721
Travelport Holdings LLC
5.75% due 09/02/21		13,760,765		13,736,683
Quikrete Holdings, Inc.
4.00% due 09/28/20		13,400,000		13,366,500
USIC Holding, Inc.
4.00% due 07/10/20		12,014,577		11,774,285
DAE Aviation
5.25% due 07/07/22		10,507,836		10,461,917
Rexnord LLC/RBS Global, Inc.
4.00% due 08/21/20		8,190,000		8,055,602
Hardware Holdings LLC
6.75% due 03/30/20†††,8		6,171,875		6,017,578
CPM Holdings, Inc.
6.00% due 04/11/22		5,756,500		5,662,957
Multiplan, Inc.
3.75% due 03/31/21		5,678,544		5,618,919
SIRVA Worldwide, Inc.
7.50% due 03/27/198		5,694,761		5,381,549
Crosby Worldwide
4.00% due 11/23/20		6,589,507		5,366,362
Power Borrower, LLC
4.25% due 05/06/20		3,632,227		3,559,582
8.25% due 11/06/20		1,670,000		1,544,750
Thermasys Corp.
5.26% due 05/03/19		6,398,438		5,078,760
Mitchell International, Inc.
4.50% due 10/13/20		2,729,346		2,626,996
8.50% due 10/11/21		2,374,000		2,083,185
CHI Overhead Doors, Inc.
4.75% due 07/29/22		4,577,000		4,508,345
Connolly Corp.
4.50% due 05/14/21		4,412,811		4,335,586
NVA Holdings, Inc.
4.75% due 08/14/21		3,983,847		3,944,009
CareCore National LLC
5.50% due 03/05/21		4,102,908		3,815,704

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
FLOATING RATE STRATEGIES FUND

	Face Amount7		Value
Reynolds Group Holdings
4.50% due 12/03/18	$	3,109,251	$	3,109,251
Mast Global
7.75% due 09/12/19†††,8		2,981,188		2,946,606
SIG Onex Wizard Acquisition
4.25% due 03/11/22		2,929,455		2,916,653
CEVA Logistics US Holdings
6.50% due 03/19/21		3,483,865		2,862,587
Learning Care Group (US), Inc.
5.00% due 05/05/21		2,703,360		2,692,384
GYP Holdings III Corp.
4.75% due 04/01/21		2,751,000		2,591,965
CEVA Group Plc (United Kingdom)
6.50% due 03/19/21		2,444,038		2,008,192
due 03/19/193		660,000		580,181
SI Organization
5.75% due 11/22/19		2,276,501		2,253,736
Doncasters Group Ltd.
9.50% due 10/09/20		2,348,621		2,113,759
CEVA Logistics Holdings BV (Dutch)
6.50% due 03/19/21		2,532,245		2,080,670
Berry Plastics Corp.
3.50% due 02/07/20		1,072,362		1,067,000
3.75% due 01/06/21		815,500		812,165
Berlin Packaging LLC
4.50% due 10/01/21		1,897,983		1,877,428
Goodpack Ltd.
4.75% due 09/09/21		1,992,898		1,838,448
Constantinople Acquisition GmbH
4.75% due 04/30/22		1,831,500		1,822,343
Tank Holdings Corp.
5.25% due 03/16/22		1,882,609		1,798,682
NANA Development Corp.
8.00% due 03/15/188		2,040,000		1,785,000
Braas Monier Buildings Group
3.69% due 10/15/20	EUR	1,216,837		1,378,238
Dematic S.A.
4.25% due 12/27/19		1,334,379		1,320,475
Camp Systems International
8.25% due 11/29/19		1,150,000		1,035,000
Nord Anglia Education Finance LLC
5.00% due 03/31/21		1,031,676		1,014,272
Wencor Group
3.94% due 06/19/19		964,615		891,920
AlliedBarton Security Services LLC
4.25% due 02/12/21		691,614		674,323
Pro Mach Group, Inc.
4.75% due 10/22/21		620,301		605,829
CEVA Logistics Canada, ULC
6.50% due 03/19/21		435,483		357,823
Omnitracs, Inc.
8.75% due 05/25/21		350,000		322,585
Hunter Fan Co.
6.50% due 12/20/178		187,096		185,225
Total Industrial				240,581,867
Technology - 11.9%
Avago Technologies Ltd.
4.25% due 02/01/23		21,450,000		21,330,525
Verisure Cayman 2
5.25% due 10/10/22	EUR	17,000,000		19,365,318
Epicor Software
4.75% due 06/01/22		18,659,000		17,648,242
Solera LLC
5.75% due 03/03/23		16,050,000		16,018,542
Deltek, Inc.
5.00% due 06/25/22		15,438,596		15,342,105
TIBCO Software, Inc.
6.50% due 12/04/20		16,738,444		15,006,015
The Active Network, Inc.
5.50% due 11/13/20		12,017,711		11,386,781
Informatica Corp.
4.50% due 08/05/22		10,547,000		10,336,060
Infor, Inc.
3.75% due 06/03/20		10,425,351		10,094,755

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
FLOATING RATE STRATEGIES FUND

	Face Amount7		Value
GlobalLogic Holdings, Inc.
6.25% due 05/31/19	$	9,555,000	$	9,340,013
Micro Focus International plc
5.25% due 11/19/21		8,986,489		8,957,283
First Data Corp.
3.93% due 03/23/18		6,619,723		6,601,519
7.25% due 03/24/21		1,600,000		1,594,752
3.93% due 09/24/18		400,000		399,168
Greenway Medical Technologies
6.00% due 11/04/208		9,775,000		8,406,500
Advanced Computer Software
6.50% due 03/18/22		6,435,000		6,177,600
10.50% due 01/31/23		2,200,000		2,018,500
LANDesk Group, Inc.
5.00% due 02/25/20		8,288,350		8,081,141
Aspect Software, Inc.
9.50% due 09/30/16		7,323,563		7,250,327
Avaya, Inc.
6.25% due 05/29/20		7,308,729		4,862,936
6.50% due 03/30/18		3,223,269		2,361,044
Banca Civica (UK) - Chambertin
5.09% due 05/29/20†††,8	GBP	3,800,000		5,226,228
4.88% due 08/04/21†††,8	GBP	503,500		692,475
EIG Investors Corp.
6.23% due 11/09/198		5,286,999		5,042,475
Go Daddy Operating Company, LLC
4.25% due 05/13/21		3,826,425		3,817,394
American Builders & Contractors Supply Co., Inc.
3.50% due 04/16/20		3,361,188		3,356,146
Linxens
5.00% due 10/16/22		3,400,000		3,344,750
SolarWinds Holdings, Inc.
6.50% due 02/03/23		3,000,000		2,964,990
Sabre, Inc.
4.00% due 02/19/19		2,892,247		2,890,454
CDW LLC
3.25% due 04/29/20		2,855,182		2,844,704
Wall Street Systems
4.25% due 04/30/21		1,888,011		1,866,771
Sparta Holding Corp.
6.50% due 07/28/20†††		1,384,832		1,374,850
Eze Castle Software, Inc.
7.25% due 04/05/21		1,441,176		1,354,706
Applied Systems, Inc.
4.31% due 01/25/21		1,263,756		1,249,273
Total Technology				238,604,342
Communications - 9.4%
Numericable US LLC
4.75% due 02/10/23		17,650,000		17,490,091
4.56% due 07/31/22		3,291,750		3,248,562
Cartrawler
4.25% due 04/29/21	EUR	17,700,000		19,535,758
Cengage Learning Acquisitions, Inc.
7.00% due 03/31/20		19,533,166		19,421,632
Neptune Finco Corp.
5.00% due 10/10/22		18,000,000		17,997,120
Univision Communications, Inc.
4.00% due 02/28/20		13,318,165		13,172,465
4.00% due 03/01/20		1,278,572		1,264,456
Ziggo B.V.
3.75% due 01/15/22	EUR	12,300,000		13,842,870
T-Mobile US, Inc.
3.50% due 11/09/22		11,970,000		12,011,177
Light Tower Fiber LLC
4.00% due 04/13/20		11,717,730		11,571,258
Asurion Corp.
4.25% due 07/08/20		5,956,920		5,733,536
5.00% due 08/04/22		2,971,454		2,906,468
Zayo Group LLC
3.75% due 05/06/21		8,138,194		8,090,749
Houghton Mifflin Co.
4.00% due 05/31/21		6,252,750		6,104,247

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
FLOATING RATE STRATEGIES FUND

	Face Amount7		Value
Virgin Media Bristol LLC
3.50% due 06/30/23	$	5,857,895	$	5,804,471
Match Group, Inc.
5.50% due 11/16/22		5,579,375		5,575,916
Gogo LLC
11.25% due 03/21/188		3,939,999		3,959,699
7.50% due 03/21/188		1,299,950		1,247,952
CBS Outdoor Americas Capital LLC
3.00% due 02/01/21		4,312,500		4,285,547
Live Nation Worldwide, Inc.
3.50% due 08/14/20		2,925,000		2,921,344
EMI Music Publishing
4.00% due 08/19/22		2,564,956		2,557,902
Internet Brands
4.75% due 07/08/21		2,150,478		2,133,016
Scout24 AG
3.75% due 02/12/21	EUR	1,818,050		2,051,726
Anaren, Inc.
5.50% due 02/18/21		1,512,968		1,361,671
9.25% due 08/18/21		275,000		250,709
Charter Communications Operating, LLC
3.00% due 01/03/21		1,583,715		1,576,082
Level 3 Communications, Inc.
4.00% due 08/01/19		750,000		750,780
Total Communications				186,867,204
Consumer, Non-cyclical - 8.4%
Albertson’s (Safeway) Holdings LLC
5.50% due 08/25/21		17,884,403		17,893,344
5.50% due 03/21/19		1,246,629		1,245,931
Authentic Brands
5.50% due 05/27/21		14,003,209		13,501,473
Valeant Pharmaceuticals International, Inc.
4.00% due 04/01/22		9,405,000		8,868,163
3.75% due 08/05/20		4,000,000		3,765,000
At Home Holding III Corp.
5.00% due 06/03/22		12,406,250		11,910,000
Hostess Brands
4.50% due 08/03/22		11,442,500		11,442,500
Endo Luxembourg Finance Co.
3.75% due 09/25/22		11,400,000		11,214,750
Pinnacle Foods Corp.
3.00% due 04/29/20		8,947,661		8,933,923
Dole Food Company, Inc.
4.50% due 11/01/18		8,407,220		8,363,418
CTI Foods Holding Co. LLC
8.25% due 06/28/21		7,420,000		6,715,100
4.50% due 06/29/20		1,316,250		1,263,600
Pharmaceutical Product Development
4.25% due 08/18/22		5,639,713		5,585,685
Reddy Ice Holdings, Inc.
6.75% due 05/01/198		4,755,431		3,962,843
10.75% due 10/01/198		2,000,000		1,320,000
American Tire Distributors, Inc.
5.25% due 09/01/21		4,999,546		4,974,549
Sterigenics Norion Holdings
4.25% due 05/16/22		4,987,500		4,937,625
Physio-Control International, Inc.
5.50% due 06/06/22		4,788,000		4,782,015
Arctic Glacier Holdings, Inc.
6.00% due 05/10/19		4,600,067		4,370,064
Hill-Rom Holdings, Inc.
3.50% due 09/08/22		4,237,822		4,242,611
Alere, Inc.
4.25% due 06/20/22		3,245,429		3,222,094
Nellson Nutraceutical (US)
6.00% due 12/23/21		3,079,176		3,040,686
Hearthside Foods
4.50% due 06/02/21		3,122,715		3,036,840
Serta Simmons Holdings LLC
4.25% due 10/01/19		2,602,371		2,597,504
DJO Finance LLC
4.25% due 06/08/20		2,657,490		2,595,490
Genoa Healthcare
4.50% due 05/02/22		2,580,500		2,548,244

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
FLOATING RATE STRATEGIES FUND

	Face Amount7		Value
Grocery Outlet, Inc.
4.75% due 10/21/21	$	2,078,947	$	2,029,572
AdvancePierre Foods, Inc.
5.75% due 07/10/17		1,436,662		1,438,458
9.50% due 10/10/17		461,000		457,160
Nellson Nutraceutical (CAD)
6.00% due 12/23/21		1,912,528		1,888,621
NES Global Talent
6.50% due 10/03/19		1,682,072		1,513,865
Acadia Healthcare Company, Inc.
4.50% due 02/13/19		1,346,625		1,349,426
Catalent Pharma Solutions, Inc.
4.25% due 05/20/21		1,197,241		1,195,577
Aramark Corp.
3.25% due 02/24/21		1,195,600		1,190,614
Fender Musical Instruments Corp.
5.75% due 04/03/19		792,732		782,823
Targus Group International, Inc.
7.37% due 05/24/16†††,8		152,522		—
Total Consumer, Non-cyclical				168,179,568
Financial - 6.8%
Alliant Holdings I L.P.
4.50% due 08/12/22		16,475,500		16,257,201
Transunion Holding Co.
3.50% due 04/09/21		16,302,671		16,131,493
National Financial Partners Corp.
4.50% due 07/01/20		14,187,965		13,840,360
HUB International Ltd.
4.00% due 10/02/20		12,508,208		12,164,232
Hyperion Insurance
5.50% due 04/29/22		11,711,500		11,140,564
Assured Partners, Inc.
5.75% due 10/21/22		11,122,125		11,038,709
York Risk Services
4.75% due 10/01/21		11,522,937		9,780,093
Lineage Logistics LLC
4.50% due 04/07/21		8,874,533		7,432,421
Magic Newco, LLC
5.00% due 12/12/18		7,405,428		7,398,023
American Stock Transfer & Trust
5.75% due 06/26/20		5,709,467		5,523,910
Expert Global Solutions
8.50% due 04/03/18		4,174,422		4,090,934
7.67% due 04/02/17†††,8		654,167		633,095
WTG Holdings
4.75% due 01/15/21		4,135,908		4,042,850
Jefferies Finance LLC
4.50% due 05/14/20		3,821,125		3,754,255
LPL Financial Holdings, Inc.
4.75% due 11/21/22		3,825,000		3,748,500
Genex Services, Inc.
5.25% due 05/28/21		2,538,000		2,487,240
Fly Leasing Ltd.
3.50% due 08/09/19		2,390,703		2,369,784
USI Holdings Corp.
4.25% due 12/27/19		1,378,413		1,355,435
Cunningham Lindsey U.S., Inc.
5.00% due 12/10/198		1,566,176		1,057,169
9.25% due 06/10/208		194,886		96,794
AmWINS Group, LLC
5.25% due 09/06/19		1,086,226		1,087,453
Total Financial				135,430,515
Basic Materials - 1.8%
Chromaflo Technologies
4.50% due 12/02/19		9,180,818		8,744,728
Univar, Inc.
4.25% due 07/01/22		8,557,000		8,423,340
Zep, Inc.
5.50% due 06/27/22		6,268,500		6,252,829
INEOS US Finance LLC
4.25% due 03/31/22		4,454,977		4,385,390
Platform Specialty Products
5.50% due 06/07/20		4,031,250		3,889,673

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
FLOATING RATE STRATEGIES FUND

	Face Amount7		Value
Ennis-Flint
4.25% due 03/31/218	$	2,058,000	$	2,006,550
7.75% due 09/30/218		270,000		256,500
Minerals Technologies, Inc.
3.75% due 05/10/21		1,106,888		1,101,354
Hoffmaster Group, Inc.
5.25% due 05/08/20		940,452		924,775
Atkore International, Inc.
7.75% due 10/09/218		400,000		364,000
Total Basic Materials				36,349,139
Utilities - 0.9%
Texas Competitive Electric Holdings Company LLC
3.75% due 11/07/16		9,000,000		8,955,000
Stonewall (Green Energy)
6.50% due 11/12/21		5,950,000		5,533,500
Panda Temple II Power
7.25% due 04/03/19		4,488,750		3,748,106
Total Utilities				18,236,606
Energy - 0.7%
Veresen Midstream LP
5.25% due 03/31/22		11,286,000		10,425,443
PSS Companies
5.50% due 01/28/20		5,653,580		3,674,827
Total Energy				14,100,270
Total Senior Floating Rate Interests
(Cost $1,387,469,904)				1,337,795,275
CORPORATE BONDS†† - 7.3%
Energy - 1.6%
Sabine Pass Liquefaction LLC
5.63% due 02/01/21		5,500,000		5,286,874
5.63% due 04/15/23		4,200,000		3,990,000
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
6.00% due 12/15/20		6,300,000		4,945,500
CONSOL Energy, Inc.
5.88% due 04/15/22		6,750,000		4,864,185
ContourGlobal Power Holdings S.A.
7.13% due 06/01/194		3,500,000		3,399,375
Gibson Energy, Inc.
6.75% due 07/15/214		2,905,000		2,672,600
FTS International, Inc.
8.13% due 06/15/204,5		2,950,000		1,989,743
6.25% due 05/01/22		1,250,000		137,500
Unit Corp.
6.63% due 05/15/21		4,000,000		2,010,000
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp.
8.00% due 12/01/20		2,750,000		529,375
Ultra Petroleum Corp.
5.75% due 12/15/18		4,680,000		327,600
Atlas Energy Holdings Operating Company LLC / Atlas Resource Finance Corp.
9.25% due 08/15/218		1,375,000		213,125
7.75% due 01/15/218		125,000		18,125
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
7.88% due 04/15/22		850,000		85,000
Total Energy				30,469,002
Consumer, Non-cyclical - 1.4%
Tenet Healthcare Corp.
4.13% due 06/15/204,5		17,000,000		16,872,500
Vector Group Ltd.
7.75% due 02/15/21		6,890,000		7,234,500
Opal Acquisition, Inc.
8.88% due 12/15/214		3,195,000		2,228,513
Bumble Bee Holdings, Inc.
9.00% due 12/15/174		1,754,000		1,758,385
Total Consumer, Non-cyclical				28,093,898
Communications - 1.0%
Interoute Finco plc
6.24% due 10/15/20	EUR	7,250,000		8,319,536

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
FLOATING RATE STRATEGIES FUND

	Face Amount7		Value
Level 3 Financing, Inc.
4.10% due 01/15/185	$	4,210,000	$	4,225,788
Midcontinent Communications & Midcontinent Finance Corp.
6.88% due 08/15/234		4,000,000		4,140,000
MDC Partners, Inc.
6.75% due 04/01/204		1,000,000		1,033,750
CyrusOne Limited Partnership / CyrusOne Finance Corp.
6.38% due 11/15/22		600,000		622,500
UPCB Finance VI Ltd.
6.88% due 01/15/224		477,000		504,428
TIBCO Software, Inc.
11.38% due 12/01/214		550,000		481,250
Avaya, Inc.
7.00% due 04/01/194		610,000		411,750
Total Communications				19,739,002
Financial - 0.8%
Kennedy-Wilson, Inc.
5.87% due 04/01/24		6,705,000		6,554,138
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.
5.88% due 02/01/22		5,000,000		4,745,000
6.00% due 08/01/20		1,700,000		1,653,250
Jefferies Finance LLC / JFIN Company-Issuer Corp.
7.38% due 04/01/204		1,050,000		908,250
National Financial Partners Corp.
9.00% due 07/15/214		850,000		816,000
Oxford Finance LLC / Oxford Finance Company-Issuer, Inc.
7.25% due 01/15/184		650,000		643,500
Fidelity & Guaranty Life Holdings, Inc.
6.38% due 04/01/214		450,000		452,250
Total Financial				15,772,388
Technology - 0.8%
First Data Corp.
5.00% due 01/15/244		6,250,000		6,257,813
5.75% due 01/15/244		5,200,000		5,199,480
Infor US, Inc.
5.75% due 08/15/204		3,250,000		3,347,500
NCR Corp.
6.38% due 12/15/23		800,000		824,000
Total Technology				15,628,793
Utilities - 0.6%
AES Corp.
3.64% due 06/01/195		8,000,000		7,720,000
5.50% due 04/15/25		1,150,000		1,109,750
Terraform Global Operating LLC
9.75% due 08/15/224		4,600,000		3,450,000
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/234		630,000		585,900
Total Utilities				12,865,650
Industrial - 0.6%
CEVA Group plc
7.00% due 03/01/214		5,800,000		4,625,500
BMBG Bond Finance SCA
4.86% due 10/15/204,5	EUR	4,000,000		4,551,402
Anixter, Inc.
5.50% due 03/01/234		3,000,000		3,037,500
Total Industrial				12,214,402
Consumer, Cyclical - 0.3%
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
6.50% due 05/01/21		4,615,000		4,095,812
WMG Acquisition Corp.
6.75% due 04/15/224		2,280,000		2,257,200

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
FLOATING RATE STRATEGIES FUND

	Face Amount7		Value
Men’s Wearhouse, Inc.
7.00% due 07/01/22	$	525,000	$	444,938
Total Consumer, Cyclical				6,797,950
Basic Materials - 0.2%
Kaiser Aluminum Corp.
8.25% due 06/01/20		1,300,000		1,351,999
TPC Group, Inc.
8.75% due 12/15/204		1,455,000		1,018,500
Unifrax I LLC / Unifrax Holding Co.
7.50% due 02/15/199		665,000		410,638
Mirabela Nickel Ltd.
9.50% due 06/24/19†††,8		1,221,786		317,664
1.00% due 09/10/44†††,8		25,570		—
Eldorado Gold Corp.
6.13% due 12/15/204		265,000		241,813
Total Basic Materials				3,340,614
Diversified - 0.0%
HRG Group, Inc.
7.88% due 07/15/19		490,000		516,754
Total Corporate Bonds
(Cost $169,115,074)				145,438,453
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 6.9%
Residential Mortgage-Backed Securities - 6.4%
LSTAR Securities Investment Trust
2015-4 A1, 2.44% due 04/01/204,5		11,696,631		11,345,731
2014-1 NOTE, 3.53% due 09/01/214,5		7,534,636		7,459,290
2015-5 A1, 2.44% due 04/01/204,5		6,313,671		6,171,999
2015-10 A1, 2.44% due 11/01/204,5		4,706,941		4,589,267
2015-1 A, 2.43% due 01/01/204,5		4,509,854		4,419,495
Lehman XS Trust Series
2007-15N 2A1, 0.69% due 08/25/375		6,475,812		4,913,588
2005-9N 1A1, 0.70% due 02/25/365		3,556,791		2,780,571
2006-16N A4A, 0.62% due 11/25/465		3,518,565		2,711,133
RALI Series Trust
2006-QO2 A1, 0.65% due 02/25/465		9,603,481		3,877,476
2007-QO4 A1A, 0.62% due 05/25/475		4,001,231		3,088,697
2006-QO10 A1, 0.59% due 01/25/375		3,947,293		2,856,685
Home Equity Asset Trust
2005-9 M1, 0.84% due 04/25/365		10,000,000		8,018,442
Banc of America Funding Ltd.
2013-R1 A5, 0.65% due 11/03/414,5		8,606,570		7,964,124
GSAA Home Equity Trust
2006-14 A2, 0.60% due 09/25/365		12,899,219		6,369,398
2007-7 A4, 0.70% due 07/25/375		1,077,981		925,634
GreenPoint Mortgage Funding Trust
2005-HE4 M1, 0.90% due 07/25/305		3,784,165		3,654,203
2006-AR1 A1A, 0.72% due 02/25/365		2,718,298		2,093,525
American Home Mortgage Investment Trust
2006-1 12A1, 0.83% due 03/25/465		6,761,950		5,379,045
IndyMac INDX Mortgage Loan Trust
2006-AR4 A1A, 0.64% due 05/25/465		6,404,354		5,075,691

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
FLOATING RATE STRATEGIES FUND

	Face Amount7		Value
Structured Asset Securities Corporation Mortgage Loan Trust
2006-OPT1 A5, 0.69% due 04/25/365	$	4,271,348	$	3,984,208
2007-BC1 A4, 0.56% due 02/25/375		900,000		782,002
Banc of America Funding Trust
2015-R4 8A1, 0.61% due 01/27/35†††,4,5		5,311,601		4,760,363
WaMu Mortgage Pass-Through Certificates Series Trust
2007-OA6 1A, 1.13% due 07/25/475		5,903,724		4,680,412
Nomura Resecuritization Trust
2015-4R 5A1, 0.86% due 03/26/364,5		2,823,750		2,509,277
2012-1R A, 0.87% due 08/27/474,5		2,108,726		2,005,771
AJAX Mortgage Loan Trust
2015-A A, 3.88% due 11/25/544		3,824,472		3,781,566
American Home Mortgage Assets Trust
2006-4 1A12, 0.64% due 10/25/465		5,245,760		3,260,706
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9 2A, 1.16% due 11/25/465		4,247,711		2,863,576
Merrill Lynch Alternative Note Asset Trust Series
2007-OAR3 A1, 0.62% due 07/25/375		2,852,126		2,066,052
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE1 A, 0.57% due 07/25/374,5		2,218,539		1,859,444
Morgan Stanley Re-REMIC Trust
2010-R5 4B, 0.93% due 06/26/364,5		1,216,936		881,726
Bear Stearns Mortgage Funding Trust
2007-AR5 1A1A, 0.60% due 06/25/475		864,700		650,119
Alliance Bancorp Trust
2007-OA1 A1, 0.67% due 07/25/375		851,410		527,839
New Century Home Equity Loan Trust
2004-4 M2, 1.23% due 02/25/355		417,310		326,545
Total Residential Mortgage- Backed Securities				128,633,600
Commercial Mortgage-Backed Securities - 0.5%
GS Mortgage Securities Corporation Trust
2016-ICE2 E, 8.94% due 02/15/334,5		10,000,000		10,003,137
Total Collateralized Mortgage Obligations
(Cost $142,939,201)				138,636,737
ASSET-BACKED SECURITIES†† - 4.7%
Collateralized Loan Obligations - 3.2%
PFP Ltd.
2015-2 B, 3.14% due 07/14/344,5		5,000,000		4,951,136
OHA Credit Partners IX Ltd.
2013-9A ACOM, due 10/20/254,6		6,000,000		4,907,160
Golub Capital Partners Clo 24M Ltd.
2015-24A C, 4.37% due 02/05/274,5		3,750,000		3,562,378

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
FLOATING RATE STRATEGIES FUND

	Face Amount7		Value
ACIS CLO Ltd.
2013-2A, 4.47% due 10/14/224,5	$	1,800,000	$	1,709,752
2015-6A C, 3.99% due 05/01/274,5		1,000,000		993,754
2013-1A D, 5.12% due 04/18/244,5		1,000,000		844,483
Fortress Credit Funding V, LP
2015-5AR BR, 4.27% due 08/15/224,5		3,500,000		3,434,379
Avery
2013-3X COM, due 01/18/256		4,300,020		3,373,009
Fortress Credit Opportunities VI CLO Ltd.
2015-6A C, 4.29% due 10/10/264,5		3,500,000		3,305,194
Newstar Commercial Loan Funding LLC
2013-1A D, 5.17% due 09/20/234,5		2,750,000		2,541,898
2013-1A E, 5.92% due 09/20/234,5		250,000		237,829
2014-1A D, 5.37% due 04/20/254,5		250,000		230,212
Treman Park CLO Ltd.
2015-1A COM, due 04/20/274,6		3,000,000		2,719,415
Halcyon Loan Advisors Funding Ltd.
2012-1A B, 3.62% due 08/15/234,5		2,600,000		2,514,703
ALM XIV Ltd.
2014-14A C, 4.07% due 07/28/264,5		2,650,000		2,319,580
Fortress Credit Opportunities V CLO Ltd.
2014-5A D, 5.12% due 10/15/264,5		2,500,000		2,209,932
Shackleton I CLO Ltd.
2012-1A C, 3.92% due 08/14/234,5		2,000,000		1,959,573
Duane Street CLO IV Ltd.
2007-4A D, 2.87% due 11/14/214,5		2,000,000		1,812,959
Galaxy XVI CLO Ltd.
2013-16A D, 3.97% due 11/16/254,5		2,000,000		1,675,166
DIVCORE CLO Ltd.
2013-1A B, 4.33% due 11/15/324,5		1,600,000		1,575,483
CIFC Funding Ltd.
2014-1A E, 5.12% due 04/18/254,5		2,000,000		1,490,000
MCF CLO I LLC
2013-1A, 4.17% due 04/20/234,5		1,500,000		1,457,062
Dryden XXVIII Senior Loan Fund
2013-28A A3L, 3.32% due 08/15/254,5		1,500,000		1,450,682
Grayson CLO Ltd.
2006-1A A2, 1.03% due 11/01/214,5		1,200,000		1,077,542
Cerberus Onshore II CLO LLC
2014-1A D, 4.62% due 10/15/234,5		600,000		555,221
2014-1A C, 4.12% due 10/15/234,5		500,000		496,875
Venture XI CLO Ltd.
2015-11AR CR, 3.57% due 11/14/224,5		1,000,000		973,085
Gramercy Park CLO Ltd.
2014-1AR CR, 4.67% due 07/17/234,5		1,000,000		940,372
Telos CLO Ltd.
2013-3A D, 4.87% due 01/17/244,5		1,050,000		920,953
NewStar Commercial Loan Trust
2007-1A C, 1.94% due 09/30/224,5		500,000		462,088
2007-1A D, 2.94% due 09/30/224,5		500,000		447,922

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
FLOATING RATE STRATEGIES FUND

	Face Amount7		Value
COA Summit CLO Limited
2014-1A C, 4.47% due 04/20/234,5	$	1,000,000	$	890,150
Garrison Funding Ltd.
2013-2A B, 5.27% due 09/25/234,5		750,000		736,911
Westchester CLO Ltd.
2007-1A A1B, 0.96% due 08/01/224,5		750,000		711,133
Shackleton II CLO Ltd.
2012-2A D, 4.67% due 10/20/234,5		750,000		694,726
KKR Financial CLO Ltd.
5.61% due 05/15/21		650,000		647,468
Ares XXVI CLO Ltd.
2013-26A SUB, due 04/15/254,6		1,250,000		593,915
NewStar Arlington Senior Loan Program LLC
2014-1A C1, 3.92% due 07/25/254,5		600,000		566,802
Kingsland III Ltd.
2006-3A C1, 2.22% due 08/24/214,5		500,000		473,313
Westwood CDO I Ltd.
2006-1A B, 1.27% due 03/25/214,5		500,000		466,588
Kingsland IV Ltd.
2007-4A D, 2.07% due 04/16/214,5		500,000		437,974
MCF CLO III LLC
2014-3A, 3.42% due 01/20/244,5		500,000		437,924
Eastland CLO Ltd.
2007-1A A3, 1.02% due 05/01/224,5		350,000		330,006
Great Lakes CLO Ltd.
2014-1A D, 4.82% due 04/15/254,5		250,000		225,852
Total Collateralized Loan Obligations				64,362,559
Collateralized Debt Obligations - 1.2%
Gramercy Real Estate CDO Ltd.
2007-1A A1, 0.90% due 08/15/564,5		10,119,665		8,905,306
RAIT CRE CDO I Ltd.
2006-1X A1B, 0.75% due 11/20/46		4,729,840		4,401,357
Triaxx Prime CDO Ltd.
2006-2A A1A, 0.70% due 10/02/394,5		4,109,164		3,863,719
N-Star REL CDO VIII Ltd.
2006-8A A2, 0.79% due 02/01/414,5		3,250,000		3,128,177
2006-8A A1, 0.72% due 02/01/414,5		495,979		487,036
N-Star Real Estate CDO IX Ltd.
0.75% due 02/01/418		1,339,144		1,315,064
Putnam Structured Product CDO Ltd.
2002-1A A2, 1.12% due 01/10/384,5		910,478		872,040
Highland Park CDO I Ltd.
2006-1A A1, 0.96% due 11/25/514,5		646,665		611,224
SRERS Funding Ltd.
2011-RS A1B1, 0.69% due 05/09/464,5		629,445		602,188
Total Collateralized Debt Obligations				24,186,111
Transport-Aircraft - 0.3%
Castlelake Aircraft Securitization Trust
2014-1 A1, 5.25% due 02/15/294		3,211,679		3,184,379
2014-1 B, 7.50% due 02/15/294		2,358,319		2,326,482
Airplanes Pass Through Trust
2001-1A A9, 0.99% due 03/15/195,9		1,620,327		405,082
Total Transport-Aircraft				5,915,943

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
FLOATING RATE STRATEGIES FUND

	Face Amount7		Value
Credit Card - 0.0%
Credit Card Pass-Through Trust
2012-BIZ A, due 12/15/494	$	126,859	$	100,346
Total Asset-Backed Securities
(Cost $97,882,141)				94,564,959
SENIOR FIXED RATE INTERESTS†† - 0.6%
Communications - 0.4%
Lions Gate Entertainment Corp.
5.00% due 03/17/22		7,780,000		7,566,050
Consumer, Cyclical - 0.2%
Men’s Wearhouse, Inc.
5.00% due 06/18/21		4,700,000		4,441,500
Financial - 0.0%
Magic Newco, LLC
12.00% due 06/12/19		500,000		512,815
Consumer, Non-cyclical - 0.0%
Targus Group International, Inc.
7.50% due 12/31/19†††		53,069		77,884
Total Senior Fixed Rate Interests
(Cost $13,044,288)				12,598,249
COMMERCIAL PAPER†† - 7.2%
Bayer Corp.
0.76% due 04/25/16		20,000,000		19,989,866
0.63% due 04/05/16		15,000,000		14,998,950
Total Bayer Corp.				34,988,816
Campbell Soup Co.
0.63% due 04/20/16		12,000,000		11,996,010
0.65% due 04/11/16		8,600,000		8,598,447
Total Campbell Soup Co.				20,594,457
Ryder System, Inc.
0.65% due 04/05/16		10,000,000		9,999,278
0.67% due 04/05/16		10,000,000		9,999,256
Total Ryder System, Inc.				19,998,534
Harley-Davidson Financial Services, Inc.
0.57% due 04/07/16		18,500,000		18,498,243
Bemis Company, Inc.
0.65% due 04/11/16		15,500,000		15,497,201
Nissan Motor Acceptance Corp.
0.71% due 04/05/16		15,000,000		14,998,817
Bacardi USA, Inc.
0.71% due 04/20/16		10,000,000		9,996,253
VF Corp.
0.70% due 05/11/16		10,000,000		9,992,222
Total Commercial Paper
(Cost $144,564,543)				144,564,543
Total Investments - 98.7%
(Cost $2,054,210,869)			$	1,970,879,186
Other Assets & Liabilities, net - 1.3%				26,116,530
Total Net Assets - 100.0%			$	1,996,995,716

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
FLOATING RATE STRATEGIES FUND

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty	Contracts to Buy (Sell)			Currency	Settlement Date	Settlement Value		Value at March 31, 2016		Net Unrealized Depreciation
BNY Mellon		(14,620,000	)	GBP	04/11/16	$	20,727,797	$	21,000,191	$	(272,394	)
BNY Mellon		(76,824,000	)	EUR	04/11/16		84,294,832		87,438,424		(3,143,592	)
										$	(3,415,986	)

*	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	Affiliated issuer — See Note 7.
2	Rate indicated is the 7 day yield as of March 31, 2016.
3	Security with no rate was unsettled at March 31, 2016.
4	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $225,386,668 (cost $239,268,837), or 11.3% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
5	Variable rate security. Rate indicated is rate effective at March 31, 2016.
6	Residual interest.
7	The face amount is denominated in U.S. dollars unless otherwise indicated.
8	Illiquid security.
9	Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $815,720 (cost $1,941,362), or 0.0% of total net assets — See Note 11.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information Section

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
FLOATING RATE STRATEGIES FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 1 - Other*		Level 2		Level 2 - Other*		Level 3		Total
Asset-Backed Securities	$	—	$	—	$	94,564,959	$	—	$	—	$	94,564,959
Collateralized Mortgage Obligations		—		—		133,876,374		—		4,760,363		138,636,737
Commercial Paper		—		—		144,564,543		—		—		144,564,543
Common Stocks		—		—		—		—		20,539		20,539
Corporate Bonds		—		—		145,120,789		—		317,664		145,438,453
Mutual Funds		25,114,985		—		—		—		—		25,114,985
Senior Fixed Rate Interests		—		—		12,520,365		—		77,884		12,598,249
Senior Floating Rate Interests		—		—		1,291,830,598		—		45,964,677		1,337,795,275
Short Term Investments		72,145,446		—		—		—		—		72,145,446
Total	$	97,260,431	$	—	$	1,822,477,628	$	—	$	51,141,127	$	1,970,879,186

Investments in Securities (Liabilities)	Level 1		Level 1 - Other*		Level 2		Level 2 - Other*		Level 3		Total
Currency Contracts	$	—	$	—	$	—	$	3,415,986	$	—	$	3,415,986

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

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in the investment’s valuation changes. The Fund recognizes transfers between the levels as of the beginning of the period. As of March 31, 2016, the Fund had securities with a total value of $141,046 transfer into Level 3 from Level 2 due to changes in the securities valuation method. There were no other securities that transferred between levels.

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

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

FLOATING RATE STRATEGIES FUND

March 31, 2016

Assets:
Investments in unaffiliated issuers, at value (cost $2,028,991,004)	$	1,945,764,201
Investments in affiliated issuers, at value (cost $25,219,865)		25,114,985
Total investments (cost $2,054,210,869)		1,970,879,186
Foreign currency, at value (cost $247,679)		247,679
Prepaid expenses		194,111
Cash		5,188
Receivables:
Fund shares sold		22,624,088
Securities sold		15,636,889
Interest		10,722,519
Foreign taxes reclaim		58,984
Dividends		36,591
Total assets		2,020,405,235
Liabilities:
Unrealized depreciation on forward foreign currency exchange contracts		3,415,986
Unfunded loan commitments, at value (Note 8) (proceeds $4,596,781)		2,729,629
Payable for:
Securities purchased		8,932,609
Fund shares redeemed		5,800,791
Distributions to Shareholders		1,193,211
Management fees		892,142
Distribution and service fees		246,473
Fund accounting/administration fees		156,381
Trustees’ fees*		12,425
Miscellaneous		29,872
Total liabilities		23,409,519
Net assets	$	1,996,995,716
Net assets consist of:
Paid in capital	$	2,087,981,246
Accumulated net investment loss		(1,574,180	)
Accumulated net realized loss on investments		(4,555,914	)
Net unrealized depreciation on investments		(84,855,436	)
Net assets	$	1,996,995,716
A-Class:
Net assets	$	408,673,646
Capital shares outstanding		16,175,072
Net asset value per share	$	25.27
Maximum offering price per share (Net asset value divided by 97.00%)	$	26.05
C-Class:
Net assets	$	175,383,784
Capital shares outstanding		6,944,737
Net asset value per share	$	25.25
P-Class:
Net assets	$	80,188,719
Capital shares outstanding		3,172,513
Net asset value per share	$	25.28
Institutional Class:
Net assets	$	1,332,749,567
Capital shares outstanding		52,706,455
Net asset value per share	$	25.29

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

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

STATEMENT OF OPERATIONS (Unaudited)

FLOATING RATE STRATEGIES FUND

Period Ended March 31, 2016

Investment Income:
Interest	$	47,701,560
Dividends from securities of affiliated issuers		194,102
Dividends from securities of unaffiliated issuers		8,392
Total investment income		47,904,054
Expenses:
Management fees		6,356,462
Transfer agent/maintenance fees:
A-Class		249,736
C-Class		106,673
P-Class		1,360
Institutional Class		272,678
Distribution and service fees:
A-Class		493,186
C-Class		820,154
P-Class		72,162
Fund accounting/administration fees		929,009
Line of credit fees		114,457
Trustees’ fees*		56,842
Custodian fees		19,471
Tax expense		95
Miscellaneous		435,505
Total expenses		9,927,790
Less:
Expenses waived by Adviser		(829,499	)
Net expenses		9,098,291
Net investment income		38,805,763
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	(7,524,184	)
Investments in affiliated issuers		(25,744	)
Foreign currency		513,969
Forward currency exchange contracts		2,264,698
Net realized loss		(4,771,261	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(34,465,024	)
Investments in affiliated issuers		(76,745	)
Foreign currency		(2,132	)
Forward foreign currency exchange contracts		(3,009,502	)
Net change in unrealized appreciation (depreciation)		(37,553,403	)
Net realized and unrealized loss		(42,324,664	)
Net decrease in net assets resulting from operations	$	(3,518,901	)

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

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

STATEMENTS OF CHANGES IN NET ASSETS

FLOATING RATE STRATEGIES FUND

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	38,805,763		$	57,257,242
Net realized gain (loss) on investments		(4,771,261	)		12,472,163
Net change in unrealized appreciation (depreciation) on investments		(37,553,403	)		(41,312,890	)
Net increase (decrease) in net assets resulting from operations		(3,518,901	)		28,416,515
Distributions to shareholders from:
Net investment income
A-Class		(8,931,841	)		(14,747,792	)
C-Class		(3,077,120	)		(4,776,563	)
P-Class		(1,278,495	)		(100,000	)*
Institutional Class		(32,094,729	)		(43,675,370	)
Net realized gains
A-Class		—			(968,588	)
C-Class		—			(397,766	)
Institutional Class		—			(2,326,328	)
Total distributions to shareholders		(45,382,185	)		(66,992,407	)
Capital share transactions:
Proceeds from sale of shares
A-Class		179,692,083			269,729,701
C-Class		58,400,781			61,495,860
P-Class		72,119,391			21,013,826	*
Institutional Class		737,485,413			920,575,822
Distributions reinvested
A-Class		7,789,160			12,878,840
C-Class		2,529,350			4,256,809
P-Class		1,278,214			99,953	*
Institutional Class		26,716,669			37,311,662
Cost of shares redeemed
A-Class		(169,426,093	)		(238,118,241	)
C-Class		(27,622,124	)		(48,812,351	)
P-Class		(12,729,071	)		(368,247	)*
Institutional Class		(628,303,959	)		(454,573,514	)
Net increase from capital share transactions		247,929,814			585,490,120
Net increase in net assets		199,028,728			546,914,228
Net assets:
Beginning of period		1,797,966,988			1,251,052,760
End of period	$	1,996,995,716		$	1,797,966,988
Accumulated net investment loss at end of period	$	(1,574,180	)	$	(5,002,242	)

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

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

FLOATING RATE STRATEGIES FUND

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		7,081,028			10,278,287
C-Class		2,301,462			2,343,633
P-Class		2,839,503			803,544	*
Institutional Class		28,973,983			35,050,422
Shares issued from reinvestment of distributions
A-Class		307,950			491,118
C-Class		100,082			162,389
P-Class		50,666			3,839	*
Institutional Class		1,054,412			1,421,995
Shares redeemed
A-Class		(6,680,626	)		(9,071,267	)
C-Class		(1,093,467	)		(1,862,040	)
P-Class		(510,946	)		(14,093	)*
Institutional Class		(24,864,963	)		(17,315,843	)
Net increase in shares		9,559,084			22,291,984

* Since the commencement of operations: May 1, 2015.

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

FINANCIAL HIGHLIGHTS

FLOATING RATE STRATEGIES FUND

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

A-Class	Period Ended March 31, 2016a			Year Ended Sept. 30, 2015			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Period Ended Sept. 30, 2012b
Per Share Data
Net asset value, beginning of period	$	25.88		$	26.52		$	26.62		$	26.10		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.49			1.04			1.10			1.30			1.09
Net gain (loss) on investments (realized and unrealized)		(.53	)		(.42	)		.05			.65			.97
Total from investment operations		(.04	)		.62			1.15			1.95			2.06
Less distributions from:
Net investment income		(.57	)		(1.18	)		(1.20	)		(1.37	)		(.96	)
Net realized gains		—			(.08	)		(.05	)		(.06	)		—
Total distributions		(.57	)		(1.26	)		(1.25	)		(1.43	)		(.96	)
Net asset value, end of period	$	25.27		$	25.88		$	26.52		$	26.62		$	26.10
Total Returng		(0.12	%)		2.36	%		4.42	%		7.61	%		8.37	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	408,674		$	400,270		$	365,207		$	378,324		$	44,175
Ratios to average net assets:
Net investment income (loss)		3.88	%		3.97	%		4.10	%		4.90	%		5.13	%
Total expensesd		1.19	%		1.19	%		1.18	%		1.19	%		1.39	%
Net expensese,h		1.03	%		1.03	%		1.04	%		1.05	%		1.06	%
Portfolio turnover rate		20	%		44	%		58	%		50	%		61	%

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

FINANCIAL HIGHLIGHTS (continued)

FLOATING RATE STRATEGIES FUND

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

C-Class	Period Ended March 31, 2016a			Year Ended Sept. 30, 2015			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Period Ended Sept. 30, 2012b
Per Share Data
Net asset value, beginning of period	$	25.87		$	26.51		$	26.60		$	26.09		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.40			.85			.90			1.11			.93
Net gain (loss) on investments (realized and unrealized)		(.54	)		(.43	)		.06			.63			.98
Total from investment operations		(.14	)		.42			.96			1.74			1.91
Less distributions from:
Net investment income		(.48	)		(.98	)		(1.00	)		(1.17	)		(.82	)
Net realized gains		—			(.08	)		(.05	)		(.06	)		—
Total distributions		(.48	)		(1.06	)		(1.05	)		(1.23	)		(.82	)
Net asset value, end of period	$	25.25		$	25.87		$	26.51		$	26.60		$	26.09
Total Returng		(0.54	%)		1.63	%		3.64	%		6.77	%		7.72	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	175,384		$	145,808		$	132,370		$	120,606		$	24,358
Ratios to average net assets:
Net investment income (loss)		3.13	%		3.23	%		3.35	%		4.19	%		4.36	%
Total expensesd		1.94	%		1.91	%		1.89	%		1.93	%		2.06	%
Net expensese,h		1.78	%		1.78	%		1.79	%		1.81	%		1.80	%
Portfolio turnover rate		20	%		44	%		58	%		50	%		61	%

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

FINANCIAL HIGHLIGHTS (continued)

FLOATING RATE STRATEGIES FUND

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.

P-Class	Period Ended March 31, 2016a			Period Ended Sept. 30, 2015f
Per Share Data
Net asset value, beginning of period	$	25.89		$	26.37
Income (loss) from investment operations:
Net investment income (loss)c		.49			.40
Net gain (loss) on investments (realized and unrealized)		(.53	)		(.46	)
Total from investment operations		(.04	)		(.06	)
Less distributions from:
Net investment income		(.57	)		(.42	)
Total distributions		(.57	)		(.42	)
Net asset value, end of period	$	25.28		$	25.89
Total Returng		(0.13	%)		(0.24	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	80,189		$	20,536
Ratios to average net assets:
Net investment income (loss)		3.90	%		3.68	%
Total expensesd		1.06	%		1.04	%
Net expensese,h		1.03	%		1.02	%
Portfolio turnover rate		20	%		44	%

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

FINANCIAL HIGHLIGHTS (continued)

FLOATING RATE STRATEGIES FUND

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

Institutional Class	Period Ended March 31, 2016a			Year Ended Sept. 30, 2015			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Period Ended Sept. 30, 2012b
Per Share Data
Net asset value, beginning of period	$	25.90		$	26.54		$	26.64		$	26.12		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.52			1.10			1.16			1.36			1.10
Net gain (loss) on investments (realized and unrealized)		(.53	)		(.42	)		.06			.65			1.02
Total from investment operations		(.01	)		.68			1.22			2.01			2.12
Less distributions from:
Net investment income		(.60	)		(1.24	)		(1.27	)		(1.43	)		(1.00	)
Net realized gains		—			(.08	)		(.05	)		(.06	)		—
Total distributions		(.60	)		(1.32	)		(1.32	)		(1.49	)		(1.00	)
Net asset value, end of period	$	25.29		$	25.90		$	26.54		$	26.64		$	26.12
Total Returng		0.00	%		2.59	%		4.67	%		7.86	%		8.59	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,332,750		$	1,231,352		$	753,476		$	457,813		$	72,197
Ratios to average net assets:
Net investment income (loss)		4.11	%		4.18	%		4.32	%		5.12	%		5.16	%
Total expensesd		0.85	%		0.85	%		0.87	%		0.86	%		0.99	%
Net expensese,h		0.79	%		0.79	%		0.80	%		0.81	%		0.80	%
Portfolio turnover rate		20	%		44	%		58	%		50	%		61	%

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

FINANCIAL HIGHLIGHTS (concluded)

FLOATING RATE STRATEGIES FUND

a	Unaudited figures for the period ended March 31, 2016. 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.
f	Since commencement of operations: May 1, 2015. 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	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating ratios for the periods would be:

	03/31/16	09/30/15	09/30/14	09/30/13	09/30/12
A-Class	1.02%	1.02%	1.02%	1.03%	1.01%
C-Class	1.77%	1.77%	1.77%	1.78%	1.76%
P-Class	1.02%	1.01%	N/A	N/A	N/A
Institutional Class	0.78%	0.78%	0.78%	0.79%	0.77%

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

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 an 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.

The Trust offers a combination of four separate classes of shares, A-Class shares, C-Class shares, P-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. 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. 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. At March 31, 2016, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Floating Rate Strategies Fund (the “Fund”), a non-diversified investment company.

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

Significant Accounting Policies

The Fund operates as an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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.

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

A. The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities or other assets.

Valuations of the Fund’s securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed and will review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used by, and valuations provided by, the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

Equity securities listed 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 a given day, the security is valued at the closing bid price on that day.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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. 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.

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 (“CEFs”) are valued at the last quoted sales price.

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

Typically loans are valued using information provided by an independent third party pricing service which uses broker quotes in a non-active market.

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

38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term, floating rate plus a premium. These base lending rates are generally (I) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The interest rate indicated is the rate in effect at March 31, 2016.

C. The Fund 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 Fund 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 Fund will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.

D. 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.

E. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the Fund. 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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

F. The Fund declares dividends from investment income daily. The 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. Dividends are reinvested in additional shares unless shareholders request payment in cash. 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.

G. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net assets of each Fund included in the Trust.

H. Under the fee arrangement with the custodian, the Fund 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, 2016, there were no earnings credits received.

I. The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.25% at March 31, 2016.

J. Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which

40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

K. 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 Fund 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 Fund does 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.

2. Financial Instruments and Derivatives

As part of its investment strategy, the Fund utilizes a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

The Fund may utilize derivatives for the following purposes:

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of forward foreign currency exchange contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

The following table represents the Fund’s use, and volume of forward currency exchange contracts on a quarterly basis:

		Average Settlement
Fund	Use	Purchased		Sold
Floating Rate Strategies Fund	Hedge	$	95,664,337	$	730,313

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of March 31, 2016:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency contracts	—	Unrealized depreciation on forward foreign currency exchange contracts

42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following table sets forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 31, 2016:

Liability Derivative Investments Value
Fund	Forward Foreign Currency Exchange Contracts
Floating Rate Strategies Fund		$	3,415,986

The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the period ended March 31, 2016:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Currency contracts	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 Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the period ended March 31, 2016:

Realized Gain(Loss) on Derivative Investments Recognized on the Statement of Operations
Fund	Forward Foreign Currency Exchange Contracts
Floating Rate Strategies Fund		$	2,264,698

Change in Unrealized Appreciation(Depreciation) on Derivative Investments Recognized on the Statement of Operations
Fund	Forward Foreign Currency Exchange Contracts
Floating Rate Strategies Fund		$	(3,009,502	)

In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. The Fund uses, 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 the Fund.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

3. Fees and Other Transactions with Affiliates

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.65% of the average daily net assets of the Fund.

RFS is paid the following for providing transfer agent services to the Fund. Transfer agent fees are assessed to the applicable class of the Fund.

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

^† Not subject to Fund during first twelve months of operations.

RFS also acts as the administrative agent for the Fund, and as such performs administrative functions and the bookkeeping, accounting and pricing functions for the Fund. For these services, RFS receives 0.095% of the average daily net assets of the Fund. The minimum annual charge for fund accounting/administrative fees is $25,000.

RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Fund has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The investment advisory contracts for the following Fund provides 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. The limits are listed below:

	Limit	Effective Date	Contract End Date
Floating Rate Strategies Fund - A-Class	1.02%	11/30/12	02/01/17
Floating Rate Strategies Fund - C-Class	1.77%	11/30/12	02/01/17
Floating Rate Strategies Fund - P-Class*	1.02%	05/01/15	02/01/17
Floating Rate Strategies Fund - Institutional Class	0.78%	11/30/12	02/01/17

* Since the commencement of operations: May 1, 2015

GI is entitled to reimbursement by the Fund 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, 2016, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	Expires 2016		Expires 2017		Expires 2018		Expires 2019		Total
Floating Rate Strategies Fund	$	288,732	$	1,206,044	$	1,224,136	$	829,499	$	3,548,411

For the period ended March 31, 2016, no amounts were recouped by GI.

For the period ended March 31, 2016, GFD retained sales charges of $274,695 relating to sales of A-Class shares of the Trust.

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

4. Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

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

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

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they may be computed by the Fund’s 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 Fund’s 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 Fund’s 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 Fund 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 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.

46 | 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 value valuation of assets and liabilities categorizes within Level 3 of the fair value hierarchy.

Fund	Category and Subcategory	Ending Balance at 03/31/16		Valuation Technique	Unobservable Inputs
Floating Rate Strategies Fund	Senior Floating Rate Interests	$	39,947,100	Monthly Model Priced	Purchase Price
			6,017,577	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
	Total Senior Floating Rate Interests		45,964,677
Collateralized Mortgage Obligations			4,760,363	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Corporate Bonds			317,664	Monthly Model Priced	Average Comparative Yield
Senior Fixed Rate Interests			77,884	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Common Stocks			20,539	Monthly Model Priced	Purchase Price

* Average comparative yield used at period end was 29.28%

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

Transfers between investment levels may occur as the markets fluctuate and/ or the availability of data used in an investment’s valuation changes. The Fund recognized transfers between the levels as of the beginning of the period. As of March 31, 2016, the Fund had transfers in/out of Level 3 due to changes in securities valuation method. See the table below for changes to and from Level 2 and Level 3. There were no other securities that transferred between levels.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47

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, 2016:

LEVEL 3 - Fair value measurement using significant unobservable inputs

	Senior Floating Rate Interests			Collateralized Mortgage Obligations			Common Stocks		Corporate Bonds			Senior Fixed Rate Interests			Total
Floating Rate Strategies Fund
Assets:
Beginning Balance	$	52,904,389		$	—		$	334	$	1,543,530		$	67,103		$	54,515,356
Purchases		725,597			5,090,358			17,820		55,403			64,645			5,953,823
Sales, maturities and paydowns		(6,823,922	)		(315,047	)		—		(1,026,000	)		(78,773	)		(8,243,742	)
Total realized gains or losses included in earnings		112,963			—			—		(636,812	)		(62,389	)		(586,238	)
Total change in unrealized gains or losses included in earnings		(1,095,396	)		(14,948	)		2,385		381,543			87,298			(639,118	)
Transfers in Level 3		141,046			—			—		—			—			141,046
Transfers out of Level 3		—			—			—		—			—			—
Ending Balance	$	45,964,677		$	4,760,363		$	20,539	$	317,664		$	77,884		$	51,141,127
Net Change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 2016	$	(270,491	)	$	(74,430	)	$	2,385	$	362,471		$	80,216		$	100,151

5. Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund 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 Fund’s 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 Fund’s tax positions taken, or to be taken, on Federal income tax returns for all open tax

48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

At March 31, 2016, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Loss
Floating Rate Strategies Fund	$	2,054,210,869	$	7,190,811	$	(90,522,494	)	$	(83,331,683	)

6. Securities Transactions

For the period ended March 31, 2016, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Fund	Purchases		Sales
Floating Rate Strategies Fund	$	494,099,693	$	350,438,203

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of Trustees of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended March 31, 2016, the Fund did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.

7. Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 49

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2015 is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180415000857/gug63224-ncsr.htm.

Transactions during the period ended March 31, 2016, in which the portfolio company is an “affiliated person”, were as follows:

Affiliated issuers by Fund	Value 09/30/15		Additions		Reductions			Value 03/31/16		Shares 03/31/16		Investment Income		Realized Gain (Loss)
Floating Rate Strategies Fund
Guggenheim Strategy Fund I	$	35,022,618	$	140,078	$	(17,000,000	)	$	18,102,182		729,632	$	139,324	$	(23,326	)
Guggenheim Strategy Fund II		—		10,054,779		(3,000,000	)		7,012,803		284,034		54,778		(2,418	)
	$	35,022,618	$	10,194,857	$	(20,000,000	)	$	25,114,985			$	194,102	$	(25,744	)

8. Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2016. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The unfunded loan commitments as of March 31, 2016, were as follows:

Borrower	Maturity Date	Face Amount		Value
Floating Rate Strategies Fund
Advantage Sales & Marketing LLC	7/25/2019	$	7,200,000	$	615,334
American Stock Transfer & Trust	6/26/2018		800,000		47,662
Aspect Software, Inc.	9/30/2016		613,826		—
Banca Civica (UK) - Chambertin	8/4/2021		3,296,500		103,173
CEVA Group Plc (United Kingdom)	3/19/2019		3,000,000		282,995
Expert Global Solutions	4/2/2017		202,155		6,633
Hoffmaster Group, Inc.	5/9/2019		1,750,000		126,634
IntraWest Holdings S.à r.l.	12/10/2018		6,900,000		148,326
Kronos Incorporated	10/30/2017		500,000		23,576
Lincoln Finance Ltd.	12/31/2015		14,000,000		—
McGraw-Hill Global Education Holdings LLC	3/22/2018		3,500,000		167,095
National Financial Partners Corp.	7/1/2018		3,000,000		189,909
Signode Industrial Group US, Inc.	5/1/2019		11,400,000		876,205
Wencor Group	6/19/2019		1,885,385		142,087
		$	58,047,866	$	2,729,629

9. Line of Credit

The Funds, with the exception of Alpha Opportunity Fund, Capital Stewardship Fund, Diversified Income Fund and Market Neutral Real Estate Fund, secured a committed $800,000,000 line of credit from Citibank, N.A., good through October 7, 2016, at which time the line of credit may be renewed. 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 Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate (0.25% at March 31, 2016), plus 1/2 of 1%. The Funds also pay a commitment fee at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings under this agreement as of and for the period-ended March 31, 2016.

10. Reverse Repurchase Agreements

The Fund 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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

For the period ended March 31, 2016, the Fund entered into reverse repurchase agreements as follows:

Fund	Number of Days Outstanding		Balance at March 31, 2016		Average Balance Outstanding		Average Interest Rate
Floating Rate Strategies Fund		116	$	—	$	398,091		(1.70	%)

In June 2014, the FASB issued Accounting Standards Update 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (ASU 2014-11) that expanded secured borrowing accounting for certain repurchase agreements.

The ASU also sets forth additional disclosure requirements for certain transactions accounted for as secured borrowings, which applies to the reverse repurchase agreements held by the Fund. The ASU became effective prospectively for annual periods beginning after December 15, 2014, and for interim periods beginning after March 15, 2015. The Fund has adopted the ASU.

There were no outstanding reverse repurchase agreements at March 31, 2016.

11. Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Fund	Restricted Securities	Acquisition Date		Amortized Cost		Value
Floating Rate Strategies Fund	Unifrax I LLC/Unifrax
	Holding Co.
	7.50% due 02/15/19	1/31/13	$	665,000	$	410,638
	Airplanes Pass Through
	Trust 2001-1A A9, 0.99%
	due 03/15/19	12/27/11		1,276,362		405,082

12. Offsetting

In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund 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.

52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

In order to better define their contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund 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 Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts 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 Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

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

								Gross Amounts Not Offset in the Statement of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments		Cash Collateral Received		Net Amount
Floating Rate Strategies Fund	Forward foreign currency exchange contracts	$	3,415,986	$	—	$	3,415,986	$	—	$	—	$	3,415,986

54 | 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.

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year 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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 55

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee	Since 2014	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	105	Current: Trustee, Purpose Investments Inc. (2014-Present).
Donald A. Chubb, Jr. (1946 )	Trustee	Since 1994	Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-present).	101	Current: Midland Care, Inc. (2011-present).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	101	Current: Westar Energy, Inc. (2004-present); CoreFirst Bank & Trust (2000-present).

56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - continued
Roman Friedrich III (1946)	Trustee and Chairman of the Contracts Review Committee	Since 2014	Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). Former: Senior Managing Director, MLV & Co. LLC (2010-2011).	101	Current: Zincore Metals, Inc. (2009-present). Former: Axiom Gold and Silver Corp. (2011-2012).
Robert B. Karn III (1942)	Trustee and Chairman of the Audit Committee	Since 2014	Current: Consultant (1998-present). Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).	101	Current: Peabody Energy Company (2003-present); GP Natural Resource Partners, LLC (2002- present).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Nyberg & Cassioppi, LLC (2000-present). Former: Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	107	Current: Edward-Elmhurst Healthcare System (2012-present).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 57

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - concluded
Maynard F. Oliverius (1943)	Trustee	Since 1998	Current: Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012).	101	Current: Fort Hays State University Foundation (1999-present); Stormont-Vail Foundation (2013-present); University of Minnesota HealthCare Alumni Association Foundation (2009-present).
Ronald E. Toupin, Jr. (1958)	Trustee and Chairman of the Board	Since 2014	Current: Portfolio Consultant (2010-present). 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).	104	Former: Bennett Group of Funds (2011-2013).

58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INTERESTED TRUSTEE
Donald C. Cacciapaglia*** (1951)	President, Chief Executive Officer and Trustee	Since 2012	Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present). Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010).	236	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present).

*	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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS
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).
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 (1961)	Vice President and Chief Legal Officer	Since 2007 (Vice President) Since 2014 (Chief Legal Officer)	Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).

60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - continued
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Senior 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); Managing Director, Guggenheim Investments (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).
Adam Nelson (1979)	Assistant Treasurer	Since 2015	Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011).
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 (2013-2014).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - concluded
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 (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.

62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(continued)

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.

64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65

  

3.31.2016

Guggenheim Funds Semi-Annual Report

Guggenheim Total Return Bond Fund

TRB-SEMI-0316x0916 guggenheiminvestments.com

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
TOTAL RETURN BOND FUND	9
NOTES TO FINANCIAL STATEMENTS	45
OTHER INFORMATION	68
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	69
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	77

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2016

Dear Shareholder:

Guggenheim Partners Investment Management (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for a one of our Funds (the “Fund”) for the six-month period ended March 31, 2016.

The Investment Adviser is 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 Adviser.

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, 2016

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 (Unaudited) March 31, 2016

Financial markets were buffeted by a variety of events over the past six months, including volatility in the oil market, weak growth in China, ongoing stimulus from global central banks, and a 25 basis point increase in the U.S. federal funds target rate in December. While the direct impact of the move was fairly insignificant, the decision to begin normalization of interest rates after seven years of unprecedented liquidity provision was not. Indeed, in 2015, risk assets posted their worst annual performance since the 2008 financial crisis, as market participants’ expectations for the start of rate hikes collided with concern about plunging commodity prices, and slowing economic growth in China and other emerging market economies.

As 2016 began, forecasts for U.S. and global economic growth were downgraded, and recession fears surged along with market volatility. Estimates for first quarter gross domestic product (“GDP”) in the U.S. were marked down, even though first quarter GDP has undershot full-year growth rates in six out of the last seven years. Risk assets rallied in the last half of the first quarter, led by a dovish pivot in the U.S. Federal Reserve’s (the “Fed”) communication that spurred a rally in crude oil and a reversal of dollar strength. The weaker dollar, along with optimism about a production freeze agreed to by a group of major oil producing countries, helped oil to rebound. After falling in the early weeks of the year to a cycle low of $26 per barrel on February 11, 2016, the front-month West Texas Intermediate (“WTI”) oil futures contract rallied as high as $40 per barrel before closing the quarter at $38 per barrel.

The outlook for economic growth outside the U.S. softened in the first quarter. A further deterioration in the euro zone inflation outlook prompted the European Central Bank (“ECB”) to announce an increase in the size of its monthly asset purchases and reduce its deposit rate to -40 basis points. European government bonds rallied following the announcement, with the 10-year German bund ending the first quarter with a yield of just 16 basis points.

Ongoing stimulus efforts in Asia also appeared likely to contribute to low U.S. rates. Chinese industrial production growth continued to slow in early 2016, prompting the People’s Bank of China (“PBOC”) to stimulate credit growth by allowing banks to hold fewer reserves against deposits. And after years of struggling with stagnant growth and low inflation, the Bank of Japan (“BOJ”) surprised markets by cutting its key interest rate to -10 basis points in January. The negative rates pushed a considerable amount of Japanese savings into foreign markets.

In an environment where global rates are moving lower and markets are already starved for yield, foreign investors began looking to the U.S. Guggenheim expects that U.S. Treasury yields will fall further as the gravitational pull of global yields gets stronger, and does not discount the possibility of 10-year U.S. Treasury yields declining to closer to 1 percent before the end of the year.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(continued) March 31, 2016

A stronger dollar has weighed on the U.S. economy, but consumer spending has been resilient. The labor market is now operating near full employment, and tight labor market conditions are beginning to spur faster wage growth. We believe the U.S. economy is fundamentally sound, and find little evidence to support the conclusion that the economy will fall into a recession in 2016.

Despite the relative health of the U.S. economy, markets are concerned that sluggish global growth will hold back the U.S. expansion, that inflation will remain below the Fed’s target for longer, and that tighter conditions in credit markets have raised recession risks. Our view is that the Fed remains focused on fulfilling its dual mandate objectives of maximum employment and price stability, and thus is biased toward normalizing policy. We expect further declines in the unemployment rate as job gains outstrip growth in the labor force. Meanwhile, core and headline inflation should move closer to the Fed’s target by year end, reflecting our forecasts for a tighter labor market and a modest rise in oil prices. Normally, this would result in at least two Fed rate hikes on the table for 2016, but the U.S. Fed is becoming more sensitive to global financial conditions and the extent of global money flows that occur as monetary policy in the U.S. diverges from Europe, Japan and China. As a result, we have reduced our expectations for a June rate hike, although it would normally be an easy call. We continue to believe a December rate hike is a near certainty. A solid macroeconomic backdrop and a rebalancing oil market should support an improving credit picture in the second half of 2016.

For the six months ended March 31, 2016, the Standard & Poor’s 500^® (“S&P 500”) Index* returned 8.49%. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index* returned 1.56%. The return of the MSCI Emerging Markets Index* was 6.41%.

In the bond market, the Barclays U.S. Aggregate Bond Index* posted a 2.44% return for the period, while the Barclays U.S. Corporate High Yield Index* returned 1.22%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.11% 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.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2016

*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 U.S. dollar 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 | 5

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, 2015 and ending March 31, 2016.

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.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

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 up to the past five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2015	Ending Account Value March 31, 2016	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Total Return Bond Fund
A-Class	0.97%	0.96%	$ 1,000.00	$ 1,009.60	$ 4.87
C-Class	1.69%	0.59%	1,000.00	1,005.90	8.47
P-Class	0.87%	1.00%	1,000.00	1,010.00	4.37
Institutional Class	0.61%	1.14%	1,000.00	1,011.40	3.07
Table 2. Based on hypothetical 5% return (before expenses)
Total Return Bond Fund
A-Class	0.97%	5.00%	$ 1,000.00	$ 1,020.15	$ 4.90
C-Class	1.69%	5.00%	1,000.00	1,016.55	8.52
P-Class	0.87%	5.00%	1,000.00	1,020.65	4.39
Institutional Class	0.61%	5.00%	1,000.00	1,021.95	3.08

1	Annualized and excludes expenses of the underlying funds in which the Fund invests.
2	Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2015 to March 31, 2016.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited) March 31, 2016

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 or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

FUND PROFILE (Unaudited)(concluded) March 31, 2016

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
Institutional Class	November 30, 2011

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	21.6%
AA	10.9%
A	15.7%
BBB	11.5%
BB	9.2%
B	4.3%
CCC	6.4%
CC	1.1%
D	0.1%
A+	0.0%
NR2	14.6%
Other Instruments	4.6%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

Ten Largest Holdings (% of Total Net Assets)
U.S. Treasury Notes 1.63% due 02/15/26	5.3%
U.S. Treasury Bonds due 11/15/44	4.0%
Freddie Mac 6.75% due 03/15/31	1.7%
VOLT XLI LLC 2016-NPL1 A1, 4.25% due 02/26/46	1.2%
LSTAR Securities Investment Trust 2015-1A, 2.43% due 01/01/20	1.1%
AIM Aviation Finance Ltd. 2015-1A A1, 4.21% due 02/15/40	1.1%
LSTAR Securities Investment Trust 2015-4 A1, 2.44% due 04/01/20	1.0%
LSTAR Securities Investment Trust 2016-2A, 2.43% due 03/01/21	1.0%
LSTAR Securities Investment Trust 2014-1 NOTE, 3.53% due 09/01/21	0.9%
State of California General Obligation Unlimited	0.8%
Top Ten Total	18.1%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by 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 converts ratings to the equivalent S&P rating.

2

NR securities do not necessarily indicate low credit quality.

10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2016
TOTAL RETURN BOND FUND

	Shares		Value
PREFERRED STOCKS†† - 0.0%
Industrial - 0.0%
Seaspan Corp. 6.38% due 04/30/191		44,000	$	1,089,440
Financial – 0.0%
GSC Partners CDO Fund V Ltd. due 11/20/16*,†††,3,4		1,325		—
Total Preferred Stocks
(Cost $2,238,513)				1,089,440
MUTUAL FUNDS† - 1.0%
Guggenheim Strategy Fund I5		688,558		17,083,133
Guggenheim Strategy Fund II5		405,708		10,016,928
Total Mutual Funds
(Cost $27,117,838)				27,100,061
CLOSED-END FUNDS† - 0.3%
Guggenheim Strategic Opportunities Fund5		481,691		8,183,930
Total Closed-End Funds
(Cost $8,478,228)				8,183,930
SHORT TERM INVESTMENTS† - 3.4%
Federated U.S. Treasury Cash Reserve Fund Institutional Shares 0.16%6		92,920,815		92,920,815
Total Short Term Investments
(Cost $92,920,815)				92,920,815

	Face Amount15		Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 31.7%
Residential Mortgage-Backed Securities - 24.1%
LSTAR Securities Investment Trust
2015-1 A, 2.43% due 01/01/202,3	$	30,441,515		29,831,588
2015-4 A1, 2.44% due 04/01/202,3		28,954,679		28,086,038
2016-2 A, 2.43% due 03/01/213		28,150,000		27,286,640
2014-1 NOTE, 3.53% due 09/01/212,3		24,258,915		24,016,326
2015-2 A, 2.43% due 01/01/202,3		21,044,205		20,899,505
2015-3 A, 2.43% due 03/01/202,3		19,899,448		19,460,068
2015-5 A1, 2.44% due 04/01/202,3		15,127,171		14,787,733
2015-10 A1, 2.44% due 11/01/202,3		10,355,270		10,096,388
2015-6 A, 2.44% due 05/01/202,3		4,767,227		4,659,965
RALI Series Trust
2006-QO10 A1, 0.59% due 01/25/372		19,216,139		13,906,864
2007-QO2 A1, 0.58% due 02/25/472		15,355,911		7,987,583
2006-QO2 A1, 0.65% due 02/25/462		15,825,179		6,389,532
2007-QO4 A1A, 0.62% due 05/25/472		7,415,615		5,724,385
2005-QO1 A2, 1.85% due 08/25/352		4,843,246		4,044,462
2006-QS8 A4, 0.88% due 08/25/362		6,600,753		3,778,165
2006-QO2 A2, 0.70% due 02/25/462		6,441,855		2,649,082
2007-QO3 A1, 0.59% due 03/25/472		3,131,547		2,428,569
VOLT XLI LLC
2016-NPL1 A1, 4.25% due 02/26/463,7		34,113,129		34,072,837

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
Lehman XS Trust Series
2005-9N 1A1, 0.70% due 02/25/362	$	12,480,781	$	9,757,022
2007-2N 2A, 0.61% due 02/25/372		12,937,787		8,690,098
2007-15N 2A1, 0.69% due 08/25/372		6,864,361		5,208,404
2005-7N 1A1A, 0.70% due 12/25/352		3,614,960		3,012,910
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 1.15% due 11/25/462		23,953,722		16,255,769
2006-7 A5, 4.50% due 09/25/36		3,391,742		1,721,978
2006-AR9 2A, 1.16% due 11/25/462		1,284,192		865,732
2006-8 A6, 4.66% due 10/25/36		585,995		345,013
VOLT XXXIX LLC
2015-NPL13 A1, 4.13% due 10/25/453		19,281,759		19,183,177
CSMC Series
2015-12R 2A1, 0.93% due 11/30/372,3		19,970,000		17,388,943
2014-6R 11A1, 0.62% due 09/27/362,3		1,126,331		1,051,045
VOLT XXXVI LLC
2015-NP10 A1, 3.63% due 07/25/453		17,955,987		17,828,338
VOLT XL LLC
2015-NP14 A1, 4.38% due 11/27/453,7		17,703,936		17,671,222
American Home Mortgage Assets Trust
2006-4 1A11, 0.62% due 10/25/462		16,151,982		10,012,386
2007-1 A1, 1.05% due 02/25/472		13,208,827		7,241,102
WaMu Mortgage Pass-Through Certificates Series Trust
2007-OA6 1A, 1.13% due 07/25/472		11,789,286		9,346,427
2007-OA3 2A, 1.12% due 04/25/472		8,155,243		5,977,629
2006-AR11 3A1A, 1.27% due 09/25/462		2,240,800		1,602,297
Banc of America Funding Ltd.
2013-R1 A5, 0.65% due 11/03/412,3		18,225,678		16,865,204
Impac Secured Assets CMN Owner Trust
2005-2 A1W, 0.68% due 03/25/362		20,261,109		15,454,088
VOLT XXXIII LLC
2015-NPL5 A1, 3.50% due 03/25/553		15,108,844		14,839,390
NRPL Trust
2015-1 A1, 3.88% due 11/01/543		9,388,199		9,365,808
2014-2A A1, 3.75% due 10/25/572,3		3,732,713		3,697,830
Vericrest Opportunity Loan Trust
2015-NPL3 A1, 3.38% due 10/25/583		12,422,525		12,250,264
Banc of America Funding Trust
2014-R7 2A1, 0.58% due 09/26/362,3		7,940,346		7,355,873
2015-R4 8A1, 0.61% due 01/27/35†††,2,3		4,868,967		4,363,666
VOLT XXVII LLC
2014-NPL7 A1, 3.38% due 08/27/573		11,201,939		11,030,282
American Home Mortgage Investment Trust
2006-1 11A1, 0.71% due 03/25/462		9,220,840		7,269,381
2006-1 12A1, 0.83% due 03/25/462		4,136,571		3,290,590

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
GCAT LLC
2014-2 A1, 3.72% due 10/25/193,7	$	7,742,263	$	7,683,640
2015-6 A, 3.63% due 05/26/203		2,773,585		2,751,089
Oak Hill Advisors Residential Loan Trust
2015-NPL2 A1, 3.72% due 07/25/553		6,693,084		6,649,891
2015-NPL1 A1, 3.47% due 01/25/553		3,505,805		3,485,004
CIT Mortgage Loan Trust
2007-1 2A3, 1.88% due 10/25/372,3		9,360,835		8,765,433
HarborView Mortgage Loan Trust
2006-14 2A1A, 0.58% due 01/25/472		11,406,199		8,431,043
Nationstar HECM Loan Trust
2016-1A A, 2.98% due 02/25/263		4,660,112		4,663,141
2015-1A A, 3.84% due 05/25/183		3,723,988		3,722,126
Deutsche Alt-A Securities Mortgage Loan Trust Series
2007-OA2 A1, 1.12% due 04/25/472		5,287,599		4,442,364
2006-OA1 A1, 0.63% due 02/25/472		4,765,967		3,608,194
Morgan Stanley Resecuritization Trust
2014-R9 1A, 0.57% due 11/26/462,3		8,546,422		7,732,110
BCAP LLC
2014-RR2 1A1, 0.71% due 03/26/362,3		4,894,223		4,643,289
2014-RR3 5A1, 0.58% due 10/26/362,3		2,983,288		2,838,533
IndyMac INDX Mortgage Loan Trust
2005-AR18 2A1B, 1.21% due 10/25/362		10,631,535		7,253,470
VOLT XXXIV LLC
2015-NPL7 A1, 3.25% due 02/25/553		6,972,823		6,839,086
VOLT XLII LLC
2016-NPL2 A1, 4.25% due 03/26/463		6,350,000		6,370,511
Soundview Home Loan Trust
2007-1 2A3, 0.60% due 03/25/372		6,881,080		6,148,262
Nomura Resecuritization Trust
2015-4R 5A1, 0.86% due 03/26/362,3		2,823,750		2,509,277
2015-4R 6A1, 0.96% due 12/26/362,3		2,187,012		2,095,258
2012-1R A, 0.87% due 08/27/472,3		303,960		289,120
AJAX Mortgage Loan Trust
2015-A A, 3.88% due 11/25/543		4,615,583		4,563,801
Park Place Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-WCW2 M2, 0.96% due 07/25/352		5,000,000		4,393,778
GreenPoint Mortgage Funding Trust
2005-HE4 M1, 0.90% due 07/25/302		3,862,958		3,730,290
2007-AR1 1A1A, 0.51% due 02/25/472		124,848		122,288
Luminent Mortgage Trust
2006-2 A1A, 0.63% due 02/25/462		5,944,169		3,838,027
GSAA Home Equity Trust
2006-14 A2, 0.60% due 09/25/362		6,744,893		3,330,505
2007-7 A4, 0.70% due 07/25/372		538,991		462,817
First NLC Trust
2005-1 A, 0.90% due 05/25/352		3,794,867		3,116,754

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
GSAA Trust
2005-10 M4, 1.40% due 06/25/352	$	3,312,000	$	3,030,697
RFMSI Series Trust
2006-S11 A4, 6.00% due 11/25/36		2,810,174		2,472,777
Irwin Home Equity Loan Trust
2007-1 2A4, 5.85% due 08/25/373		1,672,553		1,615,386
UCFC Manufactured Housing Contract
1997-2 M, 7.38% due 10/15/28		1,078,185		1,098,764
Structured Asset Securities Corporation Mortgage Loan Trust
2006-BC6 A4, 0.60% due 01/25/372		1,237,322		1,039,964
Alliance Bancorp Trust
2007-OA1 A1, 0.67% due 07/25/372		1,277,115		791,759
GSAMP Trust
2005-HE6 M1, 0.87% due 11/25/352		800,000		753,270
Morgan Stanley Re-REMIC Trust
2010-R5 4B, 0.93% due 06/26/362,3		540,861		391,878
First Franklin Mortgage Loan Trust
2006-FF1 2A4, 0.77% due 01/25/362		150,000		132,074
Total Residential Mortgage-Backed Securities				654,853,268
Commercial Mortgage-Backed Securities - 6.3%
Hilton USA Trust
2013-HLT EFX, 4.60% due 11/05/302,3		11,700,000		11,768,844
2013-HLF EFL, 4.19% due 11/05/302,3		7,208,379		7,172,600
2013-HLF DFL, 3.19% due 11/05/302,3		6,256,329		6,224,314
2013-HLT DFX, 4.41% due 11/05/303		1,850,000		1,852,349
Citigroup Commercial Mortgage Trust
2016-GC36 C, 4.76% due 02/10/49		22,400,000		20,746,830
2015-GC35 XA, 0.91% due 11/10/482		34,449,404		1,999,623
2015-GC29 XA, 1.17% due 04/10/482		24,915,480		1,799,137
2013-GC15 A4, 4.37% due 09/10/462		380,000		424,552
COMM Mortgage Trust
2015-CR26 XA, 1.07% due 09/10/252		89,567,304		6,359,279
2014-KYO E, 2.79% due 06/11/272,3		6,000,000		5,872,246
2015-CR23 XA, 1.01% due 05/10/482		49,715,194		2,948,504
2015-CR26 C, 4.50% due 10/10/482		3,000,000		2,698,271
2013-CR13 XA, 1.14% due 12/10/232		52,659,252		2,458,044
2015-CR27 XA, 1.18% due 10/10/482		31,906,084		2,334,661
2015-CR27 C, 4.47% due 10/10/482		1,500,000		1,424,771
Wells Fargo Commercial Mortgage Trust
2016-C32 XA, 1.37% due 01/15/592		109,221,776		10,121,668
2016-NXS5 XA, 1.58% due 01/15/592		30,975,764		3,099,069
2015-NXS4 XA, 0.97% due 12/15/482		39,934,702		2,631,813
2015-P2 XA, 1.04% due 12/15/482		34,958,941		2,446,035
2015-NXS1 XA, 1.20% due 05/15/482		11,916,239		873,209
2015-NXS4 B, 4.22% due 12/15/48†††,2		64,000		65,705

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
GS Mortgage Securities Corporation Trust
2016-ICE2 C, 4.69% due 02/15/332,3	$	18,000,000	$	18,005,667
Motel 6 Trust
2015-MTL6 E, 5.27% due 02/05/303		15,000,000		14,518,214
Morgan Stanley Capital I Trust
2015-XLF1 C, 2.64% due 08/13/192,3		7,600,000		7,502,791
2016-UBS9 C, 4.70% due 03/15/492		275,000		257,323
CDGJ Commercial Mortgage Trust
2014-BXCH C, 2.94% due 12/15/272,3		3,000,000		2,912,337
2014-BXCH EPA, 4.69% due 12/15/272,3		2,000,000		1,987,115
DBJPM Mortgage Trust
2016-C1 C, 3.35% due 05/10/492		4,450,000		3,895,841
CSAIL Commercial Mortgage Trust
2015-C1 XA, 0.97% due 04/15/502		58,598,738		3,482,418
CFCRE Commercial Mortgage Trust
2016-C3 XA, 1.10% due 12/10/252		40,946,230		3,197,376
Morgan Stanley Bank of America Merrill Lynch Trust
2015-C27 XA, 1.06% due 12/15/472		42,006,004		2,879,583
JP Morgan Chase Commercial Mortgage Securities Trust
2015-CSMO D, 3.74% due 01/15/322,3		2,500,000		2,434,104
BXHTL Mortgage Trust
2015-JWRZ GL1, 3.29% due 05/15/292,3		2,500,000		2,365,132
Freddie Mac Multifamily Structured Pass Through Certificates
K043 X1, 0.55% due 12/25/242		44,877,114		1,803,329
K715 A2, 2.86% due 01/25/21		450,000		474,396
Hyatt Hotel Portfolio Trust
2015-HYT D, 3.49% due 11/15/292,3		2,000,000		1,924,666
Boca Hotel Portfolio Trust
2013-BOCA D, 3.49% due 08/15/262,3		1,700,000		1,694,126
JPMBB Commercial Mortgage Securities Trust
2013-C12 XA, 0.85% due 07/15/452		54,456,652		1,683,391
GS Mortgage Securities Trust
2015-GC28 XA, 1.17% due 02/10/482		21,811,285		1,465,803
BLCP Hotel Trust
2014-CLRN D, 2.94% due 08/15/292,3		1,500,000		1,400,204
BAMLL Commercial Mortgage Securities Trust
2014-ICTS E, 3.39% due 06/15/282,3		1,500,000		1,398,035
WFRBS Commercial Mortgage Trust
2013-C12 XA, 1.41% due 03/15/482,3		14,143,190		907,399
LSTAR Commercial Mortgage Trust
2014-2 C, 4.97% due 01/20/412,3		500,000		502,946
GS Mortgage Securities Corporation II
2013-GC10 A5, 2.94% due 02/10/46		225,000		230,803

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
BAMLL-DB Trust
2012-OSI C, 5.81% due 04/13/293	$	200,000	$	204,294
Total Commercial Mortgage- Backed Securities				172,448,817
Government Agency - 0.7%
Fannie Mae
#AS6404, 3.50% due 12/01/45		4,368,719		4,588,410
#AL6671, 5.00% due 12/01/44		3,075,140		3,405,441
#AL6307, 4.50% due 02/01/45		2,336,861		2,542,127
#AZ4788, 4.00% due 10/01/45		1,131,294		1,212,382
Freddie Mac
#G60038, 3.50% due 01/01/44		3,982,595		4,172,425
#G08677, 4.00% due 11/01/45		3,877,624		4,142,472
Total Government Agency				20,063,257
Military Housing - 0.6%
Capmark Military Housing Trust
2007-AETC A1, 5.74% due 02/10/52†††,3		8,353,767		8,358,196
2007-ROBS A, 6.06% due 10/10/523		4,841,540		4,773,516
2007-AET2 A, 6.06% due 10/10/523		2,201,814		2,223,017
GMAC Commercial Mortgage Asset Corp.
2003-PRES A, 6.24% due 10/10/41†††,3		946,917		970,959
Total Military Housing				16,325,688
Total Collateralized Mortgage Obligations
(Cost $875,515,954)				863,691,030
ASSET-BACKED SECURITIES†† - 31.6%
Collateralized Loan Obligations - 23.1%
CIFC Funding Ltd.
2012-2A A2RL, 2.54% due 12/05/242,3		18,500,000		18,197,671
2014-3X INC, due 07/22/264		9,500,000		4,322,919
2007-I 2, 2.12% due 05/10/212,3		3,250,000		3,047,107
2015-1A B, 2.82% due 01/22/272,3		3,000,000		2,896,620
2015-2A B, 2.72% due 04/15/272,3		2,000,000		1,902,317
2012-1AR A3R, 3.69% due 08/14/242,3		1,250,000		1,218,337
2014-1A C, 3.42% due 04/18/252,3		500,000		474,336
Golub Capital Partners CLO Ltd.
2015-25A A1, 2.42% due 08/05/272,3		16,500,000		16,143,610
2015-24A B, 3.32% due 02/05/272,3		5,000,000		4,830,011
2014-21A B, 3.07% due 10/25/262,3		2,700,000		2,613,735
2011-10AR CR, 3.57% due 10/20/212,3		1,000,000		981,299
2014-18A C, 4.12% due 04/25/262,3		500,000		479,108
2013-17A B, 4.45% due 10/25/252,3		400,000		388,928
LMREC, Inc.
2015-CRE1, 2.18% due 02/22/322,3		20,000,000		19,593,972
2015-CRE1 B, 3.93% due 02/22/322,3		2,000,000		1,916,808
Fortress Credit BSL II Ltd.
2013-2A A1F, 2.12% due 10/19/252,3		15,500,000		15,292,871
2013-2A B1, 2.87% due 10/19/252,3		4,000,000		3,891,118
Black Diamond CLO Ltd.
2012-1X A1, 2.02% due 02/01/232,3		16,000,000		15,625,425

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
2013-1A B, 3.47% due 02/06/262,3	$	2,000,000	$	1,783,481
2012-1A B, 3.87% due 02/01/232,3		650,000		631,877
PFP Ltd.
2015-2 AS, 2.44% due 07/14/342,3		16,500,000		16,265,903
Great Lakes CLO Ltd.
2015-1A A1, 2.57% due 07/15/262,3		10,000,000		9,916,169
2015-1A B, 3.32% due 07/15/262,3		4,000,000		3,859,342
2012-1A C, 4.72% due 01/15/232,3		1,250,000		1,240,573
2012-1A SUB, due 01/15/233,4		1,000,000		421,375
2014-1A C, 4.32% due 04/15/252,3		250,000		240,839
Fortress Credit Investments IV Ltd.
2015-4A B, 2.52% due 07/17/232,3		14,000,000		13,822,626
2015-4A C, 3.52% due 07/17/232,3		1,000,000		949,870
WhiteHorse VIII Ltd.
2014-1A B, 2.67% due 05/01/262,3		15,750,000		14,271,097
Marea CLO Ltd.
2012-1A BR, 2.42% due 10/15/232,3		14,393,000		13,861,434
Oaktree EIF II Series Ltd.
2014-A2 B, 2.92% due 11/15/252,3		8,000,000		7,714,913
2014-A2 C, 3.82% due 11/15/252,3		5,300,000		4,928,504
Venture CLO Ltd.
2012-11AR BR, 2.57% due 11/14/222,3		11,500,000		11,255,622
2013-14A C, 3.39% due 08/28/252,3		1,250,000		1,203,732
Regatta IV Funding Ltd.
2014-1A C, 3.57% due 07/25/262,3		13,000,000		11,892,859
Atrium XI
11A C, 3.82% due 10/23/252,3		11,500,000		11,434,551
Treman Park CLO Ltd.
2015-1A COM, due 04/20/273,4		10,000,000		9,064,717
2015-1A SUB, due 04/20/273,4		3,600,000		2,295,861
Resource Capital Corporation
2015-CRE3 B, 2.84% due 03/15/322,3		4,500,000		4,372,821
2015-CRE3 C, 3.59% due 03/15/322,3		3,000,000		2,914,050
2015-CRE3 D, 4.44% due 03/15/322,3		2,000,000		1,906,139
2014-CRE2 B, 2.94% due 04/15/322,3		2,000,000		1,793,788
RFTI Issuer Ltd.
2015-FL1 A, 2.19% due 08/15/302,14		10,000,000		9,978,936
ACIS CLO Ltd.
2015-6A B1, 3.10% due 05/01/272,3		7,500,000		7,203,144
2013-1A C, 3.57% due 04/18/242,3		1,650,000		1,415,734
2013-2A, 3.83% due 10/14/222,3		375,000		371,990
Dryden 37 Senior Loan Fund
2015-37A Q, due 04/15/273,4		10,000,000		8,952,897
Neuberger Berman CLO XVII Ltd.
2014-17A C, 3.38% due 08/04/252,3		8,500,000		7,969,130
Venture XVII CLO Ltd.
2014-17A C, 3.47% due 07/15/262,3		8,750,000		7,938,699
Fifth Street SLF II Ltd.
2015-2A A1T, 2.25% due 09/29/272,3		8,000,000		7,820,022
Babson CLO Ltd.
2014-3A C1, 3.62% due 01/15/262,3		6,000,000		5,551,705

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
2012-2A SUB, due 05/15/233,4	$	4,750,000	$	1,764,956
2014-IA SUB, due 07/20/253,4		1,300,000		475,782
Newstar Commercial Loan Funding LLC
2016-1A B, 4.37% due 02/25/282,3		5,750,000		5,721,257
2015-1A B, 3.42% due 01/20/272,3		1,000,000		940,830
2013-1A D, 5.17% due 09/20/232,3		700,000		647,029
2014-1A C, 4.22% due 04/20/252,3		500,000		479,067
KKR CLO 12 Ltd.
12 B1, 2.56% due 07/15/272,3		8,000,000		7,602,442
Voya CLO Ltd.
2013-1X INC, due 04/15/244		9,500,000		4,782,058
2015-3AR CR, 3.57% due 10/15/222,3		2,250,000		2,239,757
OCP CLO Ltd.
2014-7A A2A, 2.72% due 10/20/262,3		3,500,000		3,313,986
2013-4, 3.37% due 10/24/252,3		2,250,000		2,143,390
2014-6A A2A, 2.67% due 07/17/262,3		1,500,000		1,449,780
Ares XXVI CLO Ltd.
2013-1A C, 3.37% due 04/15/252,3		5,000,000		4,773,980
2013-26A SUB, due 04/15/253,4		4,300,000		2,043,069
Vibrant CLO Limited
2012-1A BR, 3.42% due 07/17/242,3		7,000,000		6,733,865
TICC CLO LLC
2012-1A B1, 4.12% due 08/25/232,3		6,250,000		6,303,495
2012-1A C1, 5.37% due 08/25/232,3		350,000		355,685
Garrison Funding Ltd.
2015-1A A2, 3.13% due 05/25/272,3		6,250,000		5,938,575
2013-2A A2, 4.02% due 09/25/232,3		500,000		481,933
Covenant Credit Partners CLO I Ltd.
2014-1A C, 3.54% due 07/20/262,3		7,300,000		6,292,161
Fifth Street Senior Loan Fund I LLC
2015-1A A, 2.62% due 01/20/272,3		5,000,000		4,932,054
2015-1A B, 3.62% due 01/20/272,3		1,250,000		1,228,333
Marathon CLO VII Ltd.
2014-7A B, 4.12% due 10/28/252,3		4,000,000		3,635,000
2014-7A A2, 3.27% due 10/28/252,3		2,500,000		2,403,590
Fortress Credit Opportunities III CLO, LP
2014-3A A1T, 2.52% due 04/28/262,3		5,000,000		4,941,700
2014-3A B1, 3.12% due 04/28/262,3		650,000		633,574
2014-3A C, 3.87% due 04/28/262,3		400,000		380,530
Fortress Credit Funding V, LP
2012-5AR A2R, 3.27% due 08/15/222,3		6,000,000		5,942,451
Avery
2013-3X COM, due 01/18/254		7,500,060		5,883,174
Northwoods Capital XIV Ltd.
2014-14A B, 3.08% due 11/12/252,3		6,000,000		5,744,402
Muir Woods CLO Ltd.
2012-1A B, 3.23% due 09/14/232,3		5,500,000		5,480,663
TICP CLO I Ltd.
2014-1A B, 3.62% due 04/26/262,3		5,500,000		5,206,169

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
OHA Credit Partners IX Ltd.
2013-9A ACOM, due 10/20/253,4	$	6,000,000	$	4,907,161
Fortress Credit Opportunities VI CLO Ltd.
2015-6A B, 3.34% due 10/10/262,3		5,000,000		4,828,605
SHACKLETON CLO Ltd.
2013-4A B1, 2.62% due 01/13/252,3		5,000,000		4,720,672
Mountain Hawk II CLO Ltd.
2013-2A B, 2.32% due 07/22/242,3		5,000,000		4,509,192
Telos CLO Ltd.
2013-3A C, 3.62% due 01/17/242,3		2,000,000		1,930,953
2014-6A B1, 2.72% due 01/17/272,3		1,500,000		1,407,987
2007-2A D, 2.82% due 04/15/222,3		1,100,000		1,055,395
Cerberus Onshore II CLO LLC
2013-1A A1, 2.62% due 10/15/232,3		4,156,613		4,143,803
ACAS CLO Ltd.
2012-1AR BR, 2.94% due 09/20/232,3		4,000,000		3,996,059
Halcyon Loan Advisors Funding Ltd.
2012-2A C, 3.47% due 12/20/242,3		4,000,000		3,448,249
2012-2A D, 5.12% due 12/20/242,3		600,000		506,861
Cavalry CLO II
2A A, 1.97% due 01/17/242,3		4,000,000		3,929,174
Canyon Capital CLO Ltd.
2012-1A B1, 2.57% due 01/15/242,3		4,000,000		3,832,960
TICP CLO II Ltd.
2014-2A C, 3.92% due 07/20/262,3		2,850,000		2,348,185
2014-2A B, 3.62% due 07/20/262,3		1,500,000		1,386,113
Kingsland V Ltd.
2007-5A C, 1.42% due 07/14/212,3		4,000,000		3,684,534
Regatta III Funding Ltd.
2014-1A B, 3.47% due 04/15/262,3		4,000,000		3,629,534
ACRE Commercial Mortgage Trust
2014-FL2 C, 2.94% due 08/15/312,3		3,500,000		3,564,496
MT Wilson CLO II Ltd.
2007-2A D, 3.37% due 07/11/202,3		4,000,000		3,552,338
Cent CLO
2014-16AR BR, 3.82% due 08/01/242,3		1,750,000		1,749,814
2014-16AR A2R, 2.87% due 08/01/242,3		1,750,000		1,732,912
Madison Park Funding VIII Ltd.
2012-8AR CR, 3.42% due 04/22/222,3		2,000,000		1,999,778
2012-8AR BR, 2.82% due 04/22/222,3		1,500,000		1,475,605
Steele Creek CLO Ltd.
2014-1A B, 2.87% due 08/21/262,3		3,300,000		3,242,194
2014-1A C, 3.82% due 08/21/262,3		250,000		230,929
Anchorage Capital CLO 4 Ltd.
2014-4A A2, 2.78% due 07/28/262,3		3,600,000		3,406,131
Greywolf CLO III Ltd.
2014-1A B, 3.47% due 04/22/262,3		2,000,000		1,924,764
2014-1A A2, 2.67% due 04/22/262,3		1,500,000		1,436,979
CFIP CLO Ltd.
2014-1A A2, 2.09% due 04/13/252,3		3,400,000		3,280,368
Carlyle Global Market Strategies CLO Ltd.
2014-1A C, 3.62% due 04/17/252,3		2,500,000		2,451,943

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
2012-2AR DR, 4.52% due 07/20/232,3	$	750,000	$	691,921
2012-3A SUB, due 10/04/243,4		250,000		123,588
Oaktree EIF I Series A Ltd.
2016-A C1, 4.39% due 01/20/272,3		3,250,000		3,262,648
Fortress Credit Opportunities V CLO Ltd.
2014-5A C, 4.17% due 10/15/262,3		1,750,000		1,642,603
2014-5A B, 3.27% due 10/15/262,3		1,500,000		1,462,869
Dryden XXIII Senior Loan Fund
2012-23A CR, 4.52% due 07/17/232,3		2,000,000		1,848,366
2014-23RA BR, 3.57% due 07/17/232,3		1,250,000		1,206,709
Rockwall CDO Ltd.
2007-1A A1LB, 1.17% due 08/01/242,3		2,100,000		1,966,252
2007-1A A1LA, 0.87% due 08/01/242,3		1,080,998		1,049,321
Benefit Street Partners CLO Ltd.
2015-IA BR, 3.72% due 10/15/252,3		3,000,000		2,999,967
KKR Financial CLO Ltd.
2007-1A E, 5.62% due 05/15/212,3		2,500,000		2,490,262
2012-1A B, 3.93% due 12/15/242,3		500,000		488,996
Venture X CLO Ltd.
2012-10A C, 3.87% due 07/20/222,3		3,000,000		2,963,486
Octagon Investment Partners XIX Ltd.
2014-1A C, 3.47% due 04/15/262,3		3,000,000		2,891,483
Madison Park Funding Ltd.
2007-6A D, 3.87% due 07/26/212,3		3,000,000		2,885,712
Atlas Senior Loan Fund VI Ltd.
2014-6A C, 3.62% due 10/15/262,3		3,000,000		2,873,809
Ivy Hill Middle Market Credit Fund VII Ltd.
7A B, 2.92% due 10/20/252,3		2,000,000		1,921,957
7A C, 4.07% due 10/20/252,3		1,000,000		922,883
Crown Point CLO III Ltd.
2015-3A B, 3.67% due 12/31/272,3		3,000,000		2,659,994
OHA Credit Partners VI Ltd.
2015-6A C1R, 3.12% due 05/15/232,3		2,500,000		2,494,953
Eaton Vance CLO 2013-1 Ltd.
2013-1A A2, 2.42% due 11/13/242,3		2,500,000		2,364,276
Cerberus Onshore II CLO-2 LLC
2014-1A B, 2.98% due 10/15/232,3		2,250,000		2,214,266
TICP CLO III Ltd.
2014-3A C, 3.87% due 01/20/272,3		2,250,000		2,159,957
Oaktree EIF II Series B1 Ltd.
2015-B1A B, 2.92% due 02/15/262,3		2,205,000		2,121,103
St. James River CLO Ltd.
2007-1A D, 2.93% due 06/11/212,3		2,250,000		2,107,692
ALM VII R Ltd.
2013-7RA B, 3.22% due 04/24/242,3		2,000,000		1,991,681
NewStar Arlington Senior Loan Program LLC
2014-1A B1, 3.22% due 07/25/252,3		1,000,000		928,748
2014-1A B2, 4.76% due 07/25/253		700,000		680,142
2014-1A C1, 3.92% due 07/25/252,3		400,000		377,868

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
Symphony CLO X Ltd.
2012-10AR CR, 3.47% due 07/23/232,3	$	2,000,000	$	1,985,870
KKR CLO Trust
2012-1A A2, 2.83% due 12/15/242,3		2,000,000		1,949,898
Ivy Hill Middle Market Credit Fund IX Ltd.
9A B1, 3.07% due 10/18/252,3		1,000,000		968,739
9A C, 3.92% due 10/18/252,3		1,000,000		930,483
Anchorage Capital CLO 2012-1 Ltd.
2012-1A B, 3.42% due 01/13/252,3		2,000,000		1,882,211
Sound Point CLO IV Ltd.
2013-3A C, 2.97% due 01/21/262,3		2,000,000		1,860,343
NewStar Clarendon Fund CLO LLC
2015-1A C, 3.97% due 01/25/272,3		2,000,000		1,859,385
Duane Street CLO IV Ltd.
2007-4A D, 2.87% due 11/14/212,3		2,000,000		1,812,959
Madison Park Funding V Ltd.
2007-5A C, 2.08% due 02/26/212,3		2,000,000		1,808,257
Neuberger Berman CLO Ltd.
2012-12X SUB, due 07/25/234		3,000,000		1,191,493
2012-12A SUB, due 07/25/233,4		1,500,000		595,746
Galaxy XIX CLO Ltd.
2015-19A COMB, due 01/24/273,4		2,000,000		1,754,830
Newstar Trust
2012-2A C, 4.87% due 01/20/232,3		1,000,000		965,987
2012-2A B, 3.87% due 01/20/232,3		750,000		745,520
Westchester CLO Ltd.
2007-1A B, 1.06% due 08/01/222,3		1,850,000		1,693,438
KVK CLO 2013-2 Ltd.
2013-2A B, 2.62% due 01/15/262,3		1,750,000		1,585,126
Race Point V CLO Ltd.
2014-5AR CR, 3.48% due 12/15/222,3		1,100,000		1,103,730
2014-5AR DR, 4.38% due 12/15/222,3		500,000		478,495
Gramercy Park CLO Ltd.
2012-1AR BR, 3.57% due 07/17/232,3		1,600,000		1,578,607
Adirondack Park CLO Ltd.
2013-1A C, 3.62% due 04/15/242,3		1,500,000		1,474,708
ACA CLO Ltd.
2007-1A C, 1.57% due 06/15/222,3		1,575,000		1,461,094
MCF CLO I LLC
2013-1A C, 4.17% due 04/20/232,3		1,500,000		1,457,062
ING Investment Management CLO Ltd.
2007-4A C, 2.82% due 06/14/222,3		1,500,000		1,400,625
NYLIM Flatiron CLO Ltd.
2006-1A C, 2.09% due 08/08/202,3		1,500,000		1,399,854
Venture XIII CLO Ltd.
2013-13A SUB, due 06/10/253,4		3,700,000		1,394,709
Flatiron CLO 2013-1 Ltd.
2013-1A B, 3.37% due 01/17/262,3		1,450,000		1,338,709
KVK CLO Ltd.
2013-1A SUB, due 04/14/253,4		3,800,000		1,274,310
Galaxy XI CLO Ltd.
2011-11A D, 4.27% due 08/20/222,3		1,250,000		1,186,276

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
COA Summit CLO Limited
2014-1A B, 3.42% due 04/20/232,3	$	1,250,000	$	1,177,499
Global Leveraged Capital Credit Opportunity Fund
2006-1A C, 1.62% due 12/20/182,3		1,036,000		1,017,221
Ares XXIII CLO Ltd.
2014-1AR CR, 3.82% due 04/19/232,3		1,000,000		1,003,901
Symphony CLO XV Ltd.
2014-15A C, 3.82% due 10/17/262,3		1,000,000		991,341
ALM XIV Ltd.
2014-14A B, 3.57% due 07/28/262,3		750,000		724,995
2014-14A C, 4.07% due 07/28/262,3		300,000		262,594
Gallatin CLO VII Ltd.
2014-1A C, 3.52% due 07/15/232,3		1,000,000		983,777
Churchill Financial Cayman Ltd.
2007-1A D1, 3.22% due 07/10/192,3		1,000,000		983,489
Neuberger Berman CLO XVIII Ltd.
2014-18A B, 3.77% due 11/14/252,3		1,000,000		971,277
Catamaran CLO Ltd.
2015-1A C1, 3.72% due 04/22/272,3		1,000,000		967,079
Limerock CLO II Ltd.
2014-2A C1, 3.47% due 04/18/262,3		1,000,000		958,424
San Gabriel CLO Ltd.
2007-1A B1L, 2.89% due 09/10/212,3		1,000,000		955,016
Flagship CLO VI
2007-1A D, 3.04% due 06/10/212,3		1,000,000		937,176
WhiteHorse IV Ltd.
2006-4A C, 2.07% due 01/17/202,3		1,000,000		932,234
NXT Capital CLO LLC
2015-1A C, 4.27% due 04/21/272,3		1,000,000		922,213
Highbridge Loan Management Ltd.
2013-2A C, 4.32% due 10/20/242,3		1,000,000		891,393
Lime Street CLO Ltd.
2007-1A D, 3.12% due 06/20/212,3		1,000,000		826,090
Ares XII CLO Ltd.
2007-12A D, 3.88% due 11/25/202,3		750,000		737,458
Venture XII CLO Ltd.
2012-12A C1, 3.49% due 02/28/242,3		750,000		716,408
Grayson CLO Ltd.
2006-1A A2, 1.03% due 11/01/212,3		750,000		673,464
Atlas Senior Loan Fund II Ltd.
2012-2A SUB, due 01/30/243,4		1,200,000		524,376
GoldenTree Credit Opportunities Financing Ltd.
2012-1A B2, 4.63% due 09/15/242,3		500,000		497,875
DIVCORE CLO Ltd.
2013-1A B, 4.33% due 11/15/322,3		500,000		492,338
OZLM Funding V Ltd.
2013-5A B, 3.62% due 01/17/262,3		500,000		486,888
AMMC CLO XIV Ltd.
2014-14A A3L, 3.42% due 07/27/262,3		500,000		472,201
Westwood CDO I Ltd.
2006-1A B, 1.27% due 03/25/212,3		500,000		466,588
NewStar Commercial Loan Trust
2007-1A C, 1.94% due 09/30/222,3		500,000		462,088

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
Keuka Park CLO Ltd.
2013-1A, due 10/21/243,4	$	1,000,000	$	415,707
MCF CLO IV LLC
2014-1A E, 6.22% due 10/15/252,3		500,000		404,245
Finn Square CLO Ltd.
2012-1A SUB, due 12/24/233,4		1,000,000		350,096
Copper River CLO Ltd.
2007-1A INC, due 01/20/213,4		1,500,000		281,845
Ares XXV CLO Ltd.
2012-25A SUB, due 01/17/243,4		750,000		245,801
Eastland CLO Ltd.
2007-1A A3, 1.02% due 05/01/222,3		250,000		235,719
ICE EM CLO
2007-1A A2, 1.46% due 08/15/222,3		146,364		143,528
BlackRock Senior Income Series Corp.
2004-1X NOTE, due 09/15/16†††,1,4		496,446		—
Marathon CLO II Ltd.
2005-2A INC, due 12/20/19†††,2,3,4		250,000		—
Total Collateralized Loan Obligations				630,313,337
Transport-Aircraft - 4.8%
Apollo Aviation Securitization Equity Trust
2016-1A A, 4.88% due 03/17/363		22,250,000		21,932,822
2014-1 A, 5.12% due 12/15/292		8,812,500		8,482,031
2014-1 B, 7.38% due 12/15/292		2,711,538		2,687,135
AIM Aviation Finance Ltd.
2015-1A A1, 4.21% due 02/15/403		30,446,429		29,500,763
2015-1A B1, 5.07% due 02/15/403		2,537,202		2,514,596
Castlelake Aircraft Securitization Trust
2015-1A A, 4.70% due 12/15/403		21,450,000		21,025,290
2014-1 A1, 5.25% due 02/15/293		2,448,066		2,427,258
2014-1 B, 7.50% due 02/15/293		1,212,960		1,196,585
ECAF I Ltd.
2015-1A A2, 4.95% due 06/15/403		16,106,543		15,612,894
2015-1A A1, 3.47% due 06/15/403		1,789,573		1,714,912
Diamond Head Aviation Ltd.
2015-1 A, 3.81% due 07/14/283		5,746,727		5,678,490
Rise Ltd.
2014-1, 4.74% due 02/12/39		4,833,310		4,748,727
Atlas Ltd.
2014-1 A, 4.87% due 12/15/39†††		3,708,400		3,652,811
AASET
2014-1 C, 10.00% due 08/15/30†††		2,708,630		2,670,059
Emerald Aviation Finance Ltd.
2013-1 A, 4.65% due 10/15/383		1,672,015		1,666,660
2013-1 B, 6.35% due 10/15/383		358,289		363,215
Stripes
2013-1 A1, 3.93% due 03/20/23†††,1		1,905,088		1,858,966
Turbine Engines Securitization Ltd.
2013-1A A, 5.13% due 12/13/483		1,359,419		1,317,893
Willis Engine Securitization Trust II
2012-A, 5.50% due 09/15/373		1,132,066		1,101,500
AABS Ltd.
2013-1, 4.87% due 01/15/38		381,689		376,536

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
Airplanes Pass Through Trust
2001-1A A9, 0.99% due 03/15/192,14	$	740,322	$	185,080
Total Transport-Aircraft				130,714,223
Collateralized Debt Obligations - 2.8%
Triaxx Prime CDO Ltd.
2006-2A A1A, 0.70% due 10/02/392,3		22,903,538		21,535,481
2006-2A A1B2, 0.70% due 10/02/392,3		5,324,399		5,030,520
FDF I Ltd.
2015-1A A, 4.40% due 11/12/30†††,3		13,000,000		13,203,190
Gramercy Real Estate CDO 2006-1 Ltd.
2006-1A B, 0.99% due 07/25/412,3		10,220,867		9,939,793
RFTI Issuer Ltd.
2015-FL1 B, 4.32% due 08/15/30†††,2,14		5,000,000		4,929,850
SRERS Funding Ltd.
2011-RS A1B1, 0.69% due 05/09/462,3		4,905,156		4,692,749
N-Star REL CDO VIII Ltd.
2006-8A A2, 0.79% due 02/01/412,3		3,650,000		3,513,184
Banco Bradesco SA
2014-1 A, 4.21% due 03/12/26†††,1		3,105,759		3,128,182
Anchorage Credit Funding 1 Ltd.
2015-1A A, 4.30% due 07/28/301,3,14		3,000,000		3,114,209
RAIT CRE CDO I Ltd.
2006-1X A1B, 0.75% due 11/20/46		2,364,920		2,200,679
Gramercy Real Estate CDO Ltd.
2007-1A A1, 0.90% due 08/15/562,3		1,562,334		1,374,854
Wrightwood Capital Real Estate CDO Ltd.
2005-1A B, 1.05% due 11/21/402,3		1,250,000		1,186,256
Highland Park CDO I Ltd.
2006-1A A1, 0.96% due 11/25/512,3		1,247,140		1,178,789
N-Star Real Estate CDO IX Ltd.
0.75% due 02/01/411		793,567		779,297
Total Collateralized Debt Obligations				75,807,033
Net Lease - 0.5%
Spirit Master Funding LLC
2014-2A A, 5.76% due 03/20/423		5,013,416		5,221,002
2014-4A A2, 4.63% due 01/20/453		2,000,000		1,902,894
Store Master Funding I LLC
2015-1A A2, 4.17% due 04/20/453		5,822,192		5,385,528
Store Master Funding LLC
2012-1A A, 5.77% due 08/20/423		1,801,404		1,862,151
Total Net Lease				14,371,575
Insurance - 0.2%
Chesterfield Financial Holdings LLC
2014-1A A, 4.50% due 12/15/343		5,881,250		5,910,303
Financial - 0.1%
CCR Incorporated MT100 Payment Rights Master Trust
2012-CA C, 4.75% due 07/10/223		859,524		865,243
2010-CX C, 0.88% due 07/10/172		757,429		747,557
Garanti Diversified Payment Rights Finance Co.
2007-A A1, 0.81% due 07/09/172		624,000		611,282

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
CIC Receivables Master Trust
4.89% due 10/07/21†††,1	$	500,000	$	498,775
Total Financial				2,722,857
Communications - 0.1%
Hana Small Business Lending Loan Trust
2014 A, 3.34% due 01/25/402,3		1,615,537		1,594,050
Total Asset-Backed Securities
(Cost $886,125,712)				861,433,378
CORPORATE BONDS†† - 21.1%
Financial - 5.6%
Citigroup, Inc.
5.95%2,9		11,090,000		10,650,833
5.87%2,9,10		5,685,000		5,493,131
5.95%2,9		5,000,000		4,817,185
Bank of America Corp.
6.10%2,9,10		10,500,000		10,342,500
6.30%2,9		5,450,000		5,613,500
6.10% due 06/15/17		760,000		794,873
Hospitality Properties Trust
5.25% due 02/15/26		16,200,000		16,272,802
Teachers Insurance & Annuity Association of America
4.90% due 09/15/443,10		11,050,000		11,840,616
4.38% due 09/15/542,3,10		3,000,000		3,021,036
SunTrust Banks, Inc.
5.63%2,9,10		9,878,000		9,779,219
GMH Military Housing-Navy Northeast LLC
6.30% due 10/15/49†††		8,725,000		9,165,351
Banco Nacional de Comercio Exterior SNC
4.38% due 10/14/253		7,900,000		7,955,300
Corporation Financiera de Desarrollo S.A.
5.25% due 07/15/292,3		6,650,000		6,699,875
Fifth Third Bancorp
4.90%2,9,10		3,800,000		3,315,500
5.10%2,9		3,142,000		2,851,365
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.
6.00% due 08/01/2010		5,000,000		4,862,500
5.88% due 02/01/22		1,000,000		949,000
Fort Benning Family Communities LLC
0.79% due 01/15/36†††,2,3		6,000,000		4,594,020
Citizens Financial Group, Inc.
5.50%2,3,9,10		4,500,000		4,275,000
Mid-Atlantic Military Family Communities LLC
5.30% due 08/01/503		3,338,261		3,041,790
Kennedy-Wilson, Inc.
5.87% due 04/01/24		2,275,000		2,223,813
Manulife Financial Corp.
4.15% due 03/04/26		2,100,000		2,145,427
AmTrust Financial Services, Inc.
6.12% due 08/15/231		1,910,000		2,050,028
Customers Bank
6.12% due 06/26/292,14		2,000,000		2,000,000
Atlas Mara Ltd.
8.00% due 12/31/201		2,400,000		1,984,800
Atlantic Marine Corporations Communities LLC
5.43% due 12/01/503		1,056,505		1,072,269
5.38% due 02/15/48		556,076		562,632
Pacific Northwest Communities LLC
5.91% due 06/15/503		1,000,000		1,112,920
Fort Knox Military Housing Privatization Project
0.78% due 02/15/52†††,2,3		1,775,845		1,093,796
Cadence Bank North America
6.25% due 06/28/292,14		1,200,000		1,035,000
Wilton Re Finance LLC
5.87% due 03/30/332,3		925,000		1,004,484
Univest Corporation of Pennsylvania
5.10% due 03/30/251,2		1,000,000		995,000

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
Oxford Finance LLC / Oxford Finance Company-Issuer, Inc.
7.25% due 01/15/183	$	1,000,000	$	990,000
International Lease Finance Corp.
7.13% due 09/01/18		730,000		795,700
Nasdaq, Inc.
5.55% due 01/15/20		720,000		794,728
First Niagara Financial Group, Inc.
6.75% due 03/19/20		700,000		792,434
EPR Properties
4.50% due 04/01/2510		785,000		761,563
ACC Group Housing LLC
6.35% due 07/15/54†††,3		625,000		663,725
American Tower Corp.
3.50% due 01/31/23		420,000		423,982
Jackson National Life Insurance Co.
8.15% due 03/15/273		125,000		166,270
Prosight Global Inc.
7.50% due 11/26/20†††,1		100,000		103,704
Total Financial				149,107,671
Government - 4.5%
Freddie Mac
6.75% due 03/15/31		30,646,000		46,266,480
due 12/14/2911		16,600,000		11,072,233
Tennessee Valley Authority
4.25% due 09/15/65		9,900,000		10,442,490
5.38% due 04/01/56		7,210,000		9,280,027
Fannie Mae Principal
due 01/15/3011		22,000,000		14,560,524
due 05/15/3011		2,250,000		1,467,367
Federal Home Loan Bank
5.50% due 07/15/36		11,000,000		15,154,183
Freddie Mac Strips
due 07/15/3211		8,000,000		4,888,480
due 03/15/3111		6,525,000		4,154,742
Fannie Mae
due 01/15/3011		4,000,000		2,640,220
due 01/15/3511		2,250,000		1,216,352
due 02/06/3311		1,456,000		848,812
due 01/15/3311		1,450,000		847,207
due 07/15/3211		1,333,000		793,782
Total Government				123,632,899
Communications - 2.6%
CCOH Safari LLC
5.75% due 02/15/263		17,200,000		17,801,999
Sprint Communications, Inc.
7.00% due 03/01/203,10		14,500,000		14,500,000
9.00% due 11/15/183		750,000		785,625
DISH DBS Corp.
5.88% due 11/15/2410		8,100,000		7,431,749
Neptune Finco Corp.
6.63% due 10/15/253		5,997,000		6,483,657
T-Mobile USA, Inc.
6.00% due 04/15/24		4,250,000		4,303,125
Numericable-SFR SAS
6.25% due 05/15/243		2,950,000		2,860,025
CCO Holdings LLC / CCO Holdings Capital Corp.
5.88% due 04/01/24		2,500,000		2,618,750
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
9.75% due 04/01/21		2,150,000		2,332,750
Virgin Media Finance plc
6.38% due 04/15/233		1,620,000		1,684,800
Altice US Finance I Corp.
5.38% due 07/15/233		1,356,000		1,392,443
Avaya, Inc.
7.00% due 04/01/193,10		1,700,000		1,147,500
Verizon Communications, Inc.
5.15% due 09/15/23		750,000		865,660
CC Holdings GS V LLC / Crown Castle GS III Corp.
3.85% due 04/15/23		800,000		824,761
AT&T, Inc.
6.15% due 09/15/34		730,000		824,435

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
Discovery Communications LLC
4.38% due 06/15/21	$	770,000	$	807,118
Telefonica Emisiones SAU
5.46% due 02/16/21		710,000		806,599
Koninklijke KPN N.V.
8.38% due 10/01/30		600,000		800,609
Qwest Corp.
6.75% due 12/01/21		740,000		795,500
Vodafone Group plc
5.45% due 06/10/19		350,000		385,824
7.88% due 02/15/30		300,000		379,418
CSC Holdings LLC
6.75% due 11/15/21		700,000		718,900
Time Warner, Inc.
6.50% due 11/15/36		500,000		580,033
Symantec Corp.
4.20% due 09/15/20		500,000		517,107
Total Communications				71,648,387
Energy - 1.8%
Sunoco Logistics Partners Operations, LP
5.95% due 12/01/2510		14,050,000		14,115,895
4.25% due 04/01/24		3,700,000		3,396,459
Equities Corp.
4.88% due 11/15/21		6,905,000		6,608,010
Husky Energy, Inc.
3.95% due 04/15/22		5,500,000		5,479,655
4.00% due 04/15/24		800,000		756,845
Gulfstream Natural Gas System LLC
4.60% due 09/15/253,10		5,190,000		5,079,572
Hess Corp.
8.13% due 02/15/1910		3,650,000		4,010,240
7.13% due 03/15/33		720,000		724,190
ContourGlobal Power Holdings S.A.
7.13% due 06/01/193,10		3,100,000		3,010,875
Magellan Midstream Partners, LP
5.00% due 03/01/26		2,550,000		2,757,647
Valero Energy Corp.
7.50% due 04/15/32		630,000		722,267
Tosco Corp.
8.13% due 02/15/30		560,000		689,578
Buckeye Partners, LP
4.88% due 02/01/21		400,000		403,970
Unit Corp.
6.63% due 05/15/21		700,000		351,750
Atlas Energy Holdings Operating Company LLC / Atlas Resource Finance Corp.
9.25% due 08/15/211		1,000,000		155,000
Schahin II Finance Company SPV Ltd.
5.88% due 09/25/2212,14		781,800		113,752
Total Energy				48,375,705
Consumer, Non-cyclical - 1.7%
Bumble Bee Holdings, Inc.
9.00% due 12/15/173		10,801,000		10,828,003
Vector Group Ltd.
7.75% due 02/15/2110		10,287,000		10,801,350
Bon Secours Charity Health System, Inc.
6.25% due 11/01/3510		6,000,000		6,246,936
Tenet Healthcare Corp.
4.13% due 06/15/202,3		4,275,000		4,242,938
HCA, Inc.
5.88% due 02/15/26		3,400,000		3,502,000
ADT Corp.
6.25% due 10/15/2110		2,600,000		2,613,000
Central Garden & Pet Co.
6.13% due 11/15/23		2,415,000		2,511,600
Opal Acquisition, Inc.
8.88% due 12/15/213		1,895,000		1,321,763
Molson Coors Brewing Co.
5.00% due 05/01/42		870,000		905,111
Reynolds American, Inc.
6.15% due 09/15/43		730,000		898,045
Altria Group, Inc.
4.00% due 01/31/24		780,000		858,556

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
Coca-Cola Femsa SAB de CV
2.38% due 11/26/18	$	790,000	$	801,995
Kraft Heinz Foods Co.
6.88% due 01/26/39		320,000		408,816
Boston Scientific Corp.
2.85% due 05/15/20		400,000		406,239
Total Consumer, Non-cyclical				46,346,352
Industrial - 1.4%
Molex Electronic Technologies LLC
3.90% due 04/15/253,10		18,100,000		17,580,856
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer
7.13% due 04/15/19		4,100,000		4,171,750
6.88% due 02/15/21		3,100,000		3,208,500
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer
7.88% due 08/15/1910		6,995,000		7,239,825
Princess Juliana International Airport Operating Company N.V.
5.50% due 12/20/27†††,3		2,752,505		2,715,071
Dynagas LNG Partners Limited Partnership / Dynagas Finance, Inc.
6.25% due 10/30/191		1,700,000		1,139,000
Standard Industries, Inc.
6.00% due 10/15/253		1,000,000		1,057,500
L-3 Communications Corp.
5.20% due 10/15/19		760,000		809,222
Amsted Industries, Inc.
5.38% due 09/15/243		500,000		480,625
SBM Baleia Azul
5.50% due 09/15/27†††,1		421,450		293,671
CEVA Group plc
7.00% due 03/01/213		350,000		279,125
Total Industrial				38,975,145
Consumer, Cyclical - 1.2%
Hyatt Hotels Corp.
4.85% due 03/15/26		11,400,000		11,895,467
Wyndham Worldwide Corp.
5.10% due 10/01/2510		8,950,000		9,403,693
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.
5.50% due 03/01/253,10		6,600,000		6,220,500
Northern Group Housing LLC
6.80% due 08/15/533		1,200,000		1,441,848
Lennar Corp.
4.88% due 12/15/2310		1,200,000		1,200,000
HP Communities LLC
5.62% due 09/15/323		1,000,000		1,104,490
General Motors Co.
4.88% due 10/02/23		770,000		806,875
Hasbro, Inc.
6.35% due 03/15/40		400,000		469,135
WMG Acquisition Corp.
5.63% due 04/15/223		300,000		304,500
Total Consumer, Cyclical				32,846,508
Basic Materials - 1.0%
Yamana Gold, Inc.
4.95% due 07/15/2410		18,870,000		15,945,150
BHP Billiton Finance USA Ltd.
6.75% due 10/19/752,3,10		6,000,000		6,000,000
Newcrest Finance Pty Ltd.
4.20% due 10/01/223,10		2,550,000		2,416,508
4.45% due 11/15/213		625,000		608,463
Southern Copper Corp.
7.50% due 07/27/35		440,000		459,860
5.25% due 11/08/42		430,000		353,180
Barrick North America Finance LLC
4.40% due 05/30/21		566,000		578,625
Eldorado Gold Corp.
6.13% due 12/15/203		550,000		501,875
TPC Group, Inc.
8.75% due 12/15/203		696,000		487,200
Total Basic Materials				27,350,861

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
Technology - 0.5%
First Data Corp.
5.75% due 01/15/243	$	5,500,000	$	5,499,450
Micron Technology, Inc.
5.25% due 08/01/233		5,450,000		4,455,375
CDK Global, Inc.
4.50% due 10/15/2410		1,150,000		1,139,061
Open Text Corp.
5.63% due 01/15/233		975,000		994,500
Xerox Corp.
5.63% due 12/15/19		730,000		754,481
Total Technology				12,842,867
Utilities - 0.4%
AES Corp.
3.64% due 06/01/192,10		8,990,000		8,675,350
4.88% due 05/15/23		1,000,000		962,500
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/233		850,000		790,500
Progress Energy, Inc.
6.00% due 12/01/39		650,000		771,800
Sempra Energy
9.80% due 02/15/19		540,000		649,545
Exelon Generation Company LLC
6.25% due 10/01/39		190,000		196,212
Total Utilities				12,045,907
Diversified - 0.4%
HRG Group, Inc.
7.88% due 07/15/1910		10,950,000		11,547,870
Total Corporate Bonds
(Cost $574,204,478)				574,720,172
U.S. GOVERNMENT SECURITIES†† - 10.1%
U.S. Treasury Notes
1.63% due 02/15/2610		146,214,000		144,089,363
3.13% due 05/15/19		1,000,000		1,068,867
2.88% due 03/31/18		1,000,000		1,041,836
2.38% due 06/30/18		800,000		828,562
2.75% due 02/28/18		500,000		519,102
2.38% due 05/31/18		500,000		517,207
1.38% due 09/30/18		500,000		507,071
1.25% due 10/31/18		400,000		404,344
Total U.S. Treasury Notes				148,976,352
U.S. Treasury Bonds
due 11/15/4411		240,756,000		109,672,783
4.75% due 02/15/41		2,250,000		3,195,879
6.13% due 11/15/27		2,000,000		2,882,344
4.38% due 05/15/40		2,070,000		2,785,202
8.00% due 11/15/21		1,500,000		2,041,230
8.75% due 05/15/20		1,350,000		1,762,752
2.75% due 11/15/42		1,700,000		1,752,661
9.13% due 05/15/18		1,000,000		1,177,148
8.13% due 08/15/21		500,000		676,016
8.75% due 08/15/20		500,000		661,270
7.88% due 02/15/21		500,000		656,114
Total U.S. Treasury Bonds				127,263,399
Total U.S. Government Securities
(Cost $270,663,814)				276,239,751
SENIOR FLOATING RATE INTERESTS††,2 - 5.5%
Technology - 1.7%
Avago Technologies Ltd.
4.25% due 02/01/23		20,300,000		20,186,929
Solera LLC
5.75% due 03/03/23		6,000,000		5,988,240
Avaya, Inc.
6.25% due 05/29/20		4,751,323		3,161,340
6.50% due 03/30/18		922,377		675,641
Epicor Software
4.75% due 06/01/22		3,773,490		3,569,080
Informatica Corp.
4.50% due 08/05/22		3,582,000		3,510,360
Advanced Computer Software
10.50% due 01/31/23		2,000,000		1,835,000
TIBCO Software, Inc.
6.50% due 12/04/20		1,980,000		1,775,070
Deltek, Inc.
5.00% due 06/25/22		1,613,879		1,603,792
Verisure Cayman 2
5.25% due 10/10/22	EUR	1,350,000		1,537,834

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
Micro Focus International plc
5.25% due 11/19/21	$	855,290	$	852,510
EIG Investors Corp.
6.23% due 11/09/191		627,384		598,368
Blue Coat Systems, Inc.
4.50% due 05/20/22		423,938		416,519
Aspect Software, Inc.
9.50% due 09/30/16		15,954		15,794
Total Technology				45,726,477
Communications - 1.2%
Univision Communications, Inc.
4.00% due 02/28/20		12,626,182		12,488,052
4.00% due 03/01/20		7,241,533		7,161,587
Numericable US LLC
4.75% due 02/10/23		4,300,000		4,261,042
EMI Music Publishing
4.00% due 08/19/22		2,985,000		2,976,791
Light Tower Fiber LLC
4.00% due 04/13/20		2,863,823		2,828,025
Internet Brands
4.75% due 07/08/21		2,562,948		2,542,136
Proquest LLC
5.75% due 10/24/21		1,367,120		1,319,271
Neptune Finco Corp.
5.00% due 10/10/22		450,000		449,928
Total Communications				34,026,832
Consumer, Non-cyclical - 0.9%
Albertson’s (Safeway) Holdings LLC
5.50% due 08/25/21		9,947,125		9,952,099
5.50% due 12/21/22		2,344,125		2,345,391
Pharmaceutical Product Development
4.25% due 08/18/22		4,320,000		4,278,614
JBS USA, Inc.
4.00% due 10/30/22		3,918,262		3,893,773
Grocery Outlet, Inc.
4.75% due 10/21/21		1,760,239		1,718,433
Acadia Healthcare Company, Inc.
4.50% due 02/13/19		1,645,875		1,649,298
One Call Medical, Inc.
5.00% due 11/27/201		1,676,058		1,470,741
Performance Food Group
7.21% due 11/14/19		144,473		144,473
Arctic Glacier Holdings, Inc.
6.00% due 05/10/19		119,634		113,652
Total Consumer, Non-cyclical				25,566,474
Consumer, Cyclical - 0.8%
La Quinta Intermediate Holdings
3.75% due 04/14/21		4,987,437		4,891,828
Petsmart, Inc.
4.25% due 03/11/22		3,600,000		3,582,900
Equinox Fitness
5.00% due 01/31/20		2,378,643		2,365,560
Life Time Fitness
4.25% due 06/10/22		1,500,000		1,479,750
Mattress Firm
6.25% due 10/20/21		1,451,300		1,433,159
Warner Music Group
3.75% due 07/01/20		1,445,922		1,423,625
Eyemart Express
5.00% due 12/17/21		1,402,500		1,377,956
1-800 Contacts
5.25% due 01/22/23		1,200,000		1,200,000
BBB Industries, LLC
6.00% due 11/03/21		990,000		975,972
Burlington Coat Factory Warehouse Corp.
4.25% due 08/13/21		650,000		649,883
Neiman Marcus Group, Inc.
4.25% due 10/25/20		588,000		537,579
Sears Holdings Corp.
5.50% due 06/30/18		492,941		468,294
Compucom Systems, Inc.
4.25% due 05/11/20		294,660		206,262
Container Store, Inc.
4.25% due 04/06/19		256,975		194,872

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15			Value
Capital Automotive LP
6.00% due 04/30/20	$	140,000	��	$	139,475
Total Consumer, Cyclical					20,927,115
Industrial - 0.6%
Travelport Holdings LLC
5.75% due 09/02/21		12,825,470			12,803,025
Quikrete Holdings, Inc.
4.00% due 09/28/20		1,150,000			1,147,125
Hardware Holdings LLC
6.75% due 03/30/20†††,1		839,375			818,391
CareCore National LLC
5.50% due 03/05/21		380,565			353,926
Wencor Group
4.50% due 06/18/21		296,355			262,644
Thermasys Corp.
5.26% due 05/03/19		93,750			74,414
Total Industrial					15,459,525
Basic Materials - 0.1%
Univar, Inc.
4.25% due 07/01/22		3,611,315			3,554,906
Platform Specialty Products
5.50% due 06/07/20		495,000			477,368
Total Basic Materials					4,032,274
Financial - 0.1%
National Financial Partners Corp.
4.50% due 07/01/20		1,205,290			1,175,760
Hyperion Insurance
5.50% due 04/29/22		990,000			941,738
USI Holdings Corp.
4.25% due 12/27/19		497,455			489,163
American Stock Transfer & Trust
5.75% due 06/26/20		237,894			230,163
Total Financial					2,836,824
Utilities - 0.1%
Invenergy Thermal Operating I, LLC
6.50% due 10/19/22		2,693,250			2,531,655
Total Senior Floating Rate Interests
(Cost $153,591,084)					151,107,176
MUNICIPAL BONDS†† - 2.1%
California - 1.1%
State of California General Obligation Unlimited
7.60% due 11/01/4010		14,360,000			22,327,072
San Diego Unified School District General Obligation Unlimited
due 07/01/3810,11		7,000,000			2,951,200
Antelope Valley Community College District General Obligation Unlimited
due 08/01/3410,11		5,600,000			2,704,912
City of Industry California Revenue Bonds
4.63% due 01/01/34		1,000,000			1,050,680
Inland Valley Development Agency Tax Allocation
5.50% due 03/01/33		400,000			436,508
Total California					29,470,372
Illinois - 0.5%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38		5,350,000			5,380,548
6.90% due 03/01/35		1,600,000			1,788,592
City of Chicago Illinois General Obligation Unlimited
5.43% due 01/01/4210		3,230,000			2,684,873
County of Cook Illinois General Obligation Unlimited
6.23% due 11/15/34		2,300,000			2,568,847

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

	Face Amount15		Value
Chicago Transit Authority Revenue Bonds
6.20% due 12/01/40	$	1,000,000	$	1,110,610
Total Illinois				13,533,470
New Jersey - 0.3%
New Jersey Economic Development Authority Revenue Bonds
7.43% due 02/15/2910		6,475,000		7,843,168
Michigan - 0.2%
Detroit City School District General Obligation Unlimited
7.75% due 05/01/3910		4,900,000		6,106,919
Total Municipal Bonds
(Cost $56,588,154)				56,953,929
FOREIGN GOVERNMENT BONDS†† - 0.8%
Kenya Government International Bond
6.87% due 06/24/243,10		12,250,000		11,545,625
Dominican Republic International Bond
6.85% due 01/27/453		9,700,000		9,603,000
Bahamas Government International Bond
6.95% due 11/20/293		110,000		124,410
Total Foreign Government Bonds
(Cost $22,763,282)				21,273,035
COMMERCIAL PAPER†† - 0.3%
Bayer Corp.
0.63% due 04/05/16		1,200,000		1,199,916
VF Corp.
0.74% due 04/28/16		1,100,000		1,099,390
John Deere Capital Corp.
0.39% due 04/21/16		1,050,000		1,049,773
Nissan Motor Acceptance Corp.
0.80% due 05/09/16		1,050,000		1,049,113
PACCAR Financial Corp.
0.35% due 04/07/16		1,000,000		999,942
Hershey Co.
0.37% due 04/11/16		1,000,000		999,897
PepsiCo, Inc.
0.34% due 04/21/16		1,000,000		999,811
Ryder System, Inc.
0.67% due 04/05/16		800,000		799,940
Total Commercial Paper
(Cost $8,197,782)				8,197,782
REPURCHASE AGREEMENT††,8 - 0.2%
Jefferies & Company, Inc. issued 03/15/16 at 2.95% due 04/04/16		4,609,000		4,609,000
Total Repurchase Agreement
(Cost $4,609,000)				4,609,000
Total Investments - 108.1%
(Cost $2,983,014,654)			$	2,947,519,499
Other Assets & Liabilities, net - (8.1)%				(220,640,864	)
Total Net Assets - 100.0%			$	2,726,878,635

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2016
TOTAL RETURN BOND FUND

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty	Contracts to Buy (Sell)	Currency	Settlement Date	Settlement Value		Value at March 31, 2016		Net Unrealized Depreciation
MorganStanley	(1,348,000)	EUR	04/11/16	$	1,466,552	$	1,534,247	$	(67,695	)
								$	(67,695	)

*	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	Illiquid security.
2	Variable rate security. Rate indicated is rate effective at March 31, 2016.
3	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $1,544,683,775 (cost $1,561,320,807), or 56.6% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
4	Residual interest.
5	Affiliated issuer — See Note 7.
6	Rate indicated is the 7 day yield as of March 31, 2016.
7	Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
8	Repurchase Agreement — See Note 10.
9	Perpetual maturity.
10	Securities or a portion thereof are held as collateral for reverse repurchase agreements at March 31, 2016 — See Note 11.
11	Zero coupon rate security.
12	Security is in default of interest and/or principal obligations.
14	Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $18,242,618 (cost $19,500,569) or 0.7% of total net assets — See Note 12.
15	The face amount is denominated in U.S. dollars, unless otherwise indicated.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2016
TOTAL RETURN BOND FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 1 - Other*		Level 2		Level 2 - Other*		Level 3		Total
Asset-Backed Securities	$	—	$	—	$	831,491,545	$	—	$	29,941,833	$	861,433,378
Collateralized Mortgage Obligations		—		—		849,932,504		—		13,758,526		863,691,030
Commercial Paper		—		—		8,197,782		—		—		8,197,782
Closed-end Funds		8,183,930		—		—		—		—		8,183,930
Corporate Bonds		—		—		556,090,834		—		18,629,338		574,720,172
Foreign Government Bonds		—		—		21,273,035		—		—		21,273,035
Municipal Bonds		—		—		56,953,929		—		—		56,953,929
Mutual Funds		27,100,061		—		—		—		—		27,100,061
Preferred Stocks		—		—		1,089,440		—		—		1,089,440
Repurchase Agreement		—		—		4,609,000		—		—		4,609,000
Senior Floating Rate Interests		—		—		150,288,785		—		818,391		151,107,176
Short Term Investments		92,920,815		—		—		—		—		92,920,815
U.S. Government Securities		—		—		276,239,751		—		—		276,239,751
Total	$	128,204,806	$	—	$	2,756,166,605	$	—	$	63,148,088	$	2,947,519,499

Investments in Securities (Liabilities)	Level 1		Level 1 - Other*		Level 2		Level 2 - Other*		Level 3		Total
Currency Contracts	$	—	$	—	$	—	$	67,695	$	—	$	—

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

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in the investment’s valuation changes. The Fund recognizes transfers between the levels as of the beginning of the period. As of March 31, 2016, the Fund had securities with a total value of $5,768,250 transfer into Level 3 from Level 2 due to changes in the securities valuation method. There were no other securities that transferred between levels.

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

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

TOTAL RETURN BOND FUND

March 31, 2016

Assets:
Investments in unaffiliated issuers, at value (cost $2,942,809,588)	$	2,907,626,508
Investments in affiliated issuers, at value (cost $35,596,066)		35,283,991
Repurchase agreements, at value (cost $4,609,000)		4,609,000
Total investments (cost $2,983,014,654)		2,947,519,499
Prepaid expenses		242,172
Receivables:
Fund shares sold		19,766,521
Interest		14,726,818
Securities sold		8,449,340
Dividends		62,353
Total assets		2,990,766,703
Liabilities:
Reverse Repurchase Agreements		210,297,721
Overdraft due to custodian bank		238,924
Unfunded loan commitments, at value (Note 8) (proceeds $286,000)		204,240
Unrealized depreciation on forward foreign currency exchange contracts		67,695
Payable for:
Securities purchased		43,888,579
Fund shares redeemed		6,101,709
Management fees		650,339
Distribution and service fees		226,349
Fund accounting/administration fees		208,405
Miscellaneous		2,004,107
Total liabilities		263,888,068
Net assets	$	2,726,878,635
Net assets consist of:
Paid in capital	$	2,781,753,359
Accumulated net investment loss		(21,238,245	)
Accumulated net realized gain on investments		1,844,352
Net unrealized depreciation on investments		(35,480,831	)
Net assets	$	2,726,878,635
A-Class:
Net assets	$	495,720,031
Capital shares outstanding		18,948,898
Net asset value per share	$	26.16
Maximum offering price per share (Net asset value divided by 96.00%)	$	27.25
C-Class:
Net assets	$	144,181,900
Capital shares outstanding		5,511,507
Net asset value per share	$	26.16
P-Class:
Net assets	$	60,447,815
Capital shares outstanding		2,310,715
Net asset value per share	$	26.16
Institutional Class:
Net assets	$	2,026,528,889
Capital shares outstanding		77,376,240
Net asset value per share	$	26.19

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

STATEMENT OF OPERATIONS (Unaudited)

TOTAL RETURN BOND FUND

Period Ended March 31, 2016

Investment Income:
Interest	$	44,087,587
Dividends from securities of affiliated issuers		1,124,367
Dividends from securities of unaffiliated issuers		65,043
Other income		355,825
Total investment income		45,632,822
Expenses:
Management fees		5,659,347
Transfer agent/maintenance fees
A-Class		341,738
C-Class		49,330
P-Class		1,500
Institutional Class		425,990
Distribution and service fees:
A-Class		590,991
C-Class		569,027
P-Class		37,200
Fund accounting/administration fees		1,075,265
Interest expense		1,281,298
Line of credit fees		103,132
Trustees’ fees*		44,536
Custodian fees		18,868
Miscellaneous		369,464
Total expenses		10,567,686
Less:
Expenses waived by Adviser		(2,132,354	)
Net expenses		8,435,332
Net investment income		37,197,490
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	8,827,966
Investments in affiliated issuers		(1,592,995	)
Swap agreements		78,707
Foreign currency		28,560
Forward currency exchange contracts		(15,994	)
Options purchased		(724,488	)
Options written		197,829
Net realized gain		6,799,585
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(15,029,173	)
Investments in affiliated issuers		(44,606	)
Swap agreements		(233,580	)
Options purchased		(542,718	)
Options written		95,691
Foreign currency		259
Forward foreign currency exchange contracts		(59,503	)
Net change in unrealized appreciation (depreciation)		(15,813,630	)
Net realized and unrealized loss		(9,014,045	)
Net increase in net assets resulting from operations	$	28,183,445

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

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

STATEMENTS OF CHANGES IN NET ASSETS

TOTAL RETURN BOND FUND

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	37,197,490		$	45,275,578
Net realized gain (loss) on investments		6,799,585			(1,184,115	)
Net change in unrealized appreciation (depreciation) on investments		(15,813,630	)		(23,680,352	)
Net increase in net assets resulting from operations		28,183,445			20,411,111
Distributions to shareholders from:
Net investment income
A-Class		(10,634,633	)		(12,143,821	)
C-Class		(2,100,882	)		(1,931,992	)
P-Class		(653,491	)		(50,783	)*
Institutional Class		(39,477,916	)		(37,951,737	)
Net realized gains
A-Class		—			(151,030	)
C-Class		—			(42,876	)
Institutional Class		—			(494,795	)
Total distributions to shareholders		(52,866,922	)		(52,767,034	)
Capital share transactions:
Proceeds from sale of shares
A-Class		235,675,162			458,924,613
C-Class		65,225,991			71,678,491
P-Class		56,841,791			12,910,094	*
Institutional Class		1,030,214,839			1,454,555,055
Distributions reinvested
A-Class		9,351,211			11,204,598
C-Class		1,574,420			1,494,334
P-Class		653,480			50,783	*
Institutional Class		30,909,788			30,228,500
Cost of shares redeemed
A-Class		(178,959,925	)		(117,493,593	)
C-Class		(10,824,047	)		(7,519,876	)
P-Class		(9,467,125	)		(407,473	)*
Institutional Class		(426,392,470	)		(323,091,282	)
Net increase from capital share transactions		804,803,115			1,592,534,244
Net increase in net assets		780,119,638			1,560,178,321
Net assets:
Beginning of period		1,946,758,997			386,580,676
End of period	$	2,726,878,635		$	1,946,758,997
Accumulated net investment loss at end of period	$	(21,238,245	)	$	(5,568,813	)

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

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

TOTAL RETURN BOND FUND

	Period Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
Capital share activity:
Shares sold
A-Class		9,001,282			17,036,418
C-Class		2,494,868			2,663,981
P-Class		2,176,785			485,553	*
Institutional Class		39,381,543			53,995,281
Shares issued from reinvestment of distributions
A-Class		357,351			417,283
C-Class		60,200			55,663
P-Class		25,014			1,915	*
Institutional Class		1,180,274			1,125,242
Shares redeemed
A-Class		(6,854,942	)		(4,379,242	)
C-Class		(414,597	)		(280,709	)
P-Class		(363,215	)		(15,337	)*
Institutional Class		(16,307,469	)		(12,035,818	)
Net increase in shares		30,737,094			59,070,230

* Since the commencement of operations: May 1, 2015.

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

STATEMENT OF CASH FLOWS (Unaudited)

TOTAL RETURN BOND FUND

Period Ended March 31, 2016

Cash Flows from Operating Activities:
Net Increase in net assets resulting from operations	$	28,183,445
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to
Net Cash Provided by Operating and Investing Activities:
Net change in unrealized depreciation on investments		15,073,779
Net change in unrealized depreciation on options		447,027
Net change in unrealized appreciation on swaps		233,580
Net realized gain on swap agreements		(78,707	)
Net realized loss on options		526,659
Net realized gain on investments		(7,234,971	)
Net accretion of bond discount and amortization of bond premium		(1,169,435	)
Paydowns received on mortgage and asset-backed securities		104,045,116
Purchase of long-term investments		(2,314,025,720	)
Purchase of long-term investments foreign		(1,471,673	)
Proceeds from sale of long-term investments		1,464,096,731
Net purchases of short-term investments		(17,014,774	)
Increase in interest receivable		(5,890,260	)
Decrease in dividends receivable		23,921
Increase in prepaid expenses		(133,753	)
Decrease in other assets		24,040
Decrease in trustees' fee payable		(4,660	)
Decrease in transfer agent fee payable		(104,716	)
Increase in administration fee payable		60,390
Increase in distribution fee payable		65,750
Increase in advisory fee payable		390,210
Decrease in accrued expenses and other liabilities		(53,408	)
Net Cash Used in Operating and Investing Activities	$	(734,011,429	)
Cash Flows From Financing Activities:
Proceeds from sales of shares		1,377,267,442
Cost of shares redeemed		(623,031,883	)
Distributions paid out		(9,827,047	)
Proceeds from reverse repurchase agreements		7,013,758,952
Payments made on reverse repurchase agreements		(7,045,872,227	)
Net Cash Used in Financing Activities		712,295,237
Net decrease in cash		(21,716,192	)
Cash at Beginning of Period (including foreign and restricted cash)	$	21,477,268
Cash at End of Period (including foreign cash)	$	(238,924	)
Supplemental Disclosure of Cash Flow Information:
Cash paid during the year for interest	$	1,134,778
Dividend reinvestment	$	42,488,899

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

FINANCIAL HIGHLIGHTS

TOTAL RETURN BOND FUND

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

A-Class	Period Ended March 31, 2016a			Year Ended Sept. 30, 2015			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Period Ended Sept. 30, 2012b
Per Share Data
Net asset value, beginning of period	$	26.50		$	26.94		$	26.16		$	26.51		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.41			.94			1.01			1.20			1.08
Net gain (loss) on investments (realized and unrealized)		(.16	)		(.25	)		1.13			(.28	)		1.35
Total from investment operations		.25			.69			2.14			.92			2.43
Less distributions from:
Net investment income		(.59	)		(1.09	)		(1.36	)		(1.23	)		(.92	)
Net realized gains		—			(.04	)		—			(.04	)		—
Total distributions		(.59	)		(1.13	)		(1.36	)		(1.27	)		(.92	)
Net asset value, end of period	$	26.16		$	26.50		$	26.94		$	26.16		$	26.51
Total Returng		0.96	%		2.56	%		8.34	%		3.53	%		9.78	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	495,720		$	435,760		$	90,805		$	74,328		$	30,689
Ratios to average net assets:
Net investment income (loss)		3.14	%		3.50	%		3.80	%		4.47	%		5.10	%
Total expensesd		1.16	%		1.10	%		1.19	%		1.27	%		1.51	%
Net expensese,h		0.97	%		0.91	%		0.94	%		0.98	%		0.85	%
Portfolio turnover rate		56	%		74	%		52	%		94	%		69	%

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

FINANCIAL HIGHLIGHTS (continued)

TOTAL RETURN BOND FUND

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

C-Class	Period Ended March 31, 2016a			Year Ended Sept. 30, 2015			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Period Ended Sept. 30, 2012b
Per Share Data
Net asset value, beginning of period	$	26.50		$	26.94		$	26.16		$	26.50		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.30			.74			.82			.99			.94
Net gain (loss) on investments (realized and unrealized)		(.15	)		(.25	)		1.12			(.27	)		1.32
Total from investment operations		.15			.49			1.94			.72			2.26
Less distributions from:
Net investment income		(.49	)		(.89	)		(1.16	)		(1.02	)		(.76	)
Net realized gains		—			(.04	)		—			(.04	)		—
Total distributions		(.49	)		(.93	)		(1.16	)		(1.06	)		(.76	)
Net asset value, end of period	$	26.16		$	26.50		$	26.94		$	26.16		$	26.50
Total Returng		0.59	%		1.82	%		7.58	%		2.77	%		9.09	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	144,182		$	89,320		$	25,107		$	15,654		$	6,607
Ratios to average net assets:
Net investment income (loss)		2.30	%		2.75	%		3.10	%		3.70	%		4.38	%
Total expensesd		1.84	%		1.80	%		1.90	%		2.07	%		2.26	%
Net expensese,h		1.69	%		1.63	%		1.66	%		1.77	%		1.63	%
Portfolio turnover rate		56	%		74	%		52	%		94	%		69	%

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

FINANCIAL HIGHLIGHTS (continued)

TOTAL RETURN BOND FUND

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.

P-Class	Period Ended March 31, 2016a			Period Ended Sept. 30, 2015f
Per Share Data
Net asset value, beginning of period	$	26.49		$	26.98
Income (loss) from investment operations:
Net investment income (loss)c		.39			.36
Net gain (loss) on investments (realized and unrealized)		(.12	)		(.43	)
Total from investment operations		.27			(.07	)
Less distributions from:
Net investment income		(.60	)		(.42	)
Total distributions		(.60	)		(.42	)
Net asset value, end of period	$	26.16		$	26.49
Total Returng		1.00	%		(0.21	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	60,448		$	12,509
Ratios to average net assets:
Net investment income (loss)		2.97	%		3.20	%
Total expensesd		1.00	%		1.02	%
Net expensese,h		0.87	%		0.84	%
Portfolio turnover rate		56	%		74	%

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

FINANCIAL HIGHLIGHTS (continued)

TOTAL RETURN BOND FUND

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

Institutional Class	Period Ended March 31, 2016a			Year Ended Sept. 30, 2015			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Period Ended Sept. 30, 2012b
Per Share Data
Net asset value, beginning of period	$	26.53		$	26.97		$	26.19		$	26.54		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.45			1.03			1.09			1.28			1.06
Net gain (loss) on investments (realized and unrealized)		(.16	)		(.25	)		1.14			(.27	)		1.44
Total from investment operations		.29			.78			2.23			1.01			2.50
Less distributions from:
Net investment income		(.63	)		(1.18	)		(1.45	)		(1.32	)		(.96	)
Net realized gains		—			(.04	)		—			(.04	)		—
Total distributions		(.63	)		(1.22	)		(1.45	)		(1.36	)		(.96	)
Net asset value, end of period	$	26.19		$	26.53		$	26.97		$	26.19		$	26.54
Total Returng		1.14	%		2.91	%		8.74	%		3.88	%		10.09	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,026,529		$	1,409,171		$	270,668		$	78,318		$	44,566
Ratios to average net assets:
Net investment income (loss)		3.41	%		3.83	%		4.09	%		4.78	%		4.91	%
Total expensesd		0.81	%		0.76	%		0.81	%		0.89	%		0.99	%
Net expensese,h		0.61	%		0.57	%		0.57	%		0.64	%		0.52	%
Portfolio turnover rate		56	%		74	%		52	%		94	%		69	%

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

FINANCIAL HIGHLIGHTS (concluded)

TOTAL RETURN BOND FUND

a	Unaudited figures for the period ended March 31, 2016. 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.
f	Since commencement of operations: May 1, 2015. 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	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the periods would be:

	03/31/16	09/30/15	09/30/14	09/30/13	09/30/12
A-Class	0.85%	0.84%	0.86%	0.86%	0.82%
C-Class	1.57%	1.56%	1.58%	1.64%	1.59%
P-Class	0.75%	0.75%	N/A	N/A	N/A
Institutional Class	0.49%	0.50%	0.50%	0.52%	0.50%

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

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 an 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.

The Trust offers a combination of four separate classes of shares, A-Class shares, C-Class shares, P-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. 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. 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. At March 31, 2016, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Total Return Bond Fund (the “Fund”), a non-diversified investment company.

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

Significant Accounting Policies

The Fund operates as an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

A. The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities or other assets.

Valuations of the Fund’s securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed and will review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used by, and valuations provided by, the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

Equity securities listed 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 a given day, the security is valued at the closing bid price on that day.

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

46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, 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.

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 (“CEFs”) 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 are valued at amortized cost, provided such amount approximates market value.

Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.

Typically loans are valued using information provided by an independent third party pricing service which uses broker quotes in a non-active market.

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.

The value of 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 Chicago Mercantile Exchange (“CME”) price.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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.

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).

In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

B. Senior loans in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term, floating rate plus a premium. These base lending rates are generally (I) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The interest rate indicated is the rate in effect at March 31, 2016.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

C. The Fund 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 Fund 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 Fund will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.

D. Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.

When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).

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

F. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the Fund. 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 discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

loan agreement and are recognized when received. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

G. The Fund declares dividends from investment income daily. The 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. Dividends are reinvested in additional shares unless shareholders request payment in cash. 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.

H. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net assets of each Fund included in the Trust.

I. Under the fee arrangement with the custodian, the Fund 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, 2016, there were no earnings credits received.

J. The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.25% at March 31, 2016.

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

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

L. 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.

2. Financial Instruments and Derivatives

As part of its investment strategy, the Fund utilizes a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

The Funds may utilize derivatives for the following purposes:

Duration: the use of an instrument to manage the interest rate risk of a portfolio.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

Options Purchased and Written

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

The following table represents the Fund’s use, and volume of call/put options purchased on a quarterly basis:

Fund	Use	Average Number of Contracts
Total Return Bond Fund	Duration, Hedge		8,182

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.

The Fund used written options for Duration and Hedge. The following table represents the Fund’s use and activity of options written for the year ended March 31, 2016:

Call Options Written

Written Call Options
	Total Return Bond Fund
	Number of Contracts			Premium Amount
Balance at September 30, 2015		7,338		$	197,829
Options Written		—			—
Options terminated in closing purchase transactions		—			—
Options expired		(7,338	)		(197,829	)
Options exercised		—			—
Balance at March 31, 2016		—		$	—

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Swaps

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 utilizing OTC swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing. Central clearing generally reduces counterparty credit risk and increases liquidity, but central clearing does not make swap transactions risk-free. 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.

Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. Custom basket swaps are computed in a similar manner, but the composition of the custom basket swap is not tied directly to a publicly available index. As such, the constituents of the basket are available on the respective Fund’s Schedule of Investments. A Fund utilizing a total return index swap bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying index declines in value.

Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive interest on a notional amount of principal. Interest rate swaps are generally valued using the closing price from the prior day, subject to an adjustment for the current day’s spreads. Interest rate swaps are generally subject to mandatory central clearing, but central clearing does not make interest rate swap transactions risk free.

The following table represents the Fund’s use and volume of interest rate swaps on a quarterly basis:

Fund	Use	Average Notional
Total Return Bond Fund	Duration, Hedge	$	10,250,000

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of forward foreign currency exchange contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

The following table represents the Fund’s use, and volume of forward currency exchange contracts on a quarterly basis:

		Average Settlement
Fund	Use	Purchased		Sold
Total Return Bond Fund	Hedge	$	983,692	$	126,663

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of March 31, 2016:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency contracts		Unrealized depreciation on forward foreign currency exchange contracts

The following table sets forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 31, 2016:

Liability Derivative Investments Value
Fund	Forward Foreign Currency Exchange Contracts
Total Return Bond Fund	$	(67,695	)

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following is a summary of the location of derivative investments on the Fund’s Statement of Operation for the period ended March 31, 2016:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Currency contracts	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 Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operation categorized by primary risk exposure for the period ended March 31, 2016:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
Fund	Swaps Interest Rate Contracts		Options Written Equity Contracts		Options Purchased Equity Contracts			Forward Foreign Currency Exchange Contracts			Total
Total Return Bond Fund	$	78,707	$	197,829	$	(724,488	)	$	(15,994	)	$	(463,946	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
Fund	Swaps Interest Rate Contracts			Options Written Equity Contracts		Options Purchased Equity Contracts			Forward Foreign Currency Exchange Contracts			Total
Total Return Bond Fund	$	(233,580	)	$	95,691	$	(542,718	)	$	(59,503	)	$	(740,110	)

In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. The Fund uses, 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 the Fund.

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

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

3. Fees and Other Transactions with Affiliates

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.50% of the average daily net assets of the Fund.

RFS is paid the following for providing transfer agent services to the Fund. Transfer agent fees are assessed to the applicable class of the Fund.

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

^† Not subject to Fund during first twelve months of operations.

RFS also acts as the administrative agent for the Fund, and as such performs administrative functions and the bookkeeping, accounting and pricing functions for the Fund. For these services, RFS receives 0.095% of the average daily net assets of the Fund. The minimum annual charge for fund accounting/administrative fees is $25,000.

RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Fund has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

The investment advisory contracts for the following Fund provides 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. The limits are listed below:

	Limit	Effective Date	Contract End Date
Total Return Bond Fund - A-Class	0.90%	11/30/12	02/01/17
Total Return Bond Fund - C-Class	1.65%	11/30/12	02/01/17
Total Return Bond Fund - P-Class*	0.90%	05/01/15	02/01/17
Total Return Bond Fund - Institutional Class	0.50%	11/30/12	02/01/17

* Since the commencement of operations: May 1, 2015

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

GI is entitled to reimbursement by the Fund 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, 2016, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	Expires 2016		Expires 2017		Expires 2018		Expires 2019		Fund Total
Total Return Bond Fund	$	267,000	$	550,932	$	2,324,957	$	2,037,070	$	5,179,959

For the period ended March 31, 2016, no amounts were recouped by GI.

If a Fund invests in an affiliated fund, the investing Fund’s Adviser has agreed to waive fees at the investing fund level. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period March 31, 2016, the Fund waived $95,284 related to investments in affiliated funds.

For the period ended March 31, 2016, GFD retained sales charges of $274,695 relating to sales of A-Class shares of the Trust.

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

4. Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they may be computed by the Fund’s 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 Fund’s 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 Fund’s 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 Fund 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 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.

58 | 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 value valuation of assets and liabilities categorizes within Level 3 of the fair value hierarchy.

Fund	Category and Subcategory	Ending Balance at 03/31/16		Valuation Technique	Unobservable Inputs
Total Return Bond Fund	Asset-Backed Securities	$	29,941,833	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
	Corporate Bonds		18,629,338	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
	Collateralized Mortgage Obligations		13,692,821	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
			65,705	Option Adjusted Spread off multiple prior month end broker marks over the 3 month LIBOR	Indicative Quote
	Total Collateralized Mortgage Obligations		13,758,526
	Senior Floating Rate Interests		818,391	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote

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

Transfers between investment levels may occur as the markets fluctuate and/ or the availability of data used in an investment’s valuation changes. The Fund recognized transfers between the levels as of the beginning of the period. As of March 31, 2016, the Fund had transfers in/out of Level 3 due to changes in securities valuation method. See the table below for changes to and from Level 2 and Level 3. There were no other securities that transferred between levels.

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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, 2016:

LEVEL 3 - Fair value measurement using significant unobservable inputs

	Senior Floating Rate Interests			Collateralized Mortgage Obligations			Asset- Backed Security			Corporate Bonds			Senior Fixed Rate Interests			Total
TOTAL RETURN BOND
Assets:
Beginning Balance	$	820,463		$	9,315,497		$	9,617,821		$	16,122,382		$	45		$	35,876,208
Purchases		—			4,728,377			17,933,338			—			—			22,661,715
Sales, maturities and paydowns		(2,125	)		(328,850	)		(539,069	)		(101,852	)		—			(971,896	)
Total realized gains or losses included in earnings		—			(64	)		—			—			(208,125	)		(208,189	)
Total change in unrealized gains or losses included in earnings		53			43,566			(17,774	)		(211,925	)		208,080			22,000
Transfers in Level 3		—			—			2,947,517			2,820,733			—			5,768,250
Transfers out of Level 3		—			—			—			—			—			—
Ending Balance	$	818,391		$	13,758,526		$	29,941,833		$	18,629,338		$	—		$	63,148,088
Net Change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 2016	$	(2,289	)	$	(11,661	)	$	(25,215	)	$	(248,428	)	$	208,080		$	(79,512	)

5. Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund 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 Fund’s 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 Fund’s tax positions taken, or to be taken, on Federal income tax returns for all open tax

60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

At March 31, 2016, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Loss
Total Return Bond Fund	$	2,982,128,042	$	41,520,974	$	(76,129,516	)	$	(34,608,542	)

6. Securities Transactions

For the period ended March 31, 2016, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Fund	Purchases		Sales
Total Return Bond Fund	$	1,684,123,589	$	978,439,846

For the period ended March 31, 2016, the cost of purchases and proceeds from sales of government securities were as follows:

Fund	Purchases		Sales
Total Return Bond Fund	$	417,070,683	$	359,754,824

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of Trustees of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended March 31, 2016, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Fund	Purchases		Sales		Realized Gain (Loss)
Total Return Bond Fund	$	14,179,737	$	—	$	—

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

7. Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2015 is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180415000857/gug63224-ncsr.htm.

Transactions during the period ended March 31, 2016, in which the portfolio company is an “affiliated person”, were as follows:

Affiliated issuers by Fund	Value 09/30/15		Additions		Reductions			Value 03/31/16		Shares 03/31/16		Investment Income		Realized Gain (Loss)
Total Return Bond Fund
Guggenheim Floating Rate Strategies Fund - Institutional Class	$	—	$	64,630,776	$	(63,318,973	)	$	—		—	$	630,833	$	(1,311,803	)
Guggenheim High Yield Fund - Insitutional Class		—		3,516,850		(3,438,323	)		—		—		16,850		(78,526	)
Guggenheim Strategic Opportunities Fund		2,968,259		5,309,754		—			8,183,930		481,691		181,383		—
Guggenheim Strategy Fund I		95,705,888		39,038,541		(117,500,000	)		17,083,133		688,558		286,480		(202,666	)
Guggenheim Strategy Fund II		—		10,008,821		—			10,016,928		405,708		8,821		—
	$	98,674,147	$	122,504,742	$	(184,257,296	)	$	35,283,991			$	1,124,367	$	(1,592,995	)

8. Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2016. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The unfunded loan commitments as of March 31, 2016, were as follows:

Borrower	Maturity Date	Face Amount		Value
Total Return Bond Fund
Acosta, Inc.	9/26/2019	$	2,200,000	$	204,240
Aspect Software, Inc.	9/30/2016		1,270		—
		$	7,201,270	$	204,240

9. Line of Credit

The Funds, with the exception of Alpha Opportunity Fund, Capital Stewardship Fund, Diversified Income Fund and Market Neutral Real Estate Fund, secured a committed $800,000,000 line of credit from Citibank, N.A., good through October 7, 2016, at which time the line of credit may be renewed. 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 Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate (0.25% at March 31, 2016), plus 1/2 of 1%. The Funds also pay a commitment fee at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings under this agreement as of and for the period-ended March 31, 2016.

10. Repurchase Agreements

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

Counterparty and Terms of Agreement		Face Value		Repurchase Price	Collateral		Par Value		Fair Value
Jeffries & Company, Inc.
2.95%
Due 04/04/16	$	4,609,000	$	4,746,476	Puerto Rico Public Buildings Authority
					5.75%
					07/01/34	$	13,250,000	$	8,161,603

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

11. Reverse Repurchase Agreements

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

For the period ended March 31, 2016, the Fund entered into reverse repurchase agreements:

Fund	Number of Days Outstanding		Balance at March 31, 2016		Average Balance Outstanding		Average interest Rate
Total Return Bond Fund		183	$	210,297,721	$	299,244,347		0.86	%

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statement of Assets and Liabilities in conformity with U.S. GAAP.

								Gross Amounts Not Offset in the Statement of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments		Cash Collateral Received		Net Amount
Total Return Bond Fund	Reverse repurchase agreements	$	210,297,721	$	—	$	210,297,721	$	210,297,721	$	—	$	—

In June 2014, the FASB issued Accounting Standards Update 2014-11, Repurchase-to- Maturity Transactions, Repurchase Financings, and Disclosures (ASU 2014-11) that expanded secured borrowing accounting for certain repurchase agreements. The ASU also sets forth additional disclosure requirements for certain transactions accounted for as secured borrowings, which applies to the reverse repurchase agreements held by the Funds. The ASU became effective prospectively for annual periods beginning after December 15, 2014, and for interim periods beginning after March 15, 2015. The Funds have adopted the ASU.

64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of March 31, 2016, aggregated by asset class of the related collateral pledged by the Fund:

Fund	Overnight and Continuous		Up to 30 days		31-90 days		Greater than 90 days		Total
Total Return Bond Fund
Corporate Bonds	$	8,955,250	$	92,197,913	$	83,797,033	$	5,500,000	$	190,450,196
Municipal Bonds		—		9,807,713		10,039,813		—		19,847,525
Gross amount of recognized liabilities for reverse repurchase agreements	$	8,955,250	$	102,005,625	$	93,836,845	$	5,500,000	$	210,297,721

12. Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Fund	Restricted Securities	Acquisition Date		Amortized Cost		Value
Total Return Bond Fund	RFTI Issuer Ltd.
	2015-FL1 A, 2.19%
	due 08/15/30	10/14/15	$	9,949,960	$	9,978,936
	RFTI Issuer Ltd.
	2015-FL1 B, 4.32%
	due 08/15/30	10/14/15		4,979,054		4,929,850
	Customers Bank
	6.12% due 06/26/29	6/24/14		2,000,000		2,000,000
	Cadence Bank North America
	6.25% due 06/28/29	6/6/14		1,200,000		1,035,000
	Airplanes Pass Through
	Trust 2001-1A A9, 0.99%
	due 03/15/19	11/30/11		594,050		185,080
	Schahin II Finance
	Company SPV Ltd.
	5.88% due 09/25/22	3/31/12		777,505		113,752

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

13. Offsetting

In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund 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 Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master

Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund 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 Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts 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 Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

The following table presents derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and off set in the Statement of Assets and Liabilities in conformity with U.S. GAAP.

								Gross Amounts Not Offset in the Statement of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments		Cash Collateral Received		Net Amount
Total Return Bond Fund	Forward foreign currency exchange contracts	$	67,695	$	—	$	67,695	$	—	$	—	$	67,695

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 67

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.

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year 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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee	Since 2014	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	105	Current: Trustee, Purpose Investments Inc. (2014-Present).
Donald A. Chubb, Jr. (1946)	Trustee	Since 1994	Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-present).	101	Current: Midland Care, Inc. (2011-present).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	101	Current: Westar Energy, Inc. (2004-present); CoreFirst Bank & Trust (2000-present).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 69

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - continued
Roman Friedrich III (1946)	Trustee and Chairman of the Contracts Review Committee	Since 2014	Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). Former: Senior Managing Director, MLV & Co. LLC (2010-2011).	101	Current: Zincore Metals, Inc. (2009-present). Former: Axiom Gold and Silver Corp. (2011-2012).
Robert B. Karn III (1942)	Trustee and Chairman of the Audit Committee	Since 2014	Current: Consultant (1998-present). Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).	101	Current: Peabody Energy Company (2003-present); GP Natural Resource Partners, LLC (2002-present).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Nyberg & Cassioppi, LLC (2000-present). Former: Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	107	Current: Edward-Elmhurst Healthcare System (2012-present).

70 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - concluded
Maynard F. Oliverius (1943)	Trustee	Since 1998	Current: Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012).	101	Current: Fort Hays State University Foundation (1999-present); Stormont-Vail Foundation (2013-present); University of Minnesota HealthCare Alumni Association Foundation (2009-present).
Ronald E. Toupin, Jr. (1958)	Trustee and Chairman of the Board	Since 2014	Current: Portfolio Consultant (2010-present). 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).	104	Former: Bennett Group of Funds (2011-2013).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 71

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INTERESTED TRUSTEE
Donald C. Cacciapaglia*** (1951)	President, Chief Executive Officer and Trustee	Since 2012	Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present). Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010).	236	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present).

*	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.

72 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS
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).
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 (1961)	Vice President and Chief Legal Officer	Since 2007 (Vice President) Since 2014 (Chief Legal Officer)	Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 73

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - continued
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Senior 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); Managing Director, Guggenheim Investments (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).
Adam Nelson (1979)	Assistant Treasurer	Since 2015	Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011).

74 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - continued
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 (2013-2014).
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 (2014-present); Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 75

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - concluded
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.

76 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 77

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(continued)

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)(1) Not applicable.

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

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

SIGNATURES

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

(Registrant)	Guggenheim Funds Trust
By (Signature and Title)*	/s/ Donald C. Cacciapaglia
	Donald C. Cacciapaglia,
	President and Chief Executive Officer
Date	June 9, 2016
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 and Chief Executive Officer
Date	June 9, 2016
By (Signature and Title)*	/s/ John L. Sullivan
	John L. Sullivan, Chief Financial Officer, Chief Accounting Officer and Treasurer
Date	June 9, 2016

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